Credit Risk Transfer Return Tracking Index
The CRTx® is a fixed income total return index that tracks the aggregate performance generated from a dynamic basket of Credit Risk Transfer (CRT) securities that have been issued into the private market by the Government Sponsored Enterprises (GSEs) Fannie Mae and Freddie Mac.
LATEST CRTx® Index Rebalancing Update (4/1/2021)
CRTx® Aggregate Index
April 2021 Constituency (MoM ∆):
Beg. UPB: $47.87 B (+0.3%)
Beg. Market Value: $48.86 B ( -0.2%)
Num. of Securities: 236 (+1)
WAvg Coupon: 3.87% (+0 bps)
WAvg Constituent Value: 101.86 (-0.5 pts)
The CRTx® Aggregate returned -0.18% in March, breaking a 7-month positive return streak as demand was volatile, new-issue spreads widened, and cross-asset credit yields had moved relatively cheaper. The CRT market still ultimately outperformed most other major fixed income sectors MTD/QTD/YTD, closing Q1 up 1.61%, as a higher/steeper curve continued to pressure rates and IG/HY. The CRTx® Aggregate Index basket for April starts at $48.76 billion in market value across 236 constituents from 97 deals.
CRTx® Daily Return Summary *
For information on CRTx® licensing, data usage, and redistribution of the CRTx® suite of indexes, please contact:
Mark Fontanilla & Co., LLC
255 W MLK Blvd
Charlotte, NC 28202
C: (201) 213-7168
O: (704) 405-0575
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