CRTx®

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.

The CRTx® Index Suite, including daily historical index levels, periodic returns, and month-end rebalancing risk/reward metrics, is now available on Refinitiv™ (a London Stock Exchange Group company) fixed income data products including the Eikon terminal and the DataScope Select data delivery platform (https://www.refinitiv.com/en/products).

LATEST CRTx® Index Rebalancing Update (12/1/22)

 

 

The CRTx® Aggregate posted a 0.61% gain in November, ending a significant 2-month losing streak as most fixed income and equity markets rebounded off recent lows throughout the month. CRT underperformed major bond sectors as a lower belly/long end of the curve boosted fixed rates, especially longer-duration IG and MBS. Intra-complex, the top/middle of the capital structure and newer issues led gains, but YTD the standard CRTx® Aggregate is still down -1.57%, while the CRTx® RNI™ (Rolling New Issues) Aggregate is at    -5.34% with one month to go in the year.

CRTx® Aggregate Index DEC 2022 Constituency (MoM ∆):

  • Beg. UPB:                                $52.83 B (-0.8%)

  • Beg. Market Value:              $50.79 B (-0.9%)

  • Num. of Securities:                       323 (-2)

  • WAvg Constituent Value:         96.14 (-0.07 pts)

  • WAvg Coupon:                           7.80(+50 bps)

CRTx 2022-11-30 Short Return Panel.png
CRTx 2022-11-30 Dark Graph.png

CRTx® Daily Return Summary *

 
CRTx® Index Suite
Index Level
DoD
WoW
MoM
MTD
QTD
YTD
1-YR (Ann.)
3-YR (Ann.)
As of Date
Aggregate
160.93
0.20%
0.28%
0.84%
0.20%
-0.21%
-1.37%
-1.06%
2.43%
12/1/2022
Upper Mezzanine
123.08
0.08%
0.23%
1.00%
0.08%
0.42%
-0.53%
-0.50%
1.16%
12/1/2022
Lower Mezzanine
174.58
0.19%
0.24%
1.15%
0.19%
0.71%
0.65%
0.82%
2.28%
12/1/2022
Subordinate
229.38
0.28%
0.34%
0.54%
0.28%
-1.23%
-3.87%
-3.36%
1.52%
12/1/2022
Upper/Lower Mezz.
154.69
0.14%
0.23%
1.08%
0.14%
0.58%
0.45%
0.60%
2.34%
12/1/2022
Lower Mezz./Sub.
182.11
0.24%
0.30%
0.79%
0.24%
-0.41%
-1.50%
-1.17%
2.20%
12/1/2022
CAS
159.85
0.27%
0.48%
1.09%
0.27%
0.06%
0.44%
0.72%
2.97%
12/1/2022
STACR
159.33
0.16%
0.15%
0.68%
0.16%
-0.38%
-2.59%
-2.27%
2.06%
12/1/2022
LLTV
160.46
0.19%
0.25%
0.97%
0.19%
-0.18%
-1.10%
-0.82%
2.42%
12/1/2022
HLTV
142.85
0.22%
0.33%
0.59%
0.22%
-0.27%
-1.92%
-1.57%
2.38%
12/1/2022
Upper Mezzanine 2022
99.00
0.08%
0.22%
1.08%
0.08%
0.58%
-1.00%
-
-
12/1/2022
2021
99.67
0.06%
0.25%
0.56%
0.06%
-0.46%
-1.02%
-0.99%
-
12/1/2022
2020
-
-
-
-
-
-
-
-
12/1/2022
2019
-
-
-
-
-
-
-
-
12/1/2022
2018
-
-
-
-
-
-
-
-
12/1/2022
2017
-
-
-
-
-
-
-
-
12/1/2022
2016
-
-
-
-
-
-
-
-
12/1/2022
2015
-
-
-
-
-
-
-
-
12/1/2022
<=2014
-
-
-
-
-
-
-
-
12/1/2022
Lower Mezzanine 2022
95.65
0.45%
0.62%
2.11%
0.45%
2.07%
-4.35%
-
-
12/1/2022
2021
98.20
0.18%
0.47%
1.59%
0.18%
-0.43%
-5.04%
-4.89%
-
12/1/2022
2020
102.86
-0.07%
-0.15%
0.18%
-0.07%
0.18%
1.85%
2.01%
-
12/1/2022
2019
115.47
0.03%
-0.62%
-0.31%
0.03%
0.85%
2.23%
2.42%
2.96%
12/1/2022
2018
117.48
0.04%
-0.01%
0.17%
0.04%
-0.73%
1.68%
2.03%
3.03%
12/1/2022
2017
133.92
0.05%
0.12%
0.56%
0.05%
0.69%
2.50%
2.58%
2.95%
12/1/2022
2016
154.41
0.04%
-0.63%
-0.05%
0.04%
0.29%
4.13%
4.10%
3.26%
12/1/2022
2015
143.86
0.04%
-0.22%
0.49%
0.04%
0.82%
4.22%
4.43%
2.85%
12/1/2022
<=2014
172.77
0.04%
0.10%
0.50%
0.04%
0.58%
2.90%
3.20%
3.19%
12/1/2022
Subordinate 2022
94.86
0.23%
0.41%
0.70%
0.23%
-0.61%
-5.14%
-
-
12/1/2022
2021
94.56
0.55%
0.68%
0.96%
0.55%
-1.94%
-11.74%
-10.90%
-
12/1/2022
2020
93.03
0.18%
0.01%
-0.54%
0.18%
-2.33%
-3.82%
-3.65%
-
12/1/2022
2019
133.67
0.38%
0.22%
0.96%
0.38%
-0.63%
1.55%
2.11%
3.66%
12/1/2022
2018
127.66
0.07%
0.15%
0.25%
0.07%
-1.50%
0.15%
0.53%
2.87%
12/1/2022
2017
160.74
0.12%
0.32%
0.69%
0.12%
-0.51%
1.80%
2.14%
3.04%
12/1/2022
2016
204.05
0.08%
0.19%
1.03%
0.08%
0.61%
3.30%
4.10%
3.76%
12/1/2022
2015
215.69
0.08%
0.48%
0.50%
0.08%
0.74%
3.26%
3.50%
1.71%
12/1/2022
<=2014
12/1/2022
RNI™ Aggregate
168.97
0.21%
0.39%
1.27%
0.21%
0.37%
-5.14%
-4.68%
1.90%
12/1/2022
RNI™ Upper Mezzanine
123.80
0.08%
0.22%
1.01%
0.08%
0.47%
-0.56%
-0.53%
1.03%
12/1/2022
RNI™ Lower Mezzanine
183.31
0.46%
0.61%
2.12%
0.46%
1.12%
-4.58%
-4.43%
1.13%
12/1/2022
RNI™ Subordinate
235.01
0.24%
0.50%
0.95%
0.24%
-0.48%
-8.86%
-8.08%
0.45%
12/1/2022
RNI™ LLTV
168.79
0.15%
0.23%
1.38%
0.15%
0.44%
-4.96%
-4.45%
2.15%
12/1/2022
RNI™ HLTV
149.50
0.36%
0.75%
1.00%
0.36%
0.20%
-5.68%
-5.38%
1.57%
12/1/2022
CRTx Inclusion Footnote Table.png

For information on CRTx® licensing, data usage, and redistribution of the CRTx® suite of indexes, please contact:

 

Mark Fontanilla

Mark Fontanilla & Co., LLC

255 W MLK Blvd

Suite 2402

Charlotte, NC 28202

C: (201) 213-7168

O: (704) 405-0575

mark@markfontanilla.com

www.markfontanilla.com

 

 

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