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CRTx Docs and Samples

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.

UPDATES & NOTICES:

  • Index Portal updated for the 2024-02-26 investor statement date.

  • NEW: M2, B1, B2, & B index variants added to the CRTx® Index Suite (only available via the CRTx® Index Portal).

CRTx Index Portal Screen 1.png
CRTx Index Portal Screen 2.png
CRTx Index Portal Screen 3.png
MFCo FTP-SFTP Enterprise Data Portal

CRTx® Daily Return Summary Grid

CRTx® AGG Valuation Date Finder

Latest CRTx® Rebalancing Update Report

GSE CRT Deal Structural/Credit Metrics

GSE CRT Sector Supply Metrics

Portal Screenshots:

Portal Data/Analytics:

Latest CRTx® Index Rebalancing Information

LATEST CRTx® Index Rebalancing Update Report (2/1/24)

CRTx Rebalancing Report Cover 2024-01-31.PNG

CRTx® Aggregate Index FEB 2024 Constituency (MoM ∆):

  • Beg. UPB:                                $50.21 B (+0.8%)

  • Beg. Market Value:              $53.01 B (+2.1%)

  • Num. of Securities:                       352 (+0)

  • WAvg Constituent Value:       105.58 (+1.33 pts)

  • WAvg Coupon:                           9.42% (-1 bps)

CRTx 2024-01-31 Mkt Val Pie.png
CRTx 2024-01-31 Mkt Val Grid.png
CRTx Mthly Summaries

The CRTx® Monthly Return Summaries

CRTx AGG Return Grid.png
CRTx AGG RNI Return Grid.png
CRTx Constituency Guide
CRTx Constituent Guide.png
CRTx Tickers

CRTx® Index Suite Tickers:

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

CRTx®
Index Short Name
RIC (Refinitiv Identification Code) -Daily Indexes
RIC (Refinitiv Identification Code)-Mthly Metrics Indexes
Aggregate
CRTx® AGG
.CRTXAGG
.CRTXAGGM
Upper Mezzanine
CRTx® UMEZZ
.CRTXUMEZZ
.CRTXUMEZZM
Lower Mezzanine
CRTx® LMEZZ
.CRTXLMEZZ
.CRTXLMEZZM
Subordinate
CRTx® SUB
.CRTXSUB
.CRTXSUBM
Upper/Lower Mezz.
CRTx® UMEZZ LMEZZ
.CRTXULMEZZ
.CRTXULMEZZM
Lower Mezz./Sub.
CRTx® LMEZZ SUB
.CRTXLMEZZS
.CRTXLMEZZSM
CAS
CRTx® CAS
.CRTXCAS
.CRTXCASM
STACR
CRTx® STACR
.CRTXSTACR
.CRTXSTACRM
LLTV
CRTx® LLTV
.CRTXLLTV
.CRTXLLTVM
HLTV
CRTx® HLTV
.CRTXHLTV
.CRTXHLTVM
Upper Mezzanine 2023
CRTx® UMEZZ 2023
.CRTXUM2023
.CRTXUM2023M
2022
CRTx® UMEZZ 2022
.CRTXUM2022
.CRTXUM2022M
2021
CRTx® UMEZZ 2021
.CRTXUM2021
.CRTXUM2021M
2020
CRTx® UMEZZ 2020
.CRTXUM2020
.CRTXUM2020M
2019
CRTx® UMEZZ 2019
.CRTXUM2019
.CRTXUM2019M
2018
CRTx® UMEZZ 2018
.CRTXUM2018
.CRTXUM2018M
2017
CRTx® UMEZZ 2017
.CRTXUM2017
.CRTXUM2017M
2016
CRTx® UMEZZ 2016
.CRTXUM2016
.CRTXUM2016M
2015
CRTx® UMEZZ 2015
.CRTXUM2015
.CRTXUM2015M
<=2014
CRTx® UMEZZ 2014
.CRTXUM2014
.CRTXUM2014M
Lower Mezzanine 2023
CRTx® LMEZZ 2023
.CRTXLM2023
.CRTXLM2023M
2022
CRTx® LMEZZ 2022
.CRTXLM2022
.CRTXLM2022M
2021
CRTx® LMEZZ 2021
.CRTXLM2021
.CRTXLM2021M
2020
CRTx® LMEZZ 2020
.CRTXLM2020
.CRTXLM2020M
2019
CRTx® LMEZZ 2019
.CRTXLM2019
.CRTXLM2019M
2018
CRTx® LMEZZ 2018
.CRTXLM2018
.CRTXLM2018M
2017
CRTx® LMEZZ 2017
.CRTXLM2017
.CRTXLM2017M
2016
CRTx® LMEZZ 2016
.CRTXLM2016
.CRTXLM2016M
2015
CRTx® LMEZZ 2015
.CRTXLM2015
.CRTXLM2015M
<=2014
CRTx® LMEZZ 2014
.CRTXLM2014
.CRTXLM2014M
Subordinate 2023
CRTx® SUB 2023
.CRTXSU2023
.CRTXSU2023M
2022
CRTx® SUB 2022
.CRTXSU2022
.CRTXSU2022M
2021
CRTx® SUB 2021
.CRTXSU2021
.CRTXSU2021M
2020
CRTx® SUB 2020
.CRTXSU2020
.CRTXSU2020M
2019
CRTx® SUB 2019
.CRTXSU2019
.CRTXSU2019M
2018
CRTx® SUB 2018
.CRTXSU2018
.CRTXSU2018M
2017
CRTx® SUB 2017
.CRTXSU2017
.CRTXSU2017M
2016
CRTx® SUB 2016
.CRTXSU2016
.CRTXSU2016M
2015
CRTx® SUB 2015
.CRTXSU2015
.CRTXSU2015M
<=2014
RNI™ Aggregate
CRTx® RNI AGG
.CRTXRNIAGG
.CRTXRNIAGGM
RNI™ Upper Mezzanine
CRTx® RNI UMEZZ
.CRTXRNIUM
.CRTXRNIUMM
RNI™ Lower Mezzanine
CRTx® RNI LMEZZ
.CRTXRNILM
.CRTXRNILMM
RNI™ Subordinate
CRTx® RNI SUB
.CRTXRNISUB
.CRTXRNISUBM
RNI™ LLTV
CRTx® RNI LLTV
.CRTXRNLLTV
.CRTXRNLLTVM
RNI™ HLTV
CRTx® RNI HLTV
.CRTXRNHLTV
.CRTXRNHLTVM

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

 

 

Security pricing and information powered by Refinitiv, an LSEG (London Stock Exchange Group) business.

Copyright © 2017-2024, Mark Fontanilla & Co., LLC (“MFCo”). All rights reserved. The information presented herein is protected by United States intellectual property and copyright laws and may not be reproduced, rewritten, distributed, published, broadcast, disseminated, transmitted, displayed, either directly or indirectly, in any medium or incorporated in other electronic or printed works without the prior consent of MFCo. CRTx® is a registered trademark, and RNI™ is a trademark, of MFCo. MFCo and any third-party licensors of its commercial indexes make no representation or warranty, express or implied, as to the capability of any index to accurately represent the security asset class or financial market sector that any respective MFCo index intends to represent. MFCo and any third-party licensors of its commercial indexes shall not be liable for any errors, omissions, or interruptions in the calculation or presentation of any MFCo index and its related data. Past performance of an index is neither an indication, nor a guarantee, of future results for either the index, the future results of the securities, or markets the index represents. The material herein does not constitute an offer for the sale of securities or services. Except for MFCo Custom Index Design Services, all information provided by MFCo is for general public dissemination and not specifically tailored for the purposes of any single individual, group, or legal entity. MFCo receives fees associated with the licensing of its indexes to third parties, development and administration of custom indexes, and the provision of index data products and services. An index itself cannot be invested in. Investment exposure to the securities or financial markets that an index represents may be made available via third-party financial instrument or investment vehicle that references the respective index. MFCo does not sell, endorse, promote, or directly manage any financial instrument or investment vehicle that seeks to offer an economic return based on the performance of any of MFCo’s indexes. MFCo is not an investment advisor and does not provide legal or tax advice. For more information on any of MFCo’s index products or other professional services, please visit www.markfontanilla.com.

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