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 (5/3/2021)



The CRTx® Aggregate posted its best monthly return of the year, ending April up 1.25% MoM, and reversing March’s volatility-led decline. A flattening of the CRT credit curve, improving credit/structure performance, and supportive technicals helped the CRT sector rebound from March.

CRTx® Aggregate Index May 2021 Constituency (MoM ∆):


  • Beg. UPB:                                $47.62 B (-0.5%)

  • Beg. Market Value:              $48.94 B (+0.4%)

  • Num. of Securities:                       238 (+2)

  • WAvg Coupon:                           3.89% (+1 bps)

  • WAvg Constituent Value:      102.78 (+0.95 pts)

CRTx® Daily Return Summary *


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



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