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.

LATEST CRTx® Index Rebalancing Update (5/2/22)

 

 

The CRTx® Aggregate managed to gain 0.44% in April, ending a 2-month losing streak, as the Fed, inflation, and war continued to weigh on markets. Overall, CRT outperformed major fixed income sectors with the curve up 40-50bps and IG/HY spreads wider, while CRT coupon resets rose. Intra-complex, performance improved from last month’s declines as CRT steadied somewhat on firmer new issue spreads vs. the March wides, and net supply remained high.

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

 

  • Beg. UPB:                                $53.07 B (+4.2%)

  • Beg. Market Value:              $53.05 B (+4.3%)

  • Num. of Securities:                       291 (+6)

  • WAvg Coupon:                           4.34% (+19 bps)

  • WAvg Constituent Value:        99.98 (+0.11 pts)

CRTx 2022-04-29 Short Return Panel.png
CRTx 2022-04-29 Dark Graph.png

CRTx® Daily Return Summary *

 
CRTx®
Level
Daily
Wkly
Mthly
MTD
QTD
YTD
1-YR (Ann.)
3-YR (Ann.)
As of Date
Aggregate
159.80
-0.05%
-0.11%
-0.51%
-0.54%
-0.10%
-2.07%
0.44%
2.87%
5/20/2022
Upper Mezzanine
121.91
-0.14%
-0.18%
-0.44%
-0.39%
-0.42%
-1.47%
-0.97%
1.29%
5/20/2022
Lower Mezzanine
173.01
0.00%
-0.07%
-0.28%
-0.30%
0.26%
-0.25%
1.34%
2.36%
5/20/2022
Subordinate
228.73
-0.08%
-0.12%
-0.78%
-0.85%
-0.39%
-4.14%
0.21%
3.57%
5/20/2022
Upper/Lower Mezz.
153.23
-0.03%
-0.10%
-0.32%
-0.32%
0.10%
-0.50%
1.02%
2.42%
5/20/2022
Lower Mezz./Sub.
180.97
-0.04%
-0.09%
-0.53%
-0.57%
-0.06%
-2.11%
0.47%
2.70%
5/20/2022
CAS
157.73
0.01%
-0.01%
0.00%
-0.08%
0.28%
-0.89%
1.47%
3.13%
5/20/2022
STACR
158.93
-0.09%
-0.17%
-0.85%
-0.85%
-0.36%
-2.84%
-0.24%
2.73%
5/20/2022
LLTV
158.61
-0.08%
-0.13%
-0.51%
-0.57%
-0.13%
-2.25%
0.24%
2.68%
5/20/2022
HLTV
143.13
0.01%
-0.06%
-0.52%
-0.48%
-0.05%
-1.73%
0.80%
3.16%
5/20/2022
Upper Mezzanine 2022
97.85
-0.20%
-0.27%
-0.67%
-0.58%
-0.38%
-2.15%
-
-
5/20/2022
2021
99.85
0.01%
0.03%
0.08%
0.06%
-0.35%
-0.83%
-0.33%
-
5/20/2022
2020
102.87
0.00%
0.03%
0.10%
0.07%
0.15%
0.35%
0.81%
-
5/20/2022
2019
-
-
-
-
-
-
-
-
5/20/2022
2018
109.11
0.01%
0.07%
0.13%
0.22%
0.21%
0.49%
1.13%
1.77%
5/20/2022
2017
-
-
-
-
-
-
-
-
5/20/2022
2016
-
-
-
-
-
-
-
-
5/20/2022
2015
-
-
-
-
-
-
-
-
5/20/2022
<=2014
-
-
-
-
-
-
-
-
5/20/2022
Lower Mezzanine 2022
96.18
-0.04%
-0.41%
-1.32%
-1.27%
-0.18%
-3.82%
-
-
5/20/2022
2021
100.01
0.01%
-0.08%
-0.93%
-0.88%
-0.14%
-3.29%
-2.06%
-
5/20/2022
2020
101.24
0.01%
-0.11%
-0.07%
-0.09%
0.14%
0.24%
1.07%
-
5/20/2022
2019
113.38
0.01%
-0.07%
0.13%
0.07%
0.31%
0.38%
1.25%
3.00%
5/20/2022
2018
115.70
0.01%
0.00%
0.02%
-0.05%
0.33%
0.14%
1.83%
3.35%
5/20/2022
2017
131.45
0.01%
-0.01%
0.08%
-0.05%
0.53%
0.61%
2.71%
2.92%
5/20/2022
2016
151.16
0.01%
-0.01%
0.00%
0.10%
0.39%
1.93%
3.47%
2.39%
5/20/2022
2015
139.78
0.01%
0.18%
-0.02%
0.32%
0.17%
1.26%
2.86%
1.91%
5/20/2022
<=2014
169.37
0.01%
0.06%
0.43%
0.19%
1.44%
0.87%
3.63%
2.84%
5/20/2022
Subordinate 2022
93.92
0.02%
-0.04%
-0.52%
-0.67%
-0.66%
-6.08%
-
-
5/20/2022
2021
96.91
-0.33%
-0.41%
-2.39%
-2.21%
-1.55%
-9.55%
-0.93%
-
5/20/2022
2020
93.77
0.02%
0.01%
-0.31%
-0.41%
0.14%
-3.06%
1.08%
-
5/20/2022
2019
130.50
0.01%
-0.27%
-0.60%
-0.66%
-0.24%
-0.86%
1.82%
6.23%
5/20/2022
2018
124.61
0.01%
0.10%
-0.06%
-0.50%
-0.15%
-2.24%
1.42%
4.96%
5/20/2022
2017
157.67
0.01%
0.08%
0.38%
0.25%
0.74%
-0.14%
3.91%
4.02%
5/20/2022
2016
199.62
0.01%
0.16%
0.45%
0.27%
0.40%
1.06%
5.21%
3.70%
5/20/2022
2015
214.68
0.01%
0.14%
0.62%
0.41%
1.14%
2.78%
7.10%
2.96%
5/20/2022
<=2014
5/20/2022
RNI™ Aggregate
169.37
-0.05%
-0.14%
-0.85%
-0.85%
-0.58%
-4.92%
-1.42%
3.32%
5/20/2022
RNI™ Upper Mezzanine
122.58
-0.14%
-0.19%
-0.47%
-0.42%
-0.45%
-1.55%
-1.05%
1.16%
5/20/2022
RNI™ Lower Mezzanine
185.88
-0.02%
-0.18%
-1.02%
-0.98%
-0.16%
-3.24%
-2.19%
2.38%
5/20/2022
RNI™ Subordinate
237.02
0.02%
-0.04%
-1.16%
-1.23%
-1.06%
-8.08%
-2.00%
4.11%
5/20/2022
RNI™ LLTV
167.81
-0.08%
-0.19%
-0.89%
-0.97%
-0.60%
-5.51%
-1.66%
3.10%
5/20/2022
RNI™ HLTV
152.90
0.01%
-0.01%
-0.74%
-0.60%
-0.49%
-3.53%
-0.77%
3.99%
5/20/2022
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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