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 (12/1/21)

 

 

The CRTx® Aggregate Index posted a +0.15% gain for November, as vol moved increasingly higher and credit spreads widened. For Q4 so far, the CRTx® is up 0.33%, and YTD up 5.54%, continuing to outperform major rates and corporate credit sectors that have been affected by net-higher 2021 rates. Credit/deal performance is still trending positively, although the CRT credit curve bear-steepened again. Gross supply has been brisk in Q4 (2nd highest qtr. volume in history), but net supply is down YTD in large part from tender activity.

CRTx® Aggregate Index Dec. 2021 Constituency (MoM ∆):

 

  • Beg. UPB:                                $44.43 B (-3.7%)

  • Beg. Market Value:              $45.85 B (-3.9%)

  • Num. of Securities:                       253 (+3)

  • WAvg Coupon:                           3.97% (+5 bps)

  • WAvg Constituent Value:      103.20 (-0.2 pts)

CRTx 2021-11-30 Short Return Panel.png
CRTx 2021-11-30 Dark Graph.png

CRTx® Daily Return Summary *

 
CRTx®
Daily
Wkly
Mthly
MTD
QTD
YTD
1-YR (Ann.)
3-YR (Ann.)
As of Date
Aggregate
0.02%
0.01%
0.28%
0.04%
0.37%
5.59%
7.42%
4.39%
12/3/2021
Upper Mezzanine
0.00%
0.01%
0.08%
0.01%
0.19%
0.80%
0.96%
2.35%
12/3/2021
Lower Mezzanine
0.00%
0.03%
0.21%
0.02%
0.34%
3.73%
4.50%
3.17%
12/3/2021
Subordinate
0.04%
-0.02%
0.40%
0.08%
0.43%
10.26%
15.36%
6.72%
12/3/2021
Upper/Lower Mezz.
0.00%
0.03%
0.20%
0.02%
0.33%
3.54%
4.27%
3.29%
12/3/2021
Lower Mezz./Sub.
0.02%
0.01%
0.29%
0.05%
0.38%
5.81%
7.74%
4.30%
12/3/2021
CAS
0.01%
0.05%
0.43%
0.05%
0.63%
5.41%
6.66%
4.22%
12/3/2021
STACR
0.02%
-0.01%
0.17%
0.04%
0.19%
5.70%
8.04%
4.56%
12/3/2021
LLTV
0.01%
-0.01%
0.28%
0.04%
0.35%
5.46%
7.32%
4.24%
12/3/2021
HLTV
0.04%
0.04%
0.27%
0.06%
0.40%
5.80%
7.58%
4.62%
12/3/2021
Upper Mezzanine 2021
0.00%
0.01%
0.08%
0.01%
0.19%
0.67%
-
-
12/3/2021
2020
0.00%
0.01%
0.07%
0.01%
0.13%
0.71%
0.87%
-
12/3/2021
2019
-
-
-
-
-
-
-
-
12/3/2021
2018
0.00%
-0.03%
0.07%
0.02%
0.23%
0.96%
1.03%
2.16%
12/3/2021
2017
0.00%
0.01%
0.09%
0.01%
0.23%
0.97%
1.10%
2.14%
12/3/2021
2016
-
-
-
-
-
-
-
-
12/3/2021
2015
-
-
-
-
-
-
-
-
12/3/2021
<=2014
-
-
-
-
-
-
-
-
12/3/2021
Lower Mezzanine 2021
0.02%
0.00%
-0.04%
-0.01%
0.06%
3.29%
-
-
12/3/2021
2020
0.02%
0.02%
0.09%
0.04%
0.11%
2.49%
2.67%
-
12/3/2021
2019
0.01%
0.00%
0.09%
-0.01%
0.17%
2.72%
3.22%
-
12/3/2021
2018
-0.01%
-0.01%
0.36%
0.00%
0.30%
4.24%
5.12%
4.58%
12/3/2021
2017
-0.01%
0.04%
0.38%
0.01%
0.56%
4.16%
4.78%
3.54%
12/3/2021
2016
0.01%
0.10%
0.21%
0.06%
0.40%
3.58%
3.81%
2.08%
12/3/2021
2015
0.01%
0.07%
0.13%
0.05%
0.36%
2.74%
3.00%
1.93%
12/3/2021
<=2014
-0.02%
0.02%
0.12%
0.01%
0.69%
5.80%
8.90%
3.07%
12/3/2021
Subordinate 2021
-0.06%
-0.03%
0.28%
-0.02%
-0.48%
6.10%
-
-
12/3/2021
2020
0.00%
-0.22%
0.23%
0.00%
0.67%
10.68%
19.62%
-
12/3/2021
2019
0.19%
0.07%
0.58%
0.28%
0.24%
11.21%
14.78%
-
12/3/2021
2018
0.18%
0.21%
0.48%
0.22%
0.22%
8.15%
14.78%
8.37%
12/3/2021
2017
0.01%
0.05%
0.50%
0.01%
1.63%
10.88%
12.88%
5.31%
12/3/2021
2016
0.06%
0.00%
0.70%
0.14%
1.20%
11.25%
13.60%
4.43%
12/3/2021
2015
0.04%
0.10%
0.54%
0.11%
0.59%
4.65%
5.21%
2.61%
12/3/2021
<=2014
12/3/2021
RNI™ Aggregate
-0.06%
-0.05%
0.10%
-0.04%
0.02%
6.30%
9.35%
6.52%
12/3/2021
RNI™ Upper Mezzanine
0.00%
0.01%
0.08%
0.01%
0.19%
0.79%
0.95%
2.28%
12/3/2021
RNI™ Lower Mezzanine
0.02%
0.00%
-0.04%
-0.01%
0.06%
3.16%
3.34%
4.96%
12/3/2021
RNI™ Subordinate
-0.13%
-0.10%
0.20%
-0.09%
-0.07%
11.05%
20.02%
9.78%
12/3/2021
RNI™ LLTV
-0.09%
-0.05%
0.30%
-0.05%
0.01%
6.20%
9.52%
6.44%
12/3/2021
RNI™ HLTV
0.03%
-0.04%
-0.29%
-0.02%
-0.01%
6.07%
8.83%
6.85%
12/3/2021
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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