CRTx® Daily Return Summary *
CRTx® Daily Return Summary *
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 (3/1/23)
The CRTx® Aggregate posted a 1.53% total return for February, the 4th month in row of positive gains for the index. Benchmark GSE CRT was able to run counter to the red seen in broader markets over the month as a higher, more inverted curve helped ravage stocks and fixed rates, while the latest STACR tender, bull-flattening of the credit curve, and a negative supply technical helped buoy CRT sector performance.
CRTx® Aggregate Index MAR 2023 Constituency (MoM ∆):
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Beg. UPB: $50.87 B (-1.1%)
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Beg. Market Value: $50.67 B (-0.5%)
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Num. of Securities: 327 (+3)
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WAvg Constituent Value: 99.62 (+0.61 pts)
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WAvg Coupon: 8.64% (+14 bps)
CRTx® Daily Return Summary *
CRTx® | Level | Daily | Wkly | Mthly | MTD | QTD | YTD | 1-YR (Ann.) | 3-YR (Ann.)-1 | As of Date |
|---|---|---|---|---|---|---|---|---|---|---|
Aggregate | 171.01 | 0.00% | 0.05% | 0.28% | 0.28% | 4.29% | 4.29% | 6.87% | 8.86% | 3/28/2023 |
Upper Mezzanine | 127.99 | 0.02% | -0.11% | 0.03% | 0.03% | 2.43% | 2.43% | 4.58% | 2.74% | 3/28/2023 |
Lower Mezzanine | 184.20 | -0.05% | -0.01% | 0.24% | 0.24% | 3.50% | 3.50% | 6.94% | 10.30% | 3/28/2023 |
Subordinate | 247.81 | 0.02% | 0.18% | 0.45% | 0.45% | 5.85% | 5.85% | 7.64% | 4.28% | 3/28/2023 |
Upper/Lower Mezz. | 162.14 | -0.02% | -0.06% | 0.14% | 0.14% | 3.00% | 3.00% | 6.08% | 9.42% | 3/28/2023 |
Lower Mezz./Sub. | 194.93 | 0.00% | 0.11% | 0.37% | 0.37% | 4.93% | 4.93% | 7.61% | 9.29% | 3/28/2023 |
CAS | 168.67 | -0.01% | 0.08% | 0.35% | 0.35% | 3.48% | 3.48% | 7.29% | 10.02% | 3/28/2023 |
STACR | 170.02 | 0.01% | 0.03% | 0.23% | 0.23% | 4.78% | 4.78% | 6.51% | 7.59% | 3/28/2023 |
LLTV | 170.23 | -0.01% | 0.04% | 0.27% | 0.27% | 4.03% | 4.03% | 7.24% | 8.78% | 3/28/2023 |
HLTV | 152.30 | 0.03% | 0.07% | 0.31% | 0.31% | 4.83% | 4.83% | 6.17% | 8.95% | 3/28/2023 |
Upper Mezzanine 2023 | 100.83 | 0.02% | 0.07% | -0.03% | -0.03% | - | - | - | - | 3/28/2023 |
2022 | 103.07 | 0.01% | -0.15% | -0.04% | -0.04% | 2.45% | 2.45% | 4.97% | - | 3/28/2023 |
2021 | 102.94 | 0.09% | 0.04% | 0.44% | 0.44% | 2.33% | 2.33% | 2.77% | - | 3/28/2023 |
2020 | - | - | - | - | - | - | - | - | 3/28/2023 | |
2019 | - | - | - | - | - | - | - | - | 3/28/2023 | |
2018 | - | - | - | - | - | - | - | - | 3/28/2023 | |
2017 | - | - | - | - | - | - | - | - | 3/28/2023 | |
2016 | - | - | - | - | - | - | - | - | 3/28/2023 | |
2015 | - | - | - | - | - | - | - | - | 3/28/2023 | |
<=2014 | - | - | - | - | - | - | - | - | 3/28/2023 | |
Lower Mezzanine 2023 | 100.15 | -0.54% | -0.40% | -1.07% | -1.07% | - | - | - | - | 3/28/2023 |
2022 | 102.25 | -0.12% | -0.03% | 0.03% | 0.03% | 3.88% | 3.88% | 6.18% | - | 3/28/2023 |
2021 | 104.25 | 0.02% | -0.14% | 0.26% | 0.26% | 4.01% | 4.01% | 4.16% | - | 3/28/2023 |
2020 | 106.58 | 0.02% | 0.13% | 0.56% | 0.56% | 2.62% | 2.62% | 5.47% | 8.19% | 3/28/2023 |
2019 | 118.95 | 0.01% | 0.13% | 0.54% | 0.54% | 2.44% | 2.44% | 5.30% | 10.19% | 3/28/2023 |
2018 | 123.20 | 0.02% | 0.13% | 0.54% | 0.54% | 3.58% | 3.58% | 6.85% | 12.33% | 3/28/2023 |
2017 | 138.84 | 0.02% | 0.15% | 0.55% | 0.55% | 2.38% | 2.38% | 6.44% | 10.62% | 3/28/2023 |
2016 | 162.58 | 0.03% | 0.19% | 0.58% | 0.58% | 3.79% | 3.79% | 8.66% | 11.56% | 3/28/2023 |
2015 | 150.51 | 0.02% | 0.17% | 0.76% | 0.76% | 2.79% | 2.79% | 8.52% | 10.47% | 3/28/2023 |
<=2014 | 179.69 | 0.02% | 0.14% | 0.46% | 0.46% | 2.87% | 2.87% | 7.67% | 8.53% | 3/28/2023 |
Subordinate 2023 | 99.08 | 0.03% | 0.01% | -1.17% | -1.17% | - | - | - | - | 3/28/2023 |
2022 | 102.35 | 0.05% | 0.22% | 0.59% | 0.59% | 5.40% | 5.40% | 6.37% | - | 3/28/2023 |
2021 | 103.40 | -0.03% | 0.29% | 0.05% | 0.05% | 6.84% | 6.84% | 4.73% | - | 3/28/2023 |
2020 | 100.70 | 0.04% | 0.17% | 0.51% | 0.51% | 6.66% | 6.66% | 7.33% | 2.31% | 3/28/2023 |
2019 | 143.07 | 0.03% | 0.01% | 0.55% | 0.55% | 4.47% | 4.47% | 9.24% | 5.19% | 3/28/2023 |
2018 | 138.84 | 0.04% | 0.05% | 0.58% | 0.58% | 5.95% | 5.95% | 11.37% | 5.38% | 3/28/2023 |
2017 | 171.76 | 0.03% | 0.15% | 0.70% | 0.70% | 5.34% | 5.34% | 9.84% | 8.98% | 3/28/2023 |
2016 | 217.43 | 0.04% | 0.25% | 1.01% | 1.01% | 5.48% | 5.48% | 9.46% | 3.85% | 3/28/2023 |
2015 | 227.77 | 0.03% | 0.27% | 0.96% | 0.96% | 4.62% | 4.62% | 7.40% | 2.38% | 3/28/2023 |
<=2014 | 3/28/2023 | |||||||||
RNI™ Aggregate | 178.50 | -0.04% | -0.01% | 0.06% | 0.06% | 3.47% | 3.47% | 4.68% | 7.13% | 3/28/2023 |
RNI™ Upper Mezzanine | 128.91 | 0.00% | -0.05% | 0.04% | 0.04% | 2.50% | 2.50% | 4.73% | 3.03% | 3/28/2023 |
RNI™ Lower Mezzanine | 195.93 | -0.19% | -0.13% | -0.19% | -0.19% | 3.90% | 3.90% | 5.31% | 9.78% | 3/28/2023 |
RNI™ Subordinate | 253.94 | 0.06% | 0.27% | 0.51% | 0.51% | 5.55% | 5.55% | 5.67% | 2.68% | 3/28/2023 |
RNI™ LLTV | 178.18 | -0.05% | -0.04% | 0.08% | 0.08% | 3.29% | 3.29% | 5.49% | 7.55% | 3/28/2023 |
RNI™ HLTV | 158.28 | -0.01% | 0.06% | 0.02% | 0.02% | 3.94% | 3.94% | 2.77% | 6.62% | 3/28/2023 |
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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