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:
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Portal analytics updated for the 2024-11-25 factor date and the 2024-11-29 rebalancing analytics.
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CRTx® Index 2024-11-29 Rebalancing Report now available.
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NEW: A1, M1A, M1B, M2, B1, B2, & B index variants added to the CRTx® Index Suite (only available via the CRTx® Index Portal).
The CRTx® Index Portal is a state-of-the-art index analytics platform powered by MF & Co’s proprietary Hyper Neural AI™ and the firm’s Configurator Cube™ process to provide innovative index insights, all at virtually the speed of thought. Get access HERE.
Refreshed as of 2024-12-06
Latest CRTx® Index Rebalancing Information
The CRTx® Monthly Return Summaries
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 2024 | CRTx® UMEZZ 2024 | .CRTXUM2024 | .CRTXUM2024M |
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 2024 | CRTx® LMEZZ 2024 | .CRTXLM2024 | .CRTXLM2024M |
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 2024 | CRTx® SUB 2024 | .CRTXSU2024 | .CRTXSU2024M |
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
Security pricing and information powered by Refinitiv, an LSEG (London Stock Exchange Group) business.
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