* MF & Co Named SCI Capital Relief Trades Awards 2020 Winner:
ANALYTICS FIRM OF THE YEAR
UPCOMING: MF&Co Chief Strategist Mark Fontanilla to speak at
SCI's 1st ANNUAL CLO SPECIAL OPPORTUNITIES SEMINAR
Conference Panel: "Middle Market CLOs"
Offering a wider spread advantage to their BSL siblings how is the more opaque sector really faring now the initial stage of the Covid crisis is behind us, but the true economic impact is still ahead, and do MM CLOs still offer enough reward for the risk?
How attractive are risk adjusted returns for MM CLOs, what are the challenges in analysing the credits given the private/bilateral nature of loans?
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LATEST CRTx® Index Rebalancing Metrics (7/1/2021)
CRTx® Index Basket: July 2021 Factor Updates (7/26/2021)
July CRTx® AGG paydown percentage (1.85%) 3.3% lower vs June (1.92%):
Total Index/Sector Paydowns for May: $857 million
Class C/Es improved MoM, on average 5-10%.
Both tranche and reference pool realized write-downs/shortfalls are still nominal (1st loss pieces <1bp).
July factor speeds little changed in aggregate for STACR (30s/40s CPR avg).
DQs improved again: 180+ #/$DQs incrementally declined.
JULY MTD CRTx® INDEX PAYDOWN RETURN ATTRIBUTION: -1.95 bps