November 2021 Month-End CRTx® Index Rebalancing Update

October 2021 Month-End CRTx® Index Rebalancing Update

September 2021 Month-End CRTx® Index Rebalancing Update

August 2021 Month-End CRTx® Index Rebalancing Update

July 2021 Month-End CRTx® Index Rebalancing Update

June 2021 Month-End CRTx® Index Rebalancing Update

SCI's 1st Annual CLO Special Opportunities Seminar 2021

IMN's Virtual Investor Conference on Risk Transfer

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* 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"

Tuesday 6/29/2021

12:10pm EST

  • 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?

Advanced Market Intelligence, Insights, and Strategies

Providing Comprehensive Strategic Consulting and Advisory Services To The Markets

LATEST CRTx® Index Rebalancing Metrics (12/1/2021)

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CRTx® Index Basket: Nov. 2021 Factor Updates (11/26/2021)

  • CRTx® AGG principal paydown percentage was 6.47% of Nov. basket UPB  (including CAS tender retirements), vs 2.13% in Oct:

    • $2.09B tendered current face

    • $0.89B normal paydowns​​

  • +1bp to Nov. CRTx® AGG total return due to paydowns/tenders.

  • Class C/Es stable to higher across the board.

  • Aggregate 1st-loss B-piece realized write-downs/shortfalls <3bp.

  • Nov. factor speeds mostly lower for CAS & STACR (~mid-20s/low-40s CPRs).

  • Total DQ%s and 180+ DQ #/$ geometrically lower MoM.

  • 58 reference pool groups continued to fail their DQ Test in September, down three vs. 61 in October.

 

CONTACT INFO:

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Mark Fontanilla & Co., LLC

255 W MLK Blvd Ste. 2402

Charlotte, NC 28202

mark@markfontanilla.com

O: 704-405-0575

C: 201-213-7168

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