CRTx® Daily Return Summary *
CRTx® Daily Return Summary *
December 2021 Month-End CRTx® Index Rebalancing Update
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
* 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 (1/3/2022)
CRTx® Index Basket: Dec. 2021 Factor Updates (12/27/2021)
-
CRTx® AGG principal paydown percentage was 2.17% of Dec. basket UPB (including CAS tender retirements), vs 1.94% in Nov: (excl. tenders)
-
$962M paydowns
-
$ 2M B-piece writedowns
-
-
-3bps to Dec. CRTx® AGG total return due to paydowns/writedowns/shortfalls
-
Class C/Es stable to higher
-
Aggregate 1st-loss B-piece realized write-downs/shortfalls -13bps. Increases from FXD Severity Bs.
-
Dec. factor speeds mostly lower for CAS & STACR again (~low-20s/low-40s CPRs).
-
Total DQ%s and 180+ DQ #/$ also lower again MoM.
-
49 reference pool groups continued to fail their DQ Test in December, down 9 vs. 58 in Nov.
CONTACT INFO:
Mark Fontanilla & Co., LLC
255 W MLK Blvd Ste. 2402
Charlotte, NC 28202
O: 704-405-0575
C: 201-213-7168