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

May 2021 Month-End CRTx® Index Rebalancing Update

April 2021 Month-End CRTx® Index Rebalancing Update

SCI 5th Annual Risk Transfer & Synthetics Seminar

March 2021 Month-End CRTx ® Index Rebalancing Update

MF&Co In The News: Structured Credit Investor

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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 (7/1/2021)

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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

 

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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