* 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 (10/1/2021)
CRTx® Index Basket: Sep 2021 Factor Updates (9/27/2021)
September CRTx® AGG paydown percentage increased vs August with FHLMC’s tender offer and more deals passing DQ tests.
$2.4 billion in paydowns/tenders (vs $865M paydowns in Aug)
Class C/Es incrementally higher across the board.
Both tranche and reference pool realized write-downs/shortfalls remained nominal.
September factor speeds sideways/incrementally higher based on STACR.
Total DQ% mostly lower, 180+ DQ #/$ continue to trend lower sector-wide.
62 reference pool groups continued to fail their DQ Test in September, down six vs. 68 in August