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SCI Start the Week - 2 September

Category: ABS Capital Relief Trades CLOs

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A review of securitisation activity over the past seven days

Market commentary
A new Fitch study shows that there is a wide range in trustee reported market values for defaulted loans held by US middle market CLOs, highlighting the illiquidity of the sector. For example, term loans of Dimensional Dental Management are held in eight MM CLOs of four managers, with reported marks for the same loan varying from 70 to 97 (SCI

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