Weekly Musings – Post-RP Prepayment Rates
From a CLO debt perspective, selecting the right manager and deal with higher post-reinvestment period (post-RP) prepayment rates can be...
From a CLO debt perspective, selecting the right manager and deal with higher post-reinvestment period (post-RP) prepayment rates can be...
Tuesday’s BWIC colour included three distressed bonds originally rated single-B: two were covered at 31h, and one at around 10h. Discount margins were not reported, as it is highly unlikely these bonds will be repaid at par—an IRR-based approach would be more appropriate. Pricing these thin tranches remains particularly challenging, as even a small change in the underlying collateral NAV can significantly affect their value.
As of 9 May 2025, the latest arbitrage metric for non-short-dated US CLOs stood at around 218 bps, marginally lower than at the start of the year.
Allstate’s AIMCO CLO 12 performed particularly well in terms of both annual distributions and equity NAV.
Among managers with two or three deals in the sample, CIFC and Spire Partners have also performed well, with all of their seasoned deals ranking in the top quartile.
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