A Closer Look at Seasoned US BSL CLO Deals: Low Annualized Prepayment Rates in the First Two Years Post-Reinvestment Period

If no purchases were made after the RI end date, prepayment rates (based on the original collateral balance) for the first two years post-RI would be significantly higher than they currently are, as shown in the table below. In other words, on average, these deals reduced their annual prepayment rates by 21 percentage points and 24 percentage points for the first and second year following their reinvestment period, respectively.