2021-Vintage European CLO AAAs: Earlier Repayment Through Resets, Slower Amortisation for Outstanding Tranches

Repayment experience across 2021-vintage European CLO AAA tranches highlights the importance of distinguishing between redemption through a reset (or liquidation) and gradual amortisation. Tranches redeemed through resets generally achieved shorter weighted average lives (WALs) than projected under the standard 20% CPR assumption. Among those still outstanding, however, principal repayments have generally been slower than the same scenario anticipated, with considerable variation across deals.