For a sample of EU CLO deals with reinvestment end dates between July 2018 and January 2022, the post-reinvestment end date annualised collateral prepayment rates (based on original collateral balances) are summarised below: Year 1Year 2Year 3Year 490.0%19.2%25.8%23.1%37.1%75.0%9.6%13.7%19.1%32.8%50.0%1.8%4.8%15.0%25.5%25.0%0.2%0.0%10.7%23.8%10.0%0.0%0.0%4.8%22.8%Source: Intex, CLO Research The following table shows the actual post-reinvestment period annualised prepayment rates for each seasoned…
Tags:Prepayment