CLO Research

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Armada Euro CLO III

If this deal is reset, the original Class E and F tranches are estimated to achieve IRRs of 7.7% and 10.5%, respectively. The manager has done a good job of preserving the principal value of the collateral pool.

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Penta CLO 4

According to Pitchbook LCD, Partners Group announced yesterday that it is considering the potential liquidation of Penta CLO 4. This...

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US CLO Managers: Varying Prepayment Rates in the Post-Reinvestment Period

From the perspective of debt investors, a more rapid prepayment rate is typically preferable following the reinvestment period (RP). A low post-RP prepayment rate would increase the credit exposure of the underlying collateral pool and prolong the duration of the CLO debt tranches. The rate of post-RP paydown is particularly relevant today, given that debt tranches are currently priced at relatively tight levels. The following table presents the average first-year, second-year, and third-year annualized prepayment rates for each manager, based on data from their seasoned deals that have their reinvestment end dates ending before January 2024.

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