Ranking of EU CLO Managers’ by Prepayment Rates in the 1st and 2nd Year Post-Reinvestment-Period (Freemium)

Several conclusions can be drawn from the chart. In particular, it appears that debt investors did not really price in the different post-reinvestment prepayment rates given the generic pricing assumptions for new issue deals. This raises the question: Should managers with higher post-reinvestment prepayment rates be priced tighter than those with lower rates?

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