Tag Archives: Post-RI Prepayment

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.

The table below shows the average annualised prepayment rates for each seasoned manager in the first, second, third, fourth and fifth years of the post-reinvestment period (post-RP). The sample includes seasoned deals that had exited their reinvestment periods by 31 December 2024. Eight EU CLO managers have maintained single-digit annualised prepayment rates during either the first and second years or the second and third years of the post-RP period across their seasoned deals.

The table below shows the average annualised prepayment rates for each seasoned manager in the first, second, third, fourth and fifth years of the post-reinvestment period (post-RP). The sample includes deals that had exited their reinvestment periods by 31 December 2024.

This article sets out the average annualised prepayment rates for each seasoned manager across the first five years of the post-reinvestment period (post-RP). It also shows, for each CLO manager, how many of their deals were called or reset in each of those years, together with the annualised post-RP prepayment rates for each deal in the sample.

The first table in this article shows the average annualised prepayment rates for each seasoned manager in the first, second, third, fourth, and fifth years of the post-reinvestment period (post-RP). The sample includes deals that had exited their reinvestment periods by 31 December 2024.

The table below presents the average annualised prepayment rates for each seasoned manager during the first, second, third, and fourth years of the post-reinvestment period (post-RP). The sample includes deals that had exited their reinvestment periods by 31 December 2024. Deals that were called or reset are also included, reflecting their pre-call and pre-reset historical post-RP prepayment rates.