This article includes several tables showing the average annualised prepayment rates for each seasoned manager in the first, second, third, and fourth years of the post-reinvestment period (post-RP), as well as post-RP prepayment rates for individual deals. The sample includes deals that had exited their reinvestment periods by 31 December 2024.
ACLO 9X SUB’s estimated initial arbitrage stood at around 225 bps (portfolio discounted spread less cost of funding based on DM). Its strong distribution was partly driven by an outsized first payment of 18.2 points and a highly leveraged structure—nearing 14x collateral-to-equity notional—well above the sub-12x average for H1 2022 deals.
From a CLO debt perspective, selecting the right manager and deal with higher post-reinvestment period (post-RP) prepayment rates can be...
The table below presents the annualised (orig) prepayment rates for seasoned EU CLO deals with reinvestment periods (RP) ending in 2022 across the first, second, third, and fourth years post-RP. Typically, deals experience a single-digit prepayment rate in the first year post-RP. The median post-RP prepayment rate increased to 21.3%, although the range of post-RP prepayment rates is wide.
This article focuses on US BSL CLO deals that exited their reinvestment period (RP) in 2023, based on a sample of 386 deals. As shown in the table below, the median annualised prepayment rate was 20% in year 1, with a wide range—from 12% to 27%—based on the 25th and 75th percentiles. In year 2, the median annualised prepayment rate rose to 34%, while the interquartile range narrowed compared to year 1.
As these deals exited their reinvestment periods in 2022—a year marked by significant volatility—27 out of 67 managers sustained average single-digit annualised prepayment rates across their deals in the first year post-RP, as shown in the table below.
