Weekly Musings – Post-RP Prepayment Rates
From a CLO debt perspective, selecting the right manager and deal with higher post-reinvestment period (post-RP) prepayment rates can be...
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.
The table below presents the annualised post-reinvestment period prepayment rates for each of the 239 seasoned EU CLO deals across the first, second, third, and fourth years. Notably, 18 deals have recorded single-digit annualised prepayment rates in the first, second, and third years post-reinvestment period.
The table in this premium article provides the post-RP annualized prepayment rates for each deal in the sample, offering a detailed comparison of how quickly different deals paid down after their reinvestment period ended.
