Recently, CLO Research published an overlap optimisation model covering almost all outstanding US BSL, middle-market and EU CLO deals. Users can use the model to optimise their CLO investment positions and minimise overlap risk.
The chart below presents the average realised IRRs of fully repaid EU CLO tranches across the AAA to BB rating spectrum. For further details and analysis, please consider subscribing to our premium content.
Bain Capital Euro CLO 2018-1 was issued in 2018, with very tight pricing on its senior tranches.
A sample of 18 CLO equity positions is included in this study. These positions were placed on BWIC, with trading colour available since 7 July 2026.
Across the 172 EU CLO deals that have been redeemed, the overall average IRR was 11.8%. The top quartile of deals achieved IRRs of at least 13.5%, while the bottom quartile recorded IRRs below 7.1%. Notably, the top 25% of deals within each vintage delivered minimum IRRs in the low teens, except for the 2017 and 2019 vintages, broadly in line with the returns typically marketed for CLO equity at primary issuance.
Bain Capital Euro CLO 2018-1 was issued in 2018, with very tight pricing on its senior tranches.
