Basic Premium

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.

Cairn CLO X equity recently traded with a released cover price of EUR 46.3, equating to a primary equity IRR of 13.7%. Its strong performance was largely driven by a solid annual distribution of over 18% sustained over more than six years.

The table below lists the outstanding EU CLO deals that have already met their IRR incentive fee thresholds of 12%, supported by robust equity distributions. As expected, most of these deals were issued in 2016 or earlier, and all but one were reset—effectively extending the life of the deal and enabling equity distributions sufficient to meet the IRR thresholds. Collectively, the total incentive fees distributed to date amount to approximately EUR 24 million.

A sample of 1,437 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

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.

Notably, Redding Ridge achieved an impressive feat by pricing three resets on the same day—Friday, 21 March 2025. The last time a manager accomplished something similar was Intermediate Capital Group (ICG), with three reissues in mid-2018, and Alcentra, with three refinancings in early 2021.

How Have EU CLO Managers Stacked Up Against the Loan Index Since Inception? This study examines the long-term performance of 218 EU CLO deals from the 2015–2019 vintages, using the Morningstar European Euro-Denominated Loan Index as the benchmark. As of 19 March 2025, EU CLO managers, on average, had outperformed the loan index on an inception-to-date basis—driven primarily by principal value return outperformance—while their interest return remained broadly in line with that of the index.

Last week experienced a marked widening in both asset and CLO liability spreads. However, as of 14 March, the arbitrage remained largely stable week on week, with asset spreads (4-week average) and CLO WACC increasing in tandem by approximately 5 bps.

Below are tables presenting the MVOC (AAA-B) and EQ NAV of US BSL CLO deals by vintage, based on asset...

A sample of 1,455 US BSL CLO deals (vintage 2013–2023) is included in this study. Deals with a collateral pool...

A sample of 498 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...

Based on SCI BWIC data, between 17 July 2024 and 8 March 2025, approximately 66 US CLO equity tranches from the 2021 vintage appeared on BWIC lists, where list owners provided colour on the equity tranches. Based on this colour, US CLO equity tranches from the 2021 vintage recorded a median IRR of

Recent BWIC colour on CLO equity tranches, based on SCI BWIC data, indicates that many have traded well. The IRRs presented in the table within this article reflect the IRRs that primary investors would have achieved, assuming a primary issue price of 95. Notably, among the 2016–2017 vintage deals, Generate CLO 3 recorded an IRR of 13.4%, based on a cover price of 42.8%. This tranche is considered one of the top performers from that vintage. Some more recently issued equity tranches, such as Elmwood CLO 17, Elmwood CLO VII, and Madison Park Euro Funding XIX, have delivered strong IRRs in the range of 15.6% to 18.3%. Primary investors would be pleased to have invested in these equity tranches.

As shown in the table below, 2018 and 2021 vintage deals have a tight WACC, which is typically an attractive feature for equity investors—after all, who wouldn’t want to lock in a long-term, low cost of funding?

A sample of 500 EU CLO deals (vintage 2013–1H 2024) is included in this study. Deals with a collateral pool...