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Comparison of EU CLO Equity IRRs and Annual Default Rates (Updated)

Since October 2023, at least 26 EU CLO deals have been redeemed. The graphs below illustrate the relationship between the estimated IRRs of these recently redeemed deals and their respective underlying collateral annual default rates (based on the original balance). It is noteworthy that the final equity IRR of a CLO is not solely determined…

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