Realised IRRs by Vintage for Fully Repaid EU CLO Single-A Tranches

A sample of 582 fully repaid EU CLO single-A floating-rate tranches with disclosed issue prices or DMs is included in this study. Tranches issued in 2022 and 2023 performed particularly well, generating average IRRs of more than 4% above three-month EURIBOR. By contrast, the 2017–2018 and 2021 vintages recorded the lowest average IRRs above three-month EURIBOR.

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Tags:single-A-rated tranche

Realised IRRs by Vintage for Fully Repaid EU CLO Single-A Tranches

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