The equity tranche IRRs for 2.0 US CLO deals by vintage are summarised in the table below, based on a sample of 619 fully redeemed deals from the 2012–2020 vintages. An issue price of $95 has been assumed, with residual values and incentive fees factored into the IRR calculations. The final equity NAV includes both the last equity distribution and accrued interest.
Drawing from a sample of 87 EU CLO deals that have either been redeemed or are expected to reach full redemption shortly, equity tranches from the 2020, 2022, and 2023 vintages have delivered notable final IRRs, underpinned by robust equity NAV metrics. As illustrated in the table, their average equity NAVs surpassed 100%, underscoring strong performance.
The table below presents the average IRRs, annual distributions, final equity NAVs, and the time to the last payment date prior to a call, organised by vintage. This analysis is based on a sample of 152 US CLO deals redeemed year-to-date in 2024, categorised by vintage, with an assumed issue price of $95.
Please find below the estimated US CLO equity IRRs of a sample of 117 US CLO deals that were redeemed in 2024 year-to-date, categorized by vintage. An issue price of $95 is assumed.
As shown in the table below, across all issuance years, the median IRRs of EU CLO equity tranches were higher than their corresponding median BB tranches. However, BB tranches tend to exhibit a more stable IRR profile and demonstrated better IRR performance at the 25th percentile for deals from 2015, 2016, 2017, 2018, and 2022.
As shown in the tables below, deals from the 2013, 2021, and 2023 vintages saw higher IRRs for their equity tranches compared to their BB tranches.
