Redeemed US CLO Equity IRRs: NAV vs Annual Distribution
The final IRR of a CLO equity tranche very much depends on the final equity NAV realisation.
The final IRR of a CLO equity tranche very much depends on the final equity NAV realisation.
Based on a sample of 21 redeemed EU CLO deals, the median deal registered a 9.4% IRR.
It is apparent that the final IRR of a CLO equity tranche is not only determined by defaults. As shown in the table above, the IRR range for deals with a 0% default rate is enormous (-3.1% to 32.9% ).
Which redeemed deals delivered an equity IRR of over 12.0%? 2020 vintage deals delivered extraordinary IRRs. 2012 vintage deals did well...
A sample of 248 redeemed US CLO deals is included in the latest study.