US CLO Equity IRRs: Comprehensive Overview (Updated)

The table in this article presents the IRRs by vintage for fully liquidated US CLO deals from the 2012 to 2023 vintages, based on a sample of 1,230 deals. The top-quartile deals within each vintage generally delivered at least low-teens IRRs, with the exception of the 2014, 2016, 2017 and 2018 vintages. These weaker-performing vintages generally exhibited both below-average annual distributions and lower final equity NAVs. For example, average annual distributions for the 2014, 2016, 2017 and 2018 vintages were 13.6%, 13.3%, 12.4% and 13.4%, respectively. Typically, CLO portfolios can lose spread relatively quickly in a strong loan market, but take considerably longer to rebuild spread when the market weakens, given that CLOs are largely fully invested.