AAA WALs: How 2017–2018 CLO Deals Diverged from Modelled Expectations

A review of 65 CLO deals from the 2017–2018 vintages shows that realised WALs for senior AAA tranches averaged 5.65 years, around 0.15 years longer than modelled at issuance. While some deals delivered shorter WALs—benefiting investors given the typically upward-sloping AAA term curve—others faced significant extensions to the disadvantage of AAA holders.

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AAA WALs: How 2017–2018 CLO Deals Diverged from Modelled Expectations

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AAA WALs: How 2017–2018 CLO Deals Diverged from Modelled Expectations

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