Average AAA WALs in 2018 US BSL CLOs Come in Below Modelled Levels

Across a sample of 238 US BSL CLO deals from the 2018 vintage, average realised AAA WALs have come in shorter than modelled. Refinanced deals shortened the most (by around 1.36 years), liquidated or reset deals were 0.18 years shorter, while the 62 still-outstanding deals are projected to run slightly longer, by about 0.33 years. Overall, the vintage is expected to deliver an average AAA WAL of 5.70 years, roughly 0.42 years shorter than originally modelled.

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Average AAA WALs in 2018 US BSL CLOs Come in Below Modelled Levels

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Average AAA WALs in 2018 US BSL CLOs Come in Below Modelled Levels

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