Tag Archives: WAL Tests

Basic Premium

What’s Missing in 2.0 CLOs?

Generally speaking, in a robust loan market with a good portion of loans trading above par, borrowers often take advantage of prepayment options to refinance their debts at lower spreads. However, whenever the market weakens, lenders are left with limited options to improve the spreads of their assets.

Inside Look: How EU CLO AUM Breaks Down by Reinvestment Period and WAL Test Cushion

CLO collateral WAL test cushions play a vital role in allowing CLO managers to optimise underlying collateral spreads through trading, purchasing new long-dated assets, or amending and extending existing ones. This article provides an overview of EU CLO assets under management (in billions), broken down by reinvestment (RI) period and reported WAL test cushion, as of 31 March 2023.