The Aave Risk Stewards have proposed adjusting collateral parameters for JAAA, the tokenized share class of the Janus Henderson Anemoy AAA CLO Fund, on Horizon. The proposal raises the loan-to-value ratio from 81% to 87% and liquidation threshold from 86% to 89%, while maintaining the existing 5% liquidation bonus. These adjustments reflect a year of operational performance and settlement reliability that has meaningfully reduced execution risk in the underlying fund.
Since its December 2025 listing, JAAA has processed 93 redemption requests totaling $717.3 million across all vaults. The settlement track record demonstrates institutional-grade liquidity: 91 of these orders were fulfilled on the same day or next business day, with only two requiring T+2 settlement. This empirical data provided the foundation for recalibrating risk parameters. Rather than relying on theoretical worst-case scenarios, the Risk Stewards sized the new liquidation threshold against a three-business-day exit window—one day longer than the slowest observed settlement. This conservative approach builds in a buffer without over-penalizing capital efficiency.
The mathematical underpinning reflects careful stress-testing methodology. At the proposed 89% liquidation threshold with a 5% bonus, a 6.55% solvency margin remains intact. This margin accounts for potential collateral value decline during the redemption window, with the Palmer Square CLO Senior Debt Index (CLOSE) serving as the stress proxy. Notably, the worst observed six-day decline in CLOSE was 5.99%—meaning the remaining margin covers twice the assumed exit period, providing genuine downside protection. The reserve tier will sit only one percentage point below JAAA's GHO E-Mode parameters (88% / 90%), reducing fragmentation across deployment channels while maintaining appropriate risk separation.
The underlying fund itself remains structurally sound. JAAA continues to hold exclusively floating-rate AAA CLO tranches, insulating it from interest-rate risk in the present environment. Portfolio diversification has recovered to 35 positions across 22 managers following Q1 2026 outflows, and the weighted average legal maturity has shortened naturally with the passage of time. These factors, combined with the demonstrated settlement discipline, justify confidence in the higher parameters. As real-world blockchain finance increasingly bridges institutional credit markets, settlement track records will become the primary driver of collateral policy adjustments.