LlamaRisk has proposed loosening borrowing parameters for JAAA on Aave V3 Horizon after reviewing a year of redemption activity for the underlying tokenized fund. The recommendation would raise JAAA’s reserve-tier loan-to-value ratio to 87% from 81% and its liquidation threshold to 89% from 86%, while leaving the 5% liquidation bonus unchanged.

The proposal is based on settlement data confirmed by Centrifuge for the Janus Henderson Anemoy AAA CLO Fund, the vehicle behind JAAA. According to the post, 93 redemption orders totaling $717.3 million were processed between Oct. 10, 2025 and Oct. 5, 2026, with 91 paid on the same day or the next business day and the remaining two settled at T+2.

Why the parameters are being revisited

JAAA is a tokenized share class of a fund that holds AAA-rated collateralized loan obligation tranches. On Horizon, its price is derived from the fund’s net asset value through a Chainlink NAV feed. When Aave first evaluated the asset in December 2025, the reserve-tier settings were kept relatively conservative at 81% LTV, 86% liquidation threshold and a 5% liquidation bonus because the fund did not yet have a meaningful redemption history under heavy outflows.

LlamaRisk now argues that the observed settlement record supports tighter settings. Under the proposal, the reserve tier would move to within one percentage point of the separate JAAA GHO E-Mode configuration, which remains unchanged at 88% LTV and 90% liquidation threshold with the same 5% liquidation bonus.

Redemption record and stress assumptions

The post says Centrifuge’s on-chain data shows 63 redemptions settled at T+0, 28 at T+1 and two at T+2, with no orders taking T+3 or longer. The largest single redemption cited was $326.9 million on March 9, 2026, equal to 43.9% of fund assets under management at the time, and it was paid at T+2. LlamaRisk also highlighted $300.1 million redeemed across six orders in January 2026 at T+0 or T+1, and another $200 million across two orders in September 2026 that settled at T+1.

Even though the slowest observed settlement was two business days, the risk analysis uses a three-business-day exit window. LlamaRisk said that at the proposed 89% liquidation threshold and 5% liquidation bonus, the resulting 6.55% solvency margin would exceed the worst six-trading-day decline, 5.99%, in the Palmer Square CLO Senior Debt Index, which it uses as a proxy stress benchmark. The proposal also notes that the fund’s own NAV has been much less volatile, with the largest daily decline in the Chainlink JAAA feed at 0.07% and the largest three-day decline at 0.08% between April 23 and Oct. 14, 2026.

Portfolio quality and concentration

LlamaRisk said the underlying portfolio has not deteriorated since its original review. The fund still holds floating-rate senior CLO tranches, its weighted average legal final maturity shortened to 11.0 years from 11.8 years, and the share of holdings maturing beyond 12 years fell to 30.0% from 62.2% in the earlier snapshot cited in the proposal.

The fund did become more concentrated during Q1 2026 outflows, when holdings dropped to 20 positions and the top ten accounted for 63.8% of the book. But the latest snapshot in the post shows diversification improving to 35 positions across 22 managers, with the largest single position at 5.2% and the top ten at 37.2%. LlamaRisk said that remains more concentrated than the 54-position portfolio reported in November 2025, but well below the concentration seen after the first-quarter outflows.

Current Horizon exposure and trade-offs

According to the proposal, JAAA supply on Horizon stands at $51.9 million across 11 addresses. Three positions using the JAAA GHO E-Mode, representing 19.8% of JAAA, would not be affected. The remaining 80.2% sits in the reserve tier, where seven positions hold $45.0 million of debt, including $34.5 million in RLUSD and $10.5 million in GHO.

LlamaRisk said these reserve-tier positions are already borrowing at 78.2% to 83.4% of collateral value, suggesting they may increase leverage if the limits are raised. Maximum looped leverage would rise to 7.69x from 5.26x. At the same time, a position opened at the new 87% LTV would become liquidatable after a 2.25% NAV decline, and the analysis warns that the case for higher limits depends on the fund continuing to settle redemptions within three business days.

What happens next

The recommendation is to update only the reserve-tier settings for JAAA on Horizon: 87% LTV, 89% liquidation threshold and a 5% liquidation bonus. The post says this would reduce the amount of debt that must be repaid to bring a position back from the liquidation threshold to the maximum LTV, to 26.0% from 38.9% under the current settings.

The proposal also notes an operational constraint for any liquidation: JAAA is permissioned at the token level, meaning liquidators and recipients of seized collateral must be on the fund’s memberlist before redeeming with the fund. The next confirmed step is governance consideration of whether the settlement history and stress analysis justify the parameter change on Horizon.

Source: governance.aave.com