Cushions in Collateral Quality Tests Stay Mostly Positive
All Fitch-rated MM CLOs include a Fitch Test Matrix as part of a CLO’s Collateral Quality Tests (CQTs) in MM CLOs, including Fitch weighted average recovery rate (WARR), Fitch weighted average rating factor (WARF), weighted average spread (WAS) and weighted average life (WAL), generally remain in compliance against test limits for deals in reinvestment.
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