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CLO Collateral Quality Tests and Matrices

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How do CLO managers balance risk and return while maintaining portfolio quality standards?

In the latest article in our CLO Insights Series, produced in association with Weil, Gotshal & Manges (London) LLP, we provide an analysis of Collateral Quality Tests and the matrices that guide CLO portfolio management.

The piece breaks down five essential quality tests—WARF, WARR, Diversity, WAS, and WAL—and explains how the Moody’s and Fitch matrices work in practice. These frameworks give CLO managers the flexibility to pursue different investment strategies while protecting noteholder interests.

Read the full analysis below.

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Robert Reynolds

Managing Director, Head of CLOs

Robert is a Managing Director and Head of Collateralised Loan Obligation (‘CLO’) for Pemberton. CLOs invest in broadly syndicated leveraged loans and Robert is responsible for building Pemberton’s CLO business into an innovative platform.

More about Robert Reynolds

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