Cash Flow Waterfall
Definition
Prueba de Cobertura de Intereses (IC Test)
Fórmula: Ratio IC = Ingresos por intereses disponibles / Pagos de intereses requeridos. El incumplimiento retiene efectivo antes de las distribuciones al equity. El mínimo típico del IC en un CLO es ~120 %.
Deep Dives
Related Terms
Cash Flow Waterfall
The contractual priority of payment sequence in a securitisation. Standard structure: senior expenses → senior interest → OC test → junior interest → reserve replenishment → equity distributions.
OC Test (Over-Collateralisation Test)
Formula: OC Ratio = Performing Asset Par / Outstanding Note Balance. Failure redirects excess interest proceeds to repay senior notes (turbo). CLO Class A/B OC test minimum typically 121–128%.
Excess Spread Trap
The capture of excess spread to cure an OC or IC test deficiency. Standard mechanic: trap 50% of remaining interest proceeds (or the exact amount needed to cure, whichever is less) and redirect to senior principal.