Cash Flow Waterfall
Definition
Test de couverture des intérêts (IC Test)
Formule : Ratio IC = Revenus d'intérêts disponibles / Paiements d'intérêts requis. L'échec bloque les flux de trésorerie avant les distributions aux porteurs d'equity. Le minimum IC typique d'un CLO est ~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.