9.1.2 WaterfallThe waterfall refers to the rules about how the cash fl terjemahan - 9.1.2 WaterfallThe waterfall refers to the rules about how the cash fl Bahasa Indonesia Bagaimana mengatakan

9.1.2 WaterfallThe waterfall refers

9.1.2 Waterfall
The waterfall refers to the rules about how the cash flows from the collateral
are distributed to the various securities in the capital structure. The term
“waterfall” arose because generally the capital structure is paid in sequence,
“top down,” with the senior debt receiving all of its promised payments
before any lower tranche receives any monies. In addition to the coupons
and other payments promised to the bonds, there are fees and other costs to
be paid, which typically take priority over coupons.
A typical structured credit product begins life with a certain amount
of hard overcollateralization, since part of the capital structure is an equity
note, and the debt tranches are less than 100 percent of the deal. Soft
overcollateralization mechanisms may begin to pay down the senior debt
over time with part of the collateral pool interest, or divert part of it into a
reserve that provides additional credit enhancement for the senior tranches.
That way, additional credit enhancement is built up at the beginning of the
life of the product, when collateral cash flows are strongest. Typically, there
is a detailed set of overcollateralization triggers that state the conditions
under which excess spread is to be diverted into various reserves.
To clarify these concepts and introduce a few more, let’s develop our
simple example. Imagine a CLO, the underlying assets of which are 100
identical leveraged loans, with a par value of $1,000,000 each, and priced
at par. The loans are floating rate obligations that pay a fixed spread of 3.5
percent over one-month Libor. We’ll assume there are no upfront, manage-
ment, or trustee fees. The capital structure consists of equity, and a junior
and a senior bond, as displayed in this schematic balance sheet:
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9.1.2 WaterfallThe waterfall refers to the rules about how the cash flows from the collateralare distributed to the various securities in the capital structure. The term“waterfall” arose because generally the capital structure is paid in sequence,“top down,” with the senior debt receiving all of its promised paymentsbefore any lower tranche receives any monies. In addition to the couponsand other payments promised to the bonds, there are fees and other costs tobe paid, which typically take priority over coupons.A typical structured credit product begins life with a certain amountof hard overcollateralization, since part of the capital structure is an equitynote, and the debt tranches are less than 100 percent of the deal. Softovercollateralization mechanisms may begin to pay down the senior debtover time with part of the collateral pool interest, or divert part of it into areserve that provides additional credit enhancement for the senior tranches.That way, additional credit enhancement is built up at the beginning of thelife of the product, when collateral cash flows are strongest. Typically, thereis a detailed set of overcollateralization triggers that state the conditionsunder which excess spread is to be diverted into various reserves.To clarify these concepts and introduce a few more, let’s develop oursimple example. Imagine a CLO, the underlying assets of which are 100identik memanfaatkan pinjaman, dengan nilai $1.000.000 masing-masing, par dan hargasetara. Pinjaman mengambang tingkat kewajiban yang membayar spread tetap 3.5persen selama satu bulan Libor. Kami asumsikan ada tidak dimuka, mengelola-ment, atau wali biaya. Struktur modal terdiri dari saham, dan juniordan ikatan senior, seperti ditampilkan dalam neraca ini skema:
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