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Clo-abs waterfall

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CLO/ABS Waterfall.

A newly issued 7-year, $700 million CLO offering has the following tranches and "waterfall" provisions:

  • Senior level debt AAA-rated($500 million)
  • Mid-level subordinated tranche BBB-rated ($100 million)
  • Lowest subordinated tranche B-rated ($100 million)

What is the amount of repayment/recovery ($) for each ABS tranche if losses due to defaults over the life of the issue are $125 million?

AAA tranche_______ BBB tranche _________ B tranche ________

Reference no: EM132477809

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