All books

Professional

Apps About Coach Log in Start reading

Quantitative Finance · Glossary

What is Collateralised loan obligation, payment waterfall?

Also known as: collateralised loan obligation · payment waterfall

Definition 25.3 Markets II: Rates, FX and Credit · Chapter 25 — Loans, CLOs and Securitisation

A collateralised loan obligation (CLO) is an SPV that holds an actively managed, diversified portfolio of leveraged loans and funds it by issuing rated notes of decreasing seniority and unrated equity. Its payment waterfall is the order, fixed in its documents, in which the cash collected from the loans is paid out on each payment date.

Read in context →