Structured credit topics covered in our published material.
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CLO tranche structure
Explanation of senior, mezzanine, and subordinated note classes, their relative seniority, and how each participates in the transaction's cash-flow waterfall.
Covenant and coverage testing
Discussion of overcollateralization tests, interest coverage tests, and how compliance or breach affects distributions to noteholders.
Collateral manager function
General description of the collateral manager's role in loan sourcing, credit review, ongoing surveillance, and workout scenarios.
Portfolio composition metrics
Reference material on diversity scores, weighted average spread, weighted average life, and rating distribution within a loan pool.
Lifecycle phases
Overview of ramp-up, reinvestment, and amortization periods, and how each phase constrains trading and reinvestment activity.
Risk terminology reference
Definitions of terms frequently used in structured credit discussion, intended as a reference for readers unfamiliar with the subject.
Selected terms referenced across our material
- Waterfall
- The contractual order in which available cash is allocated among expenses, fees, and note classes on each payment date.
- Reinvestment period
- A defined window during which principal proceeds may be used to acquire additional collateral, subject to eligibility criteria.
- Overcollateralization test
- A covenant comparing the par value of collateral to the outstanding balance of specified note classes.
- Weighted average spread
- A portfolio-level measure of the average interest spread earned across underlying loan assets, weighted by position size.
- Diversity score
- A statistical measure used to describe issuer and industry concentration within a loan portfolio.
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