CLO Equity Tranche Cash Flow Solver

Underwrite investing in the first-loss equity tranche of Collateralized Loan Obligations (CLOs), capturing the spread between collateralized corporate loan interest and debt tranche cost of funds.

Principal Investment & Spread Arbitrage

CLO Equity Capital Invested ($ USD)

Underlying Senior Loan Portfolio Yield (% - e.g. 9.25%)

Weighted Average Cost of Debt Tranches (% - e.g. 6.85%)

CLO Structural Leverage Multiple (e.g. 9.5x)

Quarterly & Annual Net Yield

Quarterly Net Cash Flow Distribution Check

+$6,120 / quarter

Annual Cash-on-Cash Dividend Yield

+$24,480 / yr (16.32% Net Yield)

Junior Subordination Loss Cushion

Subordinated First-Loss (~8% Default Buffer)