medium · Asset-Backed Securities
A $1B CLO has $900M debt and $100M equity. Annual income is $40M, debt cost is $20M, and all fees/expenses are $5M.
What is the equity cash yield if the portfolio experiences 1.5% annual defaults with a 60% recovery rate?
- 7.50%
- 9.00%
- 11.40%
- 15.00%
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