In this note, we model the cashflows of the CCOLT 2015-1 deal under a set of base case and bear case scenarios.
Our analysis demonstrates that under the deal structure, cash flows to liability holders remain insulated from small to medium tail risk scenarios. Liability holders breakeven in larger cum loss scenarios.
We also conclude that certificate-holders earn an IRR between 4% to 52% depending on the severity and timing of losses. We note that the findings are sensitive to loss and prepayment timing.
For a copy of our paper, click here.