STRUCTURED FINANCE

CLO Waterfall

Granite Credit CLO IX, Ltd. · $400M · Q1 2026 — March 15, 2026

1 TEST FAIL

2 WARN

10-step priority waterfall · IC Class D fail → principal diversion

Senior Expenses

Trustee · Admin · Audit fees

$125K

Mgmt Fee — Senior

15bps × $400M / 4

$150K

Class A-1 Interest

SOFR + 148bps · $240M · 90/360

$1.33M

Class A-2 Interest

SOFR + 185bps · $60M · 90/360

$362K

OC Test — Class B

Test: 119.2% vs. trigger 117.5% — PASS

Class B Interest

SOFR + 225bps · $40M · 90/360

$268K

IC Test — Class D

Test: 118.4% vs. trigger 120.0% — FAIL → divert

Principal Diversion

Divert excess to Class A-1 principal per OC/IC cure

$3.80M

Class C/D Interest

Deferred — post-cure remainder after diversion

Equity Distribution

Residual after waterfall completion

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