hard · Asset-Backed Securities clos
In a CLO waterfall, the Overcollateralization (OC) test for the Class A bonds has a 115% floor. The current portfolio balance is $500M and the Class A bonds outstanding are $440M.
If three loans totaling $15M default and are now valued at a 40% stressed recovery rate, what is the new Class A OC test result?
- 113.64%
- 115.00%
- 111.59%
- 110.23%
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