hard · Corporate Credit Analysis cca-core

A CLO Overcollateralization (OC) test for a BBB tranche is 115%. The current pool par is $500M and the tranche par is $400M.

If $30M of the pool defaults and is marked at a recovery value of 40%, what is the new OC test result?

  1. 117.5%
  2. 120.5%
  3. 112.5%
  4. 125.0%

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