hard · Corporate Credit Analysis
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?
- 117.5%
- 120.5%
- 112.5%
- 125.0%
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