hard · Corporate Credit Analysis
A CLO is backed by a $1,000M loan pool.$30M of the loans default with a 40% recovery rate.
If the Class A tranche has a par amount of $650M, and the Overcollateralization (OC) test is defined as the par value of non-defaulted assets plus the recovery value of defaulted assets divided by the tranche par, what is the Class A OC ratio?
- 153.8%
- 141.5%
- 149.2%
- 151.1%
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