A manager of collateralized loan obligations (CLOs) is reviewing the performance of a CLO that has a pool of 50 identical loans, each priced at its par value of GBP 1 million. The underlying loan assets are floating-rate obligations that pay a fixed spread of 150 bps over LIBOR. The coupons and interest payments on the following liabilities are made on an annual basis and occur at the end of the year: | Liabilities | Amount (GBP) | Coupon | |---------------------|------------------|------------------| | Senior debt | 37,500,000 | LIBOR + 45 bps | | Mezzanine debt | 10,000,000 | LIBOR + 300 bps | | Equity | 2,500,000 | — | The manager reports that the CLO initially has no overcollateralization, and the annual excess spread flowing into the overcollateralization account has a limit of GBP 250,000. Suppose the LIBOR curve remains flat at 4% in the first year, and assuming no defaults in the collateral pool and no management and transaction fees, what are the correct amounts that the manager would post to the overcollateralization account and to the equity tranche after the first year? **Overcollateralization Account**     **Equity Tranche** | Financial Risk Manager Part 2 Quiz - LeetQuiz