We're joined by CLO Sector Lead Stephen Anderberg and credit analyst Daniel Hu to discuss how rising U.S. broadly syndicated loan (BSL) CLO 'CCC' baskets could affect junior overcollateralization (O/C) test cushions. We detail how the mechanics of CLO O/C tests work and why the tests themselves matter. Then we deep dive into the scenario analysis we undertook to look at how the junior O/C test cushions could be affected by various hypothetical scenarios of rising 'CCC' baskets.
