A Look At Rising U.S. BSL CLO 'CCC' Basket Scenarios And Their Effects On Junior O/C Test Cushions - a podcast by S&P Global Ratings
from 2023-05-09T15:00
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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.
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