CLO Contagion Emerges

its chance, of the story’s futures

−2.2%on the S&P 500, if it happens

A less likely but more dangerous path is that CCC concentration limits and ratings tests force CLO managers to sell discounted loans into an already thin market. The risk is not simply issuer default, but a technical feedback loop linking loan prices, CLO tests, and financing availability.

What it moves

Finance−4.2%
Consumer Cyclicals−2.5%
Riskier companies' borrowing costs▲ up
Market volatility▲ up

Sectors in percent; other series by direction only.

Each figure is the modeled move of the S&P 500 if the outcome occurs. For information only. Not investment advice.

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