Research on CDO's and CLO's

I'm doing research on CLOs and CDOs and wanted to know the effect of a default on treasuries and bonds will have on the CLO, CDO and RMBS market. I'm sure it isn't going to be good, but wanted to know the details on how tranches with AAA + ratings to BB- would be impacted. Would asset firms result to massive credit default swaps on underlying bonds , or would they take positions on interest rate swaps. 

I'm sure all the trading desks are prepping for this worse case scenario. 

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