The Coronavirus Impact on the Valuation of Structured Products

COVID-19, better known as coronavirus, has had a significant effect on the equity and fixed income markets. The spread of the virus has impacted virtually all asset classes, including structured products. Although we anticipate bid wanted in competition (BWIC) volumes to increase, to date, non-market factors have limited list frequency. We continue to monitor dealer commentary for additional price discovery.

In this alert, we discuss specific valuation issues to consider for CLOs, mortgages, consumer lending, and aircraft leasing.

*The file is an Adobe Acrobat PDF. If you experience difficulty opening the downloadable file, you may need to download the free Acrobat Reader.

Contacts

Dr. Cindy Ma Managing Director, Global Head of Portfolio Valuation and Fund Advisory Services
Jonathan Sloan Managing Director
Terence Tchen Managing Director
Martin Lawlor Senior Vice President
Kaddu Luyombya Senior Vice President
Lewis Tse Senior Vice President
Gabriel Feld Vice President

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