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Modeling Techniques for Hard-to-Value Bonds

Learn from leading practitioners as they discuss how to model bonds whose market values do not reflect their underlying fundamentals.

The market continues to punish every category of structured finance product. Even the highest-rated securities are not immune, but the further a bond moves down the ratings scale, the greater the uncertainty around what its real valuation is. 

Mark-to-model is fast becoming the new normal as the Covid-19 crisis is causing investors to become less and less comfortable relying on normal pricing service output. But transitioning from Level 1 to Level 2 (and even sometimes Level 3) assets brings with it a host of internal compliance and other challenges.  

Modelers must be able to demonstrate that their assumptions are defensible and their techniques are sound. 

Join Bill Moretti, Scott Carnahan, and Joe Sturtevant as they discuss “Modeling Techniques for Hard-to-Value Bonds” 

Key Topics:  

  • Overview of recent cross-sector performance 
  • Considerations when having to adapt from a market-based approach to a model-based one 
  • Example illustration of how to value a CLO security using mark-to-model. 

   

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