COVID-19’s Impact on the Leveraged Loan Markets

GARP Risk Podcast

The current pandemic is having an enormous impact on the leveraged loan markets which until recently were priced to perfection. Bid-Ask spreads have widened dramatically, and leveraged loan indexes have fallen substantially. One of the biggest areas of concern is over collateralization of CLOs, particularly in the US. We would like to invite you to share your insights into these challenges facing the leveraged loan market and risks facing banks, asset managers and investors.

GARP is happy to partner once again with SAS on this episode, which features, David Phillips, CFA, ASA, EA, a Director, Liability Driven Investment Strategies at Parametric, John McMurray, CPA, CFA, the Chief Risk Officer & Chief Audit Executive at Russell Investments, and Stas Melnikov, CFA, FRM – Head of Risk Product Portfolio and Strategy at SAS.

Over the years, GARP and SAS have worked together to bring risk practitioners unique insights on a variety of topics related to financial risk and have partnered on this episode of our COVID podcast series.

About SAS

As a leader in analytics, SAS has more than 40 years of experience helping organizations solve their toughest problems. Our unrelenting commitment to innovation enables banks to modernize and sustain a competitive edge. SAS provides an integrated, enterprise-wide risk-management platform for managing risk in an organization, from strategic to reputational, operational, financial or compliance-related risk management. Learn more about how SAS is driving innovation and business value for risk and finance professionals at www.sas.com/risk.

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Bios of our Guests

John McMurray is chief risk officer and chief audit executive at Russell Investments. He has over 35 years of experience in financial services on both the buy and sell sides in asset managers and banks.

David Phillips has spent almost 30 years in the pension industry advising plan sponsors on strategic allocation and risk, particularly LDI, and overseeing global pension investments for a Fortune 500 plan sponsor.

Stas Melnikov, CFA, FRM, is head of risk product portfolio and strategy at SAS. Prior to SAS, Stas was head of market and liquidity risk at Russell Investments and head of residential credit loss forecasting at JPMorgan Chase.