دانلود کتاب The Structured Credit Handbook

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The Structured Credit Handbook......Page 6
Contents......Page 10
Acknowledgments......Page 22
About the Authors......Page 24
About the Contributors......Page 26
Introduction: A Roadmap of the New World of Structured Credit......Page 30
HOW STRUCTURED CREDIT COMPLETES MARKETS......Page 31
IMPROVED LIQUIDITY, TRANSPARENCY, AND CUSTOMIZABILITY......Page 32
GROWTH OF STRUCTURED CREDIT MARKETS......Page 33
CORE USES OF STRUCTURED CREDIT......Page 37
HOW THIS BOOK IS ORGANIZED......Page 40
Part I: Index and Single-Name Products......Page 44
THE MARKET FOR CREDIT DEFAULT SWAPS......Page 46
TRANSACTION TERMINOLOGY AND MECHANICS......Page 51
SOME USES OF DEFAULT SWAPS......Page 55
APPENDIX: EQUIVALENCE OF A BOND SPREAD AND DEFAULT SWAP PREMIUM......Page 64
Chapter 2: Credit Default Swaptions......Page 68
PAYER OPTIONS......Page 69
RECEIVER OPTIONS......Page 71
CREDIT SWAPTION PAYOFFS IN DEFAULT......Page 75
CONCLUSION......Page 76
BASICS OF CMCDSs......Page 86
PARTICIPATION RATE......Page 87
BEHAVIOR OF CMCDSs......Page 88
CAPPED CMCDS......Page 95
HEDGING CMCDSs......Page 97
TRADING STRATEGIES WITH CMCDSs......Page 98
CONCLUSION......Page 101
APPENDIX: COMPUTING THE PARTICIPATION RATE......Page 105
INTRODUCTION......Page 108
FAMILY OF CREDIT DERIVATIVES INDEXES......Page 109
STRUCTURE OF THE CDX/ITRAXX INDEX FAMILY......Page 110
BASKET OF CREDIT DEFAULT SWAPS......Page 112
UP-FRONT AND RUNNING PAYMENTS......Page 113
WHAT HAPPENS IN CASE OF A CREDIT EVENT?......Page 115
SETTLEMENT PROCESS AFTER CREDIT EVENT......Page 116
RECENT DEFAULTS IN CDX INDEXES......Page 117
INDEX VERSUS INTRINSICS......Page 119
INVESTMENT STRATEGIES WITH CREDIT DERIVATIVES INDEXES......Page 120
CONCLUSION......Page 122
APPENDIX: DESCRIPTION OF THE ROLL PROCESS......Page 135
OVERVIEW OF CURVE TRADES......Page 140
PUTTING ON A CURVE TRADE......Page 144
CROSS-CURRENCY TRADES......Page 145
BASIS TRADES......Page 147
DEBT-EQUITY TRADES......Page 158
CREDIT INDEXES......Page 163
CREDIT OPTIONS......Page 169
Part II: Portfolio Credit Derivatives......Page 176
OVERVIEW OF SINGLE-TRANCHE CDOS......Page 178
THE CREDIT TRANCHE MARKET......Page 226
SKEW IN DEFAULT CORRELATION......Page 230
TRADING OPPORTUNITIES FOR INVESTORS......Page 243
CONCLUSION AND FUTURE AGENDA......Page 248
Chapter 8: Understanding CDO-Squareds......Page 258
CDOs VERSUS CDO2......Page 259
VALUE OF CDO2s DERIVES BROADLY FROM INNER CDOs......Page 261
CDO2 VERSUS INNER CDO......Page 263
LIKE MEZZANINE, BUT WITH TAILS......Page 264
CDO2 VERSUS MASTER CDO......Page 265
ECONOMIC VALUE VERSUS RATING QUALITY......Page 267
STRUCTURES: GOOD, BAD, AND UGLY......Page 268
HOW MANAGERS CAN ADD VALUE......Page 275
CONCLUSION......Page 278
PRODUCT MECHANICS......Page 282
MANAGED CPPIS......Page 285
APPENDIX: OUR METHODOLOGY......Page 294
Part III: Collateralized Debt Obligations......Page 296
Chapter 10: Collateralized Loan Obligations......Page 298
LEVERAGED LOAN MARKET OVERVIEW......Page 299
PRO RATA LOANS......Page 311
MIDDLE-MARKET LOANS......Page 314
EUROPEAN LEVERAGED LOANS......Page 318
EUROPEAN MEZZANINE BANK LOANS......Page 319
COLLATERALIZED LOAN OBLIGATIONS......Page 322
MIDDLE-MARKET CLO HANDBOOK......Page 332
CONCLUSION......Page 353
APPENDIX A: MIDDLE-MARKET LOAN CHARACTERISTICS......Page 354
APPENDIX B: THE BASIC CLO STRUCTURE15......Page 356
OVERVIEW OF THE STRUCTURED FINANCE MARKET......Page 364
MAJOR CHARACTERISTICS OF STRUCTURED FINANCE SECURITIES......Page 373
CDOs OF STRUCTURED FINANCE SECURITIES......Page 379
CONCLUSION......Page 387
APPENDIX: RATING TRANSITION MATRICES OF COMMON STRUCTURED FINANCE COLLATERAL......Page 398
Chapter 12: CDO Equity......Page 400
CASH FLOW CDO INCOME NOTES......Page 402
RETURN ANALYSIS......Page 406
COLLATERAL MANAGER......Page 413
ASSET CHARACTERISTICS......Page 420
STRUCTURE......Page 423
CONCLUSION......Page 426
CRE CDOS BY THE NUMBERS......Page 432
BUILDING BLOCKS OF A CRE CDO......Page 438
CRE CDO MANAGERS AND SPONSORS......Page 444
CRE CDO INVESTORS: A DIVERSE GROUP......Page 445
KEY EVENTS IN THE CRE CDO MARKET......Page 446
INVESTOR ANALYSIS OF CRE CDOS......Page 451
ADDITIONAL SUGGESTED COLLATERAL ANALYSIS......Page 457
APPENDIX: LIST OF CRE CDOS......Page 461
GLOSSARY......Page 466
TERM SHEET......Page 468
Notes......Page 472
Index......Page 486