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Acknowledgments.
About the Authors.
About the Contributors.
Introduction: A Roadmap of the New World of Structured Credit.
How Structured Credit Completes Markets.
Enabling Technology.
Improved Liquidity, Transparency, and Customizability.
Growth of Structured Credit Markets.
Core Uses of Structured Credit.
Who Should Read This Book?
How This Book Is Organized.
PART ONE: Index and Single-Name Products.
CHAPTER 1: A Primer on Credit Default Swaps (Arvind Rajan).
The Market for Credit Default Swaps.
Transaction Terminology and Mechanics.
Prerequisites for Credit Derivatives Transactions.
Some Uses of Default Swaps.
Case Study: Relative Value—Cashing In on the Curve Steepness in Telecoms.
Appendix: Equivalence of a Bond Spread and Default Swap Premium.
CHAPTER 2: Credit Default Swaptions (Arvind Rajan and Terry Benzschawel).
Payer Options.
Receiver Options.
Credit Swaption Payoffs in Default.
Conclusion.
Case Study: Are Tight Spreads Giving You Butterflies?
CHAPTER 3: Constant Maturity Credit Default Swaps (Olivier Renault and Ratul Roy).
Basics of CMCDSs.
Participation Rate.
Behavior of CMCDSs.
Capped CMCDS.
Hedging CMCDSs.
Trading Strategies with CMCDSs.
Conclusion.
Case Study: Taking Curve Views with CMCDSs.
Appendix: Computing the Participation Rate.
CHAPTER 4: Credit Derivatives Indexes (Jure Skarabot and Gaurav Bansal).
Introduction.
Family of Credit Derivatives Indexes.
Structure of the CDX/iTraxx Index Family.
Administration of Indexes.
Basket of Credit Default Swaps.
Up-Front and Running Payments.
What Happens in Case of a Credit Event?
Settlement Process after Credit Event.
Recent Defaults in CDX Indexes.
Index versus Intrinsics.
Investment Strategies with Credit Derivatives Indexes.
Conclusion.
Case Study: DJ CDX HY and DJ CDX EM—Conversion of Price Level into a Spread Level.
Case Study: Using iTraxx to Replicate Bond Portfolios.
Appendix: Description of the Roll Process.
CHAPTER 5: The Added Dimensions of Credit—A Guide to Relative Value Trading (Matt King and Michael Sandigursky).
Overview of Curve Trades.
Putting on a Curve Trade.
Cross-Currency Trades.
Basis Trades.
Debt-Equity Trades.
iTraxx Credit Indexes.
Credit Options.
PART TWO: Portfolio Credit Derivatives.
CHAPTER 6: Single-Tranche CDOs (Jure Skarabot, Ratul Roy, and Ji-Hoon Ryu).
Overview of Single-Tranche CDOs.
Case Study: Dispersion Trades and Tranches.
Case Study: Attractions of Hedged Mezzanines.
CHAPTER 7: Trading Credit Tranches: Taking Default Correlation out of the Black Box (Ratul Roy).
The Credit Tranche Market.
Skew in Default Correlation.
Trading Opportunities for Investors.
Conclusion and Future Agenda.
Case Study: Curve Trades in Tranche Markets.
CHAPTER 8: Understanding CDO-Squareds (Ratul Roy and Matt King).
CDOs versus CDO2.
Value of CDO2s Derives Broadly from Inner CDOs.
CDO2 versus Inner CDO.
Like Mezzanine, but with Tails.
CDO2 versus Master CDO.
Economic Value versus Rating Quality.
Uses of CDO2: Long, Short, and Correlation!
Structures: Good, Bad, and Ugly.
How Managers Can Add Value.
Conclusion.
Case Study: Term Sheet.
CHAPTER 9: CPPI: Leveraging and Deleveraging Credit (Olivier Renault).
Product Mechanics.
Managed CPPIs.
Case Study: Performance Comparison of Strategies.
Appendix: Our Methodology.
PART THREE: Collateralized Debt Obligations.
CHAPTER 10: Collateralized Loan Obligations (Glen McDermott, William E. Deitrick, Alexei Kroujiline, and Robert Mandery).
Leveraged Loan Market Overview.
Pro Rata Loans.
Middle-Market Loans.
European Leveraged Loans.
European Mezzanine Bank Loans.
Collateralized Loan Obligations.
Conclusion.
Middle-Market CLO Handbook.
Conclusion.
Appendix A: Middle-Market Loan Characteristics.
Appendix B: The Basic CLO Structure.
Case Study: CDO Combination Securities—Tailoring Risk/Return Profiles.
CHAPTER 11: ABS CDOs (Ratul Roy and Glen McDermott).
Overview of the Structured Finance Market.
Major Characteristics of Structured Finance Securities.
CDOs of Structured Finance Securities.
Conclusion.
Case Study: Relative Value in High-Grade Structured Finance CDOs.
Case Study: Untangling Mezzanine and High-Grade Structured Finance CDOs.
Appendix: Rating Transition Matrices of Common Structured Finance Collateral.
CHAPTER 12: CDO Equity (Glen McDermott and Alexei Kroujiline).
Cash Flow CDO Income Notes.
Return Analysis.
Collateral Manager.
Asset Characteristics.
Structure.
Conclusion.
Case Study: Diversifying Credit Risk Using a CDO Equity Fund.
CHAPTER 13: Commercial Real Estate CDOs (Darrell Wheeler and Ratul Roy).
CRE CDOs by the Numbers.
Building Blocks of a CRE CDO.
CRE CDO Managers and Sponsors.
CRE CDO Investors: A Diverse Group.
Key Events in the CRE CDO Market.
Investor Analysis of CRE CDOs.
Additional Suggested Collateral Analysis.
Appendix: List of CRE CDOs.
Glossary.
Term Sheet.
Notes.
Index.
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Debbie Denune
reviewed Structured Credit Handbook on January 29, 2013
Structured Credit Handbook
Scurlock starts at the beginning. Apparently the guy who invented the first plastic crackpipe (aka credit card) was like, a total genius who wanted to make the world a better place by inventing a new currency, i.e. credit. This would therefore make us more efficient human beings by simplifying transactions (and racking up fees and interest in the process).
He then visits a real estate agent in Vegas who sells 20,000 sq. foot mansions to people who can barely afford them, but are able to obtain precarious loans thereby allowing them to "buy" (they will never have much equity since they CAN'T AFFORD THE HOUSE) their obscenely overpriced and overspaced houses. In other words, credit has disconnected the link between income and buying power. Which is bad. Very bad. And if you don't think it's bad enough, he visits a couple of sad Southern moms who have lost their kids to suicide after being preyed on by credit card solicitors handing them T-shirts to fill out an app, and subsequently racking up 30-40 grand in debt, dropping out, and working in the food service industry. Both National Merit Scholars, BTW.
Over the duration of the book, Scurlock visits many other people who have equally Paxil-desire-inducing stories. Apparently Fergie, Dutchess of York, almost went bankrupt after she charged millions (wedding, lifestyle) to her credit line from the central bank. More suicides. Sad stories of widows saddled with their husbands' shady debts.
The author touches on the disaster that is the Bankruptcy "Reform" Act, bankrolled by banking lobbyists who literally wrote the bill and padded the Republican Party's Senators to pass it. He laments that making bankruptcy inaccessible does not stop people from going broke or being unable to pay their bills.
In the end, Scurlock offers no clear solutions. Which is disappointing. Although he does meet with Elizabeth Warren, a Harvard Law School professor and an expert on consumer debt. She has testified in Congress many times on behalf of American consumers, to no avail. (After all, Scurlock mentions, there is no PAC for Americans in Debt. What would such a constituency be called? Debtor Dads?**) So the end of the book is depressing. It's supposed to be. The final anecdote is one of an illegal immigrant, who worked hard to legalize herself and educate her children (one went to MIT). Her children end up falling into the quintessentially American trap of falling into debt immediately after graduation, saddling their parents with multiple car loans, and extravagance beyond reach. Clearly, debt is toxic and contagious. Appealing. Denying oneself a 50k Lex after working hard in college is verboten.
If credit is available, we Americans will buy something with it. And eventually we'll all go bankrupt as a nation.
**James Carville, I thought of that one myself. All rights reserved.
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Add Structured Credit Handbook, The Structured Credit Handbook is an outstanding achievement. It provides and excellent and well-written tutorial on all aspects of structured credit markets and includes many interesting examples and applications. The book brings a wealth of inst, Structured Credit Handbook to your collection on WonderClub |
