{"product_id":"the-structured-credit-handbook-isbn-9780471747499","title":"The Structured Credit Handbook","description":"\u003ci\u003eThe Structured Credit Handbook\u003c\/i\u003e is a comprehensive introduction to all types of credit-linked financial instruments. This book provides state-of-the-art primers on single tranche collateralized debt obligations (CDOs), collateralized loan obligations (CLOs), credit derivatives (such as credit default swaps and swaptions), and iBoxx indexes. Filled with in-depth insight and expert advice, The Structured Credit Handbook covers all aspects of the synthetic arbitrage CDO market, including new instruments such as CDO2. Readers will also gain a firm understanding of the investment rationale, risks, and rewards associated with CDO investments through this valuable resource.  \u003cp\u003eThe exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit, creating an $18 trillion market almost overnight and resulting in innumerable investment and career opportunities globally. \u003ci\u003eThe Structured Credit Handbook\u003c\/i\u003e provides the reader with a comprehensive and clear roadmap to today's new credit landscape. The full spectrum of structured credit products, from single-name CDS to CDOs, is explained in a simple, clear fashion that is free from the financial jargon and mathematical complexity which characterize many other derivative texts. The handbook begins with an in-depth explanation of the building blocks of the structured credit markets, single-name default swaps and indexes, and it culminates with complex products such as credit options, synthetic tranches, CDOs based on bank loans and asset-backed securities, and CDO-squareds.\u003c\/p\u003e \u003cp\u003eWritten by experienced practitioners who have participated in this market since its infancy, each of the thirteen chapters introduces and analyzes a new product and explains its practical applications. A rich set of real-life case studies illustrate the application of each product in a concrete market setting. The book may be used in a semester-long course on structured credit as part of a business or finance curriculum. Whether you are a market professional, a university student or faculty member, or simply a financially savvy layperson, look no further for an up-to-date and thorough introduction to this rapidly growing and exciting field.\u003c\/p\u003e \u003cp\u003eDr. Arvind Rajan, Managing Director, Citigroup Global Markets, is engaged in proprietary trading of Structured Credit products, and until recently, was global head of Structured Credit Research and Strategy at Citigroup. Glen McDermott (New York, NY) is Director of Fixed Income Sales and the former head of CDO Research at Citigroup Global Markets Inc. Ratul Roy is head of CDO Strategy for Citigroup Global Markets and has spent the prior nine years in structuring or analyzing CDOs and other structured credit products.\u003c\/p\u003e \u003cp\u003eAcknowledgments xix\u003c\/p\u003e \u003cp\u003eAbout the Authors xxi\u003c\/p\u003e \u003cp\u003eAbout the Contributors xxiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIntroduction: A Roadmap of the New World of Structured Credit 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eHow Structured Credit Completes Markets 2\u003c\/p\u003e \u003cp\u003eEnabling Technology 3\u003c\/p\u003e \u003cp\u003eImproved Liquidity, Transparency, and Customizability 3\u003c\/p\u003e \u003cp\u003eGrowth of Structured Credit Markets 4\u003c\/p\u003e \u003cp\u003eAsset Classes 4\u003c\/p\u003e \u003cp\u003eProducts 4\u003c\/p\u003e \u003cp\u003eParticipants 7\u003c\/p\u003e \u003cp\u003eCore Uses of Structured Credit 8\u003c\/p\u003e \u003cp\u003eNonrecourse Leverage 8\u003c\/p\u003e \u003cp\u003eDiversification 8\u003c\/p\u003e \u003cp\u003eCustomization of Risk Profiles 9\u003c\/p\u003e \u003cp\u003eSeparating Legal from Beneficial Ownership 9\u003c\/p\u003e \u003cp\u003eSeparating Funding from Risk Transfer 9\u003c\/p\u003e \u003cp\u003eIsolating and Hedging Risk 10\u003c\/p\u003e \u003cp\u003eRepresentative Examples of Structured Credit Solutions 10\u003c\/p\u003e \u003cp\u003eWho Should Read This Book? 11\u003c\/p\u003e \u003cp\u003eHow This Book Is Organized 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE Index and Single-Name Products\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 A Primer on Credit Default Swaps 17 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eArvind Rajan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eThe Market for Credit Default Swaps 17\u003c\/p\u003e \u003cp\u003eTransaction Terminology and Mechanics 22\u003c\/p\u003e \u003cp\u003ePrerequisites for Credit Derivatives Transactions 22\u003c\/p\u003e \u003cp\u003eWhat Happens in Case of a Credit Event? 23\u003c\/p\u003e \u003cp\u003eUnwinding Default Swap Transactions 25\u003c\/p\u003e \u003cp\u003eThe DV01 of a Credit Default Swap 25\u003c\/p\u003e \u003cp\u003eThe Default-Cash Basis 26\u003c\/p\u003e \u003cp\u003eSome Uses of Default Swaps 26\u003c\/p\u003e \u003cp\u003eBuying a Note versus Selling Default Protection 26\u003c\/p\u003e \u003cp\u003eFreeing Up or Using Bank Credit Lines 27\u003c\/p\u003e \u003cp\u003eFilling a Maturity Gap 28\u003c\/p\u003e \u003cp\u003eExpressing Curve or Forward-Rate Views 28\u003c\/p\u003e \u003cp\u003eBarbell-Bullet Trade 29\u003c\/p\u003e \u003cp\u003eTaking Advantage of Tight Repo Levels without Financing 29\u003c\/p\u003e \u003cp\u003eCase Study: Relative Value—Cashing In on the Curve Steepness in Telecoms 30\u003c\/p\u003e \u003cp\u003eHow to Blend CDs and Cash in Long-Maturity-Curve Trades 30\u003c\/p\u003e \u003cp\u003eImplementing Credit Curve Flatteners—Two Basic Approaches 33\u003c\/p\u003e \u003cp\u003eAppendix: Equivalence of a Bond Spread and Default Swap\u003c\/p\u003e \u003cp\u003ePremium 35\u003c\/p\u003e \u003cp\u003eSpecialness of the Underlying 36\u003c\/p\u003e \u003cp\u003eEffect of Accrued Default Swap Premium 36\u003c\/p\u003e \u003cp\u003eAccrued Interest on the Underlying Risky Security 37\u003c\/p\u003e \u003cp\u003eAccrued Interest on the Underlying Risk-Free\u003c\/p\u003e \u003cp\u003eSecurity 37\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Credit Default Swaptions 39 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eArvind Rajan and Terry Benzschawel\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003ePayer Options 40\u003c\/p\u003e \u003cp\u003eExample—When to Buy a Payer 41\u003c\/p\u003e \u003cp\u003eExample—When to Sell a Payer 42\u003c\/p\u003e \u003cp\u003eReceiver Options 42\u003c\/p\u003e \u003cp\u003eExample—When to Buy a Receiver 43\u003c\/p\u003e \u003cp\u003eEffect of DV01 on Credit Swaption Payoffs 43\u003c\/p\u003e \u003cp\u003eExample—When to Sell a Receiver 44\u003c\/p\u003e \u003cp\u003eCredit Swaption Payoffs in Default 46\u003c\/p\u003e \u003cp\u003eCredit Swaption Implied Volatility 47\u003c\/p\u003e \u003cp\u003eConclusion 47\u003c\/p\u003e \u003cp\u003eCase Study: Are Tight Spreads Giving You Butterflies? 49\u003c\/p\u003e \u003cp\u003eIntroduction 49\u003c\/p\u003e \u003cp\u003eFloat Like a Butterfly, Sting Like a Bee 50\u003c\/p\u003e \u003cp\u003eButterfly versus Payer 50\u003c\/p\u003e \u003cp\u003eVariations 54\u003c\/p\u003e \u003cp\u003eDetails of Butterfly Construction 54\u003c\/p\u003e \u003cp\u003eConclusion 54\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Constant Maturity Credit Default Swaps 57 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eOlivier Renault and Ratul Roy\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eBasics of CMCDSs 57\u003c\/p\u003e \u003cp\u003eParticipation Rate 58\u003c\/p\u003e \u003cp\u003eBehavior of CMCDSs 59\u003c\/p\u003e \u003cp\u003eImpact of Spread Level 60\u003c\/p\u003e \u003cp\u003eImpact of Spread Volatility 64\u003c\/p\u003e \u003cp\u003eCapped CMCDS 66\u003c\/p\u003e \u003cp\u003eHedging CMCDSs 68\u003c\/p\u003e \u003cp\u003eTrading Strategies with CMCDSs 69\u003c\/p\u003e \u003cp\u003eSelling CMCDS Protection 69\u003c\/p\u003e \u003cp\u003eBuying CMCDS Protection 70\u003c\/p\u003e \u003cp\u003eCombination Trades and Index CMCDSs 70\u003c\/p\u003e \u003cp\u003eConclusion 72\u003c\/p\u003e \u003cp\u003eCase Study: Taking Curve Views with CMCDSs 72\u003c\/p\u003e \u003cp\u003eFeatures of CMCDSs 73\u003c\/p\u003e \u003cp\u003eTrade Ideas 73\u003c\/p\u003e \u003cp\u003eAppendix: Computing the Participation Rate 76\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Credit Derivatives Indexes 79 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eJure Skarabot and Gaurav Bansal\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 79\u003c\/p\u003e \u003cp\u003eFamily of Credit Derivatives Indexes 80\u003c\/p\u003e \u003cp\u003eStructure of the CDX\/iTraxx Index Family 81\u003c\/p\u003e \u003cp\u003eAdministration of Indexes 83\u003c\/p\u003e \u003cp\u003eBasket of Credit Default Swaps 83\u003c\/p\u003e \u003cp\u003eTrading Example—The Index 84\u003c\/p\u003e \u003cp\u003eUp-Front and Running Payments 84\u003c\/p\u003e \u003cp\u003eTrading Example—Premium Payments 85\u003c\/p\u003e \u003cp\u003eWhat Happens in Case of a Credit Event? 86\u003c\/p\u003e \u003cp\u003eTrading Example—Credit Event 87\u003c\/p\u003e \u003cp\u003eSettlement Process after Credit Event 87\u003c\/p\u003e \u003cp\u003ePhysical Settlement (Indexes and Tranche Products) 88\u003c\/p\u003e \u003cp\u003eCash Settlement (Tranche Product Only) 88\u003c\/p\u003e \u003cp\u003eRecent Defaults in CDX Indexes 88\u003c\/p\u003e \u003cp\u003eIndex versus Intrinsics 90\u003c\/p\u003e \u003cp\u003eInvestment Strategies with Credit Derivatives Indexes 91\u003c\/p\u003e \u003cp\u003eInvestors 92\u003c\/p\u003e \u003cp\u003eIndex-Related Structured Credit Products 92\u003c\/p\u003e \u003cp\u003eIssues and Concerns 93\u003c\/p\u003e \u003cp\u003eConclusion 93\u003c\/p\u003e \u003cp\u003eCase Study: DJ CDX HY and DJ CDX EM—Conversion of Price Level into a Spread Level 94\u003c\/p\u003e \u003cp\u003eCase Study: Using iTraxx to Replicate Bond Portfolios 94\u003c\/p\u003e \u003cp\u003eMotivation 94\u003c\/p\u003e \u003cp\u003eTypical Portfolio Risks 95\u003c\/p\u003e \u003cp\u003eReplicating Interest Rate Risks 96\u003c\/p\u003e \u003cp\u003eUsing iTraxx to Replicate Broad Credit Market Risk 96\u003c\/p\u003e \u003cp\u003eAdjusting for Single-Name Risk through Default Swaps 99\u003c\/p\u003e \u003cp\u003ePerformance 100\u003c\/p\u003e \u003cp\u003eConclusion 104\u003c\/p\u003e \u003cp\u003eAppendix: Description of the Roll Process 106\u003c\/p\u003e \u003cp\u003eRisky PV01 of a CDS Contract 106\u003c\/p\u003e \u003cp\u003eCalculation of Intrinsic Spread of the Index 107\u003c\/p\u003e \u003cp\u003eRisky PV01 of an Index 108\u003c\/p\u003e \u003cp\u003eMark-to-Market Estimation of an Index Position 108\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 The Added Dimensions of Credit—A Guide to Relative Value Trading 111 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eMatt King and Michael Sandigursky\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eOverview of Curve Trades 111\u003c\/p\u003e \u003cp\u003eLearning Curves 112\u003c\/p\u003e \u003cp\u003eDrivers of Curve Steepness 113\u003c\/p\u003e \u003cp\u003ePutting on a Curve Trade 115\u003c\/p\u003e \u003cp\u003eCross-Currency Trades 116\u003c\/p\u003e \u003cp\u003eCross-Currency Opportunities in Bonds 117\u003c\/p\u003e \u003cp\u003eCross-Currency Trades in CDSs 117\u003c\/p\u003e \u003cp\u003eBasis Trades 118\u003c\/p\u003e \u003cp\u003eBack to Basis 118\u003c\/p\u003e \u003cp\u003eDrivers of Basis 122\u003c\/p\u003e \u003cp\u003eWhy CDSs and Bonds Are Two Sides of the Same Coin 122\u003c\/p\u003e \u003cp\u003eTrading the Basis 126\u003c\/p\u003e \u003cp\u003eA New Spread Measure: C-Spread 129\u003c\/p\u003e \u003cp\u003eDebt-Equity Trades 129\u003c\/p\u003e \u003cp\u003eMeet the Models 129\u003c\/p\u003e \u003cp\u003eThe Debt-Equity Cycle 130\u003c\/p\u003e \u003cp\u003eA Practical Hurdle or Two 131\u003c\/p\u003e \u003cp\u003eDebt-Equity Trading in Practice—Arbitrage or Mirage? 132\u003c\/p\u003e \u003cp\u003eDeciding What to Trade 133\u003c\/p\u003e \u003cp\u003eA Recovery Trade 134\u003c\/p\u003e \u003cp\u003eiTraxx Credit Indexes 134\u003c\/p\u003e \u003cp\u003eTruly Global 135\u003c\/p\u003e \u003cp\u003eYou’ve Got to Roll with It 136\u003c\/p\u003e \u003cp\u003eiTraxx Intrinsics 137\u003c\/p\u003e \u003cp\u003eWhat Happens When a Name Defaults? 139\u003c\/p\u003e \u003cp\u003eEquiweighted or Not 139\u003c\/p\u003e \u003cp\u003eSecond-Generation Products: iTraxx Tranches 139\u003c\/p\u003e \u003cp\u003eCredit Options 140\u003c\/p\u003e \u003cp\u003eIt’s a Knockout 140\u003c\/p\u003e \u003cp\u003eEffect of Convexity on Credit Option Payoffs 141\u003c\/p\u003e \u003cp\u003eDelta-Exchange 143\u003c\/p\u003e \u003cp\u003eWhy Sell an Option (Riskier Strategy) Rather Than Buy One? 143\u003c\/p\u003e \u003cp\u003eOption Strategies 144\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO Portfolio Credit Derivatives\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Single-Tranche CDOs 149 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eJure Skarabot, Ratul Roy, and Ji-Hoon Ryu\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eOverview of Single-Tranche CDOs 149\u003c\/p\u003e \u003cp\u003eAdvantages of Single-Tranche CDOs 150\u003c\/p\u003e \u003cp\u003eKey Features of Single-Tranche CDO Transaction 150\u003c\/p\u003e \u003cp\u003eDescription of the Product and Basic Structure 151\u003c\/p\u003e \u003cp\u003eMain Decision Steps for Investors 153\u003c\/p\u003e \u003cp\u003eKey Issues in Modeling and Valuation 155\u003c\/p\u003e \u003cp\u003eSingle-Tranche CDO Risk Measures and Hedging 158\u003c\/p\u003e \u003cp\u003eSubstitution of Credits 164\u003c\/p\u003e \u003cp\u003eSingle-Tranche CDO Market 166\u003c\/p\u003e \u003cp\u003eInvestment Strategies 167\u003c\/p\u003e \u003cp\u003eCase Study: Dispersion Trades and Tranches 180\u003c\/p\u003e \u003cp\u003eTraditional Bull-Bear Trade 180\u003c\/p\u003e \u003cp\u003eNot Just Another Bull-Bear Tranche Trade 181\u003c\/p\u003e \u003cp\u003eWho’s Afraid of Blowups? 181\u003c\/p\u003e \u003cp\u003eBuy Protection on 10-Year 3 to 7 Percent CDX IG Tranche, Sell Protection on 5-Year 10 to 15 Percent CDX IG Tranche 183\u003c\/p\u003e \u003cp\u003eEffect of Blowups in CDX IG on the Dispersion Trade 184\u003c\/p\u003e \u003cp\u003eTrade Sensitivity Analysis 184\u003c\/p\u003e \u003cp\u003eHow to Choose the Most Efficient Tranches 187\u003c\/p\u003e \u003cp\u003eConclusions 190\u003c\/p\u003e \u003cp\u003eCase Study: Attractions of Hedged Mezzanines 190\u003c\/p\u003e \u003cp\u003eMotivation 191\u003c\/p\u003e \u003cp\u003eThe Trade 191\u003c\/p\u003e \u003cp\u003eComparing Delta-Hedged Equity and Mezzanines 192\u003c\/p\u003e \u003cp\u003eTime-Decay Profile 194\u003c\/p\u003e \u003cp\u003eConclusion 195\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Trading Credit Tranches: Taking Default Correlation out of the Black Box 197 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eRatul Roy\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eThe Credit Tranche Market 197\u003c\/p\u003e \u003cp\u003eImportance of Default Correlation in Tranches 199\u003c\/p\u003e \u003cp\u003eProblems with Traditional Correlation Measure 199\u003c\/p\u003e \u003cp\u003eSkew in Default Correlation 201\u003c\/p\u003e \u003cp\u003eFurther Flaws in Tranche Correlation 201\u003c\/p\u003e \u003cp\u003eCorrelation Skew Is Like a Volatility Surface 201\u003c\/p\u003e \u003cp\u003eSkew Is Market’s Risk Preference 204\u003c\/p\u003e \u003cp\u003eInvestor Risk Appetite May Scale Across Markets 207\u003c\/p\u003e \u003cp\u003eGreeks: Managing Correlation and Delta Risk 209\u003c\/p\u003e \u003cp\u003eIn Summary: Why Skew Is a Better Model 213\u003c\/p\u003e \u003cp\u003eTrading Opportunities for Investors 214\u003c\/p\u003e \u003cp\u003eTranche Correlation Can Still Provide Insight 214\u003c\/p\u003e \u003cp\u003ePricing Off-Market Tranches 217\u003c\/p\u003e \u003cp\u003eConclusion and Future Agenda 219\u003c\/p\u003e \u003cp\u003eCase Study: Curve Trades in Tranche Markets 220\u003c\/p\u003e \u003cp\u003eCurve Trades, Tranche Markets, and Technicals 220\u003c\/p\u003e \u003cp\u003eTrade Recommendation 221\u003c\/p\u003e \u003cp\u003eMarket Drivers for the Tranche Curve Trades 221\u003c\/p\u003e \u003cp\u003eBase Correlation Analysis and Market Technicals 223\u003c\/p\u003e \u003cp\u003eTechnicals Driving the Flattening of Tranche Curves 224\u003c\/p\u003e \u003cp\u003eAnalysis of Investment Strategy 225\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Understanding CDO-Squareds 229 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eRatul Roy and Matt King\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCDOs versus CDO\u003csup\u003e2\u003c\/sup\u003e 230\u003c\/p\u003e \u003cp\u003eValue of CDO\u003csup\u003e2\u003c\/sup\u003es Derives Broadly from Inner CDOs 232\u003c\/p\u003e \u003cp\u003eCDO\u003csup\u003e2\u003c\/sup\u003e versus Inner CDO 234\u003c\/p\u003e \u003cp\u003eLike Mezzanine, but with Tails 235\u003c\/p\u003e \u003cp\u003eCDO\u003csup\u003e2\u003c\/sup\u003e versus Master CDO 236\u003c\/p\u003e \u003cp\u003eEconomic Value versus Rating Quality 238\u003c\/p\u003e \u003cp\u003eUses of CDO\u003csup\u003e2\u003c\/sup\u003e: Long, Short, and Correlation! 239\u003c\/p\u003e \u003cp\u003eStructures: Good, Bad, and Ugly 239\u003c\/p\u003e \u003cp\u003eInner CDO Tranche Seniority and Thinness 240\u003c\/p\u003e \u003cp\u003eOverlap of Credits 242\u003c\/p\u003e \u003cp\u003eNonuniformity of Portfolios 243\u003c\/p\u003e \u003cp\u003eFungible and Tradable Subordination 244\u003c\/p\u003e \u003cp\u003eHow Managers Can Add Value 246\u003c\/p\u003e \u003cp\u003eNot Just Credit Selection 246\u003c\/p\u003e \u003cp\u003eManage to the Structure 248\u003c\/p\u003e \u003cp\u003eConclusion 249\u003c\/p\u003e \u003cp\u003eCase Study: Term Sheet 249\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 CPPI: Leveraging and Deleveraging Credit 253 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eOlivier Renault\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eProduct Mechanics 253\u003c\/p\u003e \u003cp\u003eManaged CPPIs 256\u003c\/p\u003e \u003cp\u003eWhen Is CPPI Suitable? 257\u003c\/p\u003e \u003cp\u003eChoice of Trading Strategies 257\u003c\/p\u003e \u003cp\u003eCase Study: Performance Comparison of Strategies 258\u003c\/p\u003e \u003cp\u003eBaseline: Unlevered Strategies 258\u003c\/p\u003e \u003cp\u003eSimulations 258\u003c\/p\u003e \u003cp\u003eResults 259\u003c\/p\u003e \u003cp\u003ePerformance Comparison in CPPI Setup 263\u003c\/p\u003e \u003cp\u003eOther Strategies 264\u003c\/p\u003e \u003cp\u003eAppendix: Our Methodology 265\u003c\/p\u003e \u003cp\u003eOur Estimations and Simulations 265\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART THREE Collateralized Debt Obligations\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Collateralized Loan Obligations 269 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eGlen McDermott, William E. Deitrick, Alexei Kroujiline, and Robert Mandery\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eLeveraged Loan Market Overview 270\u003c\/p\u003e \u003cp\u003eStrong Primary Market Growth 270\u003c\/p\u003e \u003cp\u003eBroadening Investor Base 272\u003c\/p\u003e \u003cp\u003eIncreasing Secondary Market Liquidity 273\u003c\/p\u003e \u003cp\u003eContinuing Challenges to Loan Market Liquidity 275\u003c\/p\u003e \u003cp\u003eKey Loan Characteristics 276\u003c\/p\u003e \u003cp\u003eLoan Structures 281\u003c\/p\u003e \u003cp\u003eRevolving Credit Facilities 281\u003c\/p\u003e \u003cp\u003eAmortizing Term Loans 281\u003c\/p\u003e \u003cp\u003eInstitutional Term Loans 282\u003c\/p\u003e \u003cp\u003ePro Rata Loans 282\u003c\/p\u003e \u003cp\u003eOverview 282\u003c\/p\u003e \u003cp\u003eKey Characteristics 283\u003c\/p\u003e \u003cp\u003eInvestment Opportunities 284\u003c\/p\u003e \u003cp\u003eMiddle-Market Loans 285\u003c\/p\u003e \u003cp\u003eOverview 285\u003c\/p\u003e \u003cp\u003eKey Characteristics 285\u003c\/p\u003e \u003cp\u003eInvestment Opportunities 288\u003c\/p\u003e \u003cp\u003eEuropean Leveraged Loans 289\u003c\/p\u003e \u003cp\u003eOverview 289\u003c\/p\u003e \u003cp\u003eEuropean Mezzanine Bank Loans 290\u003c\/p\u003e \u003cp\u003eKey Characteristics 292\u003c\/p\u003e \u003cp\u003eInvestment Opportunities 292\u003c\/p\u003e \u003cp\u003eCollateralized Loan Obligations 293\u003c\/p\u003e \u003cp\u003eEfficient Access to Loan Market Investment\u003c\/p\u003e \u003cp\u003eOpportunities—Introducing CLOs 293\u003c\/p\u003e \u003cp\u003eBasic CLO Structure 293\u003c\/p\u003e \u003cp\u003eCLO Asset Manager 296\u003c\/p\u003e \u003cp\u003eCLO Market Today 297\u003c\/p\u003e \u003cp\u003eKey Drivers of CLO Outperformance 298\u003c\/p\u003e \u003cp\u003eConclusion 303\u003c\/p\u003e \u003cp\u003eMiddle-Market CLO Handbook 303\u003c\/p\u003e \u003cp\u003eMiddle-Market Size and Definition 304\u003c\/p\u003e \u003cp\u003eGrowing Investor Demand 305\u003c\/p\u003e \u003cp\u003eDominance of Institutional Term-Loan Debt 305\u003c\/p\u003e \u003cp\u003eSecond-Lien Loans Emerge 306\u003c\/p\u003e \u003cp\u003eInvestment Considerations for Middle-Market Investors 307\u003c\/p\u003e \u003cp\u003eLegal Considerations 312\u003c\/p\u003e \u003cp\u003eMiddle-Market CLOs 312\u003c\/p\u003e \u003cp\u003eCLO Investment Considerations 320\u003c\/p\u003e \u003cp\u003eConclusion 324\u003c\/p\u003e \u003cp\u003eAppendix A: Middle-Market Loan Characteristics 325\u003c\/p\u003e \u003cp\u003eFloating-Rate Coupon 325\u003c\/p\u003e \u003cp\u003eMaturity 325\u003c\/p\u003e \u003cp\u003eCallability 326\u003c\/p\u003e \u003cp\u003eCovenants 326\u003c\/p\u003e \u003cp\u003eStructure of a Middle-Market Loan 326\u003c\/p\u003e \u003cp\u003eAppendix B: The Basic CLO Structure 327\u003c\/p\u003e \u003cp\u003eCase Study: CDO Combination Securities—Tailoring Risk\/Return Profiles 329\u003c\/p\u003e \u003cp\u003eIntroduction 329\u003c\/p\u003e \u003cp\u003eEqually Rated CDO Combination Securities Are Not Equal 330\u003c\/p\u003e \u003cp\u003eValue in Baa3-Rated CLO Combination Securities 332\u003c\/p\u003e \u003cp\u003eConclusion 334\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 ABS CDOs 335 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eRatul Roy and Glen McDermott\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eOverview of the Structured Finance Market 335\u003c\/p\u003e \u003cp\u003eBasic Structure 335\u003c\/p\u003e \u003cp\u003eRoles of Multiple Parties in a Securitization 336\u003c\/p\u003e \u003cp\u003eABS Market Fundamentals 336\u003c\/p\u003e \u003cp\u003eMajor Characteristics of Structured Finance Securities 344\u003c\/p\u003e \u003cp\u003eRelative Value 344\u003c\/p\u003e \u003cp\u003eStructural Protection 346\u003c\/p\u003e \u003cp\u003eCollateral Stability 346\u003c\/p\u003e \u003cp\u003eChallenges 348\u003c\/p\u003e \u003cp\u003eCDOs of Structured Finance Securities 350\u003c\/p\u003e \u003cp\u003eInvestor Motivation 350\u003c\/p\u003e \u003cp\u003eA Customized Investment 350\u003c\/p\u003e \u003cp\u003eRelative Value 351\u003c\/p\u003e \u003cp\u003eMajor Considerations in CDO Investing 351\u003c\/p\u003e \u003cp\u003eLeveraging Stability—Performance of SF CDOs 354\u003c\/p\u003e \u003cp\u003eCDOs of SFSs Take Many Forms 354\u003c\/p\u003e \u003cp\u003eConclusion 358\u003c\/p\u003e \u003cp\u003eCase Study: Relative Value in High-Grade Structured Finance CDOs 358\u003c\/p\u003e \u003cp\u003eTransaction Overview 359\u003c\/p\u003e \u003cp\u003eHigh-Grade SF Securities: A Strong Track Record 361\u003c\/p\u003e \u003cp\u003eCash Flow Analysis 363\u003c\/p\u003e \u003cp\u003eConclusion 364\u003c\/p\u003e \u003cp\u003eCase Study: Untangling Mezzanine and High-Grade Structured Finance CDOs 364\u003c\/p\u003e \u003cp\u003eCollateral Composition 365\u003c\/p\u003e \u003cp\u003eCollateral Risk 366\u003c\/p\u003e \u003cp\u003eExpected Loss 366\u003c\/p\u003e \u003cp\u003eCorrelation Views 368\u003c\/p\u003e \u003cp\u003eOther Differences 368\u003c\/p\u003e \u003cp\u003eConclusion 369\u003c\/p\u003e \u003cp\u003eAppendix: Rating Transition Matrices of Common\u003c\/p\u003e \u003cp\u003eStructured Finance Collateral 369\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 CDO Equity 371 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eGlen McDermott and Alexei Kroujiline\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCash Flow CDO Income Notes 373\u003c\/p\u003e \u003cp\u003eReturn Analysis 377\u003c\/p\u003e \u003cp\u003eDefaults 378\u003c\/p\u003e \u003cp\u003eRecoveries 380\u003c\/p\u003e \u003cp\u003eInterest Rate Risk 382\u003c\/p\u003e \u003cp\u003eCollateral Manager 384\u003c\/p\u003e \u003cp\u003eCollateral Manager Review 384\u003c\/p\u003e \u003cp\u003eAsset Selection 385\u003c\/p\u003e \u003cp\u003eCDO Investment Guidelines 386\u003c\/p\u003e \u003cp\u003eCDO Manager Types 388\u003c\/p\u003e \u003cp\u003eInvestment and Trading Philosophy 389\u003c\/p\u003e \u003cp\u003eAsset Characteristics 391\u003c\/p\u003e \u003cp\u003eCollateral Mix 391\u003c\/p\u003e \u003cp\u003eTime Stamp or Cohort 392\u003c\/p\u003e \u003cp\u003eDiversification 393\u003c\/p\u003e \u003cp\u003eStructure 394\u003c\/p\u003e \u003cp\u003eTrigger Levels 394\u003c\/p\u003e \u003cp\u003eSenior Costs, Swaps, and Caps 395\u003c\/p\u003e \u003cp\u003eManager Fees and Equity Ownership 396\u003c\/p\u003e \u003cp\u003eCredit-Improved Sales—Treatment of Premium 396\u003c\/p\u003e \u003cp\u003eConclusion 397\u003c\/p\u003e \u003cp\u003eCase Study: Diversifying Credit Risk Using a CDO Equity Fund 397\u003c\/p\u003e \u003cp\u003eIntroduction 397\u003c\/p\u003e \u003cp\u003eModeling Assumptions and Analytical Techniques 398\u003c\/p\u003e \u003cp\u003eResults 399\u003c\/p\u003e \u003cp\u003eConclusion 400\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 13 Commercial Real Estate CDOs 403 \u003cbr\u003e\u003c\/b\u003e\u003ci\u003eDarrell Wheeler and Ratul Roy\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eCRE CDOs by the Numbers 403\u003c\/p\u003e \u003cp\u003eSlow Start, but Growth Now Strong 403\u003c\/p\u003e \u003cp\u003eRelative Value: Spread Pickup Often Gives CRE CDOs an Edge 405\u003c\/p\u003e \u003cp\u003eCRE CDO Performance Has Been Strong 406\u003c\/p\u003e \u003cp\u003eCollateral Mix: Diverse and Evolving 407\u003c\/p\u003e \u003cp\u003eBuilding Blocks of a CRE CDO 409\u003c\/p\u003e \u003cp\u003eB-Notes and Rake Bonds 411\u003c\/p\u003e \u003cp\u003eSecond Lien Loans 412\u003c\/p\u003e \u003cp\u003eMezzanine Loans 412\u003c\/p\u003e \u003cp\u003ePreferred Equity 413\u003c\/p\u003e \u003cp\u003eWhole Loans 413\u003c\/p\u003e \u003cp\u003eCMBS First Loss Positions or B-Pieces 413\u003c\/p\u003e \u003cp\u003eCRE CDO Managers and Sponsors 415\u003c\/p\u003e \u003cp\u003eWho’s Who 415\u003c\/p\u003e \u003cp\u003eWhat to Look for in a CRE CDO Manager 415\u003c\/p\u003e \u003cp\u003eCRE CDO Investors: A Diverse Group 416\u003c\/p\u003e \u003cp\u003eKey Events in the CRE CDO Market 417\u003c\/p\u003e \u003cp\u003eA Market Is Born 417\u003c\/p\u003e \u003cp\u003eThe Rise of CRE CDOs as a Source of Financing 418\u003c\/p\u003e \u003cp\u003eThe Push for Flexibility 420\u003c\/p\u003e \u003cp\u003eThe Current State of the CRE CDO Market 421\u003c\/p\u003e \u003cp\u003eInvestor Analysis of CRE CDOs 422\u003c\/p\u003e \u003cp\u003eCRE CDO Analysis for Traditional\u003c\/p\u003e \u003cp\u003eCDO Investors 423\u003c\/p\u003e \u003cp\u003eCRE CDO Analysis for Traditional\u003c\/p\u003e \u003cp\u003eReal Estate Investors 423\u003c\/p\u003e \u003cp\u003eAdditional Suggested Collateral Analysis 428\u003c\/p\u003e \u003cp\u003eAnalysis of CMBS Certificates 428\u003c\/p\u003e \u003cp\u003eAnalysis of Uncertificated Securities 429\u003c\/p\u003e \u003cp\u003eAppendix: List of CRE CDOs 432\u003c\/p\u003e \u003cp\u003eGlossary 437\u003c\/p\u003e \u003cp\u003eTerm Sheet 439\u003c\/p\u003e \u003cp\u003eNotes 443\u003c\/p\u003e \u003cp\u003eIndex 457\u003c\/p\u003e   \u003cp\u003e\u003cb\u003eARVIND RAJAN, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e is a Managing Director at Citigroup, where he engages in proprietary trading of credit, structured credit, and emerging markets. He was previously co-head of U.S. Fixed Income Strategy (2004–2005) and global head of Structured Credit Research and Strategy (2003–2005). Rajan was twice ranked first and once second in the All-America Fixed Income Research poll by \u003ci\u003eInstitutional Investor\u003c\/i\u003e magazine. He has more than two decades of experience in modeling and quantitative analysis. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eGLEN M\u003csmall\u003eC\u003c\/small\u003eDERMOTT, JD,\u003c\/b\u003e is a Director in the Structured Credit Sales Group at Citigroup Global Markets. Previously, McDermott was a highly ranked research analyst and global head of CDO Research and Strategy at Citigroup for five years (2000–2005). Prior to joining Citigroup, McDermott worked for six years (1994–2000) at Standard \u0026amp; Poor's Ratings Services where he analyzed many structured finance asset classes. McDermott's work has been published in numerous scholarly journals, and he is also a contributor to the \u003ci\u003eSalomon Smith Barney Guide to Mortgage-Backed and Asset-Backed Securities,\u003c\/i\u003e also published by Wiley. \u003c\/p\u003e\u003cp\u003e\u003cb\u003eRATUL ROY\u003c\/b\u003e is Head of CDO Strategy for Citigroup Global Markets. Before taking on his current role in 2005, Roy was head of European CDO Strategy—a position he occupied in 2003 after spending the prior seven years in structuring or analyzing CDOs and other structured credit products. This included positions in UBS Capital Markets (1995–1997), Chase Manhattan Bank (1997–1999), Standard \u0026amp; Poor's (1999–2000), and finally, as a cash CDO structurer in Citigroup's London office (2000–2003). Roy holds a PhD in chemical engineering from Cambridge University, England.    \u003c\/p\u003e\u003cp\u003eThe exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit—creating a trillion dollar market almost overnight, as well as innumerable investment and career opportunities. Authors Arvind Rajan, Glen McDermott, and Ratul Roy are seasoned financial professionals who have extensive experience in this field, and with \u003ci\u003eThe Structured Credit Handbook,\u003c\/i\u003e they look to share their in-depth insights with you. \u003c\/p\u003e\u003cp\u003eThis practical guide is organized into three comprehensive sections—reflecting the natural divisions within the credit marketplace. And each section is comprised of informative chapters devoted to specific products. \t \u003c\/p\u003e\u003cul\u003e \u003cli\u003e\n\u003cb\u003ePart One\u003c\/b\u003e describes and analyzes single name credit derivatives (such as credit default swaps and default swaptions) as well as indexes (such as default swap indexes)\u003c\/li\u003e \u003cli\u003e\n\u003cb\u003ePart Two\u003c\/b\u003e covers portfolio credit derivatives, with chapters devoted to single-tranche CDOs, correlation market technicals, CDO-squareds, and credit CPPI\u003c\/li\u003e \u003cli\u003e\n\u003cb\u003ePart Three\u003c\/b\u003e is devoted to cash CDOs, and includes chapters on collateralized loan obligations (CLOs), asset-backed CDOs, CDO equity, and commercial real estate CDOs\u003c\/li\u003e \u003c\/ul\u003e \t \u003cp\u003eIllustrated with examples throughout, and written in a straightforward and accessible style, \u003ci\u003eThe Structured Credit Handbook\u003c\/i\u003e explains the structure, cash flow characteristics, market application, and investment considerations associated with each product. And with a rich set of case studies highlighting each product, you'll discover how to effectively implement each one in today's dynamic marketplace—as an investment, hedging vehicle, risk transfer tool, and much more.   \u003ci\u003e“The Structured Credit Handbook\u003c\/i\u003e 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 institutional knowledge together with first-class economic analysis by some of the leading practitioners in the field. Rejan, McDermott, and Roy have written the definitive reference that students, researchers, investors, and market professionals have been waiting for.”—Francis Longstaff, Allstate Professor of Insurance and Finance, UCLA Anderson School of Management  \u003c\/p\u003e\u003cp\u003e\u003ci\u003e“The Structured Credit Handbook\u003c\/i\u003e is a unique blend of products and trading strategies. This is an authoritative and colorful treatment designed for investors and sales-and-trading professionals covering structured credit products. All of the key products are covered.”—Darrell Duffie, Dean Witter Distinguished Professor of Finance, Stanford University \u003c\/p\u003e \u003cp\u003e“Finally, a clearly written and comprehensive road map of the world of structured credit! \u003ci\u003eThe Structured Credit Handbook\u003c\/i\u003e incisively analyzes the entire spectrum of structured credit products, from single name CDS to CDOs. Well-suited for students and practitioners alike, this book provides a unique, practical framework for understanding this complex and rapidly changing field. This book is destined to become a fixture in trading rooms, investment departments, and classrooms around the world.”—Ian Lui, Chief Investment Officer and Christopher Ni, Deputy Chief Investment Officer, Shin Kong Life Insurance Co. Ltd.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990348579045,"sku":"NP9780471747499","price":95.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471747499.jpg?v=1761787459","url":"https:\/\/k12savings.com\/es\/products\/the-structured-credit-handbook-isbn-9780471747499","provider":"K12savings","version":"1.0","type":"link"}