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Structured Credit Products: Credit Derivatives and Synthetic Securitisation, 2nd Edition

Name: Structured Credit Products: Credit Derivatives and Synthetic Securitisation, 2nd Edition
Author: Moorad Choudhry
ISBN: 9780470824139

by Moorad Choudhry

June 2010

Intermediate to advanced

300 pages

15h 45m

English

Wiley

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Cover
Contents
Title
Copyright
Dedication
Foreword
Preface
Acknowledgements
About the Author
Prologue: The 2007–2008 Credit and Liquidity Crunch: Impact on Structured Credit Markets

Part I: Credit Risk and Credit Derivative Instruments
Chapter 1: Credit Risk
Corporate DefaultCredit RiskCredit RatingsFormal Credit RatingsRatings Changes Over TimeValue-At-Risk (VAR)Explaining Value-At-RiskVariance–Covariance Value-At-RiskCredit Value-At-RiskCreditmetrics™Reference
Chapter 2: Credit Derivatives I: Unfunded Instruments
Market VolumesCredit Risk and Credit DerivativesCredit Derivative InstrumentsCredit Default SwapsTechnical Features of CDSBasket Default SwapsQuanto Default SwapsStructured Finance Security CDSAsset SwapsTotal Return SwapsCredit Options and Credit Spread OptionsThe CDS Itraxx IndexBloomberg ScreensSettlementIssues With The Settlement MechanismRisks In Credit Default SwapsImpact of The 2007–08 Credit Crunch: New CDS Contracts and The CDS ‘Big Bang’Quick Cds CalculatorCDS Index ScreensAppendix 2.1 ISDA 2003 Credit Derivative DefinitionsAppendix 2.2 CDS Term SheetAppendix 2.3 Total Return Swap and RepoAppendix 2.4 Basel Regulatory Capital Treatment and Credit DerivativesAppendix 2.5 Market-Implied Timing of Default From CDS PricesReference
Chapter 3: Credit Derivatives II: Funded Instruments
Credit-Linked NotesClns and Structured ProductsPrincipal Protected StructuresFunded Total Return SwapThe Portfolio CLNStatic Portfolio CLN
Chapter 4: Credit Analysis and Relative Value Measurement
Credit AnalysisFinancial AnalysisIndustry-Specific AnalysisRelative Value Analysis: Bond SpreadsReference
Chapter 5: Credit Derivatives III: Applications
Managing Credit RiskBasic Use of Credit Derivatives By BanksApplications of TRSSThe TRS as Off-Balance Sheet Funding ToolApplications For Portfolio ManagersCredit Derivatives and Relative Value TradingBond Valuation From CDS Prices: Bloomberg Screen VCDS
Chapter 6: Credit Derivatives Pricing and Valuation
IntroductionPricing ModelsCredit Spread ModellingCredit Spread ProductsTotal Return Swap (TRS) PricingCredit CurvesAppendix 6.1 Default ProbabilitiesReference
Chapter 7: Credit Default Swap Pricing
Theoretical Pricing ApproachMarket Pricing ApproachRisk-Neutral Default ProbabilityCredit Derivatives Pricing in Volatile Environments: ‘Upfront + Constant Spread’The Basis of Default ProbabilitiesDescription of Bloomberg Screen CDSWAppendix 7.1 The Marketa Pproach To CDS PricingReferences
Chapter 8: The Asset Swap—Credit Default Swap Basis I: The Asset Swap Pricing of Credit Default Swaps
IntroductionAsset Swap PricingIllustration Using BloombergReference
Chapter 9: The Credit Default Swap Basis II: Analysing the Relationship Between Cash and Synthetic Markets
The Asset Swap PriceThe CDS BasisFactors Driving The BasisThe Dynamics of The CDS BasisAnalysing The Spread MeasureAnalysing The BasisAdjusted Basis CalculationThe Itraxx Index BasisMarket Picture Post-Credit CrunchConclusionReference
Chapter 10: Trading the Credit Default Swap Basis: Illustrating Positive and Negative Basis Arbitrage Trades
Relative Value and Trading The BasisFactors Influencing The Basis PackageTrade ExamplesA Credit Default Swap Relative Value Trade in Eu Aaa-Rated Sovereign NamesConclusionReferences
Chapter 11: Syndicated Loans, Loan-Only Credit Default Swaps and CDS Legal Documentation
IntroductionLeveraged Loans and High-Yield Bonds ComparedStandard Documentation For Single-Name LCDS and CDSReferences
Part II: Structured Credit Products and Synthetic Securitisation
Chapter 12: An Introduction to Securitisation
The Concept of SecuritisationReasons For Undertaking SecuritisationThe Process of SecuritisationIllustrating The Process of SecuritisationABS Structures: A Primer on Performance Metrics and Test MeasuresSecuritisation Post-Credit CrunchSecuritisation: Impact of The 2007–2008 Financial CrisisConclusionReference
Chapter 13: Synthetic Collateralised Debt Obligations
Securitisation and The Collateralised Debt ObligationThe Synthetic CDOAssessing The Genesis of The Synthetic CDOSynthetic CDO Deal StructuresThe Managed Synthetic CDOThe Single-Tranche Synthetic CDOHypothetical Pricing ExampleCase StudiesLiquidity, Defaults and Credit Rating: Interrelated Beasts During The Market Crisis of 2007Appendix 13.1 Hypothetical Deal Term SheetAppendix 13.2 The Moody’s Diversity ScoreReferences
Chapter 14: CDO Valuation and Cash Flow Waterfall Models
OverviewValuation ApproachesValuation Using Default Probability and CorrelationPricing Methodology For Synthetic CDO NotesParameter Sensitivities of Synthetic CDO TranchesCDO Note Pricing: SummaryHypothetical Case Study: Cash Flow ApproachCash Flow Waterfall Model: Static Synthetic CDO
Chapter 15: Synthetic Conduits and Credit Derivative Funding Structures
Commercial Paper ConduitsAsset-Backed Commercial PaperEvolution of ABCP ProgrammesABC Fund LimitedSynthetic Repackaging StructuresExample Deal StructureSynthetic Funding StructuresCDS-Linked TRS Term Funding Structure
Part III: CD-R
Chapter 16: Files on the Accompanying CD-R
CDO-Note: Synthetic CDO Note Pricing ModelCDS Pricing SpreadsheetDiversity Score SpreadsheetsFitch Rating Agency ReportsStatic Synthetic CDO Cash Flow Waterfall ModelTeaching Aids: Powerpoint Slides
Contributing authors
Afterword: Econometrics, finance and football . . .
Glossary
Index

Content preview from Structured Credit Products: Credit Derivatives and Synthetic Securitisation, 2nd Edition

PART III

CD-R

The final part of the book introduces and describes the files on the accompanying CD-R. These files cover three sets of data: teaching aids of Microsoft PowerPoint slides (in PDF format) that cover courses in credit derivatives and synthetic structured credit products; examples of ratings review reports of CDO transactions by Fitch and reproduced here with the kind permission of Fitch Ratings; and various Microsoft Excel files on CDS and CDO pricing and CDO diversity models. The next chapter describes the contents of the CD-R in detail.

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Credit Derivatives and Structured Credit: A Guide for Investors

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Structured Credit Products: Credit Derivatives and Synthetic Securitisation, 2nd Edition

by Moorad Choudhry

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.