Preface | |
About the Authors | |
Introduction | |
The Cash Market | |
The Structured Markets | |
The Synthetic Markets | |
How to Trade the Leveraged Finance Market | |
Default Correlation | |
The Cash Market | |
The High-Yield Bond Market | |
The Reasons Companies Are Classified as High-Yield Issuers | |
Size and Growth of the Cash Market | |
Types of Structures | |
A Look at Ratings | |
Risk and Return for Bonds | |
What's Priced In? | |
How About Recoveries? | |
Summary | |
Leveraged Loans | |
A Tale of Two Loans | |
Introduction to Leveraged Loans | |
An Overview of Loan Terms | |
Loan Recovery Rates | |
Loan Default Rates | |
Summary | |
Structured Market | |
Collateralized Loan Obligations | |
Understanding CLOs | |
Elaborations and Details | |
Summary | |
CLO Returns | |
Default and Recovery Scenarios | |
Distressed Loan Prices, Overflowing Triple-C Buckets, and CLO Returns | |
Summary | |
CLO Portfolio Overlap | |
Collateral Overlap in U.S. CLOs | |
Collateral Vintage vs. Deal Vintage | |
Favorite CLO Credits | |
Single-Name Risk and Tranche Protections | |
Excess Over-Collateralization and Excess Over-Collateralization Delta | |
Senior and Subordinate Excess OC Deltas | |
Equity Tranches and Distressed Tranches | |
Summary | |
Synthetic Markets | |
Credit Default Swaps and the Indices | |
What Are Credit Default Swaps? | |
Who Uses Protection, and for What? | |
Growth of the Market | |
Marking-Market: SDV01 | |
Credit Default Swaps Indices | |
Contrasting the LCDX and CDX Indices | |
Beta: A Study of Movement | |
Summary | |
Index Tranches | |
Basic Mechanics of the Tranche Market | |
Loan Tranches | |
Summary | |
How to Trade the Leveraged Finance Market | |
Recessions and Returns | |
Broad Market Performance | |
Sector Performance | |
Performance by Rating | |
Summary | |
Framework for the Credit Analysis of Corporate Debt | |
Approaches to Credit Analysis | |
Industry Considerations | |
Financial Analysis | |
Quantitative Models | |
Summary | |
Trading the Basis | |
The Basic Basis Package | |
Constructing the Basic Package | |
Moving Away from the Basic Model | |
Adding Positive Convexity | |
Negative Convexity | |
A More Complex Basis Package | |
Hedge Ratios for CLO Hedging | |
Summary | |
How Much Should You Get Paid to Take Risk? | |
Single Name Credit Risk | |
Curve Risk | |
Basis Risk | |
Capital Structure Risk | |
Summary | |
Default Correlation | |
Default Correlation: The Basics | |
Default Correlation Defined | |
Default Probability and Default Correlation | |
Summary | |
Empirical Default Correlations: Problems and Solutions | |
Empirical Results | |
Problems with Historical Default Correlations | |
Proposed Solutions | |
Summary | |
Index | |
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