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9780470528815

Leveraged Finance : Concepts, Methods, and Trading of High-Yield Bonds, Loans, and Derivatives

by ; ;
  • ISBN13:

    9780470528815

  • ISBN10:

    0470528818

  • Format: eBook
  • Copyright: 2009-06-01
  • Publisher: Wiley
  • Purchase Benefits
List Price: $80.00
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Summary

A timely guide to today's high-yield corporate debt markets Leveraged Finance is a comprehensive guide to the instruments and markets that finance much of corporate America. Presented in five sections, this experienced author team covers topics ranging from the basics of bonds and loans to more advanced topics such as valuing CDs, default correlations among CLOs, and hedging strategies across corporate capital structures. Additional topics covered include basic corporate credit, relative value analysis, and various trading strategies used by investors, such as hedging credit risk with the equity derivatives of a different company. Stephen Antczak, Douglas Lucas, and Frank Fabozzi present readers with real-market examples of how investors can identify investment opportunities and how to express their views on the market or specific companies through trading strategies, and examine various underlying assets including loans, corporate bonds, and much more. They also offer readers an overview of synthetic and structured products such as CDSs, LCDSs, CDXs, LCDXs, and CLOs. Leveraged Finance has the information you need to succeed in this evolving financial arena.

Table of Contents

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
Table of Contents provided by Publisher. All Rights Reserved.

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