THE CREDIT DERIVATIVES INSIGHTS SERIES




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The Single Name Instruments&Strategies book, now in its third printing, contains
select previously published research reports on credit investment strategies, credit
derivatives instruments and valuation techniques from our Credit Derivatives Insights
publications. It also contains “primers” on credit derivatives concepts and a glossary
with brief definitions for nearly 150 terms used in the market. We have organized the
book into six broad sections: instruments and primers, valuation and investment
frameworks, basis ideas, credit curves, options and embedded options, and credit
market themes. There are 61 chapters in all. THE THIRD EDITION – WHAT’S NEW? This third edition contains 15 new and numerous revised chapters focused on a variety of
topics. Given recent innovation, we have included reports on range accrual notes, fixed
recovery indices, index arbitrage and CDS referencing secured loans, ABS and cashflow
CDOs. The active corporate restructuring environment motivated reports on CDS
succession and deliverability issues. With sharp changes in cash vs. CDS basis
relationships, we have included reports on this new basis regime, both unsecured and
secured (LCDS). Finally, a deeper and increasingly more liquid credit market motivated
new material on curve trading strategies, forward relationships, and credit options.
We hope Morgan Stanley clients find this book useful, and we welcome any feedback
so that we can improve future editions. SECTION A. GETTING STARTED: INSTRUMENTS AND PRIMERS SECTION B. VALUATION AND INVESTMENT FRAMEWORKS SECTION B. VALUATION AND INVESTMENT FRAMEWORKS (Cont'd) SECTION C. BASIS IDEAS SECTION D. CREDIT CURVES SECTION D. CREDIT CURVES (Cont'd) SECTION E. OPTIONS AND EMBEDDED OPTIONS
SECTION F. CREDIT MARKET THEMES SECTION G. GLOSSARY