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The Structured Credit Insights book, now in its second printing, contains 78
chapters on tranched credit instruments, markets, and investment strategies,
many of which come from our Credit Derivatives Insights and CDO research
publications. Section A, entitled "Getting Started," contains primers on both
basic and state-of-the-art cash and synthetic CDOs, the tranched indices,
first-to-default baskets, an intuitive guide to correlation, and common sensitivity
measures. The remaining sections focus on valuation and sensitivity, investment
strategies, market themes, performance, and cash and synthetic convergence
themes. There is also a glossary for over 120 terms used in the market.
The Second Edition – What’s New?
The second edition contains 34 new and numerous revised chapters focused
on several topics. Recent default events and significant repricing of tranche
relationships motivated chapters on valuation using both risk-neutral and realworld
techniques. Continued growth in liquidity and breadth in the index tranche
market resulted in the inclusion of material on investment strategies and relative
value. A maturing market resulted in reports on new types of structures, including
forward credit risk, managed portfolios and super senior tranches. Important
regulatory capital and accounting policy shifts encouraged material on secular
shifts in investment style. Synthetic innovation in the structured finance space
prompted material on hybrid structured finance CDOs, and a booming leveraged
loan market motivated the study of risks in the CLO market. We hope Morgan
Stanley clients find this book useful, and we welcome any feedback so that we can
improve future editions.
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