Merrill Lynch – Handbook (Vol. I & II)

Merrill Lynch, “Credit Handbook, Vol. 1: A Guide to Single-Name and Index Products”  | | ISBN: N/A | 118 pages | PDF | 3,2 MB report from 2006

Table of Content:

Section Page – A Market Overview 1.Market evolution, importance, participants and challenges 3 Basics & Valuation 2. Basic concepts, arbitrage relationship, survival probabilities 11 Unwinding 3. Mechanics for terminating contracts 21 Upfront Pricing of 4. Compare upfront vs. running spread 29 Valuing the Basis 5. Comparing with the cash market 37 What Drives the Basis? 6. Why do cash and default market spreads diverge? 47 Structural Roadmap 7. Key structural considerations 54 Indices 8. The ABCs of CDX and iTraxx indices 73 Investment Strategies 9. Using to enhance returns 88 Counterparty Risk 10. risks associated with trades, Novation Protocol 112

Merrill Lynch, “Credit Handbook, Vol. 2: A Guide to the Exotics Market”  | | ISBN: N/A | 118 pages | PDF | 6,3 MB Follows up volume 1 with tranching of CDOs, CDOs of CDOs, etc.

Table of content:

Exotics – Tried and Tested 1.Overview of the exotics credit derivatives market 3 Single Tranche Synthetic 2. A guide to bespoke single-tranches 8 First-to-Default Baskets 3. A guide to usage and valuation 23 Standardized Tranches 4. A guide to the index tranche market 33 Correlation 5. Managing risks in tranche trading 45 Tranche Relative Value Tools 6. Identifying relative value in tranche markets 63 Correlation Strategies 7. Interesting trade ideas in the tranche market 80 Modeling Correlation Products 8. Pricing models for CDOs & FTDs 101 What Correlation? 9. Moving from compound to base correlation and beyond 126 Synthetic CDO^2 10. of CDOs 138 Leveraged Super Senior 11. A guide to synthetic LSS 148 Combination Notes 12. Combining tranches to tailor investor needs 156 CPPI for Debt Investors 13. Principal protection techniques 169 Options 14. Payers and Receivers, trading spread volatility 176 15. Bulish on Credit, Bearish on Spreads 186

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