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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…mehr
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 CDS, LCDS, CDX, LCDX, and CLOs. Leveraged Finance has the information you need to succeed in this evolving financial arena.
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Stephen J. Antczak, CFA, is an Executive Director at UBS. Prior to joining UBS in 2001, he was a senior strategist at Merrill Lynch, and he has also worked at the Bureau of Labor Statistics as an economist. Antczak graduated from the University of Michigan with a BA in economics and an MBA in business economics and finance. Douglas J. Lucas has been a Group Managing Director and Director of Ratings Research at Moody's Investor Service since November 2008. Prior to that, he was head of CDO Research at UBS. Lucas has a BA magna cum laude in economics from UCLA and an MBA with Honors from the University of Chicago. Frank J. Fabozzi, PhD, CFA, CPA, is Professor in the Practice of Finance and Becton Fellow at Yale University's School of Management, Editor of the Journal of Portfolio Management, and Associate Editor of the Journal of Structured Finance and the Journal of Fixed Income.
Inhaltsangabe
Preface xiii About the Authors xv Chapter 1 Introduction 1 Part One: The Cash Market 2 Part Two: The Structured Markets 3 Part Three: The Synthetic Markets 4 Part Four: How to Trade the Leveraged Finance Market 5 Part Five: Default Correlation 6 Part One The Cash Market 9 Chapter 2 The High-Yield Bond Market 11 The Reasons Companies Are Classified as High-Yield Issuers 11 Size and Growth of the Cash Market 13 Types of Structures 21 A Look at Ratings 22 Risk and Return for Bonds 26 What's Priced In? 31 How About Recoveries? 35 Summary 37 Chapter 3 Leveraged Loans 39 A Tale of Two Loans 39 Introduction to Leveraged Loans 42 An Overview of Loan Terms 56 Loan Recovery Rates 65 Loan Default Rates 73 Summary 79 Part Two Structured Market 81 Chapter 4 Collateralized Loan Obligations 83 Understanding CLOs 83 Elaborations and Details 92 Summary 104 Chapter 5 CLO Returns 105 Default and Recovery Scenarios 105 Distressed Loan Prices, Overflowing Triple-C Buckets, and CLO Returns 119 Summary 129 Chapter 6 CLO Portfolio Overlap 133 Collateral Overlap in U.S. CLOs 134 Collateral Vintage vs. Deal Vintage 142 Favorite CLO Credits 142 Single-Name Risk and Tranche Protections 146 Excess Overcollateralization and Excess Overcollateralization Delta 150 Senior and Subordinate Excess OC Deltas 151 Equity Tranches and Distressed Tranches 157 Summary 157 Part Three Synthetic Markets 159 Chapter 7 Credit Default Swaps and the Indexes 161 What Are Credit Default Swaps? 162 Who Uses Protection, and for What? 168 Growth of the Market 168 Marking-to-Market: SDV 01 170 Credit Default Swaps Indexes 172 Contrasting the LCDX and CDX Indexes 177 Beta: A Study of Movement 178 Summary 183 Chapter 8 Index Tranches 185 Basic Mechanics of the Tranche Market 185 Loan Tranches 195 Summary 199 Part Four How to Trade the Leveraged Finance Market 201 Chapter 9 Recessions and Returns 203 Broad Market Performance 204 Sector Performance 207 Performance by Rating 207 Summary 210 Chapter 10 Framework for the Credit Analysis of Corporate Debt 211 Approaches to Credit Analysis 211 Industry Considerations 216 Financial Analysis 220 Quantitative Models 232 Summary 233 Chapter 11 Trading the Basis 235 The Basic Basis Package 236 Constructing the Basic Package 236 Moving Away from the Basic Model 240 Adding Positive Convexity 249 Negative Convexity 254 A More Complex Basis Package 255 Hedge Ratios for CLO Hedging 259 Summary 260 Chapter 12 How Much Should You Get Paid to Take Risk? 263 Single-Name Credit Risk 263 Curve Risk 267 Basis Risk 269 Capital Structure Risk 274 Summary 281 Part Five Default Correlation 283 Chapter 13 Default Correlation: The Basics 285 Default Correlation Defined 285 Default Probability and Default Correlation 291 Summary 309 Chapter 14 Empirical Default Correlations: Problems and Solutions 311 Empirical Results 311 Problems with Historical Default Correlations 315 Proposed Solutions 318 Summary 333 Index 335
Preface xiii About the Authors xv Chapter 1 Introduction 1 Part One: The Cash Market 2 Part Two: The Structured Markets 3 Part Three: The Synthetic Markets 4 Part Four: How to Trade the Leveraged Finance Market 5 Part Five: Default Correlation 6 Part One The Cash Market 9 Chapter 2 The High-Yield Bond Market 11 The Reasons Companies Are Classified as High-Yield Issuers 11 Size and Growth of the Cash Market 13 Types of Structures 21 A Look at Ratings 22 Risk and Return for Bonds 26 What's Priced In? 31 How About Recoveries? 35 Summary 37 Chapter 3 Leveraged Loans 39 A Tale of Two Loans 39 Introduction to Leveraged Loans 42 An Overview of Loan Terms 56 Loan Recovery Rates 65 Loan Default Rates 73 Summary 79 Part Two Structured Market 81 Chapter 4 Collateralized Loan Obligations 83 Understanding CLOs 83 Elaborations and Details 92 Summary 104 Chapter 5 CLO Returns 105 Default and Recovery Scenarios 105 Distressed Loan Prices, Overflowing Triple-C Buckets, and CLO Returns 119 Summary 129 Chapter 6 CLO Portfolio Overlap 133 Collateral Overlap in U.S. CLOs 134 Collateral Vintage vs. Deal Vintage 142 Favorite CLO Credits 142 Single-Name Risk and Tranche Protections 146 Excess Overcollateralization and Excess Overcollateralization Delta 150 Senior and Subordinate Excess OC Deltas 151 Equity Tranches and Distressed Tranches 157 Summary 157 Part Three Synthetic Markets 159 Chapter 7 Credit Default Swaps and the Indexes 161 What Are Credit Default Swaps? 162 Who Uses Protection, and for What? 168 Growth of the Market 168 Marking-to-Market: SDV 01 170 Credit Default Swaps Indexes 172 Contrasting the LCDX and CDX Indexes 177 Beta: A Study of Movement 178 Summary 183 Chapter 8 Index Tranches 185 Basic Mechanics of the Tranche Market 185 Loan Tranches 195 Summary 199 Part Four How to Trade the Leveraged Finance Market 201 Chapter 9 Recessions and Returns 203 Broad Market Performance 204 Sector Performance 207 Performance by Rating 207 Summary 210 Chapter 10 Framework for the Credit Analysis of Corporate Debt 211 Approaches to Credit Analysis 211 Industry Considerations 216 Financial Analysis 220 Quantitative Models 232 Summary 233 Chapter 11 Trading the Basis 235 The Basic Basis Package 236 Constructing the Basic Package 236 Moving Away from the Basic Model 240 Adding Positive Convexity 249 Negative Convexity 254 A More Complex Basis Package 255 Hedge Ratios for CLO Hedging 259 Summary 260 Chapter 12 How Much Should You Get Paid to Take Risk? 263 Single-Name Credit Risk 263 Curve Risk 267 Basis Risk 269 Capital Structure Risk 274 Summary 281 Part Five Default Correlation 283 Chapter 13 Default Correlation: The Basics 285 Default Correlation Defined 285 Default Probability and Default Correlation 291 Summary 309 Chapter 14 Empirical Default Correlations: Problems and Solutions 311 Empirical Results 311 Problems with Historical Default Correlations 315 Proposed Solutions 318 Summary 333 Index 335
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"...a resource that will be invaluable to traditional and nontraditional investors long after the market recovers." (The Investment Professional)
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