Credit Derivatives Insights Single Name Instruments & Strategies

Third Edition in 2007 by Morgan Stanley

Primary Analysts: Sivan Mahadevan, Vishwanath Tirupattur, Peter Polanskyj, Phanikiran Naraparaju, Pinar Onur, Andrew Sheets

The Credit Derivatives Insights Series

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 CDS 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.