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Table Of Contents

1. INTRODUCTION
2. THE MARKET
3. CREDIT RISK FRAMEWORK
4.1 Floating-Rate Notes
4.2 Asset Swaps
4.3 Default Swaps
4.4 Credit-Linked Notes
4.5 Repackaging Vehicles
4.6 Principal Protected Structures
4.7 Credit Spread Options
4.8 Bond Options
4.9 Total Return Swaps
5 MULTI-NAME CREDIT DERIVATIVES
5.1 Index Swaps
5.2 Basket Default Swaps
5.3 Understanding Portfolio Trades
5.4 Portfolio Default Swaps
5.5 Collateralized Debt Obligations
5.6 Arbitrage CDOs
5.7 Cash Flow CLOs
5.8 Synthetic CLOs
6. LEGAL, REGULATORY, AND ACCOUNTING ISSUES
6.1 Legal Documentation
6.2 Bank Regulatory Capital Treatment
6.3 Accounting for Derivatives
7 GLOSSARY OF TERMS
8 APPENDIX
9. BIBLIOGRAPHY
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Lehman Credit Derivatives Explained

Lehman Credit Derivatives Explained

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Published by ouss0

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Categories:Business/Law, Finance
Published by: ouss0 on Mar 24, 2011
Copyright:Attribution Non-commercial

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07/27/2013

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