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Structured Credit Handbook 2005

Structured Credit Handbook 2005

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Primary Analysts: Sivan Mahadevan
Peter Polanskyj
Vishwanath Tirupattur

Ajit Kumar, CFA
Instruments, Valuation
and Strategies
FIRST EDITION 2005

Structured
Credit
Insights

The First Edition

This first edition of our Structured Credit Insights handbook contains 44 reports
on tranched credit instruments, markets, and investment strategies, many of
which come from our Credit Derivatives Insights and CDO research publications.
Section A, entitled \u201cGetting Started,\u201d 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
of over 100 terms used in the market.

We hope Morgan Stanley clients find this handbook useful, and we welcome any
feedback so that we can improve future editions.
450

The Primary Analyst(s) identified above certify that the views
expressed in this report accurately reflect his/her/their personal
views about the subject securities/instruments/issuers, and no
part of his/her/their compensation was, is or will be directly or
indirectly related to the specific views or recommendations
contained herein.

This report has been prepared in accordance with our conflict
management policy. The policy describes our organizational
and administrative arrangements for the avoidance,
management and disclosure of conflicts of interest. The policy
is available at www.morganstanley.com/institutional/research.

Please see additional important disclosures at the end of
this report.
Morgan Stanley & Co. Incorporated
April 14, 2005
FIRST EDITION
2005

Structured
Credit
Insights

Instruments, Valuation
and Strategies

Primary Analysts: Sivan Mahadevan
Peter Polanskyj
Vishwanath Tirupattur

Ajit Kumar, CFA

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