For those readers who are interested in learning more about structured credit, here is an excellent credit products primer from Morgan Stanley.
It covers the key products as well as related concepts:
1 A CASH CDO PRIMER 10
2 A SYNTHETIC CDO PRIMER 26
3 A TRANCHED INDICES PRIMER 40
4 A FIRST-TO-DEFAULT BASKET PRIMER 48
5 WHAT IS CORRELATION? 56
6 UNDERSTANDING TRANCHE SENSITIVITY 66
The manual also goes into valuation, risk management, and structured credit markets (which of course have changed dramatically since this was published).
So if you are looking for some light bed-time reading, here it is.
Enjoy!
