Chapter 11: Structured Assets

11.2 PLUGIN

CDO Carry Equity Tranche

Strategy 11.2: Buy equity CDO tranche, delta-hedge with short CDS index

structured carry

11.3 PLUGIN

CDO Carry Senior/Mezzanine

Strategy 11.3: Sell senior/mezzanine CDO tranche, delta-hedge with long CDS index

structured carry

11.4 PLUGIN

CDO Carry Tranche Hedging

Strategy 11.4: Buy low-quality tranche, sell high-quality tranche, duration-hedged

structured carry

11.5 PLUGIN

CDO Carry CDS Hedging

Strategy 11.5: Buy low-quality tranche, sell single-name CDS to hedge

structured carry

11.6 PLUGIN

CDO Curve Trades

Strategy 11.6: CDO curve flattener/steepener based on spread curve slope vs historical

structured relative value

11.7 PLUGIN

MBS Trading

Strategy 11.7: Buy MBS passthroughs when OAS is above historical average, duration-hedge with swaps

structured relative value