Just phone up the europe number on their website and ask for the structured finance / CDO group. Pretty much any analyst there should be able to email you a PDF.T

<t>The DM is the return over libor at the purchase price. If you buy a $100 note paying L+10 at 100 then DM = spread = 10, however if you paid 90 then your DM would be way over 10.E.g. three year note, assume libor is flat = 5%Cashflows: 5.1, 5.1, 105.1PV = 90 -> DM ~ 405 because 5.1 / 9.05 + 5.1 / ...

You can get itraxx quotes on http://www.creditfixings.com/. The site is even younger than the itraxx so you won't get a huge amount of history.Also I don't think their history covers the tranche fixings.T

<t>The current documentation allows for cash settlement of all those trades, however the market standard (for single name) is physical settlement, if you opt for cash settlement you are going "off market".The Dura auction protocol had a facility to cash settle single name (and other non-index trades...

<t>For vanilla securities in the corporate world the only difference you can really point to is S&P and Fitch use first-dollar of loss approach, whereas Moody's uses and expected-loss methodology. I guess you also have the Moody's methodology for implying government support for banks now!Once yo...

<t>As has been already stated you need to know the duration.If the five year is a zero coupon then it will have a 5 year duration. It is quite possible for a 10 year bond with a very high coupon to have a duration lower than 5 years.I haven't tried but you could probably cause a similar effect with ...

Structured Credit Products by Choudhry may be of help. It starts off with simple credit products and builds up, getting to synthetic CDOs in chapter 10. It includes quite a few examples of actual transactions. You can see the table of contents on amazon.Regards,Tony

<r>The CDS would have similar mechanics to the senior tranche of an index.Sample confirmation are here:<URL url="http://www.markit.com/marketing/credit_index_annex_confirmations_archive.phpIf"><LINK_TEXT text="http://www.markit.com/marketing/credit_ ... hive.phpIf">http://www.markit.com/marketing/cr...

It means all defaults in a basket other than the first.If you have exposure to four names and buy FTD protection, you are still exposed to the 2nd to 4th (Nth) defaults.T