What are some good, preferably free, introductions to leveraged loans, also known as syndicated loans or bank loans? The introduction should describe the basic mechanics and very importantly provide an understanding of the important attributes of these products and how they may be modeled.

  • $\begingroup$ Hi SQLCurious, welcome to quant.SE. I suggest you separate your questions about leveraged loans and commingled funds into two, and the tutorials you mention could easily be added to third and fourth questions that you can answer yourself. I've answered below regarding loans, as I don't know anything about commingled funds. $\endgroup$ May 8 '12 at 17:24
  • $\begingroup$ Thank you, @Tal Fishman. I am going to edit my question now. $\endgroup$
    – SQLCurious
    May 8 '12 at 22:42
  • $\begingroup$ This question is probably off topic but let's not bury it because the answer is excellent. $\endgroup$
    – Bob Jansen
    May 9 '12 at 17:55
  • 1
    $\begingroup$ @BobJansen I think asking for a tutorial on, say, corporate bonds, or even on mortgage-backed securities, might be off topic, but having worked on them myself, I think leveraged loans are sufficiently obscure and exclusively the domain of professional investors to make a simple request for a tutorial on-topic. $\endgroup$ May 10 '12 at 14:29
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    $\begingroup$ @BobJansen I posted on meta regarding this question. $\endgroup$ May 16 '12 at 14:56

Good leveraged loan tutorials are few and far between. I've looked far and wide, and the best I ever found was a leveraged loan handbook published by citigroup (by William Deitrick) in 2006 which is free for clients. Citi and Barclays also have two decent (but very different) bank loan models. For Citi, search for Terry Benzschawel. For Barclays, look in the "Quantitative Credit Quarterly" for 2011 Q3/Q4, an article on "valuation and risk of floating-rate term loans with prepayment option and Libor floor" by Claus Pedersen.

Here are some links to other stuff I could find freely available on the web.

  • $\begingroup$ This is much more than I was looking for. Thank you SO much! $\endgroup$
    – SQLCurious
    May 8 '12 at 22:57
  • $\begingroup$ the S&P guide to the loan market link seems broken (unless it's my firewall). I believe this S&P primer might be more updated: leveragedloan.com/primer $\endgroup$
    – jaamor
    Jan 31 '19 at 23:28

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