Synthetic and structured assets : a practical guide to investment and risk

Synthetic and Structured Assets: A Practical Guide to Investment and Risk......Page 2
Contents......Page 8
Acknowledgements......Page 12
About the author......Page 14
1 Introduction to Synthetic and Structured Assets......Page 16
1.1 Development of structured and synthetic assets......Page 17
1.2 Drivers of market activity......Page 18
1.3 New product design......Page 20
1.4 Overview of the text......Page 22
2.2.1 Risks......Page 24
2.2.2 Time value of money and interest rates......Page 26
2.3.1 Derivatives......Page 31
2.4.2 Private placements......Page 53
2.5 Issuing/repackaging vehicles......Page 54
2.5.1 Special purpose entities......Page 55
2.5.2 Trusts......Page 56
2.5.3 Investment companies and partnerships......Page 57
2.6 Financial engineering and product design......Page 58
3.2 Development and market drivers......Page 60
3.3.1 Callable bonds......Page 62
3.3.2 Puttable bonds......Page 67
3.3.3 Stripped securities......Page 68
4.2 Development and market drivers......Page 74
4.3.1 Mortgage-backed securities......Page 77
4.3.2 Asset-backed securities......Page 105
5.2 Development and market drivers......Page 114
5.3.1 General structural issues......Page 117
5.3.2 Interest-rate-linked notes......Page 119
5.3.3 Currency-linked notes......Page 122
5.3.4 Commodity-linked notes and loans......Page 124
5.3.5 Equity-linked notes......Page 125
5.3.6 Credit-linked notes......Page 128
6.2 Development and market drivers......Page 136
6.3 Product mechanics and applications......Page 138
6.3.1 General structural issues......Page 139
6.3.2 Cash flow CDOs and market value CDOs......Page 148
6.3.3 Balance sheet and arbitrage CDOs......Page 149
6.3.4 Structured and synthetic CDOs......Page 150
7.2 Development and market drivers......Page 156
7.3 Product mechanics and applications......Page 158
7.3.1 Insurance-linked securities......Page 159
7.3.2 Contingent capital structures......Page 168
8.2 Development and market drivers......Page 178
8.3 Product mechanics and applications......Page 180
8.3.1 Convertible bonds and variations......Page 181
8.3.2 Bonds with warrants......Page 187
8.3.3 Buy/write (covered call)securities......Page 188
8.3.4 Other equity hybrids......Page 192
9.2 Development and market drivers......Page 196
9.3.1 Structure, diversification, and management......Page 199
9.3.2 Open-end funds......Page 201
9.3.3 Closed-end funds......Page 208
9.3.4 Hedge funds......Page 210
9.3.5 Exchange-traded funds......Page 215
10.2 Development and market drivers......Page 220
10.3.1 Synthetic long and short option and swap positions......Page 222
10.3.2 Multiple swap/option positions......Page 229
10.3.3 Asset swaps, liability swaps, and callable/puttable asset swap packages......Page 246
10.3.4 Credit derivatives and synthetic credit positions......Page 253
11.2.1 Market, liquidity and credit risk management......Page 262
11.2.2 Internal financial and operational controls......Page 263
11.3 Legal controls......Page 264
11.3.1 ISDA documentation framework......Page 265
11.4.1 Regulatory capital......Page 270
11.4.3 Accounting treatment under FAS 133 and IAS 39......Page 272
Selected References......Page 276
Index......Page 278