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Contents Acknowledgements About the Author 1 Introduction to Synthetic and Structured Assets Development of structured and syntheric assets Drivers of market activity New product design Overview of the text 2 Financial Building Blocks Introduction Financial building blocks: Concepts Risks Time value of money and interest rates Forward interest rates Financial building blocks: Instruments/vehicles Derivatives Over-the-counter derivatives Exchange-traded derivatives Host securities/liabilities Public notes/shelf registrations Private placements Transferable loans Issuing/repackaging vehicles Special purpose entities Trusts Investment companies and partnerships Financial engineering and product design 3 Callable, Puttable, and Stripped Securities Introduction Development and market drivers Product mechanics and applications Callable bonds Valuation Puttable bonds Stripped securities Stripping processes Supply and valuation Tax issues 4 Mortgage- and Asset-Backed Securities Introduction Development and market drivers Product mechanics and applications Mortgage-backed securities Prepayments Valuation Legal and structural issues Pass-through securities Collateralized mortgage obligations Stripped mortgage products Asset-backed securities Legal and structural issues Credit card securitizations Home equity load securitizations Other asset based securitizations 5 Structured Notes and Loans Introduction Development and market drivers Product mechanics and applications General structure issues Interest rate linked notes Currency linked notes Commodity linked notes and loans Equity linked notes Credit linked notes 6 Collateralized Debt Obligations Introduction Development and market drivers Product mechanics and applications General structural issues Tranching and cash flows RatingsCash flow CDOs and market value CDOs Balance sheet and arbitrage CDOs Structured and synthetic CDOs 7 Insurance-Linked Securities and Contingent Capital Introduction Development and market drivers Product mechanics and applications Insurance-linked securities Legal and structural issues Triggers Tranching Catastrophic bonds Non-catastrophe ILS Contingent capital structures Legal and structural issues Contingent debt Contingent equity 8 Convertible Bonds and Equity Hybrids Introduction Product mechanics and applications Convertible bonds and variations Convertible bonds Zero-coupon convertible bonds Exchangeable bonds Other convertible bonds Bonds with warrants Buy/write (covered call) securities PRIMES and SCORES PERCS and synthetic PERCS Other equity hybrids Adjustable rate preferred stock Convertible preferred stock 9 Investment Funds Introduction Development and market drivers Product mechanics and applications Structure, diversification, and management Open-end funds General fund categories Legal/regulatory structure Share creation, trading, and redemption Operating costs and fees Tax features Closed-end funds Share creation, trading, and redemption Hedge funds Legal/regulatory structure Share creaion, trading, and redemption Operating costs/fees Tax features ETFs Legal/regulatory structure Share creation, trading, and redemption Operating costs/fees Tax features 10 Derivative Replication, Repackaging, and Structuring Introduction Development and market drivers Product mechanics and applications Syntheric long and short optionand swap positions Multiple swap/option positions Multi-option strategies Swaptions Callable, puttable and extendible swaps Other structured derivatives Asset swaps, liability swaps, and callable.puttable asset swap packages Credit derivatives and synthetic credit positions Credit swaps, options, and forwards Total return swaps Basket swaps 11 Risk, Legal, and Regulatory Issues Introduction Risk and financial controls Market liquidity and credit risk management Internal financial and operational controls Internal audit ISDA documentation framework ISDA Master Agreement Regulatory and accounting issues Regulatory capital Regulatory review Accounting treatment under FAS 133 and IAS 39 Selected References Index
Library of Congress Subject Headings for this publication:
Structured notes (Securities).