By Erik Banks
ISBN-10: 0470017139
ISBN-13: 9780470017135
Equipped alongside product traces, the publication will research a few of the unique periods of dependent resources, together with personal loan- and asset-backed securities and strips, in addition to the most recent established and artificial tools, together with exchange-traded money, credits derivative-based collateralized debt responsibilities, overall go back swaps, contingent convertibles, and insurance-linked securities.
introductory chapters will define the scope of the industry, key definitions, player motivations/goals, economics of structuring and artificial replication, and the imperative "building blocks" utilized in the construction of synthetic/structured resources (including on-balance sheet resources and liabilities, derivatives, shelf registration debt courses, deepest placements, trusts, and targeted function entities). 8 product chapters will then research the most tools of undefined: loan- and asset-backed securities, stripped/reconstituted govt securities, collateralized debt responsibilities, based notes, insurance-linked securities, exchange-traded cash, convertible bond diversifications, and derivatives/synthetic asset replication. every one product bankruptcy will comprise product descriptions, structural positive aspects (e.g., buying and selling conventions, settlement), arbitrage/investment drivers, and numerous labored examples and diagrams that emphasize functional funding and hazard purposes; monetary arithmetic can be stored to a minimal. A concluding bankruptcy will evaluate the basic chance, felony, regulatory, and accounting gains of artificial and established resources within the world's significant markets.
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Additional resources for Synthetic and Structured Assets (The Wiley Finance Series)
Example text
The instruments facilitate structuring, restructuring, and repackaging of cash flows so that unique assets can be created. In this section we consider the general mechanics of several of the most common types of OTC derivatives, including forwards, swaps, and options; our discussion on options also focuses on certain exotic, or complex, contracts that have emerged over the past decade. OTC derivatives, as the name suggests, are arranged and traded between two parties on an offexchange basis. Each contract represents a customized negotiation of terms and conditions, with the parties agreeing to specific characteristics related to notional, term, reference market/asset, payoff profile, and so forth.
1 Derivatives Derivatives, or financial contracts that derive their value from other market references, have evolved and expanded rapidly over the past few decades, and are now an integral part of the global capital markets. They have also become an essential building block of the financial marketplace. Though rudimentary derivative contracts have existed for centuries (primarily those on commodity references), the modern era of financial derivative contracts dates back to the early 1970s, when a number of exchanges began offering listed contracts on financial references such as interest rates, currencies, and equities.
G. six-month LIBOR flat). For instance, a two- year US CP/LIBOR swap might be quoted at 25–27 bps, meaning the dealer will pay CP +25 bps versus LIBOR flat, or receive CP + 27 bps versus LIBOR flat. A two-year Prime/LIBOR swap, in turn, might be quoted at −125/−123, indicating that the dealer will pay Prime − 125 bps versus LIBOR flat, and receive Prime − 123 bps versus LIBOR flat. Similar conventions exist in non-$ markets. As indicated earlier, cross-currency swaps, involving the exchange of currency flows, were the first OTC swaps in the marketplace.
Synthetic and Structured Assets (The Wiley Finance Series) by Erik Banks
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