Synthetic and Structured Assets by Erik Banks

Synthetic and Structured Assets by Erik Banks
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Synthetic and Structured Assets

by Erik Banks


Adobe E-Book

February 2006

Organized along product lines, the book will analyze many of the original classes of structured assets, including mortgage- and asset-backed securities and strips, as well as the newest structured and synthetic instruments, including exchange-traded funds, credit derivative-based collateralized debt obligations, total return swaps, contingent convertibles, and insurance-linked securities. Two introductory chapters will outline the scope of the market, key definitions, participant motivations/goals, economics of structuring and synthetic replication, and the central "building blocks" used in the creation of synthetic/structured assets (including on-balance sheet assets and liabilities, derivatives, shelf registration debt programs, private placements, trusts, and special purpose entities). Eight product chapters will then examine the main instruments of the marketplace: mortgage- and asset-backed securities, stripped/reconstituted government securities, collateralized debt obligations, structured notes, insurance-linked securities, exchange-traded funds, convertible bond variations, and derivatives/synthetic asset replication. Each product chapter will contain product descriptions, structural features (e.g., trading conventions, settlement), arbitrage/investment drivers, and various worked examples and diagrams that emphasize practical investment and risk applications; financial mathematics will be kept to a minimum. A concluding chapter will review the essential risk, legal, regulatory, and accounting features of synthetic and structured assets in the world's major markets.


Erik Banks is an independent risk consultant and financial author who has been active in the investment banking sector for 20 years. Erik has held senior risk management positions at Merrill Lynch, XL Capital, and Citibank in New York, Tokyo, London, and Hong Kong, and has written 20 books on derivatives, risk, emerging markets, and merchant banking, including the JohnWiley titles The Simple Rules of Risk, Exchange-Traded Derivatives, Alternative Risk Transfer, and Catastrophic Risk. He lives in Maine with his wife, Milena, and their horses and dogs.


Acknowledgements. About the author.

1. Introduction to Synthetic and Structured Assets.

1.1 Development of structured and synthetic assets.

1.2 Drivers of market activity.

1.3 New product design.

1.4 Overview of the text.

2. Financial Building Blocks.

2.1 Introduction.

2.2 Concepts.

2.3 Derivative instruments.

2.4 Host securities/liabilities.

2.5 Issuing/repackaging vehicles.

2.6 Financial engineering and product design.

3. Callable, Puttable, and Stripped Securities.

3.1 Introduction.

3.2 Development and market drivers.

3.3 Product mechanics and applications.

4. Mortgage- and Asset-backed Securities.

4.1 Introduction.

4.2 Development and market drivers.

4.3 Product mechanics and applications.

5. Structured Notes and Loans.

5.1 Introduction.

5.2 Development and market drivers.

5.3 Product mechanics and applications.

6. Collateralized Debt Obligations.

6.1 Introduction.

6.2 Development and market drivers.

6.3 Product mechanics and applications.

7. Insurance-linked Securities and Contingent Capital.

7.1 Introduction.

7.2 Development and market drivers.

7.3 Product mechanics and applications.

8. Convertible Bonds and Equity Hybrids.

8.1 Introduction.

8.2 Development and market drivers.

8.3 Product mechanics and applications.

9. Investment Funds.

9.1 Introduction.

9.2 Development and market drivers.

9.3 Product mechanics and applications.

10. Derivative Replication, Repackaging, and Structuring.

10.1 Introduction.

10.2 Development and market drivers.

10.3 Product mechanics and applications.

11. Risk, Legal, and Regulatory Issues.

11.1 Introduction.

11.2 Risk and financial controls.

11.3 Legal controls.

11.4 Regulatory and accounting issues.

Selected References.