The structured note market: the definitive guide for investors, traders & issuers
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | Undetermined |
| Veröffentlicht: |
Chicago [u.a]
IRWIN
1995
|
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XI, 401 S. |
| ISBN: | 1557388261 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804138768646537216 |
|---|---|
| adam_text | Contents
About the Authors ix
Acknowledgments ix
1. INTRODUCTION 1
What Are Structured Notes? 2
Issuers of Structured Notes 4
Investors Who Purchase Structured Notes 9
Structured Note Termsheet 15
Considerations 18
Here We Co 19
2. STRUCTURED NOTE RISK AND PERFORMANCE
MEASUREMENT 21
Introduction, Review, and Extension of Duration 22
Structured Note Risk Measurement: A Tale of Two Durations 23
Key Treasury Rate Duration (KTRD) 29
Volatility Risk 39
Structured Note Performance Measurement:
Internal Rate of Return and Present Value 41
Structured Note Purchasing Strategy
and Effect on Analysis Time Horizon 44
Comparison and Benchmarking Performance 44
Conclusion 46
3. DETERMINISTIC ANALYSIS 49
Analysis I. Forward Analysis 50
Analysis II. Expectation Analysis 59
Analysis III. Historical Analysis 65
Conclusion 74
4. SIMULATION ANALYSIS 77
When Should Simulation Analysis Be Used? 78
Monte Carlo Rate Simulation 79
Simulation Analysis for a Range of Expectations 86
Simulation versus Deterministic 93
Simulation of Two or More Indices 97
Volatility Duration 98
Conclusion 99
5. FIRST GENERATION STRUCTURES 103
Analysis of First Generation Structured Notes 104
Structure I. Floating Rate Note (FRN) 107
Structure II. Capped and Floored Floating Rate Note 119
Structure III. Collared Floating Rate Note (CFRN) 145
Structure IV. Inverse Floating Rate Note (IFRN) 153
Structure V. Superfloater 162
Conclusion 168
6. SECOND GENERATION STRUCTURES 171
Analysis of Second Generation Structured Notes 173
A. Index Maturity to Reset Frequency Mismatch 174
Structure I. Constant Maturity Treasury (CMT) and
Constant Maturity Swap (CMS) Floating Rate Notes 174
Structure II. Deleveraged CMT FRN, or the SURF Note 181
B. Multi-Index Notes 192
Structure III. CMT-LIBOR Differential Notes 192
Structure IV. Prime-LIBOR Differential Notes 203
C. Exotic Options 209
Structure V. Accrual Notes (Also Known as Range Notes) 210
Structure VI. One-Way Collared (OWC) Note
(Also Known as Ratchet, or Sticky Floater) 220
Structure VII. Index Amortizing Notes 226
D. Quanto Notes 238
Structure VIII. LIBOR Differential (Quanto) Notes 238
E. Unusual Leverage 245
Structure IX. Power Notes 247
Conclusion 254
7. CROSS-CATEGORY NOTES 255
Motivation for Purchasing Cross-Category Notes 255
Cross-Category Structure Classification 258
Structure I. Currency Indexed Note (CIN) 258
Structure II. Commodity Linked Note (CLN) 275
Structure III. Equity Linked Note (ELN) 290
Structure IV. Total Return Index Notes (TRIN) 293
Conclusion 296
8. CREATION AND CUSTOMIZATION
OF STRUCTURED NOTES 297
I. Conceptual 298
II. Identification 299
III. Structuring or Construction 305
Conclusion 326
9. STRUCTURED NOTES AND PORTFOLIO
MANAGEMENT 327
Portfolio Management: An Overview 327
Portfolio Risk and Asset/Liability Management (ALM) 333
Role of Structured Notes in Portfolio Management 338
Conclusion 351
10. STRUCTURED NOTES VERSUS CASH AND FUTURES 353
Introduction 353
Overview of the Futures and Options Market 353
Investor Criteria for Exchange-Traded Products 358
Exchange-Traded Products versus Structured Notes 359
Replicability of Structured Notes via Exchange
and Cash Products 363
Conclusion 366
11. STRUCTURED NOTE VALUATION
IN THE SECONDARY MARKET 367
Introduction 367
Asset Swap Pricing 367
Straight Pricing 371
Issuer Buyback Pricing 376
Straight Versus Asset Swap Pricing and Some Rules of Thumb 377
Other Secondary Pricing Considerations 378
Conclusion 381
12. LOOKING FORWARD 383
Regulatory and Legislative Action 383
GAO Report of 1994 384
SEC 385
OCC 385
OTS 386
Federal Reserve 386
Accounting and Disclosure Requirements: FASB 387
Legislative 388
Structural Innovations 390
Looking Forward 393
Summary 393
Index 395
|
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| indexdate | 2024-07-09T21:33:26Z |
| institution | BVB |
| isbn | 1557388261 |
| language | Undetermined |
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| publishDate | 1995 |
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| spelling | Peng, Scott Y. Verfasser aut The structured note market the definitive guide for investors, traders & issuers Scott Y. Peng & Ravi E. Dattatreya Chicago [u.a] IRWIN 1995 XI, 401 S. txt rdacontent n rdamedia nc rdacarrier Dattatreya, Ravi E. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017263203&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Peng, Scott Y. Dattatreya, Ravi E. The structured note market the definitive guide for investors, traders & issuers |
| title | The structured note market the definitive guide for investors, traders & issuers |
| title_auth | The structured note market the definitive guide for investors, traders & issuers |
| title_exact_search | The structured note market the definitive guide for investors, traders & issuers |
| title_full | The structured note market the definitive guide for investors, traders & issuers Scott Y. Peng & Ravi E. Dattatreya |
| title_fullStr | The structured note market the definitive guide for investors, traders & issuers Scott Y. Peng & Ravi E. Dattatreya |
| title_full_unstemmed | The structured note market the definitive guide for investors, traders & issuers Scott Y. Peng & Ravi E. Dattatreya |
| title_short | The structured note market |
| title_sort | the structured note market the definitive guide for investors traders issuers |
| title_sub | the definitive guide for investors, traders & issuers |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017263203&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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