How to Invest in Structured Products: A Guide for Investors and Asset Managers (The Wiley Finance Series)

394 Pages·2009·2.55 MB·English

by  Andreas Bluemke

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How to Invest in Structured Products
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How to Invest in Structured Products
A Guide for Investors and Investment Advisors
Andreas Blu¨mke
A John Wiley and Sons, Ltd., Publication
©2009JohnWiley&SonsLtd.
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Blu¨mke,Andreas.
Howtoinvestinstructuredproducts:aguideforinvestorsandasset
managers/AndreasBlu¨mke.
p.cm.
Includesbibliographicalreferencesandindex.
ISBN978-0-470-74679-0(cloth)
1. Investments. 2. Assetmanagementaccounts. I. Title.
HG4521.B5622009
332.63’2–dc22
2009015952
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ISBN978-0-470-74679-0
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This book is dedicated to my wife and children
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Contents
Disclaimer x
Foreword xi
Acknowledgements xiii
Goal of this book xv
Who should be interested xvii
Content summary xviii
Part I Individual Structured Products 1
1 Introduction 3
2 Generalities About Structured Products 7
2.1 A Definition by Analogy 7
2.2 Buyers, Sellers and Reasons for Investing in Structured Products 9
2.3 Reading a Payoff Diagram 14
2.4 Reading a Payoff Formula 16
2.5 Reading a Term-Sheet 19
3 The Categories of Structured Products 33
3.1 Capital Guaranteed Products 34
3.2 Yield Enhancement 43
3.3 Participation 53
4 Behavior of Structured Products During their Lifetime 71
4.1 Main Valuation and Risk Measures 71
viii Contents
4.2 Capital Guarantee 78
4.3 Yield Enhancement 88
4.4 Participation Products 98
4.5 Other Participation Products 108
5 Common Special Features of Structured Products 117
5.1 Quanto Options 117
5.2 Barrier Options 121
5.3 Autocall and Callable Options 124
5.4 Rolling Products and Products Without Fixed Maturity 134
5.5 Conditional and Accumulating Coupons 136
6 Functionality Options of Structured Products 139
6.1 Physical or Cash Delivery with Equity-Based Products 139
6.2 Clean Price and Dirty Price 140
6.3 Lending Values 140
6.4 Issue Minimum/Maximum Size and Liquidity 142
6.5 Funding Rates and Counterparty/Credit Risk 145
7 Foreign Exchange, Fixed Income and Commodity Products 151
7.1 FX-Based Structures 151
7.2 Fixed Income Structures 168
7.3 Commodity Structures 187
8 Recent Developments 207
8.1 Customized Index Products 207
8.2 Actively Managed Certificates 210
8.3 Electronic Trading Platforms 213
Part II Structured Products in a Portfolio Context 217
9 Introduction to Part II 219
10 Classical Theory and Structured Products 223
10.1 Distribution of Returns Shapes 223
10.2 Classical Portfolio Management Theories 227
10.3 Classical Theory and Structured Products 230
10.4 Conclusion 233
11 Structured Solution Proposal 235
11.1 Preferred Distribution of Return Investment Process 235
11.2 Distribution Classes: The Return Distribution Cube 238
11.3 An Investor’s Utility (Value) Curve 240
11.4 Questionnaire 246