How to Invest in Structured Products: A Guide for Investors and Asset Managers

Foreword.

Acknowledgements.

Goal of this book.

Who should be interested.

Content summary.

Part I Individual Structured Products.

1 Introduction.

2 Generalities About Structured Products.

2.1 A Definition by Analogy.

2.2 Buyers, Sellers and Reasons for Investing in Structured Products.

2.3 Reading a Payoff Diagram.

2.4 Reading a Payoff Formula.

2.5 Reading a Term-Sheet.

3 The Categories of Structured Products.

3.1 Capital Guaranteed Products.

3.2 Yield Enhancement.

3.3 Participation.

4 Behavior of Structured Products During their Lifetime.

4.1 Main Valuation and Risk Measures.

4.2 Capital Guarantee.

4.3 Yield Enhancement.

4.4 Participation Products.

4.5 Other Participation Products.

5 Common Special Features of Structured Products.

5.1 Quanto Options.

5.2 Barrier Options.

5.3 Autocall and Callable Options.

5.4 Rolling Products and Products Without Fixed Maturity.

5.5 Conditional and Accumulating Coupons.

6 Functionality Options of Structured Products.

6.1 Physical or Cash Delivery with Equity-Based Products.

6.2 Clean Price and Dirty Price.

6.3 Lending Values.

6.4 Issue Minimum/Maximum Size and Liquidity.

6.5 Funding Rates and Counterparty/Credit Risk.

7 Foreign Exchange, Fixed Income and Commodity Products.

7.1 FX-Based Structures.

7.2 Fixed Income Structures.

7.3 Commodity Structures.

8 Recent Developments.

8.1 Customized Index Products.

8.2 Actively Managed Certificates.

8.3 Electronic Trading Platforms.

Part II Structured Products in a Portfolio Context.

9 Introduction to Part II.

10 Classical Theory and Structured Products.

10.1 Distribution of Returns Shapes.

10.2 Classical Portfolio Management Theories.

10.3 Classical Theory and Structured Products.

10.4 Conclusion.

11 Structured Solution Proposal.

11.1 Preferred Distribution of Return Investment Process.

11.2 Distribution Classes: The Return Distribution Cube.

11.3 An Investor’s Utility (Value) Curve.

11.4 Questionnaire.

12 Return Distributions of Structured Products.

12.1 Procedure and Data.

12.2 Capital Guaranteed Products.

12.3 Yield Enhancement Products.

12.4 Participation Products.

12.5 Conclusion: Product Classification.

13 Structured Portfolio Construction.

13.1 Portfolio Construction Process.

13.2 Constructing a Structured Product Portfolio in Theory.

13.3 Preferred Return Distribution Process Versus Classic Portfolio Management.

13.4 Investor Portfolios.

14 Final Words.

Appendix A: Glossary of Terms.

Appendix B: Distribution of Returns: An Intuitive Explanation.

Appendix C: Questionnaire.

Appendix D: List of Figures.

Appendix E: List of Tables.

Appendix F: Index Information.

Appendix G: Issuer and Product-Related Websites.

Bibliography.

Index.