Fixed-Income Synthetic Assets : Packaging, Pricing, and Trading Strategies for Financial Professionals

Fixed income synthetic assets are fast becoming the investment vehicles of choice for an increasing number of astute financial professionals. Traders, arbitrageurs, speculators, as well as financial executives are increasingly involved with these new and dynamic products. Fixed Income Synthetic Assets is the only professional guide to focus exclusively on packaging, pricing, and trading strategies for these complex securities. This authoritative sourcebook covers all fixed income instruments including derivatives, floating rate notes, STRIPs, mortgage backed securities, U.S. Treasuries, and much more. It delivers market proven guidance for applying fixed income strategies to key areas of finance such as risk management, option pricing and packaging, swaps and swaptions, and fundamental risk/return analysis. Fixed Income Synthetic Assets begins with a concise overview of the fundamental building blocks used to create synthetic assets. Sophisticated valuation techniques are explored for calculating present value, forward and spot rates, and duration and convexity. A variety of synthetic structures are then considered among money market assets. Securities discussed include certificates of deposit, agency and municipal securities, mortgage backed securities, Treasury Bill futures, Eurodollar futures, international money markets, and floating rate notes. From here, the guide moves further along the yield curve. Synthetic strategies are provided for a variety of notes and bonds, and modern portfolio theory is applied to the creation of synthetic fixed income portfolios. The book concludes with a detailed review of the more innovative structures in the marketplace, including promising new commodity and equity linked products. Throughout, Fixed Income Synthetic Assets supplies a precise and lucid examination of financial engineering practices and strategies, supplemented by accurate, easy to follow formulas. Numerous charts and graphs add visual punch to important topics. This essential desktop reference shows issuers and investors how to:Package, price, and trade synthetic securities that are more desirable than the assets being replicatedIdentify investment opportunities among complex, competing financial productsCreate securities with cashflows and market sensitivities superior to alternative assetsIntegrate synthetic securities within any fixed income strategyIn today’s explosive global markets, traditional securities are increasingly used as building blocks of potentially more innovative and profitable assets. By showing how synthetic fixed income securities are structured, priced, and traded, this practical primer helps fixed income professionals profit both from the current market environment and future opportunities.