Synthetic ETFs

Sirio Aramonte, Cecilia R. Caglio and Tugkan Tuzun
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Cecilia R. Caglio: https://www.federalreserve.gov/econres/cecilia-r-caglio.htm
Tugkan Tuzun: https://www.federalreserve.gov/econres/tugkan-tuzun.htm

No 2017-08-10, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Exchange traded funds (ETFs) achieve their investment objectives by either owning a portfolio of securities (physical ETFs) or entering into swap agreements that deliver the returns of pre-specified indexes (synthetic ETFs). In this note, we provide an overview of how synthetic ETFs work and analyze collateralization levels for a group of synthetic ETFs that voluntarily report their collateral baskets.

Date: 2017-08-10
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2017-08-10

DOI: 10.17016/2380-7172.2028

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