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