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Synthetic ETFs

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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.

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  • Sirio Aramonte & Cecilia R. Caglio & Tugkan Tuzun, 2017. "Synthetic ETFs," FEDS Notes 2017-08-10, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2017-08-10
    DOI: 10.17016/2380-7172.2028
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/synthetic-etfs-20170810.htm
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