Neglected complexities in structured bond portfolios

Abstract

Volatile financial markets and the adoption of Financial Accounting Standards Board Statement No. 87 have attracted many corporate pension officers to structured bond portfolios as a vehicle to minimize reported pension-related gains and losses. Other financial institutions have become increasingly interested in these techniques as well. Indeed, major investments firms are already hard at work promoting the use of structured bond portfolio techniques. The available evidence indicates that they have been quite successful, with more than $120 billion now managed in this way