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I am at the moment considering investing into ETFs, but I am looking first to understand how these products really work.

Indeed, it is my understanding that ETF can vary in terms of structure, thus affecting their counterparty risk.

For example, some of them are doing a SWAP with a third counterpart to whom they have to give the returns of some assets basket in return to the returns of the index (here the index being the "underlying" of the SWAP).

What I'm looking for, is some resource describing, if possible, all the different types of ETFs, and it would be even better if it had some risk analysis approach for each of those types.

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I recommend you read the Financial Stability Board report. FT Alphaville provides a nice summary of the report with plenty of links to investigate further.

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There is a good article in Seeking Alpha but if you did a Google Search you probably found it already. Some ETF's work through swaps with a counterpart, but you will never know who the counter-part is. As you said it depends on the type of ETF, with a UCITS ETF you're not supposed to have a big counter-part risk as you own the underlyings, when it's replication, you never know.

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    $\begingroup$ Great article. Sometimes google brings back so many results, which themselves lead to more relevant pages, that posting and up-voting the most relevant links adds significant value. $\endgroup$ – Tal Fishman Sep 20 '11 at 7:48

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