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Our experts frequently write blog posts about the findings of the research we are conducting.

Displaying 51-60 out of 63 results for "Principal Protected Notes".

SEC Litigation Releases: Week in Review - February 17th, 2012

(Feb 2012)

Court Enters Default Judgement Against SEC Defendant Daniel J. Burns and Orders Him to Pay over $1.1 Million
February 16, 2012, (Litigation Release No. 22260)
In their January 2011 complaint, the SEC filed a civil injunctive action against Daniel J. Burns and Robert F. McCullough, Jr. alleging that both defendants were guilty of insider reporting violations. In addition, Burns allegedly "received hundreds of thousands of dollars in improper compensation and benefits from CytoCore[, Inc.] as an...

In the News: Structured CDs

(Feb 2012)

Bloomberg News reported this week that FINRA is investigating a relatively new type of product that ties the returns of certificates of deposit (CDs) to derivatives. These products are known generally as 'Structured CDs' (SCDs) but also go by 'Index-Linked CDs', 'Equity-Linked CDs' or 'Market-Linked CDs'. There have also been news stories concerning Market-Linked CDs issued by Wells-Fargo and Equity-Linked CDs issued by Goldman Sachs in recent years.

SCDs have existed since the late 1980s,...

Dealbreaker on the Hayes award and LCM VII CLO

(Feb 2012)

Matt Levine at Dealbreaker posted last night on our work regarding the Hayes award and the LCM VII CLO. He interpreted some of the facts of the case differently, but we think he did touch upon the key issue: the proper disclosure of the decline in the market price of collateral on the closing date. We wanted to directly address a couple points he raised.

To be clear, at least by the closing date the CLO did track the daily mark-to-market value of the loans in the LCM VII portfolio using...

SLCG Research: Reverse Convertibles and Stochastic Volatility

(Feb 2012)

We've talked a lot about structured products -- and reverse convertibles in particular -- on this blog. In this blog post we discuss reverse convertibles in more detail and present some results found in a new research paper my colleagues and I have just completed.

Reverse convertible notes -- or simply "reverse convertibles" -- are structured products whose payoff at maturity is dependent upon the return of an underlying asset or security during the tenor of the note. If the underlying asset...

Did BoA's 2007 CLOs Defraud Investors?

(Jan 2012)

We have posted a new paper today showing that on July 2007 Banc of America appears to have transferred at least $35 million of previous losses to unsuspecting investors in two of its CLO offerings - LCM VII and Bryn Mawr II. Investors ultimately lost nearly $150 million in October 2008 when these two CLOs backed by leveraged loans were liquidated.

Leveraged loans issued to below investment grade corporations were frequently extended by a syndicate of lenders intending to re-sell...

Freddie Mac, complex derivatives, and one huge conflict of interest

(Jan 2012)

There have been many news reports lately describing the difficulty homeowners have had in refinancing their mortgages. Many decry the strict requirements imposed on them by Fannie Mae and Freddie Mac, the massive taxpayer-owned-but-ostensibly-nongovernmental mortgage financing firms. Well today, NPR and ProPublica are reporting that Freddie Mac bet billions that many homeowners would not be able to refinance their mortgages.

Now that's a conflict of interest. Other outlets have begun to...

Interest Rate Swaps

(Jan 2012)

In this blog post, we will discuss a particular kind of over-the-counter (OTC) derivative instrument called interest rate swaps. This post is meant as a broad stroke and an introduction to interest rate swaps. In the future, we plan to have additional posts about specialized interest rate swaps, case studies of particular interest rate swaps and on the pricing of interest rate swaps.

Interest rate swaps are customizable bilateral (involving two parties) agreements wherein one party exchanges...

FINRA Regulatory Notice: Complex Products

(Jan 2012)

FINRA recently released Regulatory Notice 12-03: Heightened Supervision of Complex Products, outlining their increased scrutiny of a wide variety of alternative investments including structured products, inverse or leveraged exchange traded funds, and asset-backed securities. Here at SLCG, we've done research on each of those subjects, and have a variety of ongoing projects that bear directly on the issues highlighted by the Notice.

The products identified include:

Asset-backed...

WSJ on the 'sophisticated investor' defense

(Jan 2012)

The Wall Street Journal's Financial Advisor blog has a new article on the 'sophisticated investor' defense in securities litigation. This defense is typically used by defendants (usually banks or investment houses) in response to claims against them related to suitability of complex investment products. It boils down to the assertion that because a claimant has a high net worth, he or she is capable of understanding and willing to assume the risks of even extraordinarily complex strategies....

NY Times on the Hosier decision

(Jan 2012)

The New York times has an article about the MAT and ASTA products sold by Citigroup that were the subject of a $54.1 million award in Denver last April. SLCG provided expert testimony and analysis for the claimants in this case, including assessing the MAT/ASTA products at issue, and we are excited that the Times has drawn attention to these highly risky investments.

The MAT and ASTA products were hedge funds that implemented a leveraged municipal bond arbitrage strategy. Essentially,...

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