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

Displaying 441-450 out of 693 results

Importance of Timing in Structured Products

(Nov 2012)

We've been looking through some historical issuances of structured products recently and we happened to come across a peculiar product issued by Morgan Stanley in September 2008. The product (CUSIP: 617483664) offered investors bearish exposure to the S&P 500. In other words, if the S&P 500 level declines as of the valuation date of the notes, then the product would exhibit a positive return.

Not only was the return positive if the S&P 500 went down, but it was leveraged six times -- capped...

SEC Litigation Releases: Week in Review - November 30th, 2012

(Nov 2012)

SEC v. John H. Pamplin, Jr.
November 29, 2012, (Litigation Release No. 22550)
According to the complaint (opens to PDF), former TurboChef Technologies, Inc. employee John H. Pamplin, Jr. traded with insider information regarding TurboChef's pending acquisition by The Middleby Corporation in 2008 which resulted in a $68,000 illicit profit. According to the SEC, Pamplin violated the Exchange Act. The SEC seeks "permanent injunctive relief, disgorgement, pre-judgment interest, and civil...

SEC Charges KCAP Financial with Overvaluing Assets

(Nov 2012)

The SEC alleges that KCAP Financial, a publicly traded business development company (BDC), did not accurately report the fair value of its corporate debt and collateralized loan obligation (CLO) assets during the financial crisis, thereby misleading investors. According to the press release, KCAP valued some of their assets at cost, not at fair market value, overstating the net asset value by over 25% during the peak of the financial crisis.

BDCs are similar to REITs in that they hold...

Structured Products Highlight: UBS Autocallable Linked to JOY

(Nov 2012)

Today we're highlighting a structured product issued on July 25, 2012 by UBS. This product (CUSIP: 90269T574) is a Trigger Phoenix Autocallable Optimization Security linked to Joy
Global Inc. (JOY). Since this product is issued by UBS, purchasers of the notes were exposed to the possibility that UBS would have been unable to meet the obligations spelled out in the note's offering documents.

This particular note offered investors quarterly coupons (annualized rate of 12.84%) if JOY's stock...

Can Non-Financial Firms Issue Structured Products?

(Nov 2012)

The simple answer is yes. Structured products are for regulatory purposes corporate debt--that's why they are vulnerable to the credit risk of their issuers. In theory, any firm that can issue corporate debt could issue a structured product, and could link that structured product to any underlying asset it choose. In practice, no non-financial firm has done so in the US (to our knowledge), as there hasn't been a compelling reason for them to do so.

But according to Vita Millers at Risk.net, ...

SEC Litigation Releases: Week in Review - November 23rd, 2012

(Nov 2012)

Brian Stoker Found Not Liable
November 21, 2012, (Litigation Release No. 22541)
On July 31, 2012, the United States District Court for the Southern District of New York found Brian H. Stoker, former Citigroup Global Markets Inc. employee, "not liable for violations of the Federal securities laws related to the issuance of a $1 billion collateralized debt obligation (CDO) called Class V Funding III." The SEC did not appeal the verdict, and "the time for appeal has expired." The SEC filed its...

Structured Products Highlight: Buffered SuperTrack Linked to the S&P 500

(Nov 2012)

Today we're highlighting a structured product issued on September 30, 2011 by Barclays. This product (CUSIP: 06738KWL1) is a Buffered SuperTrack Note linked to the Standard & Poor's 500 (S&P 500) index.

This particular note offered investors exposure to the S&P 500 with buffered protection if the index declines over the term of the note. Specifically, if the index level is not more than ten percent below the initial level at maturity, investors receive their entire principal investment. An...

Do Leveraged ETFs Contribute to Share Price Volatility?

(Nov 2012)

We've talked a lot about leveraged and inverse Exchange Traded Funds (LETFs)and the problems that can arise from their rebalancing. A recent paper from a group at York University asks two simple but interesting questions: does this rebalancing affect the volatility of the underlying assets? If so, can a sophisticated trader exploit that effect to achieve excess returns?

On the first question, the authors find two main results. First, the directional trades LETF providers and counterparties...

SEC Litigation Releases: Week in Review - November 16th, 2012

(Nov 2012)

BP to Pay $525 Million Penalty to Settle SEC Charges of Securities Fraud During Deepwater Horizon Oil Spill
November 15, 2012, (Litigation Release No. 22531)
According to the complaint (opens to PDF), BP p.l.c misled investors by understating the flow rate of oil that was escaping from its Deepwater Horizon oil rig in 2010. According to the SEC, while BP reported the flow rate was about 5,000 barrels of oil a day, it had "at least five different flow rate calculations, estimates, or data...

Structured Products Highlight: Reverse Exchangeable Linked to Apple

(Nov 2012)

We here at SLCG have been working on research reports to educate investors concerning recent offerings of structured products. We've talked a lot about structured products on this blog and we wanted to start describing the features of individual products and how we analyze their value.

Today we're highlighting a structured product issued in August 2012 by JP Morgan. This product (CUSIP: 48125V4K3) is a Reverse Exchangeable Note linked to Apple stock (AAPL). Reverse exchangeables -- also known...

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