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

Displaying 41-44 out of 44 results for "Interest Rate Swaps".

SLCG Research: Mutual Fund's Term

(Apr 2010)

SLCG released today 'What Does a Mutual Fund's Term Tell Investors?'

Bond mutual funds are classified by Morningstar as ultra short, short, intermediate or long-term. Bond mutual funds have found a way to hold long-term bonds while being classified as ultra-short or short.

In this paper, we demonstrate how the losses suffered by these funds in 2008 can be explained by the increasing credit risks of holding long-term bonds. Furthermore, we find that the classification of these funds as...

SLCG Research: Charles Schwab YieldPlus

(Jul 2009)

SLCG released today 'Charles Schwab YieldPlus Risk'

This paper reports on the Charles Schwab YieldPlus, a bond fund. YieldPlus returned -31.7% between June 2007 and June 2008. Though it told investors that it was an ultra short bond fund, it was in fact an ultra long bond fund. It held securities backed by illiquid long-term private label mortgages, violating concentration and liquidity limits stated in its prospectus. Up until 2007, these securities helped YieldPlus generate...

SLCG Research: Abuse of Structured Finance

(Jan 2009)

SLCG released today 'Regions Morgan Keegan: The Abuse of Structured Finance'.

Six Regions Morgan Keegan (RMK) bond funds lost $2 billion in 2007. In the paper, we argue that the loss was not due to 'flight to quality' or 'mortgage meltdown' but to RMK's portfolio concentration in subordinated tranches of asset-backed securities.

We also find that RMK misrepresented to investors and the Securities and Exchange Commission (SEC) in several ways. Firstly, RMK did not disclose to the SEC...

SLCG Research: Collateralized Mortgage Obligations

(Jun 2007)

SLCG released today 'A CMO Primer: the law of Conservation of Structured Securities Risk'.

Recently, the finance industry witnessed the bailout of two Bears Sterns hedge funds and the collapse of Brookstreet Securities. Both had portfolio holdings of collateralized mortgage obligations (CMOs) and suffered huge losses thereof. We have seen such CMO losses before, when in 1994 interest rates rose, CMOs fell in value and bond mutual funds suffered unexpected losses.

In this paper, Dr....

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