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

Displaying 561-564 out of 564 results for "Interest Rate Swaps".

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...

FINRA Investor Alert: Auction Rate Securities

(Nov 2008)

Auction Rate Securities: What Happens When Auctions Fail

The Financial Industry Regulatory Authority (FINRA) published an Investor Alert on auction rate securities (ARS). This provides quite a thorough background on ARS, their auction mechanism and risks of failure, alternatives to ARS, and redemption and liquidity issues.

ARS are issued widely by institutions ranging from closed-end mutual funds, municipalities to student loan trusts. ARS are long-term floating rate securities whose...

FINRA Investor Alert: Cat Bonds

(Apr 2008)

Catastrophe Bonds and other Event-Linked Securities

The Financial Industry Regulatory Authority (FINRA) published an Investor Alert on catastrophe bonds, or 'cat bonds'. Cat bonds pay higher interest rates compared to the equivalent corporate bonds.

However, there are risks involved in holding cat bonds. Investors of a cat bond can lose interest and principal if the catastrophe, to which the bond is linked, occurs. Cat bonds are quite illiquid, the pricing information are generally not...

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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