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

Displaying 9 out of 9 results for "Buffered".

Investors Returning to Capital-at-Risk Products

(May 2013)

Yakob Peterseil of Risk.net recently noted that "[b]anks are boosting issuance of leveraged notes linked to US equity indexes and notes that pay out when yield curves steepen." According to the article, reverse convertibles and buffered notes are seeing a resurgence as investors begin to be more optimistic about stock market growth. In addition, principal-protected structures like structured certificates of deposit and principal-protected notesare falling out of favor as attractive terms are...

Barclays' Structured Product Linked to a Basket of ETFs and Indexes

(Mar 2013)

RISK.net recently posted an article entitled "IWM urges investors to think about risk-adjusted returns" in the structured products portion of their website. The article describes in detail a Barclays product for which Institute for WealthManagement, LLC (IWM) served as the basket selection agent. Interestingly, the basket is composed mostly of ETFs, which have been appearing in structured products more frequently as the ETF industry itself has become more mature. IWM's Matt Medeiros talked...

Evolution of Absolute Return Structured Products

(Feb 2013)

From 2006 to 2009, a type of structured product known as an absolute return barrier note (ARBN) was issued by a variety of major investment banks. ARBNs are interesting because they are linked to the absolute value of the return on an underlying, not just its return, and therefore are considered non-directional bets. We've done a lot of work on ARBNs here at SLCG, including a research paper that values a sample of ARBNs and finds they are worth on average 4.5% less than their purchase price...

SEC Issues Letter Regarding Structured Product Valuation Disclosures

(Feb 2013)

Bloomberg's Kevin Dugan is reporting that the SEC has issued a letter to issuers of structured products late last week that offers guidance for the disclosures of estimated value in offering documents. The SEC letter addresses the concerns we and others have shared over the potential mispricing of structured products, which can be and are sold to retail investors -- you can read through our research papers on the topic.

The letter confirms that the SEC will require--though it is not clear...

SLCG Research: Dual Directional Structured Products [Update]

(Jan 2013)

We have significantly updated our working paper on dual directional structured products (or simply dual directionals). Since our first version of the paper, our work has been covered by RISK.net and in November of 2012 RISK.net named a dual directional as their trade of the month. The latest version of the paper is available from the SLCG website and SSRN.

In this version of the paper, we expanded our scope by studying all dual directionals registered with the SEC since 2008. We divide dual...

Structured Products Highlight: JP Morgan Reverse Exchangeable Linked to Ford

(Dec 2012)

Today we're highlighting a structured product issued on January 19, 2012 by JP Morgan. This product (CUSIP: 48125VHZ6) is a Reverse Exchangeable linked to Ford Motor Company (F). Investors who purchased the notes were exposed to the possibility that JP Morgan would default on the obligations spelled out in the note's offering documents.

This particular note offered investors monthly coupons at an annualized rate of 11.25% for the six month term of the note. If, during the term of the notes,...

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...

Dual Directional Structured Products are Risk.net's "Trade of the Month"

(Nov 2012)

Last week a UK firm called Meteor launched a "Bull and Bear Growth Plan" linked to the FTSE 100 that has a payoff similar to a structured product that has garnered significant interest recently: Dual Directional Structured Products (DDSPs). Dual directional products are Risk.net's 'Trade of the Month', and they have chosen this issue as their featured product.

Generically speaking, DDSPs pay out a positive return if the underlying index or stock linked to the product changes in value...

Buffered and Capped Closed-End Funds

(Jul 2012)

Last Friday the Wall Street Journal reported on a new product which combines features of both structured notes and closed-end funds. The eUnit 2 Year US Market Participation Trust IIwas first issued by Boston-based investment company Eaton Vance on May 30. This was the second offering by Eaton Vance of such a product: the first trust with identical name debuted on Jan 26.

Inessence, the eUnit Trust is like a structured note with capped upside potential and buffered downside loss. At the end...

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