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

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?

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

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

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...

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

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'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...

SEC Litigation Releases: Week in Review - November 11th, 2012

SEC Charges Purported Credit Union and Its Principal with Offering Fraud
November 8, 2012, (Litigation Release No. 22526)
The SEC filed a civil injunctive action against Stanley B. McDuffie and his entity, Jilapuhn, Inc (which has done business as Her Majesty's Credit Union) this week. According to the complaint (opens to PDF), from 2008 to 2012 McDuffie and HMCU enticed investors to purchase CDs "through the HMCU website and a branch office in the U.S. Virgin Islands," assuring investors that...

SEC Sues Commonwealth Advisors Over Collybus I CDO

The Securities and Exchange Commission filed a Complaint today against Commonwealth Advisors, Inc. and Walter A. Morales in connection with the Collybus I CDO offering in November 2007. See the SEC Complaint and the Collybus I CDO Offering Document.

The SEC alleges amongst other things that the Defendants used the Collybus I CDO offering to shift losses from its hedge funds by causing the CDO to purchase impaired RMBS from Commonwealth's hedge funds at values which did not reflect recent...

Back to the Future: Stock Prices Quoted with Fractions

The Wall Street Journal recently reported that the SEC is considering reverting back to an old system in which stock prices were quoted using fractions. Using fractions for stock prices in the US has its roots in a Spanish colonial currency whose smallest denomination was 1/8 of a doubloon, hence prices were quoted in eights. The NYSE, founded in 1792 within the Buttonwood agreement, modeled their listing system off the Spanish system.

The largest number used for the denominator in the...

JOBS Act Double-Take

Senator Carl Levin (D-MI) and colleagues have written two letters (here and here)to the SEC "to express [Congress's] concerns with, and offer improvements to, the Commission's Proposed Rule to implement Section 201 of the Jumpstart Our Business Startups Act (the JOBS Act)." Basically, the Senators argue that the SEC has misinterpreted the JOBS Act as allowing for widespread solicitation for private placement investments, when apparently Congress had no such intent. From the second letter:


ETFs in 529 Plans

We've talked before about the possibility that ETFs will replace mutual funds in many 401(k) retirement plans and the implications that might have for retirees. While most 401(k) plans have not yet adopted ETFs in their investment lineups, ETFs are becoming more common in another type of long-term savings plan known as a 529 Plan.

529 Plans are typically run by states and are used to save for future education expenses such as college. There are several ways to take advantage of 529 Plans. One...

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