Autocallables Part IV: Issuers' Day-1 Value Mischief
(Mar 2024)
By Craig McCann and
Mike Yan
Earlier this week we posted about the $122 billion in autocallable structured products sold in the past 4 years, mostly issued by UBS, Goldman Sachs, JP Morgan, Citigroup and Morgan Stanley. You can read that post here.
We illustrated features of autocallables with reference to the five notes linked to the stock price of Lucid issued by Credit Suisse and Citigroup in a post available here and pointed out a particularly poorly timed issuance by Citigroup linked...
Autocallables 2024 Part III: SVB, Really?
(Mar 2024)
By Craig McCann and
Mike Yan
On Monday, we documented that $122 billion in autocallable structured products have been sold in the past 4 years, mostly issued by UBS, Goldman Sachs, JP Morgan, Citigroup and Morgan Stanley. You can read our first note on autocallables here.
Yesterday, we illustrated features of autocallables with reference to the five notes linked to the stock price of Lucid issued by Credit Suisse and Citigroup. You can read our second note here.
Today, we point...
Autocallables 2024 Part II: Lucid-linked Notes
(Mar 2024)
By Craig McCann and
Mike Yan
Yesterday, we described the rapid growth in Autocallable structured products; $122 billion have been sold in the past 4 years. You can read our first post on autocallables here.
In this, our second, post, we illustrate features of autocallables with reference to the five notes linked to the stock price of Lucid.
Our third post, available here, highlights a Silicon Valley Bank linked autocallable sold by Citigroup after the close on March 9, 2023 right...
Autocallables 2024 Part I
(Mar 2024)
By Craig McCann and
Mike Yan
Introduction
We have published extensively on structured products over the past 20 years. We published two papers dealing specifically with autocallable structured products - one in 2011 and one in 2015.[1] Since 2015, while we were focused on other research projects, the issuance of autocallable structured products has exploded, issuers have become more creative, the variety of products has proliferated and the potential for investor harm has increased...
Howard Capital Management Funds Charge High Fees to Misuse Leveraged ETFs
(Jan 2024)
By Craig McCann and Susan Song
You can download a copy of this note to print or email here.
Introduction
Howard Capital Management ("HCM") is a SEC-registered RIA based in Roswell, GA.[1] In addition to advising individual accounts,
it manages mutual funds and ETFs. It claims to use proprietary technical analysis, HCM-BuyLine(R), to market-time the funds' asset allocations.
Without any risk disclosure, HCM's mutual funds buy and hold leveraged ETFs for much longer periods than is...
Blackstone is Watching Us and Just Admitted a Major Misrepresentation
(May 2023)
By Craig McCann and
Regina Meng
You can download a pdf of this article to print or email here.
BREIT this week eliminated a prominent marketing graphic touting inflated after-tax yields and tax-equivalent yields after we pointed out that it was false and misleading.
In December 2022 we predicted a run on BREIT and then in April 2023 we identified 7 major areas in which we believe Blackstone and BREIT have been misleading investors.
Blackstone's Choice: Let BREIT Crash or...
Blackstone Fiddles as BREIT Burns
(Apr 2023)
By Craig McCann and Regina Meng.
You can download a pdf of this article to print or email here.
Introduction
In December, we argued that Blackstone Real Estate Income Trust ("BREIT") smoothed and inflated its reported returns for years, leading to large investor inflows. [1] We predicted that a run on the bank had started because of Blackstone's prior conduct, leaving it with two very bad options. BREIT could honor redemption requests at posted NAVs and see its NAV cut in half as the NAV...
YES Strategies: Know to say no
(May 2019)
In recent years, low yields in the bond market and low volatility in the equity markets have combined to give brokerage firms the excuse to develop and sell "Yield Enhancement Strategies (YES)" to retail investors. These strategies almost always consist of selling options on the S&P 500. The sale of an option garners a premium but places the seller (the retail investor) in a short option position. Being short on a call or put option is a risky place to be. In the best-case scenario, the...
Material Misrepresentations in XIV's Prospectus Led to $700 Million in Losses
(Mar 2018)
Executive Summary
Credit Suisse's XIV Exchange Traded Note (ETN) linked to the inverse of short-term VIX futures prices lost 97% of its value or approximately $2 billion in a single day on February 5, 2018. Credit Suisse announced the following morning that it would redeem all outstanding XIV shares at the Closing Indicative Value on February 15, 2018.1
Figure 1 reports the daily closing price for XIV from its inception in November 2010 to its demise in February 2018. The run-up in 2017...
Investors "Strangled" by LJM Preservation and Growth Fund (LJMIX)
(Feb 2018)
The stock market began the month of February on a roller-coaster. During the 6 trading days from Friday, February 2nd to Friday, February 9th, the Dow Jones Industrials had intraday swings of at least 330 points each day. On four of those six days the Dow incurred 1,000 point swings.
Amidst the dramatic market swings two weeks ago, the LJM Preservation and Growth Fund stands out. The Fund plummeted over 80% (from a price of $10.34 to $1.94) in two days. See Figure 1.
Figure 1. LJM Preservation...
