"We risk becoming the best informed society that has ever died of ignorance"
- Rubén Blades

"You can't make up anything anymore. The world itself is a satire. All you're doing is recording it"
- Art Buchwald

"It's getting exciting now, two and one-half. Think of everything we've accomplished, man. Out these windows, we will view the collapse of financial history. One step closer to economic equilibrium"
- Tyler Durden

"It is your corrupt we claim. It is your evil that will be sought by us. With every breath, we shall hunt them down."
- Boondock Saints

Sunday, December 14, 2014

Structured Paper And Crude Oil

I'm posting this here for future reference for myself but since there are 1,000s of you linked to my RSS for this blog, I will explain what I'm storing here.

Over the past week i have been contacted by big-swinging-dick crude traders who have highlighted an excessive amount of activity on the OTC market for the long-end of the oil curve.  Upon some investigation, I have found some interesting data:

  1. In Q3 2013 Barclays Issued $103.4M Note Tied To Brent.
  2. In Q2 2014 Credit Suisse cut a reverse-convertible totally $2.147M.
  3. In Q3 2014 JP Morgan issued a note with the lowest Knock-In stike I've found, $62.38.
  4. In Q2 2014 BNP Paribas cut a note that buyers of are getting smoked on.
  5. In Q2 2014 BOAML issued paper tied to Valero
There are plenty more notes I'm locating and review with our team of traders.  Thus far, Barclays appears to have come out a winner in this mess, with their clients losing north of 40% on a note due Jan 2, 2015.  The question I have isn't so much how much was issued in what months but which outlets, such as the liquidated ING Thai Fund, are allocating obscene AUM to structured note exposure?

I'm not sure what to make of this yet but if you have anything to add or have insight that would help me or correct my thinking, please reach out on Twitter to @CalConfidence.

More to come as this develops.