Structured products structurers never sleep, and it has now become obvious why, as the latest brand-spanking new, hot-to-trot product leaves the design table and enters the market. Presuambly, this one will capture the imagination of that great new, indexable subset - the oldies. And it goes like this ... or so says our special hedge fund contact:

Investment Dealers are excited to announce the newest structured finance
product - Constant Obligation Leveraged Originated Structured
Oscillating Money Bridged Asset Guarantees (Colostomy Bags). Designed
to accommodate the most sophisticated investment strategies, Colostomy
Bags contain the equity tranches of Structured High Interest Taxable
Derivatives, or Shit, and are leveraged an infinite amount of times
through the innovative use of derivatives.

"Its an actively managed, unlimited liability, open ended investment
with no maturity date, which pays Libor plus 5,000bp and has no
correlation to traditional investments" said a spokesman for the
Investment Dealer who engineered the product. "It's based on a CDO
structure, but it's designed to default BEFORE the first coupon payment,
which you'll agree has no correlation with stodgy traditional
investments and is a perfect fit for portable alpha scams, er,
strategies." Following the default, each month more leverage is added to
the structure to pay for the coupon and the Dealer's fees which are set
at 80%. "We feel the fees are reasonable, given the adrenaline rush
you'll get each month attempting to mark these."

The Colostomy Bags carry a AAAA rating, based on the rating agencies
opinion that they are even safer than Treasuries. "You can't use
traditional credit analysis to value these babies, no sir-ree" said a
spokesman for a rating agency. "Just like Icelandic Banks, we give them
the highest rating because you just know that the Fed will bail out all
the hedgies who buy these things..remember like Long Term Capital? And
the best part is, the beauty of this structure is that the loss given
default is NEGATIVE, so by extension we feel that the CDS will trade
through Treasuries." Inhaling deeply on a fatty, he continued "We've
been tinkering with our model, which served us well for Enron and the
Telecoms in '02, and our stress testing shows that the probability of
loss in the senior tranche is close to zero."

The model, constructed of a wishing well, Joseph Jett's trading blotter,
and drawings of Unicorns then collapsed in a heap. "Well, back to the
drawing board!" he cackled. A real money investor, huddled on the
windowsill outside his office, said he remained optimistic about holding
the Colostomy Bags but was a bit concerned with the 95% decline in value
on the first day they traded. "We've taken a bit of a haircut on these
but I'm waiting to see the first servicer report, which should arrive in
a few months. At first I was annoyed that the dealer who sold them to me
refused to make a market in them, but that makes my job easier since I'm
not tempted to sell."

We located a hedge fund manager at a due diligence meeting in the VIP
room at Score's. He said he was sceptical of the structure at first but
was dared into buying it by a fixed income salesman. "He said to me,
'what's wrong with you, its quadruple A rated, just buy it, what are you
a pussy?' He also said it was going into 'an index', although he didn't
say which one, but I felt that I had to buy it. And that was good enough
for me, bro'."

As indecision mounts, and we wait for the great and the rested to return from Europe's Summer break, all eyes on on what happens next ... but does the image below tell the story we are all waiting hear?

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In a shameless, but also marvellous piece of promotion, Roger Shashoua has created what will be surely provide the underlying for what will surely be the deal of the decade, give or take a few sizzle sticks and olives.

Who is Roger Shashoua? He’s the wealthy the Russian specialist you haven’t (quite) yet heard of, and he has written a book – ‘Dancing With The Bear’ – which claims to be the how-to guide to making millions in Russia. And British entrepreneur, Shashoua has come up with the idea of linking the alcohol content of cocktails to the success of Russian companies, with the stated aim of highlighting the importance of Russian business in Britain.

To provide this valuable and volatile underlying, Shashoua has teamed up with the Potemkin Vodka Bar in London’s fashionista haunt Clerkenwell. From September 3 – next Monday – you can slurp down such titillating fancies as The OAO Tatneft Shashouroshka, The Rostelecom Communication Communist, The Evraz Steely Dan, The MMC Norilsk Nickel Nickeltini, or the charmingly named Surgutneftegas ‘Surgut’ Sunrise.

What happens next? Well, each Monday, the share prices of the companies attached to each cocktail is sought: for those that have gone up, up goes the alcohol content in the drink, and yet the price – a middling £4.95 – remains the same.

Booze filled Britain can only prepare to stumble ever more precariously down the street as Russian fever adds the necessary flames to the fire. Shashoua signs off his press release stating that his conclusion is that there are still opportunities to get “seriously rich” in Russia. At least now we know where to spend it.

First structurer to create a structured product with this as an underlying will get a pint of Guinness and a packet of Salt ‘n Vinegar, until we can catch up with this latest dose of sound life advice from the sophisticati.