Capital Market Risk Advisors
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Structured Finance

CMRA

 

Our Structured Finance Experience

The professionals at CMRA have extensive experience in structuring and trading structured finance product including CDOs, CLOs, structured notes and synthetic products. We have advised financial institutions and regulators on risks, hedging and valuations and have provided expert reports and testimony at court on some of the most complex financial structures.

While many of our engagements are confidential, please explore some representative projects in the subcategories below.

Expert Services

  • Served as expert on ISDA Loss evaluation for complex structured derivative (CSO) in the context of a 17 month standstill in the Canadian ABCP market
  • Served as expert in multiple litigations involving pay-as-you-go (PAUG) credit derivatives (both single name and index) referencing ABS, MBS, CDOs, CLOs, etc.
  • Evaluated PAUG credit protection purchased from monoline counterparty and calculated credit valuation adjustment based on scenario analysis of underlying cash flow structures
  • Expert in valuation of cashflow swap related to CDO backed by subprime RMBS, various ABS (credit card, aircraft, manufactured housing, and franchise receivables), and other CDOs
  • Analyzed a complex CLO and provided an expert report in a dealer/end user dispute
  • Consulting expert on hedge fund CDO litigation

Risk Advisory

  • Advised pension funds, endowments, and investment advisors about portfolio structure, risk analysis (absolute and index tracking risk), and security evaluation and selection in a range of mortgage products, CDOs, CLOs, corporate bonds, and interest rate/credit derivatives
  • Reviewed the CDO and CLO valuation and risk management approachs of several major financial institutions
  • Vetted a number of complex pricing models for CDOs, CLOs, etc.

Portfolio Management and Trading

  • Analyzed CDOs for large investment managers and recommended structuring enhancements
  • Analyzed portfolio of complex and illiquid ABS for a major broker dealer
  • Provided a "fair value" opinion to a large bank regarding illiquid securities

Regulatory

  • Reviewed marks on structured finance assets (e.g., CDOs, CLOs) in connection with a FINRA investigation
 
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