PF2 is an independent third-party consulting firm that specializes in measuring risk and improving transparency in the otherwise illiquid and opaque world of securitization.
With our keen appreciation for the various risk frameworks and rating methodologies, PF2 is regularly engaged by our clients to provide an independent opinion, as a consultant, and to perform objective assessments on the valuation of structured finance securities.
CDO Services
Fair Value and "OTTI" Analyses
PF2 focuses on evaluating the risks inherent in trust preferred collateralized debt obligations (TruPS CDOs) and corporate-backed CDOs, including CLOs and CBOs. Many of our clients deeply value the transparency we bring to the evaluation process, and the reporting options we provide under various accounting regimes, including FAS 115, 157 and EITF 99-20.
Litigation Consulting
With our structured finance backgrounds, modeling know-how, and rating agency experience, PF2 has more recently been engaged to act as expert witness or supporting consultant on several timely litigation cases.
Due Diligence
As an independent third-party, auditors and compliance teams regularly seek our objective opinion as to the appropriateness of certain regulatory capital, investment, risk and valuation frameworks. PF2 provides consulting services to financial institutions that are designing their internal risk management platforms and those considering alternative measures to relying on credit rating agencies.
Ratings Services
PF2 EvaluRating™
Provides a centralized solution for the comparison and application of ratings-dependent performance data. PF2 EvaluRating™ promotes ratings accuracy and transparency, while encouraging users to learn more about the various intricacies of different rating agencies, both big and small.
Public Sector Credit Framework (PSCF)
An open source framework for analyzing and rating sovereign, state and municipal bond issuers. It relies on a multi-year budget simulation that estimates annual default probabilities based on the likelihood of exceeding a user-specified fiscal threshold in any given year.