PF2 Securities



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.

REPRESENTATIVE MATTERS

PF2 acts as testifying experts and as supporting consultants on a number of litigation cases, particularly in the area of structured finance. Our experts and consultants have deal-level practitioner experience, having traded, rated, modeled or otherwise consulted on several of the asset classes involved in disputes. Legal teams often benefit from our intricate understanding of deal terms, and our appreciation for market standards and practice.

A summary of our representative matters is provided below.


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2014 – Litigation Support on Various Commodities Pricing Investigations

PF2 built models to analyze the frequency, magnitude, and statistical significance of price movements in two commodities markets that are subject to allegations of manipulation.
Tag(s): Commodities; Antitrust;
2013 – Litigation Consultant for New York-based Law Firm

PF2 provides various analytical functions relating to the building of models to compare and contrast settlements achieved on related and similar RMBS litigation concerns, under a variety of assumptions.
Tag(s): RMBS;
2013 – Testifying Expert on Large Scale RMBS Case

Unable to provide further details at this time.
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2012 – Testifying Expert on RMBS Case

PF2 was hired by Bernstein Litowitz Berger & Grossmann, on the plaintiff side of a dispute alleging fraud and other claims arising from plaintiffs’ investment in a portfolio of over $1 billion of triple-A rated residential mortgage-backed securities (RMBS). The case is Dexia SA/NV, et al. v. Bear Stearns & Co. Inc., et al., 12-cv-4761 (S.D.N.Y.) (JSR)
Tag(s): Expert Witness; RMBS; Detailed;
2012 – Losses in a Bank’s Proprietary Portfolio

Assisting team in understanding the ways in which risk can be measured and monitored within the context of a large financial institution, and metrics and shortcomings around those measures (and associated disclosures).
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2012 – LIBOR-related Consulting

Working with team to help them better appreciate the potential ramifications of any (alleged) collaborative lowering of LIBOR or EURIBOR submissions.
Tag(s): LIBOR;
2012 – Structured Note Program

Engagement includes the analysis of CSO and CDS Pricing. Unable to provide further details at this time.
Tag(s): CLNs; CDOs;
2012 – TruPS CDO Dispute

Engagement includes market-value loss calculation on investment in portfolio of TruPS CDOs.
Tag(s): TruPS CDOs; CDOs;
2012 – Testifying Expert on CDO Management Case

Expert on a case disputing the adequacy of CDO manager’s resources, and the effectiveness of various (structural) mechanisms on a manager’s incentives, behavior and performance. Prepared expert rebuttal report. Requirement(s): familiarity with (i) CDO management standards; (ii) evolution of managerial behavior and industry practice for the relationships between underwriters and managers, and the potential for improper influence; (iii) relevant market participants’ expectations of CDO managers and their role(s) in the credit selection process; and (iv) deal structures and collateral management fee structures and incentives associated therewith.
Tag(s): Detailed; CDOs; Expert Witness;
2012 – Testifying Expert on Structured Note Program / CLN / Synthetic CDOs

PF2 was hired by Kirby McInerney, representing the plaintiffs in a dispute pertaining to plaintiffs’ investment in over $150mm in notes issued by the program. Plaintiffs allege that defendant(s) engineered the note program, which it marketed as a safe and conservative investment, to fail, investing the money into synthetic collateralized debt obligations linked to risky companies, including subprime mortgage lenders and Icelandic banks, while actively shorting the same assets and betting against their clients. The case is Dandong et al v. Pinnacle Performance Limited et al, 10-cv-08086-JMF-GWG
Tag(s): Detailed; Expert Witness; CLNs; CDOs;
2012 – TruPS CDO Arbitration Dispute

PF2 was hired by Kessler Topaz Meltzer & Check, to opine on appropriate trading levels of trust preferred (TruPS) CDO securities, at certain times leading up to and during the financial downturn. PF2 considered general market conditions and relevant comparables in estimating trading levels for this illiquid, opaque asset class. The parties reached a settlement agreement prior to arbitration.
Tag(s): Detailed; TruPS CDOs; CDOs;
2011 – Testifying Expert on CRE CDO Dispute

PF2 was hired by law firm Jones Day, representing an indenture trustee, on a dispute concerning the most appropriate categorization of certain assets within a CDO, taking into account indenture terminology and market standards and practices. PF2 examined the deal’s language, with all key details redacted, and constructed an independent report contemplating the proper characterization of the securities. PF2 expert also provided testimony by deposition in this case. U.S. Bank National Association v. Barclays Bank plc, et al., Case No. 11-CV-9199 (U.S. District Court, S.D.N.Y.)
Tag(s): Detailed; CDOs; CRE CDOs; Expert Witness;
2011 – ABS CDO Case

Working with legal team to help them discern information that would have been readily available and known to sophisticated investors from information that would not have been known in respect of the mortgage securitization process and the re-securitization of mortgage-backed securities (MBS).
Tag(s): CDOs; ABS CDOs;
2011 – ABS CDO Case

PF2 was hired by law firm Shearman & Sterling, representing an investment bank that was a defendant on a dispute concerning the structuring and sale of an ABS CDO. PF2 reviewed email exchanges between bankers and market participants, and primarily consulted on market practices in the construction, ramping-up and marketing of ABS CDO securities and warehousing of the collateral, and market standards in the interaction between arranging banks and rating agencies. Case settled out of court.
Tag(s): Detailed; CDOs; ABS CDOs;
2011 – CLO Fund Valuation Dispute

Unable to provide further details at this time.
Tag(s): CDOs; CLOs;
2011 – Structured Investment Vehicle (SIV) Case

Unable to provide further details at this time.
Tag(s): CDOs; SIVs;
2011 – CDO Case

Working with legal team to help them better appreciate the material conflicts inherent in the structuring and management of a portfolio of CDO securities. Analyzing opportunities for adverse selection of portfolio assets, and the possibility for material omissions, or fraudulent concealment, in the disclosures made.
Tag(s): CDOs;
2011 – ABS CDO Case

Working on behalf of legal team to clarify the importance of certain disclosures made, and the relevance of certain Congressional testimony to the case in point. Considered the effect of the mortgage loan due diligence process on the outcome of RMBS and ABS CDO ratings; and the dependence of the ratings methodologies on the adequacy of the due diligence process.
Tag(s): CDOs; ABS CDOs;
2011 – Fund-of-Funds Disclosure Case

Acting as consultant to California-based defendant in a case disputing the adequacy of disclosures made to investors in a fund. Working with legal team to ensure they have an analytical appreciation for the product-specific jargon, and legal parlance, associated with said disclosures.
Tag(s): Hedge Funds;
2010 – CDO Case

Consulted on the adequacy of disclosures made to a small financial institution in relation to their purchases of a portfolio that included CDO securities. Analyzed, among other things, the implementation of rating agency methodologies and the eligibility of assets included in the deals’ underlying portfolios. Studied the current performance of the portfolio of bonds. Requirement(s): familiarity with CDO indentures; deep knowledge of rating agency CDO methodologies and the construction of CDO models.
Tag(s): CDOs;
2010 – Testifying Expert on Large Scale CLO Litigation Case

Hired by defendant’s counsel, Brune & Richard LLP, representing private equity firm Patriarch Partners, in a breach of contract action brought by bond insurer MBIA. Plaintiff MBIA had sought over $100 million in a breach of contract action. The structured finance fact pattern was extraordinarily complex and included disputes about rating agency methodology. In issuing his decision in favor of the defendant, the trial judge stated that “[PF2’s expert] was the most authoritative and credible of the experts with respect to the issue of the rating process and the ratability of the [notes].” MBIA Insurance Corporation v. Patriarch Partners VIII, LLC. (New York Southern District Court, Case No. 1:09-cv-03255) (Read more)
Tag(s): Detailed; CDOs; CLOs; Expert Witness;
2010 – Preferred Securities Case

Acted as consultant to plaintiff on a dispute involving the suitability, relative to the client's requirements, of certain investments made by a large broker-dealer. Requirement(s): broad knowledge of the liquidity concerns inherent across various structured finance asset classes; ability to compare and contrast, from a statistical and market trading-level perspective, the relative performance of similar investments; examination of relevant broker-dealer research; knowledge of the default and recovery characteristics of securities involved in dispute.
Tag(s): Preferred Securities;
2010 – Expert Report on ABS CDO Case

Produced expert report that contemplates the relevance of certain bank documents, and communications, to the risk analysis and structuring of an RMBS CDO. China Development Industrial Bank v. Morgan Stanley, case number 650957-2010, New York State Supreme Court (Manhattan) (Read more)
Tag(s): Detailed; Expert Witness; CDOs; ABS CDOs;