A selection of certain of our representative matters, that can be disclosed at this time, is provided below.
Litigation Support on RMBS Trust Analyses
PF2 was hired by a US-based law firm to study the statistical connection between the post-issuance performance of compliant vs. non-compliant loans, as measured by the trustee in the Final Day Exception Report, across various RMBS trusts.
Testifying Expert in Dispute Concerning CLO Management Firm
PF2's expert was hired by counsel representing the claimant in an arbitration proceeding that concerned, among other things, collateral management duties in the context of CLOs. The arbitration panel found in favor of the claimant. Claimant's counsel endorsed PF2's contributions, commenting that "PF2's expert was everything you want in an expert witness: knowledgeable, likeable, and credible. He took extremely complex issues and broke them down into understandable pieces for the fact-finder. We are so thankful that we had PF2 in our corner."
Litigation Support on Sovereign and Sub-Sovereign Debt Trading Concern
PF2 consulted on measures of efficiency and liquidity in the primary market for agency securities. PF2 analyzed differences in cited measures, and their respective reliability, including order-book bid-ask spreads and transaction-level data sets.
Litigation Support on Rates and Derivatives Market Investigation
PF2 was hired by government regulatory agency to analyze trading activities in a foreign market, including the impact of movements in the vanilla market on the traded derivatives and any implications on demand/supply mechanics.
Testifying Expert and Litigation Consulting on UK-based CPDO Case
PF2 was hired by London-based law firm Stewarts Law LLP, representing certain German, Austrian and Swiss banking, finance and insurance groups in a 'UK first' case seeking recovery from the ratings agency, as well as the arranging bank, for losses caused by AAA-rated complex financial products sold before the financial crisis. The investors purchased 10 year constant proportion debt obligation (CPDO) notes. Experts from PF2 were hired to assist counsel in reverse-engineering and interpreting bank and rating-agency code from pre-crisis models and to provide expertise on market norms as part of the structured finance structuring and ratings process. The case settled out of court.
Fund Pricing and Asset Allocation Procedures
PF2 consulted on the applicability and extent of damages (if any) to groups of investors, based on a fund manager's pricing, trading and allocation processes.
Litigation Support on Allocation and Sale Techniques in Municipal Bond Markets
PF2 reported to counsel on considerations of market practice and norms in the trading or sale of new-issue state and municipal bonds, and issues of disclosure and the appropriateness thereof.
Litigation Support in High Frequency Trading (HFT) Damages Analysis
PF2 consulted for US-based law firm on the possible damages resulting from an alleged form of market manipulation, argued to move the market for certain government bonds and derivatives thereof. PF2 analyzed market size, market structure, and the estimated movement created by the alleged misconduct.
Litigation Support on Banking Environment / TruPS CDO Matter
PF2 investigated the change in nature and investment conditions within the community and regional bank space generally, and specifically in conjunction with a securitization supported by bank credits.
Litigation Support on Various Commodities-Pricing Investigations (Benchmarks)
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.
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.
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)
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).
Working with team to help them better appreciate the potential ramifications of any (alleged) collaborative lowering of LIBOR or EURIBOR submissions.
Structured Note Program
Engagement includes the analysis of CSO and CDS Pricing. Unable to provide further details at this time.
TruPS CDO Dispute
Engagement includes market-value loss calculation on investment in portfolio of TruPS CDOs.
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.
Testifying Experts 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
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.
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.)
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).
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.
CLO Fund Valuation Dispute
Unable to provide further details at this time.
Structured Investment Vehicle (SIV) Case
Unable to provide further details at this time.
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.
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.
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.
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.
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)
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.
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)
Fixed Income Analyses
The team at PF2 was instrumental in guiding us through the structured finance ratings process, helping us resurrect and interpret the complex computer code delivered to us in this litigation, and rebuilding the credit models that would have been relied on at the time.”
PF2’s expert “was the most qualified and credible of the experts” and “the most authoritative … with respect to the issue of the rating process and the ratability of the [notes].”