Mortgage Backed Securities (MBS) | Subprime — CMRA
Capital Market Risk Advisors
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Mortgage-Backed Securities (MBS)

CMRA

 

Our Mortgage-Backed Securities Experience

Mortgage-backed securities are a focus of specialization at CMRA. Peter Niculescu ran the Fannie Mae mortgage portfolio from 2003 until 2008, a portfolio that ranged in size from $725 billion to $950 billion. He had previously been head of Goldman Sachs Mortgage Research, developing state of the art analytics and providing continual analysis and commentary. His expertise includes Agency conforming MBS as well as subprime and Alt-A Private Label MBS and Commercial as well as Residential MBS. He has particular expertise in both the analytical underpinnings of MBS as well as the practical application and limitations of analytics for hedging and valuation.

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

Expert Services

  • Provided expert report in dispute involving repo liquidations and Private Label MBS (PLMBS) valuation during the financial crisis
  • Served as expert in litigation involving a $20 billion portfolio of Agency CMOs funded through repo
  • Analyzed the issues in a litigation matter relating to margin calls and the liquidation of a hedge fund with significant mortgage-backed and emerging market exposures
  • Expert in multiple MBS investment fund litigation matters
  • 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
  • Provided valuation and market practice expert report and testimony in Askin/Granite Funds meltdown
  • Provided expert reports and testimony for a variety of disputes and investigations involving the analytical modeling of Agency and non-Agency RMBS

Risk Advisory

  • Advised institutional investors on stress testing and risk management of mortgage-related investment portfolios
  • Advised broker dealer and diversified financial clients on level 2 and level 3 pricing of mortgage derivatives

Portfolio Management and Trading

  • Advised money market fund concerning "breaking the buck" as a result of investments in mortgage-backed "kitchen sinks" in 1994
  • Advised buy-side clients on risk-return framework for mortgage-related acquisitions
  • Advised buy-side clients on hedging of mortgage-related interest rate exposure and funding of mortgage-related acquisitions

Regulatory

  • Advised broker-dealer on regulatory matters
  • Expert in the valuation of illiquid ABS/MBS in an ERISA matter
 
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