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Frank Iacono has been a Managing Director at CMRA since 2009. He has twenty years of experience with derivatives and structured products as a consultant, structurer, trader and manager, beginning as an associate with CMRA in 1994.
Since 2009 Frank has acted as a consulting expert in litigation matters involving structured securities and derivatives, including SEC investigations related to sub-prime CDOs, disputes concerning ISDA-related claims against and liabilities to the Lehman Brothers estate, and cases involving several billion dollars of total claims arising from the financial market crisis of 2007-2009.
Prior to re-joining CMRA, Frank was CEO of Cournot Financial Products LLC (or "CFP") - a AAA rated CDPC sponsored by Morgan Stanley. CFP was a highly-successful seller of protection on senior tranches of synthetic CDOs, seen by many as "best in class." In 2007 Frank led the set-up, ratings processes, marketing and portfolio ramp-up of CFP. In 2008 Frank was critical throughout the sale process of CFP, achieving affirmation of ratings and a highly-profitable close in November. Of a total of 10 CDPCs closed and more than 20 projects started by market participants, CFP was the most successful, as measured by generation of premium in relation to portfolio quality and realized returns to its initial investor.
From 2001 to 2006, Frank worked with Lehman Brothers, initially as the trader running the credit correlation book in New York and later as the Managing Director in charge of the 12-person structuring team. Frank played a key role in building out Lehman's structured credit products business globally. His team in New York had a consistent track record of developing and executing on innovative, high-margin products that distinguished Lehman from its competitors. Moreover, the revenues of his New York business consistently ranked in the top tier of Wall Street firms, with synthetic CDO revenues growing more than 250% between 2001 and 2005. In addition to his day-to-day responsibilities, Frank also worked with the banking team covering Lehman's credit DPC clients, providing advice with respect to due diligence, business strategy and asset / liability management.
From 1998 to 2001, Frank worked with Chase as a Vice President in the structured credit products group. His work there included restructuring the first managed synthetic CLOs, procuring financing for the credit derivatives business through an innovative CP conduit, and executing credit derivative transact ions which enabled the Bank to transfer loan-portfolio risk to insurers and capital-market investors. In 2000, LANCE, a loan-risk-transfer program structured by Frank, won "Derivatives Deal of the Year" from Institutional Investor.
From 1994 to 1998, Frank worked with CMRA, where he built many of the firm's proprietary valuation models. Publicly-disclosed assignments include valuation and risk assessment of Orange County's structured note portfolio (1994), assisting in the SEC's investigation Banker's Trust's derivatives practices (1995-96) and expert witness work in the ACM versus Commissioner tax litigation (1996).
From 1991 to 1992, Frank worked with the Federal Reserve Bank of New York in capital market research. Much of his work related to interest rate and currency derivatives, which, as a rapidly-growing of area of bank activity, was of particular interest to Fed economists, examiners and managers.
Frank holds a BS in Applied Math (Summa Cum Laude) from Yale and a law degree from Harvard (Cum Laude). Frank is a licensed attorney in the State of New York.