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Capital Market Risk Advisors

Structured Finance

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A Holistic Approach

CMRA and its principals have been involved in structured finance (including CDO's, CLO's, Muni GIC's, conduits, SPV's, SIV's, ABS, MBS and Auction Rate Preferred) for over two decades. CMRA has consulted on a wide range of issues from valuation to best practice to risk management and has been an expert witness in several high profile related matters.

Ms. Rahl is a member of the Board of Directors of the International Association of Financial Engineers (IAFE) and has been called the "Red Adair of Financial Engineering".

Select Assignments in Structured Finance

  • Expert in Canadian ABCP litigation

  • Valued complex structured products in counterparty bankruptcy for several SPV's

  • Advised a major dealer on valuations of over 40K level 2 and level 3 credit and mortgage derivatives in a counterparty bankruptcy

  • Evaluated market risk management of Structured Finance business for large European bank

  • Consulting expert on hedge fund CDO litigation

  • Expert in a litigation related to margin calls, valuation, and events of default on a Total Return Swap on a bespoke portfolio of loans

  • Valued a portfolio of 200+ non-agency RMBS and provided an expert report in a regulatory investigation

  • Expert in an ABCP litigation

  • Vetted many complex pricing models for CDO's, CLO's, etc.

  • Valued a portfolio of complex structured investments for a major insurance company planning an acquisition

  • Provided an expert report in a inter-dealer dispute over interpretation of asset swap and repo agreements

  • Reviewed CDO valuation practices for several institutional clients

  • Analyzed CDO's of a large investment manager and recommended structuring and risk management enhancements

  • Reviewed the CLO valuation and risk management approach of a major broker/dealer

  • Advised a major asset manager in the selection of MBS/CMO pricing and risk management systems

  • Analyzed valuations in a litigation relating to margin calls on an MBS hedge fund for a large broker/dealer

  • Reviewed the CLO valuation and risk management approach for a major broker/dealer

  • Analyzed portfolio of complex and illiquid ABS for a major dealer

  • Provided valuation and market practice expert report and testimony in Askin/Granite Funds meltdown

  • Provided a "fair value" opinion to a large bank regarding illiquid, structured securities

  • Analyzed a complex CLO and provided an expert report in a dealer/investor dispute

  • Analyzed CDO's for a large investment manager and recommended structuring enhancements

 
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