Our Asset-Backed Securities Experience
The professionals at CMRA have extensive hands-on experience trading and managing portfolios of asset-backed securities and their related derivatives. We have expertise in products ranging from auto and credit card receivables, to home equity loans, aircraft leases and student loans. We have experience assessing the credit-worthiness of the underlying assets, and valuing, hedging and trading the securities.
While many of our engagements are confidential, please explore some representative projects in the subcategories below.
- Served as expert on ISDA Loss evaluation for thinly-traded and esoteric credit derivatives referencing auto-loan backed securities
- Served as expert on ISDA Loss evaluation for complex structured derivative (CSO) in the context of a 17 month standstill in the Canadian ABCP market
- Analyzed a complex CLO and provided an expert report in a dealer/end user dispute
- Consulting expert on hedge fund CDO litigation
- Expert in multiple disputes involving valuation of ABS/MBS portfolios in liquidation
- Advised pension funds, endowments, and investment advisors about portfolio structure, risk analysis (absolute and index tracking risk), and security evaluation and selection in a range of mortgage products, CDOs, CLOs, corporate bonds, and interest rate/credit derivatives
- Reviewed the CDO and CLO valuation and risk management approachs of several major financial institutions
- Vetted a number of complex pricing models for CDOs, CLOs, etc.
Portfolio Management and Trading
- Analyzed CDOs for large investment managers and recommended structuring enhancements
- Analyzed portfolio of complex and illiquid ABS for a major broker dealer
- Provided a "fair value" opinion to a large bank regarding illiquid securities
- Evaluated reasonableness of an intercompany transfer of MBS/ABS for several pension plans
- Reviewed marks on asset-backed securities (e.g., CDOs, CLOs) in connection with a FINRA investigation