Valuation & Model Review

Valuation and Model Review

Representative engagements undertaken by FRA affiliates

• For a pension fund--provided independent valuation of synthetic CDOs of corporates

• For a large North American commercial bank--constructed models the CRO’s office was able to use to value and risk manage CDOs of ABS, independent of the trading desk

• Assisted an insurance regulator in evaluating the portfolio of guarantees an insurance company wrote on CDOs of ABS: Obtained the market-implied probabilities that the insurance company would have to pay a claim and the magnitude of the expected claim

• Provided a fairness opinion to the Board of Directors of a large European bank regarding the sale of a large portfolio of illiquid securities: Valued portfolios of tranches of ABS, tranches of CDOs of ABS , tranches of CDOs of corporates, tranches of CDO2 of corporates and tranches of CDO2 of corporates and ABS

• Provided independent values for a small group of hard-to-value securities for an insurance company

• Assisted a large European bank in putting in place models and processes for valuing its portfolios of RMBS and its portfolios of CDOs of ABS

• For a bulge-bracket investment bank--provided the external review of its probability of default models that were submitted to its regulator