Securities & Finance

Analysis of LIBOR Transition: The Vega team is engaged by one of the world’s largest banks to provide consulting and research support in connection with the LIBOR transition. As part of the engagement, Vega created mapping for over 300 RMBS transactions across different data sources and analyzes the impact of LIBOR transition and COFI cessation on loans backing these transactions.

Servicing and Master Servicing of RMBS: The Vega team supported both the servicing expert and damages rebuttal expert in the analysis and drafting of expert reports to address claims related to the obligations of the servicer and master servicer of RMBS in more than half dozen cases. The servicing expert analyzed the opposing expert’s claims related to improper servicing and assessed whether the servicer and master servicer had acted in accordance with accepted servicing practices. The Vega team assisted the servicing expert in reviewing servicing files for more than 1,000 mortgage loans. The Vega team supported the damages rebuttal expert who quantitatively addressed the damages calculation by assessing the assumptions in its counterfactual scenarios and by incorporating revised inputs from the servicing expert. 

Cashflow Models and Damages Analysis: The Vega team has extensive experience supporting experts testifying on the extent of damages for a variety of cases, especially those that rely on complex payment structures and cashflow models. Vega experts develop and rebut damages models by analyzing the legal theories behind damages, the assumptions underlying the models, the inputs to the models, and the behavior of the model under a range of circumstances.

Valuation of Complex Securities: A Vega expert was retained in BlackRock Allocation Target Shares: Series S Portfolio, et al. v. Wells Fargo Bank, N.A. (S.D.N.Y. No. 14-cv-09371) to respond to plaintiffs’ expert’s proposed class-wide damages methodologies. The class of plaintiffs in this case alleged that the indenture trustee was obligated to enforce repurchase of certain loans whose alleged representations and warranties breaches materially and adversely affected the value of the loans.  The Vega expert critiqued the opposing expert’s method of valuing the RMBS tranches through the averaging method and opined that tranche value is a function of bond insurance, interest rate type, spread, credit ratings and macroeconomic conditions, all of which were ignored by plaintiffs’ expert. 

Government Investigation Regarding Due Diligence: The Vega team was retained to support an expert who analyzed the due diligence process for several hundred RMBS through the review of thousands of pre-securitization documents. The Vega expert also evaluated the disclosure of silent-second mortgages, the assignment of EV ratings, and the suitability and application of published due diligence sampling procedures.

Valuations of Fixed Income and Derivative Products: The Vega team supported an expert who was retained to analyze the effect of macroeconomic variables, changes in liquidity, and trust-specific factors such as bond insurance, interest rates, and spread in RMBS valuations. The Vega team has also supported expert's who valued derivative instruments associated with RMBS under various economic projections.

Market Maker Analysis: A Vega expert was engaged on In re: Goldman Sachs Group, Inc. Securities Litigation (S.D.N.Y. No. 1:10-cv-03461) to analyze the alleged fraud and misrepresentation in the formation of CDOs and opine on the market making and hedging activities of the defendant.

Asset Transfer in REIT Transaction: A Vega expert calculated damages suffered by a class of shareholders in a real-estate investment trust (REIT) as a result of an asset transfer. The expert, supported by the Vega team, evaluated the economic rights of the different shareholder classes as determined by the structure of the REIT.

Investment Ratings of Structured Investment Vehicles: The Vega team was retained to support three experts in a case regarding ratings of structured investment vehicles. The industry expert opined on the rating process, the finance expert analyzed and opined on the rating agency’s modelling methodologies, and the accounting expert calculated damages using an event-study methodology.