Securities & Finance

Analysis of the 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 damages rebuttal expert and the servicing 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 a half dozen cases.

Damages Analysis regarding RMBS Trustee’s Alleged Misconduct: In Phoenix Light SF Ltd., et al. v. Wells Fargo Bank, N.A., No. 14-cv-10102-KPF-SN (S.D.N.Y.), Vega supported the damages expert Dr. Ethan Cohen-Cole in analyzing the premises and assumptions of repurchase and servicing damages calculations done by plaintiffs’ expert.

Damages Analysis regarding RMBS Trustee’s Alleged Misconduct: In Commerzbank AG v. Wells Fargo Bank, N.A., No. 15-cv-10033-KPF-SN (S.D.N.Y.), Vega supported the damages expert Dr. Ethan Cohen-Cole in analyzing the premises and assumptions of repurchase and tort damages calculations done by plaintiff’s expert.

Damages Analysis regarding RMBS Trustee’s Alleged Misconduct: In National Credit Union Administration Board v. Wells Fargo Bank, N.A., No. 14-cv-10067-KPF-SN (S.D.N.Y.), Vega supported damages expert Dr. Ethan Cohen-Cole in analyzing the premises and assumptions of repurchase damages calculations done by plaintiff's expert.

Class Action Issues Regarding RMBS Trustees: In Royal Park Investments SA/NV v. Wells Fargo Bank, N.A. (S.D.N.Y No. 1:14-cv-09764) and BlackRock Allocation Target Shares: Series S Portfolio, et al. v. Wells Fargo Bank, N.A. (S.D.N.Y. No. 1:14-cv-09764), Vega supported a damages expert in analyzing the complex payment structures of the at-issue RMBS and determining the extent of heterogeneity among class members to address whether a proposed damages methodology could be consistently applied on a class-wide basis. 

Spoofing in High Frequency Trading: In USA v Vorley and Chanu (1:18-cr-00035), Vega analyzed allegations of certain traders’ spoofing conduct and evaluated calculations of alleged market harm associated with these spoofing activities.

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.

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.

Repurchase Analysis: A Vega expert was retained to provide an opinion regarding alleged breaches of representation and warranties in the loans underlying the MSM 2006-14SL and MSM 2007-4SL RMBS trusts. Specifically, the expert determined whether the alleged breaches, if true, would have resulted in a statistically significant increase in the risk for a given loan.

Comparable Performance Analysis: The Vega team supported an expert who examined the effect of the macroeconomic environment on loan defaults and assessed whether the defaults in the RMBS loan pools differed significantly from model predictions that incorporated macroeconomic variables.

Analysis of CDS Agreement on CDO: In China Development Industrial Bank v. Morgan Stanley & Co. Incorporated, et al. (N.Y. Sup. No. 650957/10), plaintiff entered into a $275 million credit default swap with Morgan Stanley on the super senior tranche of a CDO. The Vega team supported Dr. Cohen-Cole in responding to plaintiff's experts regarding risk disclosed in the offering documents as well as the CDO ratings.

Materiality Analysis of RMBS Misrepresentations: In National Credit Union Administration Board v. Credit Suisse Securities (USA) LLC, et al. (D. Kan. No. 2:12-cv-02648) and National Credit Union Administration Board v. UBS Securities, LLC, et al. (D. Kan. No. 12-cv-02591), a Vega expert used economic analysis to determine whether the allegedly misrepresented loan characteristics would have been material to the total mix of information available to an investor. This analysis withstood plaintiff’s motion to exclude.

Loss Causation Analysis: In National Credit Union Administration Board v. RBS Securities Inc., et al. (D. Kan. No. 11-cv-02340), a Vega expert was retained to analyze whether macroeconomic events were the key drivers of the unexpected defaults of loans underlying the RMBS. To do so, the expert, supported by the Vega team, performed a series of regressions as well as a sentiment analysis.

The Vega team supported the damages rebuttal expert, servicing expert, and securitization expert in the analysis and drafting of expert reports to address claims related to the obligations of an RMBS master servicer.