Valuation & Risk Assessment

Portfolio Management

Financial Modeling

Transaction Support

Analytics and Reporting

Risk and Strategic Advisory

 

Valuation & Risk Assessment

  • Market pricing and intrinsic valuation
  • Cash flow projection under different economic scenarios
  • Stress testing process design and implementation
  • Portfolio stratification and triage
  • Risk-Weighted Assets (“RWA”) and related capital calculations

Case Studies:

  • Engaged by the Central Bank of Ireland to perform loss forecasts and risk diagnostics across the Irish banking system.
  • Provided a Global Systemically Important Financial Institution (G-SIFI) with market valuations, estimated unwind costs, and strategic recommendations related to a portfolio of ~5,000 derivative positions.

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Financial Modeling

  • Asset-specific models for wide range of loans, securities, and derivatives
  • Bespoke asset level modeling
  • Timing of principal loss and interest shortfall
  • Statistical regression analysis
  • Model validation

Case Studies:

  • Engaged by the Bank of Greece to perform a bottom-up risk assessment of the domestic banking sector, projecting losses across 18 banks.  Project required development of bespoke loss models across multiple asset classes and macroeconomic scenarios.
  • The Federal Home Loan Bank System (FHLB) engaged FMA to validate private label MBS security models in support of the fulfilment of regulatory compliance and reporting requirements.

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Analytics and Reporting

  • Periodic reports outlining progress against client objectives
  • Asset stratification and risk cohorting
  • Data extraction, organization, and management
  • Data verification
  • Collateral surveillance, ongoing risk reporting

Case Studies:

  • Provide European bank with daily reporting and risk analysis on a €10 billion legacy portfolio of structured and non-structured assets, including a bespoke breakeven calculation to assess economic value of holding assets to maturity.
  • Engaged by a £15+ billion UK pension scheme to provide customized quarterly risk reporting. Reports consolidate analytics from 15 different managers, focusing on a variety of asset classes.  Key reports include portfolio risk, absolute asset value, stress testing and scenario analysis, portfolio downgrade / upgrade analysis, and maturity profile.

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Portfolio Management

  • Short-term liquidations
  • Long-term workouts and portfolio disposition
  • Cash reinvestment
  • Contingent management
  • Structural solutions beyond "hold" vs. "sell" recommendations
  • Decision support: e.g., enforcement of legal rights, advice on deal liquidation, support of commutations, etc.

Case Studies:

  • Selected by the Federal Reserve Bank of New York to manage assets in three special facilities ("Maiden Lane vehicles") provided in connection with JP Morgan's purchase of Bear Stearns in March 2008 and actions taken in support of AIG in September 2008.
  • Structured and arranged for the purchase of $22 billion of U.S. residential mortgage backed securities from UBS by an FMA-managed fund.
  • Support a European bank in the management and execution of a €7 billion divestment portfolio consisting of US and EMEA structured-finance assets.

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Transaction Support

  • Merger, acquisition, divestiture, and other corporate action due diligence support
  • Wind-down strategy for portfolios or business units
  • Bad bank structuring: conceptual design and execution support
  • Secured funding and other funding solutions

Case Studies:

  • Engaged by a top-10 universal bank to provide valuation and transaction support in the sale of an operating subsidiary and accompanying $12 billion non-core loan portfolio. FMA performed initial valuation, bespoke loss modeling on esoteric assets, and multi-month cross-functional due diligence. Results were presented to prospective bidders and creditors, with opportunity for personalized Q&A and "open architecture" use of FMA models.
  • Engaged by a major European bank to wind-down a $10 billion portfolio comprised of non-agency RMBS and other structured product positions over a six-week period. FMA additionally provided individual line item valuations on a weekly basis under base and stress scenarios.

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Risk and Strategic Advisory

  • Capital management and balance sheet strategy
  • Hedging solutions and execution support
  • Asset- and portfolio-level loss mitigation and value preservation strategies
  • Support for interaction with rating agencies, regulators, and other stakeholders

Case Studies:

  • Hired by a European central bank to perform quantitative risk assessment and qualitative best practice review covering over €30 billion in emerging market assets held by the largest domestic banks. Presented results and findings to the central bank, national bank regulator, and the subject banks.
  • Advised a variety of governments and central banks in the US and Europe on the creation of state-sponsored vehicles for legacy or distressed assets, and strategies for excising troubled assets from bank balance sheets. Offered input on methodologies, respective pros/cons, as well as tactical considerations.

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