Hedge Fund Focus

PF2 Securities Evaluations, Inc.

• Website: http://www.pf2se.com/
• Location: 48 Wall Street, Suite 1100, New York, NY 10005
• Phone: +1 212.918.4943
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Description From Website:

CDO Evaluations

In our position as a disinterested, third-party source of CDO evaluations, PF2 aims to provide the consistency, reliability and communication that market participants seek amid challenging economic conditions.

PF2 offers its services to pension funds, insurance companies, investment managers, special purpose vehicles and other market participants who seek an unbiased opinion on the value of their securities, or an extra eye on their portfolio and its inherent risks, be they credit-related or document-driven.

Our evaluations benefit from the high priority we afford to quantitative analysis, by regularly adapting our modeling assumptions to reflect current market developments and changing economic conditions. Thus, our evaluations rely heavily on market observables, and feedback received from our clients and other market professionals.

Each evaluation also reflects qualitative assessments including, for example, our opinion of collateral manager quality, our interpretation of ambiguous document terms and our view of asset management trends.

PF2’s evaluations draw upon several key sources of expertise:

• Our experience analyzing structured finance securities, especially structuring, rating and investing in CDOs;
• Our direct access to key market participants and to intelligence about market developments and the latest supply and trading levels;
• Our surveillance of market research regarding both structured finance securities and the underlying assets securing them; and
• Our knowledge of how structural developments in CDOs over time have affected CDO performance.

Consulting Services

We are working, or have worked, to:

• Improve the current regulatory framework for structured finance securities, particularly insofar as reforming the credit rating agencies is concerned;
• Help our clients gain an improved understanding of both the meanings of different rating systems and the methodologies that go behind these ratings; and
• Help our clients achieve a greater appreciation of the various intricacies in each deal’s supporting documents, and an increased awareness of the types of on-going surveillance, stress testing, and risk management efforts that may be expected of them – with respect to the CDO itself and/or its underlying assets — in accordance with, among others, IOSCO’s Good Practices in Relation to Investment Managers’ Due Diligence When Investing in Structured Finance Instruments,” the MFA’s “Sound Practices for Hedge Fund Managers,” or AIMA’s “Guide to Sound Practices for European Hedge Fund Managers.”

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