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The US Securities and Exchange Commission (SEC) investigated and brought a case against a collateralized debt obligation (CDO) investment manager and its president in federal court in New York. The SEC alleged that ICP Asset Management, related entities, and ICP President Thomas C. Priore engaged in fraudulent practices and misrepresentations that caused the CDOs they managed to overpay for securities. The SEC also alleged that ICP and Mr. Priore improperly obtained fees and undisclosed profits at the expense of the CDOs and their investors.

NERA Chairman Dr. Andrew Carron was retained by the SEC as an expert in the case to provide advice on the role and compensation of a CDO collateral manager, the extent to which the interests of senior investors in a CDO and the interests of the CDO manager are aligned, and conditions in the housing market in 2007 and 2008. In particular, Dr. Carron was asked to analyze whether purchases and sales of securities were conducted at market prices and, to the extent that the CDOs transacted at off-market prices, determine the economic consequences for the CDOs and investors.

NERA performed a detailed review of the CDO's structures and purchases of securities. NERA compared the CDO's trades to available market data using a variety of econometric tools. Dr. Carron submitted three reports to the court in 2011. The key challenges of the case were, while dealing with complex and incomplete data, to build persuasive and reliable analyses to help the SEC and the trier of fact in understanding the economic issues relevant to the investigation. NERA's analyses indicated that the CDOs transacted at off-market prices and Dr. Carron calculated the resulting investor losses.

On 10 September 2012, the SEC announced that ICP Asset Management and Mr. Priore agreed to a final judgment ordering them to pay more than $23 million to settle the agency's charges. The settlement amount corresponds to investor loss calculations in Dr. Carron's reports.