Retained by Berman Tabacco
Vega was retained in its consulting capacity to investigate the GSE bond market. The investigative analyses we performed included: detailed review of "riskless principal" transactions, comparison of the bid-ask spread before-and-after certain key dates, the price changes occurring on and shortly after offer day and the spread relative to matched U.S. Treasury bonds, as well as the price impact of off-the-run bond prices on "on-the-run" bond prices.
For all our analyses, we utilized the "enhanced, historical TRACE data" product from the Financial Industry Regulatory Authority ("FINRA"), a private, self-regulatory organization that monitors broker-dealers and maintain the TRACE system. The TRACE data we used includes identification of primary market transactions versus secondary market transactions, precise trade sizes, precise time stamps and fields that enable the identification of "riskless principal" transactions.