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Dr. Nguyen is a financial economist with expertise in securities and derivatives pricing, financial markets, financial investigations, and infrastructure asset valuation.

Dr. Nguyen has an extensive understanding of equity markets. She has examined market efficiency, trading behavior (including using high-frequency pricing data), and stock price movements (through the use of event studies and other valuation frameworks) in the context of shareholder class actions across different industries. Dr. Nguyen has led several project teams supporting experts examining materiality issues and loss causation, as well as estimating the quantum of damages to shareholders.

She is also at the forefront of the current discussion around the permanent discontinuation of certain key interbank offered rates (IBORs), having been part of a project team assisting the International Swaps and Derivatives Association (ISDA) in a series of industry consultations over the past two years.

Dr. Nguyen’s financial valuation experience also includes valuing early-stage companies, as well as analyzing access pricing in the context of infrastructure investments such as gas pipelines, gas processing facilities, and rail networks.

Representative Engagements
Evaluation of the price impact of an alleged third-party corrective disclosure

Led a project team evaluating the price impact of an alleged third-party corrective disclosure. Analyzed several unique aspects of the case, including the materiality of the alleged misrepresentations; the nature of the alleged corrective disclosure; and the contrast between the counterfactual disclosures and the alleged corrective disclosures, and how that impacts a loss causation analysis and the estimation of the but-for price response. Used trading records to establish that the company was the subject of a short-and-distort scheme. All claims against our client were ultimately dismissed.

Quantified damages caused by a set of alleged omissions and false and misleading representations

Quantified damages caused by a set of alleged omissions and false and misleading representations that were revealed over a series of corrective disclosures. Conducted an event study analysis to estimate price response to new information; disentangled the impact of confounding factors through an adaptation of the framework of an earnings response coefficient. Analyzed thousands of shareholders’ trading records and applied the LIFO/FIFO framework to calculate the damages for individual shareholders. Applied the trading pattern from the trading records to a generalized trading model to quantify the open-class damages.

Independent Analysis of Market Participant Responses for ISDA

International Swaps and Derivatives Association, Inc. (ISDA) retained Brattle to provide an independent analysis of market participant responses to the ISDA Consultations on technical issues related to new fallbacks for derivatives contracts that reference certain interbank offered rates. Was part of the Brattle team that reviewed market participant responses and then drafted several public reports discussing the advantages and disadvantages of the new fallbacks proposed by ISDA, as well as their potential implementation issues.

Reviewed financial disclosures of pipelines in Australia

As part of a review of the effectiveness of the framework of economic regulation applying to gas pipelines in Australia, Brattle was retained by the Department of the Environment and Energy and the Australian Energy Regulator to review the financial disclosures of 14 pipelines. Identified inconsistencies in the reported information across pipelines and over time. Assessed the usefulness of the disclosed information, and in doing so, discussed the framework to use the reported information to calculate pricing benchmarks for accessing the pipelines. Estimated the pricing benchmarks for each pipeline. Suggested recommendations to improve the consistency, clarity, and usability of future reporting.

Estimated accessing fee to a gas processing plant

In connection with a dispute over access to essential gas processing infrastructure, performed an analysis of costs, risk allocation, and investment returns related to a long-term gas supply contract. Assessed the past financial performance and modeled the future financial performance of the processing plant owner through analyzing financial statements, market prices, and production statistics. Estimated the reasonable processing fees of the plant.

Publications
Report
A Review of International Approaches to Regulated Rates of Return
June 2020
Prepared for The Australian Energy Regulator
Report
Summary of Responses to the ISDA 2020 Consultation on How to Implement PreCessation Fallbacks in Derivatives
May 14, 2020
Prepared for International Swaps and Derivatives Association (ISDA)

In this report, Brattle summarized the responses to ISDA’s February 24, 2020 consultation, 2020 Consultation on How to Implement Pre-Cessation Fallbacks in Derivatives. Brattle’s report documented that a majority of respondents supported including pre-cessation and permanent cessation fallbacks without optionality or flexibility in the amended 2006 ISDA definitions for LIBOR. In explaining their responses, several market participant respondents, including from both those who answered “Yes” and those who answered “No”, cited the need for consistency across asset classes and between cleared and non-cleared derivative markets.

Report
Anonymized Summary of Responses to the ISDA Supplemental Consultation on Fallbacks in Derivatives Referencing EUR LIBOR and EURIBOR and Other Less Widely Used IBORs
March 5, 2020
Prepared for International Swaps and Derivatives Association (ISDA)

In this report, Brattle summarized the responses to ISDA’s December 18, 2019 consultation, Supplemental Consultation on Spread and Term Adjustments, including Final Parameters thereof, for Fallbacks in Derivatives Referencing EUR LIBOR and EURIBOR, as well as other less widely used IBORs. Brattle’s report documented that the majority of market participant respondents would be able to transact using definitions for EUR LIBOR and EURIBOR (as well as other less widely used IBOR benchmarks) that incorporate fallback rates based on the same methodologies as in other benchmarks.

Report
Summary of Responses to the ISDA Consultation on Final Parameters for the Spread and Term Adjustments
November 15, 2019
Prepared for International Swaps and Derivatives Association (ISDA)

In this report, Brattle summarized the responses to ISDA’s September 18, 2019 consultation, Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives. The report documented that a majority of respondents preferred a historical median approach over a five-year lookback period, to not include a transitional period, and to not exclude outliers or negative spreads in the spread adjustment calculation.

Report
Financial Information Disclosed by Gas Pipelines in Australia: Under Part 23 of the National Gas Rules
October 2019
Report
Stakeholder Feedback on the AER's Process for the 2018 Rate of Return Instrument
June 27, 2019
Toby Brown, Nguyet Nguyen , Ben Qiu, and Nick Vernon
Prepared for The Australian Energy Regulator
News & Events
July 29, 2020
ISDA Publishes Brattle-Prepared Report on Bloomberg/ISDA IBOR Fallback Rate Adjustments Rule Book

In a July 2020 report, “Report on Bloomberg/ISDA IBOR Fallback Rate Adjustments Rule Book,” a team of Brattle consultants assessed whether Bloomberg’s implementation of the calculations and the definitions of the different terms and concepts discussed in the Rule Book are consistent with the information provided in a series of ISDA consultations and the preferences of market participants summarized by Brattle for ISDA in a series of reports.

July 27, 2020
ISDA Publishes Brattle-Prepared Summary Reports on IBOR Benchmark Fallback Rates

On May 14, 2020 the International Swaps and Derivatives Association (ISDA) published the sixth in a series of reports independently prepared for ISDA by Brattle consultants. Each of these six reports followed an associated consultation starting with the first ISDA consultation on July 12, 2018.

October 24, 2019
ISDA Publishes Brattle-Prepared Summary Report on IBOR Benchmark Fallbacks

To prepare for a permanent discontinuation of certain key interbank offered rates (IBORs), the International Swaps and Derivatives Association (ISDA) is in the process of amending its standard documentation to implement fallback rates for derivatives.