The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Numerix to Provide Lehman Brothers Holdings with Valuations for its Outstanding Derivatives Contracts

Over a year after the collapse of the investment bank, Lehman Brothers Holdings (LBHI) has selected Numerix to provide it with independent real-time valuations for its one million outstanding derivatives contracts. According to the valuations vendor, the deal is one of largest and most comprehensive valuations projects of its kind to date.

Steven O’Hanlon, president and chief operating officer of Numerix, says that the signing of the vendor is a critical step in unwinding LBHI’s derivatives book and the ultimate reconciliation of outstanding creditor claims. He calls the deal “the most unique and unquestionably the largest valuation deal in history” and explains that the vendor will be working with LBHI’s derivatives team on the mandate.

“Numerix brings the best capabilities and focus to providing LBHI with a single platform and the analytics necessary for the ultimate resolution of its intercompany accounts and the integration of existing legacy systems,” O’Hanlon claims.

Daniel Ehrmann, managing director of Alvarez & Marsal and co-head of LBHI’s Derivatives Asset Team, which will be working with the vendor, explains that it was selected after a full review of the available solutions on the market. “Lehman performed an extensive search to identify a partner that could provide the analytics and technology capable to value the depth and breadth of derivatives products that were transacted in the Lehman derivatives portfolios. It became clear that Numerix was best positioned not only to provide LBHI with the valuations we need to resolve derivatives claims, but also to flex the market inputs and transaction terms to ensure that those valuations are reasonable,” he elaborates.

LBHI selected Numerix to accelerate the resolution of intercompany accounts and systems and resolve derivative claims. The Numerix team of on site financial engineers sit side by side with LBHI traders and risk managers and provide ad hoc, real-time valuation services along with software support and project management. Numerix is actively aggregating existing trade information from all of LBHI’s legacy systems onto a single platform – Numerix Portfolio – and providing independent valuations on the entire LBHI book.

The selection of Numerix was approved by the US Bankruptcy Court, Southern District of New York (Manhattan) in April this year.

A lot of column inches have been devoted to the impact of Lehman’s failure on the market over the last 12 months but there has been very little detailed coverage of the unwinding process. This valuations deal is part and parcel of this process and it indicates the scale of the data management challenge that has resulted from the events of last year.

Related content

WEBINAR

Recorded Webinar: Evolution of data management for the buy-side 2021

The buy-side faced a barrage of regulation in 2020 and is now under pressure to make post-Brexit adjustments and complete LIBOR transition by the end of 2021. To ensure compliance and ease the burden of in-house data management, many firms turned to outsourcing and managed services. But there is more to come, as buy-side firms...

BLOG

Fund Administration Services Provider EFA Selects NeoXam Impress Regulatory Edition

EFA, a provider of administrative services to the fund industry in Luxembourg, has selected NeoXam’s Impress Regulatory Edition hosted with NeoXam-as-a-Service to help meet its regulatory goals. EFA was already using NeoXam GP, the vendor’s back-office investment accounting tool, and selected Impress Regulatory Edition as it needed a dedicated platform to industrialise operations, as well...

EVENT

Virtual Briefing: ESG Data Management – A Strategic Imperative

This briefing will explore challenges around assembling and evaluating ESG data for reporting and the impact of regulatory measures and industry collaboration on transparency and standardisation efforts. Expert speakers will address how the evolving market infrastructure is developing and the role of new technologies and alternative data in improving insight and filling data gaps.

GUIDE

Impact of Derivatives on Reference Data Management

They may be complex and burdened with a bad reputation at the moment, but derivatives are here to stay. Although Bank for International Settlements figures indicate that derivatives trading is down for the first time in 10 years, the asset class has been strongly defended by the banking and brokerage community over the last few...