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

Subscribe to our newsletter

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.

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: FRTB: What still needs to be done before the global deadline of January 2023?

Date: 8 March 2022 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes While implementation of Fundamental Review of the Trading Book (FRTB) regulation has been delayed twice for reasons first of complexity and second of the coronavirus pandemic, the final deadline of January 1, 2023 is less than a year away....

BLOG

Discuss the Details of ESG Data Strategy at A-Team’s Data Management Summit USA Virtual

Interested in ESG data strategy?  Look no further than A-Team Group’s forthcoming Data Management Summit USA Virtual, which will include a session considering key issues of ESG data strategy including data sourcing and reporting, how to set up an ESG data platform, and the potential of machine learning, AI and data visualisation tools to help...

EVENT

RegTech Summit New York

Now in its 7th year, the RegTech Summit in NYC will bring together the regtech ecosystem to explore how the North American capital markets financial industry can leverage technology to drive innovation, cut costs and support regulatory change.

GUIDE

Evaluated Pricing

Valuations and pricing teams are facing a much higher degree of scrutiny from both the regulatory community and the investor community in the glare of the post-crisis data transparency spotlight. Fair value price transparency requirements and the gradual move towards a more harmonised accounting standards environment is set within the context of the whole debate...