Interest Rates

• Responsible for hedging the interest rate risk of portfolios ranging up to $1,000 billion in size

• Provided consulting services on valuations, hedging, risk management and appropriateness of interest rate volatility and variance swaps

• Provided forensic analyses in several ISDA Fix disputes

• Expert in arbitration on the business decisions in entering a swap vs. other alternatives

• Expert in the use and valuations of swaptions

• Expert in the use and valuation of exotic options, for example:

  • Binary/digital options

  • Bermudan options

  • Range options

  • Barrier options

• Provided consulting services on the valuation and hedging of binary options

• Provided consulting services on slope of the yield curve options

• Expert on valuation in event of default of municipal swaps

• Was hired by the Federal Reserve, SEC, CFTC and NYS Banking Commission to conduct a comprehensive review of Bankers Trust’s derivatives business

• Provided expert testimony for a large European bank in an arbitration regarding the valuation and profitability of an unusually long-term exotic option

• Provided an expert report and testimony in a Federal Tax Court regarding a complex derivatives structure

• CMRA serves as both a liability and a damages expert in regard to several derivatives transactions

• Advised on issues related to losses incurred in short duration bond fund

  Orange County

• Analyzed the circumstances surrounding Orange County’s margin calls (pre-bankruptcy) and blew the whistle, (see WSJ article re: CMRA’s bailout effort)

  Bankers Trust

• Was hired by the Federal Reserve, SEC, CFTC, and NYS Banking Commission to conduct a comprehensive review of the derivatives business of Bankers Trust post Proctor & Gamble/Gibson Greetings

  Breaking the Buck

• Advised money market fund concerning “breaking the buck” as a result of investments in mortgage backed “kitchen sinks” in 1994

• Provided an expert report and testimony in a Federal Tax Court case regarding a complex derivatives structure 

• Provided an expert report in an inter-dealer dispute over interpretation of asset swap and repo agreements

US Treasury yield curve as of Nov 30, 2022