Allianz Structured Alpha
Retained in connection with institutional investor litigation arising from the collapse of Allianz Structured Alpha, involving options strategies, volatility exposure, hedging and risk governance.
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Derivatives
Derivatives Expertise Built on Firsthand Market Experience
CMRA brings decades of direct experience in derivatives trading, structuring, valuation, hedging and risk management to complex disputes, advisory engagements and regulatory matters.
Firsthand Experience
01
Trading & Structuring
02
Valuation & Hedging
03
ISDA & Market Practice
04
Risk Management
Practitioner Experience
Built by Practitioners Who Helped Shape the Derivatives Markets
CMRA’s derivatives expertise is grounded in firsthand experience trading, structuring, valuing, hedging and managing complex derivatives across major financial institutions and markets.
01
Leslie Rahl
Leslie Rahl launched Citibank’s caps and collars business in 1983 as an extension of the proprietary options arbitrage portfolio she managed, and later served as Co-Head of Citibank’s Derivatives Group in North America. She served on the ISDA Board and chaired the committee responsible for drafting the original ISDA Master Agreement.
02
Peter Niculescu
At Goldman Sachs, Peter Niculescu was responsible for analytics used to value and hedge derivatives and mortgage-related securities. At Fannie Mae, he became a major end-user of derivatives in hedging one of the world’s largest mortgage portfolios.
03
Frank Iacono
Frank Iacono spent more than a decade trading and structuring complex credit derivatives, including leading structured credit activities at Lehman Brothers. He later served as CEO of Cournot Financial Products, a credit derivatives product company focused on structured credit and derivatives risk.
Markets & Products
Expertise Across Major Derivatives Markets
CMRA’s experience spans the principal derivatives markets, including interest rates, credit, foreign exchange, commodities, equities and volatility, across both OTC and exchange-traded instruments.
01
Interest Rate Derivatives
Interest rate swaps · Swaptions · Caps · Floors · Interest rate options
02
Credit Derivatives
Credit default swaps · Index CDS · Credit options · Structured credit derivatives
03
Foreign Exchange Derivatives
FX forwards · FX options · Currency swaps · Cross-currency swaps
04
Commodity Derivatives
Commodity futures · Options · Swaps · Energy and metals derivatives
05
Equity Derivatives
Equity options · Index options · Equity-linked derivatives · Options strategies
06
Volatility Derivatives
VIX futures and options · Variance swaps · Volatility strategies · Options-based volatility exposure
Derivatives Disputes
Expert Analysis for Complex Derivatives Disputes
CMRA brings firsthand derivatives market experience to disputes involving transaction economics, market conduct, documentation, risk management and the measurement of financial losses.
01
Close-Out & Termination
Analysis of termination amounts, close-out methodologies, disputed marks and the economic consequences of terminating derivatives transactions, including matters arising under ISDA documentation.
02
Trading & Hedging
Assessment of trading decisions, hedging strategies, portfolio exposures and the economic consequences of derivatives positions and risk-management decisions.
03
ISDA & Market Practice
Analysis of ISDA documentation, market conventions, dealer practice and the commercial reasonableness of conduct in derivatives markets.
04
Risk & Loss Analysis
Evaluation of risk management, portfolio exposures, liquidity, collateral and the causes and measurement of losses arising from derivatives strategies.
Selected Derivatives Cases
Experience in Landmark Derivatives Disputes and Market Events
CMRA has advised clients and served as experts in significant derivatives matters involving options, volatility, valuation, close-out, leverage, market practice and risk management.
Volmageddon
Analyzed losses arising from short-volatility and options-based strategies during the February 2018 volatility shock, including hedging, liquidity, market exposure and tail-risk issues.
Lehman Brothers
Assisted multiple counterparties in Lehman-related derivatives matters involving close-out valuation, termination methodology, ISDA documentation and counterparty risk.
View case →Barclays Bank v. Devonshire Trust
Served as expert in a major dispute involving the valuation and operation of complex synthetic credit transactions during the disruption of the Canadian ABCP market.
View case →Bankers Trust
Conducted a comprehensive review of Bankers Trust’s derivatives business following major disputes involving structured derivatives sales practices, transaction economics and internal controls.
View case →Orange County
Analyzed the circumstances surrounding Orange County’s pre-bankruptcy margin calls and the interaction of leverage, structured instruments and interest-rate risk in the investment portfolio.
View case →Our Derivatives Experience
CMRA has extensive experience in the use and valuation of derivatives. During the inception of the derivatives market, Leslie Rahl’s Citibank team was responsible for the creation of collars and she traded a wide variety of derivatives actively for many years. Peter Niculescu was responsible for the analytics necessary to value and hedge derivatives while at Goldman Sachs and later became one of the largest end-users of derivatives as hedges of the Fannie Mae mortgage portfolio. Frank Iacono traded complex credit derivatives for over a decade at major market makers before founding Cournot Capital, a Credit Derivative Product Company (CDPC) that was widely considered "best in class" and successfully sold to Magnetar Capital. CMRA has provided extensive valuation and hedging analysis of derivatives in a wide variety of Risk Advisory and legal assignments. CMRA specializes in demystifying derivatives to lay audiences, Boards of Directors, lawyers, mediators and judges.
While many of our engagements are confidential, please explore some representative projects in the subcategories below.
Expert Services
- Advised clients in legal disputes regarding interpretation of 1987, 1992 and 2002 ISDA Master Agreements, providing expert perspective including the practitioner's definition of insolvency and default under ISDA
- Assisted multiple clients in the negotiation of derivatives values with the Lehman estate
- Valued a wide range of esoteric derivatives, including preferred credit default swaps, credit default swaps referencing auto-backed securities and other asset-backed securities, off-the-run index tranches, TARNs, amortizing digital non-inversion swaps on USD CMS, balance guarantee swaps, etc.
- Both a liability and a damages expert in litigation related to margin calls, valuation, and events of default on a Total Return Swap on a bespoke portfolio of loans
- Expert in a number of derivatives related disputes involving issues like CVA/FVA, exotic and bespoke transactions (FX, rates, credit, equity, commodities, etc.), tax implications of derivatives structures, and ISDA Loss and Market Quotation
- Expert in multiple litigations involving pay-as-you-go (PAUG) credit derivatives (both single name and index) referencing ABS, MBS, CDOs, CLOs, etc.
- Provided expert testimony on the complex commodity derivatives involved in Sumitomo's trading scandal on behalf of a large bank
Risk Advisory
- Advised the Board of Directors and Senior Management of several banks on risk measurement for all financial transactions, including derivatives
- Developed derivatives guidelines for several pension plan sponsors and their third party investment managers
- Assisted several financial institutions in entering/exiting the derivatives business.
Portfolio Management and Trading
- Advised dealers, brokers, end-users, regulators and lawyers on both OTC and exchange traded derivatives (swaps, options and hybrids)
- Advised multiple institutional investors on valuation of complex derivatives and CDO’s
- Assisted clients in building derivatives businesses, selling and exiting derivatives businesses and advised on the creation of derivatives product companies.
Regulatory
- Hired by the Federal Reserve, SEC, CFTC and NYS Banking Commission to conduct a comprehensive review of Bankers Trust's derivatives business