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.
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Derivatives Risk Advisory
Independent Perspective on Derivatives Risk and Strategic Decisions
CMRA helps financial institutions, Institutional Investors and other market participants understand derivatives exposures, strengthen governance and evaluate strategic decisions involving derivatives portfolios and businesses.
01
Exposure & Risk
Independent assessment of derivatives exposures and the risks created by portfolio structure, hedging, leverage, liquidity, collateral and changing market conditions.
Portfolio exposures
Stress and liquidity risk
Collateral and concentration
02
Governance & Frameworks
Advising Boards and Senior Management on derivatives oversight, risk measurement and the policies and control frameworks used to govern derivatives activity as well as overall portfolios.
Board and Senior Management oversight
Derivatives policies and guidelines
Risk controls and governance
Risk Standards for Institutional Investment Managers and Institutional Investors
03
Strategic Decisions
Supporting institutions evaluating significant derivatives strategies and business decisions, including entering, restructuring, expanding or exiting derivatives activities.
Business entry and exit
Product and operating model review
Independent strategy assessment
CMRA has advised dealers, pension plan sponsors, asset managers, hedge funds, insurance companies, corporations and other Institutional Investors on derivatives risk management, investment guidelines and the development, restructuring and exit of derivatives businesses.
Derivatives Regulatory
Experience Under Regulatory Scrutiny
CMRA has supported significant regulatory reviews involving derivatives trading, sales practices, valuation, risk management and market conduct, bringing practitioner experience to complex questions of market practice and institutional controls.
Featured Regulatory Matter
View Bankers Trust case
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Bankers Trust
CMRA was retained in connection with a comprehensive review of Bankers Trust’s derivatives business following major disputes concerning structured derivatives sales practices, transaction economics, risk management and internal controls.
Federal Reserve
Securities and Exchange Commission
Commodity Futures Trading Commission
New York State Banking Regulators
01
Sales Practices
Review of structured derivatives transactions, customer interactions and the economics and presentation of complex products.
02
Risk & Controls
Assessment of derivatives risk management, valuation practices, governance and the internal control environment surrounding trading activities.
03
Market Practice
Evaluation of derivatives conduct and business practices in the context of prevailing market conventions and industry standards.