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.


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