LCH.Clearnet and OTCDerivnet have wound down Lehman Brothers $9 trillion of OTC interest rate swap positions.
The central counterparty and interest rate derivatives forum had to deal with 66,390 trades across five major currencies.
The companies announced that the management of the default involved:
At default (Monday, 15 September 2008) the default management group (member firms form part of this group on a rotating basis) seconded preassigned and experienced traders to work alongside LCH.Clearnets risk management team to apply hedges and neutralise the macro level market risk on the defaulter portfolio. All participants adhered to strict confidentiality rules throughout the process.
The risk positions were reviewed daily and further hedges were executed in response to changing market conditions.
From Wednesday, 24 September to Friday, 3 October, the competitive auctions of the five hedge currency portfolios were successfully completed.