Numerix was selected by Lehman Brothers Holdings Inc. (LBHI) to provide independent real time valuations in the largest, most comprehensive derivatives valuation project of its kind, to date. The signing of Numerix is a critical step in unwinding LBHIs derivatives book and the ultimate reconciliation of outstanding creditor claims.
“Lehman performed an extensive search to identify a partner that could provide the analytics and technology capable to value the depth and breadth of derivatives products that were transacted in the Lehman derivatives portfolios,” says Daniel Ehrmann, managing director of Alvarez & Marsal and cohead of LBHIs Derivatives Asset Team. “It became clear that Numerix was best positioned not only to provide LBHI with the valuations we need to resolve derivatives claims, but also to flex the market inputs and transaction terms to ensure that those valuations are reasonable.”
LBHI selected Numerix to accelerate the resolution of intercompany accounts and systems and resolve derivative claims. The Numerix team of on-site financial engineers sit side-by-side with LBHI traders and risk managers and provide ad hoc, real-time valuation services along with software support and project management. Numerix is actively aggregating existing trade information from all of LBHIs legacy systems onto a single platform Numerix Portfolio and providing independent valuations on the entire LBHI book. The selection of Numerix was approved by the U.S. Bankruptcy Court, Southern District of New York (Manhattan) in April of 2009.
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