Valuation of a portfolio of credit derivatives

Brattle worked on behalf of a hedge fund manager in a case against the estate of Lehman Brothers related to the valuation of a portfolio of complex derivatives, following the latter’s filing for Chapter 11 protection. Brattle supported an academic expert, who opined on the reasonableness of the methodology that the hedge fund manager (the non-defaulted counterparty) used to value its claims on the portfolio. Our team analyzed the contemporaneous credit market conditions at the time of the Lehman bankruptcy, and in the context of the relevant ISDA Master Agreements between the two parties. The court found favorably for our client.