Lehman's swaps start to move 22 September 2011 SIBOSToronto Reporter: Anna Reitman
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Some half a million Lehman swaps have started to get processed using a “central valuation solution”.
Legacy Asset Management Company (Lamco), a fully owned subsidiary of Lehman Brothers with the aim of “maximising value over time for the firm’s less liquid legacy assets”, has migrated its vast complex swaps portfolio onto one core derivatives platform and gone into production.
Immediately after the Lehman collapse three years ago, numerous systems across the firm’s derivatives, bank debt, real estate and commodities portfolios meant trades were extremely challenging to unwind. Nine months ago, development began on the necessary central platform that would store Lamco’s large legacy portfolio with the capability of organising the data going forward.
“[Lamco] gave us an aggressive timeline, nine months for 500,000 trades because they wanted quicker time to market to maximise the value of their obligations for settlement,” said Gordon Chan, director of global marketing at Calypso Technology, the company providing the platform. “With Calypso, they are able to perform valuation on a normalised, consistent basis.”
Speaking on the sidelines of the Sibos payments and settlements conference, Chan notes that the platform, Calypso SaaS, is a service hosted environment which allows the firm to outsource the management of applications and infrastructure, as well as support of their technology platform.
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