Valuation of Structured Notes in Lehman Bankruptcy

David K. A. Mordecai served as a technical advisor to the Unsecured Creditor Committee (“UCC”) in the Lehman Brothers bankruptcy proceedings. In this capacity, his role involved technical oversight and peer review for a valuation team conducting independent analysis on behalf of the UCC with regard to an extensive portfolio of structured notes with complex payoffs referencing equity, credit, interest rates, and currencies. The valuation of this exotic structured note portfolio, with a notional amount outstanding in excess of $15 Billion, involved evaluating path-dependent Monte Carlo simulation models that incorporated both econometric analysis of historic market data and market implied forward prices.