Built Lehman Brothers' certificate business

an activity far richer than just plain certificates:


Soon after joining Lehman, I was given the responsibility of developing the newly-started certificate business. This activity was suffering from a lack of:

  • Equipment - e.g. dividend forecasting, capital cost estimation, pricing infrastructure, secondary market quotation infrastructure

  • Volumes - due to the absence of good products and distribution force

  • Margin - with paradoxically the reputation of being expensive


  • Negotiated tax levels and capital costs through an existing Joint Venture with Equity Finance

  • Created an Excel infrastructure to (1) forecast dividends (2) price certificates in the context of variable tax levels and capital costs (3) quote automatically a secondary market onto Reuter and Bloomberg

  • Agreed a compromise with the Derivatives Sales to exchange customer requests and feedback against aggressive pricing. With efficiency, openness and transparency, this agreement turned over time into a mutual TRUST

  • Never rejected a price request however large or small, simple or complex, thus allowing to increase the diversity of products, increase their complexity and ultimately their margin. Some features eventually tackled were among others: open-end, multiple and variable gearing, total return performance, continuous margining, unstable underlyings, global underlyings, long-short underlyings, underlyings  driven by unknown black-boxes, large and/or unusual  indices (ex: SXXR) 


As a result of these efforts, the desk now:

  • Manages $ 600 Mn of assets, has studied over 150 different products in 2002, has achieved $6 Mn PL in the first half of 2003, and is able to provide with a very diverse panel of structures - some bearing 6% margin

  • Operates the certificate business as a flow activity - efficient pricing, efficient secondary market

  • Receives price requests and interests not only from all of the Derivatives Sales teams in Europe (e.g. London, Zurich, Frankfurt, Milan), but also from the rest of the global franchise (Asia, Americas) as well as other administrative origins (Private Client Services, Investment Banking)