Organizations Reporting Derivatives and Risk Management Losses

This list is compiled and maintained by Don Chance, Louisiana State University.  It reflects to the best of our knowledge and research efforts all organizations that have formally announced derivatives losses.  There are almost certainly some errors and omissions.  Please email me at for corrections and addenda.  I will attempt to keep this list current.

Each link is to one article that discusses the losses.  Some of the linked articles might not be the best.  I am open to suggestions.  If you do want to add an incident, please provide a link to an article.  Without some verification, I do not feel I can add the incident.

Also, I would like to note that it is questionable about whether some of these losses are truly derivatives losses but they are all undoubtedly losses from bad risk management.  For example, Orange County's losses involved the use of leveraged repurchase agreements to ramp up the risk of Treasury security purchases.  Traditional derivatives were not truly a factor in that story.  Nonetheless, I have included Orange County and some other cases here because they have a number of things in common with these other stories and are worth studying.  As many of these stories show, derivatives are not required to blow up organizations.


Organization (Year) Size of Losses Transactions Involved
Bankhaus Herstatt (1974) $620 million general (settlement risk)
First Boston (1987) $100 million bond options
Merrill Lynch (1987)  £377 million mortgage-backed securities
State of West Virginia (1987) $0.28 billion fixed-income and interest rate derivatives
Hammersmith and Fulham (1988)  £500 million swaps
Allied Lyons (1991)  £150 million currency options
Belgian Finance Ministry (1992) $300 million misc. derivatives
Dell Computer (1992) $8 million currency options and forwards
Metallgesellschaft (1993) $1.3 billion energy futures
Showa Shell Sekiyu (1993) ¥165 billion currency options and forwards
Air products and Chemicals (1994) $113 million interest rate and currency swaps
Arco Money Market Plus Fund (1994) $22 million misc. derivatives
Askin Capital Management (1994) $600 million repurchase agreements and mortgage derivatives
Bank of Montreal's Harris Trust and Savings Bank (1994) $51.3 million mortgage derivatives
Cargill Minnetonka fund (1994) $100 million mortgage derivatives
Caterpillar Financial (1994) $13.2 million interest rate caps and swaptions
Chemical Bank (1994) $70 million currency derivatives
Codelco (1994) $207 million copper futures
Community A Management (1994) $44 million structured notes
CS First Boston Investment Management (1994) $ 40 million misc. derivatives
Dell Computer (1994) $34.6 million options and leveraged swaps
Federal Paper (1994) $19 million currency derivatives
Gibson Greetings (1994) $20 million interest rate swaps
Glaxo (1994)  £115 million mortgage derivatives
International Family Entertainment (1994) $2 million misc. derivatives
Investors Equity Life Insurance Co. of Hawaii (1994) $90 million bond futures
Kashima Oil (1994) $1.5 billion currency derivatives
Kidder Peabody (1994) $0.08 billion government bonds
Mead (1994) $12.1 million interest rate swaps
Odessa College (1994) $11 million mortgage derivatives
Orange County, California (1994) $1.6 billion leveraged repurchase agreements
Paine Webber Bond Mutual Fund (1994) $33 million mortgage derivatives
Piper Jaffray Cos. (1994) $700 million mortgage derivatives
Portage County, Ohio (1994) $8 million mortgage derivatives and structured notes
Procter & Gamble (1994) $157 million interest rate and currency swaps
Sandoz (1994) $78.5 million misc. derivatives
Sears (1994) $237 million swaps
Shoshone Indian Tribe (1994) $5 million mortgage derivatives
Three Farm Credit System Banks (1994) $23 million structured notes
Barings PLC (1995) £900 million stock index futures and options 
Capital Corporate Federal Credit Union (1995) $126 million mortgage derivatives
Connecticut Pension fund (1995) $25 million mortgage derivatives - interest only strip
Daiwa Bank (1995) $1.1 billion bonds
Escambia County (1995) $19 million mortgage derivatives
First Capital Strategists (1995) $128 million stock index futures
Five Clients of Morgan Stanley (1995) $28 million forwards, options, repurchase agreements
MCN Corporation (1995) $10 million forwards
Postipankki (1995) $110 million mortgage derivatives and strucutres notes
State of Wisconsin Investment Board (1995) $95 million currency and interest rate swaps
Sumitomo Bank (1995) $1.8 billion copper futures
The Common Fund (1995) $137.6 million stock index futures 
Westchester Jewish Center (1995) $0.63 million mortgage derivatives
AT&T Pension Fund (1996) $150 million options and leveraged swaps
BZW (1996) £11.5 million currency derivatives
Seita (1996) $29.8 million currency swaps
JP Morgan/SK Securities (1997) $55 million swaps
NatWest (1997) £90 million interest rate options
Long Term Capital Management (1998) $4.6 billion interest rate and equity derivatives
Massachusetts Pension Reserve (1998) $12 million misc. derivatives
Union Bank of Switzerland - UBS (1998) CHF950 million misc. derivatives
Griffin Trading (1999) $3.5 million stock options
Sussex Futures (1999) $1 million futures
BAWAG (2000) €1.4 billion foreign exchange trading
Manhattan Investment Fund (2000) $0.4 billion short stocks during internet bubble
American Express (2001) $370 million collateralized debt obligations
Asia Pulp and Paper (2001) $220 million swaps
Dexia Bank (2001) €0.3 billion corporate bonds
National Australia Bank (2001) $1.75 billion mortgage derivatives
AIB/Allfirst (2002) €690 million foreign exchange options
Allied Irish Bank (2002) $691 million currency options
Banca Popolare di Intra (2002) €40 million collateralized debt obligations
Natexis Banques Populaires (2002) $30 million exotic equity options
Aman Capital (2004) $43 million stock index derivatives
China Aviation Oil (2004) $550 million energy derivatives
China National Cotton Reserve Corp. (2004) $72 million cotton futures
Freddie Mac (2004) $4.48 billion mortgage related derivatives
Hypo Groupe Alpe Adria (2004) €0.3 billion futures
National Australia Bank (2004) A$360 million currency options
Belize (2005) $3 million currency swaps
Bema Gold (2005) $30.2 million gold forward
GLG Partners (2005) $2.5 billion credit derivatives
NIBC Petercam Derivatives (2005) €60 million exotic equity options
State Reserves Bureau (2005) $200 million copper futures
Amaranth Advisors (2006) $6.5 billion gas futures
Bank of Montreal (2007) CAD680 million natural gas derivatives
Calyon (2007) $350 million credit derivatives
Carnegie Investment Bank (2007) $100 million misc. derivatives
Morgan Stanley (2007) $9 billion credit default swaps
WestLB (2007) €604 million common and preferred shares
Aracruz (2008) $2.13 billion currency derivatives
Berkshire Hythaway (2008) $7.5 billion credit default contracts and equity index put option contracts
CITIC Pacific (2008) HK$14.7 billion currency forward contracts
Deutsche Bank (2008) $1.8 billion misc. derivatives
Goupe Caisse d'Epargne (2008) €600 million misc. derivatives
Gruma (2008) $684 million exchange rate derivatives
MF Global (2008) $140 million wheat futures
Morgan Stanley (2008) $120 million credit-index options
Sadia (2008) $1.05 billion FX and credit options
Société Générale (2008) €4.9 billion European index futures
OeBB-Holding AG (2009) €613 million collateralized debt obligations
HQ Bank (2010) $143 million misc. derivatives
Fannie Mae (2011) $4.8 million misc. derivatives
SeaDrill (2011) $330 million interest rate swaps
Libyan Investment Authority $1 billion misc. derivatives
UBS (2011) $2 billion equities ETF and delta 1
Berkshire Hythaway(2012) $693 million misc. derivatives
Hannover (2012) €81.6 million inflation swaps
JP Morgan (2012) $5.8 billion credit default swaps
MetLife (2012) $1.3 billion interest rate derivatives
Network Rail (2012) £251 million misc. derivatives
Bank of America (2012) $10 million options
Ranbaxy (2013) $1 billion foreign currency hedges
Monte Dei Paschi di Siena (2013) €730 million misc. derivatives


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Updated:  June 5, 2014