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 dchance@lsu.edu 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 |
Updated: June 5, 2014