derivaten risico emir - cfa institute...derivaten risico emir author: kris wulteputte created date:...
TRANSCRIPT
Derivatives are financial weapons of mass destruction.
- Warren Buffet
…undoubtedly improved national productivity growth and standards of
living. - Alan Greenspan
Based on the BIS Semi-Annual Derivatives Statistics end June 2012 World GDP estimate from the IMF World Economic Outlook Database
in USD million
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Source: Bloomberg
Nominaal USD (2012) Onderneming Instrument Jaar Wie
USD 9 bn USD 8.67 bn Morgan Stanley Credit Default Swaps 2008 Howie Hubler
EUR 4.9 bn USD 6.95 bn Société Générale European Index Futures 2008 Jérôme Kerviel
USD 6.5 bn USD 6.69 bn Amaranth Advisors Gas Futures 2006 Brian Hunter
USD 4.6 bn USD 5.85 bn LTCM Interest Rate and Equity Derivatives 1998 John Meriwether
USD 5.80 bn USD 5.80 bn JPMorgan Chase Credit default swaps 2012 Bruno Iksil
JPY 285 bn USD 3.46 bn Sumitomo Copper Futures 1996 Yasuo Hamanaka
BRL 4.62 Bn USD 2.43 bn Aracruz FX Options 2008 Isac Zagury, Rafael Sotero
USD 1.7 bn[12] USD 2.38 bn Orange County Leveraged bond investments 1994 Robert Citron
DEM 2.63 bn USD 2.28 bn Metallgesellschaft Oil Futures 1993 Heinz Schimmelbusch
JPY 166 bn USD 2.14 bn Showa Shell Sekiyu FX Forwards 1993
JPY 1536 bn USD 2.09 bn Kashima Oil FX Forwards 1994
USD 2 bn USD 1.83 bn UBS Equities ETF and Delta 1 2011 Kweku Adoboli
HKD 14.7 bn USD 1.82 bn CITIC Pacific Foreign Exchange Trading 2008 Frances Yung
GBP 827 mio USD 1.78 bn Barings Bank Nikkei Futures 1995 Nick Leeson
USD 1.8 bn USD 1.74 bn Deutsche Bank Derivatives 2008 Boaz Weinstein
Source: Wikipedia
Data Source: Bloomberg
April 10 was the first trading day in London after the “London Whale” articles were
published.78 When the U.S. markets opened (i.e., towards the middle of the London trading day),
one of the traders informed another that he was estimating a loss of approximately $700 million
for the day. The latter reported this information to a more senior team member, who became
angry and accused the third trader of undermining his credibility at JPMorgan. At 7:02 p.m.
GMT on April 10, the trader with responsibility for the P&L Predict circulated a P&L Predict
indicating a $5 million loss for the day; according to one of the traders, the trader who circulated
this P&L Predict did so at the direction of another trader. After a confrontation between the
other two traders, the same trader sent an updated P&L Predict at 8:30 p.m. GMT the same day,
this time showing an estimated loss of approximately $400 million. He explained to one of the
other traders that the market had improved and that the $400 million figure was an accurate
reflection of mark-to-market losses for the day.
Report of JPMorgan Chase & Co. Task Force Regarding 2012 CIO Losses, p.64
In USD Trillion Ult 2012
The combined nominal derivatives position of JPM en BoA equals 9x US GDP.
Derivatives / Equity 393x
Derivatives / Equity 278x
Source: IMF Working Paper WP/12/282, Fig 4 p. 37 – Data for ult. 2009
Source: IMF Working Paper WP/12/282, Table 1 p. 11 – Data for ult. 2009
Numbers between brackets: market share
Institution
Collateral
postings for
CDS (a)
Payments
Sec Lending
(b) Total
As a share
of capital
end 2008 c)
Goldman Sachs 8.1 4.8 12.9 29.1%
Société Générale 11.0 0.9 11.9 28.9%
Deutsche Bank 5.4 6.4 11.9 37.4%
Barclays 1.5 7.0 8.5 20.0%
Merrill Lynch 4.9 1.9 6.8 77.4%
Bank of America 0.7 4.5 5.2 9.1%
UBS 3.3 1.7 5.0 25.2%
BNP Paribas … 4.9 4.9 8.3%
HSBC 0.2 3.3 3.5 5.3%
12.0 [18.1%]
in USD billions
[memo: Bank of America after its merger with
Merill Lynch]
OECD Journal: Financial Markets Trends, Vol 2011 - Issue 1
(a) Direct payments from AIG through end 2008 plus payments by Maiden Lane III
(b) Sept 18 to December 12,2008
c) Common equity net of goodwill, net of all intangible assets for ML and HSBC
Source: Global SIFIs, Derivatives and Financial Stability
US Government payouts to AIG CDS counterparty losses
Exposure Chart taken from “CCR Measurement Under Basel II” A presentation by ISDA, Asia 2007
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A
B F
E C
D
CCP
Bilateral A
B F
E C
D
Central
membership criteria, e.g. capital requirement
margin: variation, intraday and initial
default fund contribution of member
default fund contribution of CCP
remainder of default fund contributions
replenishment of default fund
resolution or re-start of the CCP
USE, BUT WITH CAUTION
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