where's the pain
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TheDevil
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where's the pain
There were rumours of an Eq Derivs desk at a German bank dropping >1bn euros but that sounds like far too much IMHO
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Cheng
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where's the pain
Given the amount of gambling at one notorious Eq derivs desk at a German bank I would not be too surprised. Seems like those guys had every crap trade which is out there on their books.
"No trade with death / No trade with arms / Dispense the war / Learn from the past"
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HLCYG
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where's the pain
Caisse d'Epargne makes 600 mln euro trading loss
2008-10-17 09:02:42.160 GMT
PARIS, Oct 17 (Reuters) - French savings bank Caisse d'Epargne, in the midst of a merger with another mutual bank, said on Friday it made a 600 million euro ($808.1 million) trading loss earlier this month. "Due to the extreme volatility in the markets and the bourse crash of last week, the Groupe Caisse d'Epargne has had a significant market incident in share derivatives that has led to a loss in the order of 600 million euros," it said. It added that because it had assets of more than 20 billion euros the loss would not affect its financial solidity and would have no effect for its clients. Caisse d'Epargne plans to merge with Banque Populaire. The two banks are majority shareholders in investment bank Natixis. Rumours of a big derivatives loss at a large bank spooked the share market last week, forcing Societe Generale and Dexia to issue denials.
2008-10-17 09:02:42.160 GMT
PARIS, Oct 17 (Reuters) - French savings bank Caisse d'Epargne, in the midst of a merger with another mutual bank, said on Friday it made a 600 million euro ($808.1 million) trading loss earlier this month. "Due to the extreme volatility in the markets and the bourse crash of last week, the Groupe Caisse d'Epargne has had a significant market incident in share derivatives that has led to a loss in the order of 600 million euros," it said. It added that because it had assets of more than 20 billion euros the loss would not affect its financial solidity and would have no effect for its clients. Caisse d'Epargne plans to merge with Banque Populaire. The two banks are majority shareholders in investment bank Natixis. Rumours of a big derivatives loss at a large bank spooked the share market last week, forcing Societe Generale and Dexia to issue denials.
WILLARD: "Don't you think it's a little risky for R&R ?" KILGORE: "If I say it's safe to surf this beach, captain - it's safe to surf this beach. I'm not afraid to surf this place, I'm not afraid to surf this fucking place."
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granchio
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- Joined: Thu Jan 01, 2004 12:00 am
where's the pain
the german bank losses last week on the eurostoxx flow book seem to be in the 3 to 500 M region. there are rumours of further losses on the exotic book, which IMHO are likely, though i do not have direct confirms on that.
it is interesting that the bookrunner left the bank ~2y+ ago for a famous london HF, blew up there (losses not huge, i hear) and was welcomed back by his cronies with all honours, so he could go spectacularly short vega, at most maturities, and pull the big one. it seems that the senior heads in question are still surviving, they just get shuffled to other regions.
C d epargne is astoshing to me. originally i naively thought it might be the natexis book (they are large shareholders), but seems not. another signal that really anybody could have a deriv book blowing up at the moment.
And the "other" swiss bank of course! head of eqderivs fired again on large losses... how many head of eqderivs have they hired and fired in the last 3 years? i loose count...
there is a book to be written here, or maybe just a bbc panorama special.
it is interesting that the bookrunner left the bank ~2y+ ago for a famous london HF, blew up there (losses not huge, i hear) and was welcomed back by his cronies with all honours, so he could go spectacularly short vega, at most maturities, and pull the big one. it seems that the senior heads in question are still surviving, they just get shuffled to other regions.
C d epargne is astoshing to me. originally i naively thought it might be the natexis book (they are large shareholders), but seems not. another signal that really anybody could have a deriv book blowing up at the moment.
And the "other" swiss bank of course! head of eqderivs fired again on large losses... how many head of eqderivs have they hired and fired in the last 3 years? i loose count...
there is a book to be written here, or maybe just a bbc panorama special.
Dubito ergo sum
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MBA
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- Joined: Thu Jan 01, 2004 12:00 am
where's the pain
What was the PnL for this desk in the past years?
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CokeHead
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- Joined: Thu Jan 01, 2004 12:00 am
where's the pain
ML's Equity Index Arb index got absolutely spanked. The product sells 3m var swap on SP500 and trys to "arb" the implied/ realized spread.
The grabs arent clear but the index was around 1200 before LEH blow up. Now value is around 430
[img]/User%20Files/4446/1.GIF[/img]
[img]/User%20Files/4446/2.GIF[/img]
The grabs arent clear but the index was around 1200 before LEH blow up. Now value is around 430
[img]/User%20Files/4446/1.GIF[/img]
[img]/User%20Files/4446/2.GIF[/img]
The average Hummer produces enough NO2 to fertilize an acre of rainforest
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knocks_rocks
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- Joined: Thu Jan 01, 2004 12:00 am
where's the pain
CNBC states large Quant fund blew up today, anyone have further news?
"...because money won is twice as sweet as money earned."
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svquant
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- Joined: Thu Jan 01, 2004 12:00 am
where's the pain
Interesting GRAB graphs - thanks for posting them. Looked at a few stock index option writer CTAs and they are a mixed bag. Most got pounded in September (-10% to -40%) and of course no October numbers posted yet - but it should be ugly. A few though seemed to pull through September okay (small gains or losses) and the YTD is a very mixed bag too.
One of the largest programs in this space is LJM Partners (~$200M AUM) and their September was -15% and they are YTD +15%.
Just an FYI
One of the largest programs in this space is LJM Partners (~$200M AUM) and their September was -15% and they are YTD +15%.
Just an FYI
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wizzerandchips
- Posts: 1
- Joined: Thu Jan 01, 2004 12:00 am
where's the pain
[i]>> C d epargne is astoshing to me. originally i naively thought it might be the natexis book (they are large shareholders), but seems not. another signal that really anybody could have a deriv book blowing up at the moment[/i]
Its true - they came out of nowhere in the last couple years to become VERY large in the equity exotic derivative space. From what I can gather, somehow they weren't sensitive to MTM so were taking risks based soley on backtesting more or less.. ???!! Anyone else here able to shine some light on how to be non-sensitive to MTM? I call bullsheee on that info.
On that point.. I think Paulson should outlaw backtesting being used as the only tool to sell structured products..
Its true - they came out of nowhere in the last couple years to become VERY large in the equity exotic derivative space. From what I can gather, somehow they weren't sensitive to MTM so were taking risks based soley on backtesting more or less.. ???!! Anyone else here able to shine some light on how to be non-sensitive to MTM? I call bullsheee on that info.
On that point.. I think Paulson should outlaw backtesting being used as the only tool to sell structured products..
Gimme all you got...
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urnash
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- Joined: Thu Jan 01, 2004 12:00 am
where's the pain
Deutsche Bank Derivatives-Trading Loss Said to Top $400 Million
By Jacqueline Simmons and Jonathan Keehner
Oct. 27 (Bloomberg) -- Deutsche Bank AG, Germany's biggest bank, lost more than $400 million on equity derivatives trades as stock markets headed for their biggest rout since the 1930s, two people with direct knowledge of the matter said.
The loss, equal to almost half of the Frankfurt-based company's second-quarter revenue from equity sales and trading, is a black eye for Richard Carson, who was named global head of equity derivatives in May.
... etc
By Jacqueline Simmons and Jonathan Keehner
Oct. 27 (Bloomberg) -- Deutsche Bank AG, Germany's biggest bank, lost more than $400 million on equity derivatives trades as stock markets headed for their biggest rout since the 1930s, two people with direct knowledge of the matter said.
The loss, equal to almost half of the Frankfurt-based company's second-quarter revenue from equity sales and trading, is a black eye for Richard Carson, who was named global head of equity derivatives in May.
... etc
mattcushman: happiness levels are a I(0) process, not I(1).