Derivatives Links

SocGen
- Explanation from SocGen about what happened (01/28/08)
- How Kerviel escaped detection (WSJ, 01/28/08, p. C1)
Credit Crisis
- SEC report on the behavior of the credit agencies (07/08/08)
- The death of Bear Stearns (Vanity Fair, 8/08)
- Fed investigates LIBOR (WSJ, p. c1, 05/16/08)
- British banks lie about their borrowing costs to the British Banker's Association (WSJ, 4/18/08, p. C1)
- Problems may be looming in the market for credit default swaps (14% of trades unconfirmed!) (NYT, 02/17/08, p. A1)
- Magnetar creates CDOs and havoc at the same time (WSJ, 1/14/08, P A1)
- A CDO named "Norma" created a "hairball of risk" (WSJ, 12/27/07, P. A1)
- Battles over the assets when a CDO defaults (WSJ 12/17/07, p. C1)
- How useful is the ABX index? (WSJ 12/12/07, p C1)
- The role of Ratings Agencies (WSJ 08/15/07, P A1)
- How Countrywide Financial made mortgage loans (NYT 08/26/07, BU, P 1)
Regulatory Issues
- Firms adopt poison pill defenses against hedge funds trading votes (WSJ, 06/18/08, p. B5A)
- Companies use swaps to buy large stakes without disclosure (NYT 01/15/08, p. C1)

Improved technology for liquifying natural gas creates global market (WSJ, 4/18/08, p. A1)
Phibro oil trader scores huge profits (WSJ 02/28/08, P. A1)
Wheat prices reach record highs (NYT, 02/13/08, p. C1)
How do you store electricity? Pumped storage hydroelectricity (Wikipedia)
Amaranth lost almost $6 billion trading natural gas futures
- Senate investigations subcommittee report on Amaranth (06/25/07)
- How Amaranth lost $5 billion (WSJ 09/19/06, p. A1)
- See also this article (WSJ, 09/20/06 p. C1.)
- Details about the specific natural gas trade. (NYT, 09/29/06)
- Finally, see the letter to Amaranth shareholders (WSJ 09/29/06)
Southwest Airlines
- Southwest Airlines 2006 3rd Q 10-Q. This contains the mention of the $173 million loss and discusses the use of calls, collars, and swaps.
- Southwest Airlines 2005 10-K.
  - The footnote disclosing derivatives use is here
Why have natural gas prices spiked? (WSJ, 10/17/05)
Effects of high energy prices (WSJ, 11/21/05)

ESOARS get SEC approval (CFO online, 10/24/07)
Former Brocade CEO convicted of backdating (NYT, 08/07/07, p. c1)
Senator Carl Levin weighs in on options accounting (CFO web, 06/05/07)
Hedge fund chiefs make a bundle (NYT, 04/24/07, P. A1)
The corporate tax treatement of options is a problem for interpreting earnings (WSJ, 04/16/07, p. C1)
Zions Banccorp ESOARS update (NYT, 02/02/07, p. C1)
Summary of 2006 options scandals (WSJ 12/27/06)
Comverse executives charged in the ever-amazing backdating scandal. (WSJ 08/10/06) [This is but one of MANY stories on this subject]
Bear Stearns proposal for "market-traded employee stock options
The SEC is both for and against the manipulation of option grant dates.
Zions Bancorp to issue Employee Stock Option Appreciation Rights Securities (ESOARS) --- to obtain a market price for compensation options. The prospectus is on Edgar.
Microsoft backdated options in the 1990s. (WSJ, 06/21/06)
WSJ finds manipulation of option grant dates by several companies (WSJ, 03/18/06)
Floyd Norris of the New York Times says companies should be using compensation options instead of stock(!!) (NYT, 02/10/06)
S&P to include option expense in earnings (CFO, 11/21/05)
SEC probes Mercury; did the company manipulate the timing of option grants? (WSJ 11/03/05)

Home Depot chief requests different pay package. (WSJ 01/25/07, p. B7)
Ford restates earnings because of FAS 133 (derivatives hedge accounting) (CFO.com, 10/23/06)
The Bankers Trust Tapes (Business Week, 10/16/95)
Eliot Spitzer and Finite Insurance (NYT, 11/21/04)
- See also this page for a description of finite insurance
Boston Scientific's declining share price lowers value of offer for Guidant There is a collar in the deal! (Business Week, 2/01/06)
Original Johnson & Johnson offer for Guidant [from here (J&J web site), 12/04]
Will Google hit $600? (NYT, 1/8/06)

Fed investigates LIBOR (WSJ, p. c1, 05/16/08)
Roger Lowenstein writing on Moody's (NYT Magazine, 04/27/08)
Rules for certifying credit-rating firms have changed. (CFO online, 06/28/07)
The CME will trade a credit event futures contract (April 2007)
The CDS market supplants bonds (Bloomberg News, 05/30/06)
Credit derivatives link the equity and debt markets (WSJ, 11/18/05)
Credit models on Wall Street (WSJ, 09/12/05)

Dealers fail to complete trade documentation. The regulators are worried about this, and with good reason! (FT, Sept 25, 2006)
A lawsuit over "expirationless options" This has to be one of the most idiotic patent claims in existence. (Financial Engineering News, September, 2006)
A primer on naked shorting by the Vodia group. Note that you can view a naked short as a synthetic short forward contract.
An interesting interview with prolific author Satyajit Das (Financial Engineering News)

Shiller Oil ETFs based on fully-collateralized futures contracts.
Futures markets volatility scares farmers (NYT, 04/22/08, P. A1) Note that there are two complaints: High volatility (about which probably nothing can be done), and basis risk (futures prices not equaling cash prices). These are distinct issues.
CME and CBOT complete merger (Chicago Tribune, 07/10/07)
Exchanges race to create new products (WSJ 07/06/07, p. A1)
Internal prediction markets now being used by corporations (NYT, 02/14/07, p. C1)
The politics of regulation at Chicago's futures exchange(s) (NYT 10/20/06)
The Refco collapse (WSJ, 07/03/06, p. A1)
A futures market on house prices (Slate, 11/18/05)
- Term sheet for CME housing futures
- Whitepaper explaining housing futures
- How has the product fared? (Financial Engineering News 12/06)
Hedgestreet offers "hedgelets" (cash-or-nothing options) on commodities, government indices, and housing prices, among other things.

Insurance and Catastrophe bonds; article by Michael Lewis (NYT Magazine, 08/26/07, p. 26)
Structured products aimed at individual investors (WSJ, 06/21/06)
Critical discussion of hybrids (CFO online, 06/01/06 original)
Use of prepaid forwards by executives who are selling some of their shares (WSJ, 05/15/06)
Banks rush into hybrids that combine debt and equity characteristics (FT, 02/06/06)
Stock linked bonds offer downside protection (WSJ, 08/07/05)
Katrina catastrope bondholders likely to sustain full loss (WSJ, 10/06/05)
Hybrids popular with investors (WSJ, 12/15/05)

A Ukrainian hacker successfully uses puts to exploit inside information (obtained via hacking) (NYT, 02/15/08, p. C1)

The PBGC plans to increase its investment in stocks to avoid bankruptcy (FT, 02/19/08)
Small investors hurt in roiling market (WSJ, 8/14/07, p. A1)
Pricing bonds with an "estate put" (Financial Engineering News 09/06)
Portable alpha strategies (WSJ 06/29/06, P. C1)
Basics of using options in stock investing (WSJ, 12/24/05)

Last modified: Sun Jul 13 17:28:23 -0500 2008