derivatives debacles case studies of large losses in derivatives markets

金融機構與市場金融機構與市場

Derivatives DebaclesDerivatives Debacles

Case Studies of Large Losses in Derivatives MarketsCase Studies of Large Losses in Derivatives Markets

財研一粘逸尊財研一粘逸尊 R91723079R91723079財研一林慧華財研一林慧華 R9272302R927230288

AnatoliAnatoli KuprianovKuprianov


OutlineOutline

Risk in Derivatives MarketsRisk in Derivatives Markets

CASE 1 — MG caseCASE 1 — MG case

CASE 2 — Barings caseCASE 2 — Barings case

Conclusion & CommentsConclusion & Comments

Other ReferenceOther Reference


全球操作衍生性金融商品重大失利案件摘錄全球操作衍生性金融商品重大失利案件摘錄

時間

公司名稱操作商品損失金額1993.3 英國里昂聯合公司

1993.12德國石油公司

Metallgesellschaft

外匯交易

能源產品相關衍生性商品

1994.4 美國寶鹼公司 (P&G) 利率交換

1994.12 美國加州橘郡

1995.2 英國霸菱銀行

1995.9 日本大和銀行

LTCM

浮動利率票券不動產抵押證券投資

日經 225 指數期貨及選擇權

美國公債主要工業國家公債及各種衍生性商品

1.5 億英磅

15 億美元

1.6 億美元

16.9 億美元

14.7 億美元

11 億美元

25 億美元

衍生性金融商品真的有如洪水猛獸這麼可怕嗎衍生性金融商品真的有如洪水猛獸這麼可怕嗎 ??衍生性金融商品真的有如洪水猛獸這麼可怕嗎衍生性金融商品真的有如洪水猛獸這麼可怕嗎 ??

1998.9


Four basic kinds of risksFour basic kinds of risks

Market Risk ( Price Risks)Market Risk ( Price Risks)

Operational RiskOperational Risk

Counterparty Credit RiskCounterparty Credit Risk

Legal RiskLegal Risk

Risk in Derivatives MarketsRisk in Derivatives Markets


CASE 1 — MG caseCASE 1 — MG caseCASE 1 — MG caseCASE 1 — MG case


Metallgesellschaft Refining and Marketing(MGRM)Metallgesellschaft Refining and Marketing(MGRM)公司組織：公司組織：德國大廠德國大廠 Metallgesellschaft AGMetallgesellschaft AG 的美國子公司的美國子公司經營範圍：經營範圍：熱油、天然氣、油製品的提煉、行銷、遞送熱油、天然氣、油製品的提煉、行銷、遞送事件背景：事件背景：油品價格隨季節變化劇烈，成本控制不易油品價格隨季節變化劇烈，成本控制不易事件主角：事件主角： CFO CFO －－ W. Arthur Benson W. Arthur Benson

操作標的：操作標的： Futures Futures －－ front-month contract on NYMEXfront-month contract on NYMEX

Swaps Swaps －－ receive floating and pay fixed pricereceive floating and pay fixed price

最後結果：最後結果：損失約損失約 $1.3 billion$1.3 billion



MGRM’s Marketing ProgramMGRM’s Marketing Program Firm-Fixed & Firm-Flexible ProgramsFirm-Fixed & Firm-Flexible Programs

MGRM supplies a fixed monthly deliveries of oil, gasoline, and heating MGRM supplies a fixed monthly deliveries of oil, gasoline, and heating oil at a fixed price to contracted customers.oil at a fixed price to contracted customers.

In Common：• Cash-out provisions ( options for early termination )

The Main Difference in Cash-out provisions：

• The firm-fixed contract：( Current nearby futures price－ the contract delivery price) ×

50 ％• The firm-flexible contract ：( Second-nearest futures price－ the contract delivery price) ×

100 ％Other Difference： A customer could request 20 ％ of its contracted volume for any one

year with 45 days’ notice. (Firm-Flexible)


if oil price of futures market rises above the contract priceif oil price of futures market rises above the contract price


Illustration of the supply contract and the cash-out option


retailer faces a liquidity

crisis

retailer faces a liquidity

crisis



•The cash-out proportion is 50% ：

the retailer gets 120,000* 10 * .5 = $600,000

•This allows the retailer to obtain cash in a liquidity crunch.

•The cash-out proportion is 50% ：

the retailer gets 120,000* 10 * .5 = $600,000

•This allows the retailer to obtain cash in a liquidity crunch.


MGRM’s contract price reflected a premium of $3 to $5 per barrel.MGRM’s contract price reflected a premium of $3 to $5 per barrel.MGRM’s contract price reflected a premium of $3 to $5 per barrel.MGRM’s contract price reflected a premium of $3 to $5 per barrel.


Hedging StrategyHedging StrategyOil pricesOil prices ；； the firm could suffer massive losses.the firm could suffer massive losses.

““stack-and-roll” hedge : stack-and-roll” hedge : buy a combination of short-dated oil futures contracts and swaps.buy a combination of short-dated oil futures contracts and swaps.


Contango vs Backwardation MarketContango vs Backwardation Market

Forward PriceForward Price =Spot price =Spot price ＋＋ Cost of CarryCost of Carry －－ Convenience yieldConvenience yield

a.a. If If Cost of CarryCost of Carry ＞＞ Convenience yieldConvenience yield

b.b. If Cost of CarryIf Cost of Carry ＜＜ Convenience yieldConvenience yield

• A stack-and-roll strategy appeared to offer a means of avoiding such carrying costs because short-dated futures markets for oil products historically have tended to exhibit backwardation.

Contago Market ； F ＞ S

Backwardation Market ； F ＜ S




Basis RiskBasis RiskIllustration of the hedge strategy when the market is in backwardation

Illustration of the hedge strategy when the market is in backwardation



Basis RiskBasis RiskIllustration of the hedge strategy when the market is in contagoIllustration of the hedge strategy when the market is in contago


The process of huge losses in derivatives marketThe process of huge losses in derivatives market

What happened if oil prices fall? (in late 1993)What happened if oil prices fall? (in late 1993)

Cause funding problems for MGRMCause funding problems for MGRM


Cancel its long-term contracts with its customersCancel its long-term contracts with its customers

Terminate its hedging programTerminate its hedging program

Cause about $1.3 billion lossCause about $1.3 billion loss



Critiques of MGRM’s Hedging ProgramCritiques of MGRM’s Hedging Program Edwards & Canter and Mello & ParsonsEdwards & Canter and Mello & Parsons1. Assume that the likely future behavior of basis in oil futures and forward

markets is backwardation.

Huge lossesHuge losses

The permanent changes in the behavior of basis are possible or not ?The permanent changes in the behavior of basis are possible or not ?

Edwards & CanterEdwards & Canter said “Yes”Edwards & CanterEdwards & Canter said “Yes”

Mello and Parsons are more critical of MGRM’s hedging program.They thought that it was speculative in its design and intent.

2. MGRM’s was overhedged.2. MGRM’s was overhedged.2. MGRM’s was overhedged.2. MGRM’s was overhedged.

Short-term oil futures prices tend to be more volatile than prices on long-term forward contracts.Short-term oil futures prices tend to be more volatile than prices on long-term forward contracts.



Defense of MGRM’s Hedging ProgramDefense of MGRM’s Hedging Program Culp & Miller and Culp & HankeCulp & Miller and Culp & Hanke1. The hedger bears no carrying costs as long as the market exhibits back

wardation.

• Culp & Miller’s analysis shows that changes in basis affect only the portion of carrying cost borne by the hedger.

• Culp & Miller argue that any long run expected losses due to basis risk were minimal considering historical patterns of backwardation in energy market.



Defense of MGRM’s Hedging ProgramDefense of MGRM’s Hedging Program Culp & Miller and Culp & HankeCulp & Miller and Culp & Hanke2. Underestimated the value of MGRM’s contracts with its customers.

1.3 billion 170 millionTake proper account of unrealized gains in the value of contracts

Most of MG’s reported losses were due to the termination of its subsidiary’s marketing program.



Defense of MGRM’s Hedging ProgramDefense of MGRM’s Hedging Program Culp & Miller and Culp & HankeCulp & Miller and Culp & Hanke3. The firm should continue the hedging program.

Consider losses from MGRM’s hedging program to be sunk costs.

Culp & Miller find out the program had a positive expected net present value at the end of 1993.

The firm could have bought options to remain hedged while it sought solutions to its longer-term funding problems.

The Deutsche Bank was not only a creditor to MG but also one of its largest shareholders, therefore it should have been willing to continue financing MGRM’s hedge program.


MGRM MG Futures, Inc.

material inadequacies in internal control systems associated with MGRM’s activity in energy and futures markets


Selling illegal, off-exchange futures contracts

Failing inform the CFTC of these material inadequacies

Response of the CFTCResponse of the CFTC

material inadequacies in internal control systems associated with MGRM’s activity in energy and futures markets

The CFTC’s action rendered MGRM’s firm-fixed agreements “illegal and void”. The CFTC’s action would have created legal risk for MG. Miller and Culp criticized that CFTC’s action created uncertainty about the legal status of commercial forward contracts.



An Overview of Policy ConcernsAn Overview of Policy Concerns MGRM’s huge losses are attributable more to operational risk

than to market risk.

There is no need for new government policies or more comprehensive regulation of derivatives markets.

Systematic attempts to discourage such arrangement like the long-term, fixed-price delivery contracts would seem to be poor public policy.


CASE 2 — Barings caseCASE 2 — Barings caseCASE 2 — Barings caseCASE 2 — Barings case



Barings Bank (oldest merchant bank in Great Britain)Barings Bank (oldest merchant bank in Great Britain)BackgroundBackground ：： 1994~1995 ,around Kobe earthquake1994~1995 ,around Kobe earthquake

Character Character ：： Nick Leeson Nick Leeson －－ Wonder boy,Wonder boy,

Turbo arbitrageur Turbo arbitrageur

Operations Operations ：： Nikkei 225 Futures between OSE & SIMEXNikkei 225 Futures between OSE & SIMEX

JGB (Japanese Government Bond)JGB (Japanese Government Bond)

Nikkei 225 Futures Call & Put Options Nikkei 225 Futures Call & Put Options

Result Result ：： Loss Loss ￡￡ 927 million 927 million ，， Barrings bankruptBarrings bankrupteded



Who is Nick Leeson?Who is Nick Leeson?Operations in Morgan Stanley and BaringsOperations in Morgan Stanley and Barings

Accomplishment in Jakarta BranchAccomplishment in Jakarta Branch

Manager of BSS (Barings Securities Singapore)Manager of BSS (Barings Securities Singapore)Take necessary exam in back officeTake necessary exam in back office

Transacting futures and options orders for clientsTransacting futures and options orders for clients

Arbitraging Arbitraging Nikkei futuresNikkei futures price between price between SIMEXSIMEX and and OSEOSE

General manager, head trader,head of back office, affluent experience General manager, head trader,head of back office, affluent experience


Unauthorized Trading Activities Unauthorized Trading Activities

Short Straddle Strategy - sale of Nikkei-225 futures options - sale of Nikkei-225 futures options

1995.1.17 Kobe earthquake1995.1.17 Kobe earthquake ，， 1.23 Nikkei slumped 1500 pts1.23 Nikkei slumped 1500 pts

Long Nikkei-225 futuresLong Nikkei-225 futures ，， attempt to pull up the indexattempt to pull up the index

Nikkei fell again Nikkei fell again enormous margin calls (742 mn) enormous margin calls (742 mn)

Everything is out of control!!Everything is out of control!!

Arbitrage in Arbitrage in Nikkei-225Nikkei-225 futures and 10-yr JGB futures and 10-yr JGB


Long position on Nikkei stock futures Long position on Nikkei stock futures


The most expensive “I’m sorry!”The most expensive “I’m sorry!”

““My sincere apologies for the predicament I have left you in.My sincere apologies for the predicament I have left you in.

It was neither my intention nor aim for this to happen.”It was neither my intention nor aim for this to happen.”


Total loss :Total loss : 927 million (Barings Equity 440mn) 927 million (Barings Equity 440mn)

ING buy :ING buy : ₤₤ 11

Recapitalize :Recapitalize :660 million660 million



Criticism: Criticism: Over confident LeesonOver confident LeesonHuge position of market open interestHuge position of market open interest

Nikkei futures options values are 10 times of the bank’s capital sizeNikkei futures options values are 10 times of the bank’s capital size

61000 Nikkei futures contracts, 49% of Mar , 24% of Jun of 199561000 Nikkei futures contracts, 49% of Mar , 24% of Jun of 1995

Short 26000 JGB futures, 88% of Jun 1995Short 26000 JGB futures, 88% of Jun 1995

Short Euroyen futures, 5% of June, 1% of both Sep and Dec 1995Short Euroyen futures, 5% of June, 1% of both Sep and Dec 1995

Special account -- 88888Special account -- 88888

Year 1992 1993 1994 1994 acc.

Loss(mn)

2 21 185 208



Criticism: Criticism: Barings’s managementBarings’s management Support additional funding without inquiry

Didn’t prompt immediate inquiry to Leeson’s activities.Didn’t prompt immediate inquiry to Leeson’s activities.

Tony Hawes started investigating on Feb 6. Tony Hawes started investigating on Feb 6.

Assurance to SIMEX on the belief of Leeson’s “Hedging StrategyAssurance to SIMEX on the belief of Leeson’s “Hedging Strategy”.”.

Improper system and inadequate internal controlImproper system and inadequate internal control No supervisory mechanism for BSS.

Lack of segregation of front and back office.Lack of segregation of front and back office.

Lack of funding management institution.Lack of funding management institution.

Lack of market risk and operational risk management.Lack of market risk and operational risk management.



Criticism: Criticism: SIMEXSIMEX System of clearinghouseSystem of clearinghouse

SIMEX doubled the margin calls on Nikkei stock index futures.SIMEX doubled the margin calls on Nikkei stock index futures.

BFS (Barings Futures Singapore) – the largest clearing member.BFS (Barings Futures Singapore) – the largest clearing member.

Inexperienced dealing with insolvency of clearing member.Inexperienced dealing with insolvency of clearing member. SIMEX didn’t have the detail information on individual account. SIMEX didn’t have the detail information on individual account.

Leeson provided false information of Barings’s account. Leeson provided false information of Barings’s account.

Insufficient communication between exchangesInsufficient communication between exchanges Disclosure of unusual large position.Disclosure of unusual large position.

Confirm the position of hedging dealers.Confirm the position of hedging dealers.



Policy concerns highlighted by Barings’s defaultPolicy concerns highlighted by Barings’s default Windsor Declaration (May 1995, Windsor England)Windsor Declaration (May 1995, Windsor England)

Calling to prompt National provisions and market procedures thaCalling to prompt National provisions and market procedures that facilitate the transfer of funds from failing members. t facilitate the transfer of funds from failing members.

Enhance emergency procedures. Enhance emergency procedures.

Improving the existing mechanism for international co-operation Improving the existing mechanism for international co-operation and communication among market authorities and regulators.and communication among market authorities and regulators.

IInternational nternational OOrganization of rganization of SSecurities ecurities CoCommissionsmmissions Endorsed the Windsor Declaration. Endorsed the Windsor Declaration.

Ask members promoting measures in cross-border transactions.Ask members promoting measures in cross-border transactions.



Policy concerns highlighted by Barings’s defaultPolicy concerns highlighted by Barings’s default Futures Industry Association (FIA)Futures Industry Association (FIA)

Organized measures to improve the integrity of futures and optioOrganized measures to improve the integrity of futures and options exchanges. ns exchanges.

Published 60 recommendations from risk management to customPublished 60 recommendations from risk management to customer protection.er protection.

Encouraged nations to modified their laws when facing bankruptEncouraged nations to modified their laws when facing bankruptcy.cy.

Galvanize international efforts jointed by government offiGalvanize international efforts jointed by government officials and market participants.cials and market participants.

Reevaluate risk management, failing of clearinghouse.Reevaluate risk management, failing of clearinghouse.



Lessons from the Barings debacleLessons from the Barings debacle Careless about the warning signsCareless about the warning signs

Lack of segregation of duties between front and back offices. Lack of segregation of duties between front and back offices.

High level of funding requested by Leeson.High level of funding requested by Leeson.

Unreconciled balance of funds transfer to BFS to meet margin calls.Unreconciled balance of funds transfer to BFS to meet margin calls.

High profitability is relative to high level of risk.High profitability is relative to high level of risk.

The discovery of discrepancies in account by outside auditors. The discovery of discrepancies in account by outside auditors.

Communications from SIMEX.Communications from SIMEX.

Market rumors and concerns. Market rumors and concerns.

On-site examination of Leeson’s account came too late.On-site examination of Leeson’s account came too late.

Management teams have duties to fully understand the plans.Management teams have duties to fully understand the plans.



Lessons from the Barings debacleLessons from the Barings debacle Criticisms for the Bank of England’s supervisionCriticisms for the Bank of England’s supervision

25 percent of the organization’s capital to the risk or loss. 25 percent of the organization’s capital to the risk or loss.

Increasing understanding of the non-banking business.Increasing understanding of the non-banking business.

Explicit internal guidelines .Explicit internal guidelines .

Closer work to the Securities and Futures Authority is needed.Closer work to the Securities and Futures Authority is needed.

Falling at Barings were not a consequence of the Falling at Barings were not a consequence of the complexities of the business.complexities of the business.

Legitimate concerns for policymakersLegitimate concerns for policymakers Lack of communication between securities and futures.Lack of communication between securities and futures.

Conflicting laws on the legal status in the event of insolvency.Conflicting laws on the legal status in the event of insolvency.


1.1. Firm’s management should understand fully and Firm’s management should understand fully and well monitor the activities of their subsidiaries.well monitor the activities of their subsidiaries.

2.2. Derivatives are not devil.Derivatives are not devil. Derivatives-related losses Derivatives-related losses doesn’t mean more regulations of derivatives doesn’t mean more regulations of derivatives markets needed.markets needed.

3.3. Operational strategies, not only derivatives, can lead Operational strategies, not only derivatives, can lead to loss money.to loss money.

4.4. Attempts at stringent regulation can sometimes Attempts at stringent regulation can sometimes have undesirable side effects.have undesirable side effects.



5.5. Market discipline is also a powerful form of Market discipline is also a powerful form of regulation.regulation.

6.6. Derivatives enlarged the market size and stimulate Derivatives enlarged the market size and stimulate the competition and innovation of financial the competition and innovation of financial markets.markets.

7.7. Derivatives provided diverse solutions to funding Derivatives provided diverse solutions to funding policies, such as hedging, speculation and fund policies, such as hedging, speculation and fund gathering.gathering.



補充資料補充資料補充資料補充資料目前我國銀行交易之衍生性金融商品種類目前我國銀行交易之衍生性金融商品種類

利率有關契約利率有關契約 (Interest Rate Contracts)(Interest Rate Contracts)

( 一 ) 店頭市場 (OTC)

1. 遠期利率協議 (FRA)

2. 換利 (IRS)

3. 買入選擇權 (Bought Options)

4. 賣出選擇權 (Sold Options)

( 二 ) 交易所 (Exchange-traded Contracts)

1. 期貨 - 長部位 (Futures - Long Positions)

2. 期貨 - 短部位 (Futures -Short Positions)



匯率有關契約匯率有關契約 (Foreign exchange Contracts)(Foreign exchange Contracts)


1. 遠期利率協議 (FRA)

2. 換利 (IRS)




1. 期貨 - 長部位 (Futures - Long Positions)

2. 期貨 - 短部位 (Futures -Short Positions)


4. 賣出選擇權 (Sold Options)權益證券有關契約權益證券有關契約 (Equity-linked Contracts)(Equity-linked Contracts)



商品有關契約商品有關契約 (Commodity Contracts)(Commodity Contracts)



資料來源：中央銀行資料來源：中央銀行


補充資料補充資料補充資料補充資料目前我國銀行交易之衍生性金融商品交易情形目前我國銀行交易之衍生性金融商品交易情形

資料來源：中央銀行統計資料 , 作者製表資料來源：中央銀行統計資料 , 作者製表

0

10000

20000

30000

40000

9 11 1 3 5 7 9 11 1 3 5 7 9 11 1 3 5 7 9 11 1 3 5 7 9

單位：新臺幣億元

單位：新臺幣億元

88 年88 年 89 年89 年 90 年90 年 91 年91 年 92 年92 年

註： 1. 統計內容為本國銀行國內總分支機構及外國銀行在臺分行

2. 本表已剔除銀行間交易重複計算部分。

註： 1. 統計內容為本國銀行國內總分支機構及外國銀行在臺分行

2. 本表已剔除銀行間交易重複計算部分。


補充資料補充資料補充資料補充資料節錄”節錄”銀行辦理衍生性金融商品業務應注意事項銀行辦理衍生性金融商品業務應注意事項

”” (( 台財融字第台財融字第 8471156984711569 號函號函 ))

資料來源：財政部金融局全球資訊網資料來源：財政部金融局全球資訊網

三、銀行董（理）事會對本銀行辦理衍生性金融商品業務應本下列原則加三、銀行董（理）事會對本銀行辦理衍生性金融商品業務應本下列原則加強監督管理：強監督管理： (( 一一 ) ) 銀行辦理衍生性金融商品業務應先評估其風險與效益，並訂定經營策略及作業準則銀行辦理衍生性金融商品業務應先評估其風險與效益，並訂定經營策略及作業準則

報報董（理）事會董（理）事會核准後施行，修改時亦同。核准後施行，修改時亦同。

(( 二二 ) ) 董（理）事會應定期評估本項業務之績效是否符合既定之經營策略及承擔之風險是董（理）事會應定期評估本項業務之績效是否符合既定之經營策略及承擔之風險是否在銀行容許承受之範圍。否在銀行容許承受之範圍。

四、銀行辦理衍生性金融商品業務應訂定之作業準則，其內容至少應明訂四、銀行辦理衍生性金融商品業務應訂定之作業準則，其內容至少應明訂左列事項：左列事項： ( 一 ) 業務原則與方針，業務原則與方針，(( 二二 ) ) 業務流程，業務流程，(( 三三 ) ) 內部控制制度，內部控制制度，(( 四四 ) ) 定期評估方式定期評估方式，，(( 五五 ) ) 會計處理方式，以及會計處理方式，以及(( 六六 ) ) 內部稽核制度內部稽核制度。。


補充資料補充資料補充資料補充資料

資料來源：財政部金融局全球資訊網資料來源：財政部金融局全球資訊網

五、前項作業準則之內容應包括下列風險管理措施：五、前項作業準則之內容應包括下列風險管理措施： (( 一一 ) ) 風險管理應包含信用、市場、流動性、作業及法律等風險之管理。風險管理應包含信用、市場、流動性、作業及法律等風險之管理。。。 (( 二二 ) ) 銀行銀行辦理衍生性金融商品業務之交易及交割人員不得互相兼任辦理衍生性金融商品業務之交易及交割人員不得互相兼任，其有關，其有關風險之衡量、風險之衡量、

監督與控制並應指定專人負責監督與控制並應指定專人負責。。(( 三三 ) ) 銀行辦理衍生性金融商品業務應視持有交易性部位多寡與市場變動情形，採銀行辦理衍生性金融商品業務應視持有交易性部位多寡與市場變動情形，採即時即時或或

依每日市價評估依每日市價評估為原則，惟為原則，惟至少每週應評估一次至少每週應評估一次；若為銀行本身業務需要辦理之；若為銀行本身業務需要辦理之避避險性交易至少每月應評估二次險性交易至少每月應評估二次。其評估報告應呈送董（理）事會授權之高階主管。。其評估報告應呈送董（理）事會授權之高階主管。

( 四 ) 負責風險之高階主管如認為市價評估報告有異常情形時，應即向董（理）事會報告，即向董（理）事會報告，並採取必要之因應措施並採取必要之因應措施。

七、銀行辦理衍生性金融商品業務時，應於財報表本身或附註內依金融商七、銀行辦理衍生性金融商品業務時，應於財報表本身或附註內依金融商品之類別至少揭露下列事項。品之類別至少揭露下列事項。 ( 一 ) 面值或合約金額（如無面值或合約金額，則應揭露名目本金金額）。面值或合約金額（如無面值或合約金額，則應揭露名目本金金額）。 (( 二二 ) ) 商品性質及條件（至少包括商品的信用及市場風險、商品的現金需求及相關的會計商品性質及條件（至少包括商品的信用及市場風險、商品的現金需求及相關的會計

政策）。政策）。


補充資料補充資料補充資料補充資料節錄”節錄”公開發行公司從事衍生性商品交易處理要點公開發行公司從事衍生性商品交易處理要點”” (91(91 年年 12.1212.12 廢止台財證一字第廢止台財證一字第 0910006113 0910006113 號函號函 ))

三、適用範圍三、適用範圍(( 一一 ) ) 本要點所稱之衍生性商品，係指其價值由資產、利率、匯率、指數或其他利益等商本要點所稱之衍生性商品，係指其價值由資產、利率、匯率、指數或其他利益等商

品所衍生之交易契約品所衍生之交易契約 (( 如遠期契約、選擇權、期貨、交換，暨上述商品組合而成之複如遠期契約、選擇權、期貨、交換，暨上述商品組合而成之複合式契約等合式契約等 ) ) 。。

(( 二二 ) ) 本要點所稱之遠期契約，不含保險契約、履約契約、售後服務契約、長期租賃契約本要點所稱之遠期契約，不含保險契約、履約契約、售後服務契約、長期租賃契約及長期進及長期進 ((銷銷 ) ) 貨合約。貨合約。

(( 三三 ) ) 公開發行公司從事公開發行公司從事債券保證金交易債券保證金交易應比照本要點規定辦理。應比照本要點規定辦理。

四、從事衍生性商品交易應辦理事項四、從事衍生性商品交易應辦理事項(( 一一 ) ) 擬訂處理程序擬訂處理程序(( 二二 ) ) 資訊公開資訊公開

(1) (1) 上市、上櫃公司應上市、上櫃公司應按月按月將將本公司及其子公司本公司及其子公司截至上月底止從事衍生性商品交易截至上月底止從事衍生性商品交易(( 含以交易為目的及非以交易為目的含以交易為目的及非以交易為目的 ) ) 之相關內容，併同每月營運情形辦理公告之相關內容，併同每月營運情形辦理公告並向證管會申報。並向證管會申報。

(2) (2) 公開發行公司從事衍生性商品交易，其公開發行公司從事衍生性商品交易，其財務報告財務報告應行揭露事項由證管會另訂之。應行揭露事項由證管會另訂之。

資料來源：財政部證券曁期貨管理委員會資料來源：財政部證券曁期貨管理委員會



五、從事衍生性商品交易應注意事項五、從事衍生性商品交易應注意事項(( 一一 ) ) 公開發行公司應將從事衍生性商品交易之公開發行公司應將從事衍生性商品交易之風險管理風險管理制度及制度及會計處理會計處理納入納入書面內部控書面內部控

制制制度及制度及內部稽核內部稽核實施細則中。實施細則中。(( 二二 ) ) 內部控制內部控制

(1) (1) 公開發行公司從事衍生性商品交易至少應採行下列風險管理措施：公開發行公司從事衍生性商品交易至少應採行下列風險管理措施：本部份與”銀行辦理衍生性金融商品業務應注意事項”第五項大致相同。本部份與”銀行辦理衍生性金融商品業務應注意事項”第五項大致相同。

(2)(2) 董事會應依左列原則確實監督管理：董事會應依左列原則確實監督管理：

1.1. 指定高階主管人員指定高階主管人員應隨時注意衍生性商品交易風險之監督與控制。應隨時注意衍生性商品交易風險之監督與控制。 2. 定期評估從事衍生性商品交易之績效是否符合既定之經營策略及承擔之風險是否在公司容許承受之範圍。

(3) (3) 董事會授權之高階主管人員應依左列原則管理衍生性商品之交易：董事會授權之高階主管人員應依左列原則管理衍生性商品之交易： 1.1. 應定期評估目前使用之風險管理程序是否適當及確實依公司所訂之「從事衍生性商品交易應定期評估目前使用之風險管理程序是否適當及確實依公司所訂之「從事衍生性商品交易處理程序」辦理。處理程序」辦理。 2. 市價評估報告有異常情形 ( 如持有部位已逾損失上限 ) 時，應即向董事會報告，並採取必

要之因應措施。




(( 三三 ) ) 內部稽核內部稽核 (1) (1) 內部稽核人員應定期瞭解衍生性商品交易內部控制之允當性，並內部稽核人員應定期瞭解衍生性商品交易內部控制之允當性，並按月查核按月查核交易部交易部

門對「從事衍生性商品交易處理程序」之遵守情形並分析交易循環，作成稽核報門對「從事衍生性商品交易處理程序」之遵守情形並分析交易循環，作成稽核報告。告。

(2) (2) 上市、上櫃公司應於上市、上櫃公司應於次年二月底前次年二月底前將前項稽核報告併同內部稽核作業年度查核計將前項稽核報告併同內部稽核作業年度查核計畫執行情形向證管會申報，並至遲於次年五月底前將異常事項改善情形申報證管畫執行情形向證管會申報，並至遲於次年五月底前將異常事項改善情形申報證管會備查。會備查。



補充資料補充資料補充資料補充資料節錄”節錄”公開發行公司從事衍生性商品交易財務報告公開發行公司從事衍生性商品交易財務報告應行揭露事項注意要點應行揭露事項注意要點”” (( 台財證台財證 ( ( 六六 ) ) 字字

第第 00263 00263 號函號函 ))

資料來源：財政部證券暨期貨管理委員會資料來源：財政部證券暨期貨管理委員會

壹公開發行公司從事衍生性商品交易，於編製定期性財務報告 ( 含年度、半度、季財報告及合併財務報告 ) ……

三公開發行公司從事衍生性商品交易應於財務報表附註中彙編揭露左列事項： ( 一 ) 一般性揭露事項：一般性揭露事項：公開發行公司從事衍生性商品交易應按持有或發行目的區分為公開發行公司從事衍生性商品交易應按持有或發行目的區分為交易目的交易目的及及非交易非交易目的目的，並依商品類別於財務報表附註中揭露左列資訊：，並依商品類別於財務報表附註中揭露左列資訊：

(1) 持有或發行衍生性商品之目的。 (2) 面值、合約金額或名目本金金額。

(3) 衍生性商品之性質及條件，並至少應包括左列敘述 1 1 衍生性商品之信用及市場風險，包括損失發生之可能性及可能之損失金額。衍生性商品之信用及市場風險，包括損失發生之可能性及可能之損失金額。2 2 衍生性商品之現金需求，包括影響未來現金流量之金額及時間等資訊。衍生性商品之現金需求，包括影響未來現金流量之金額及時間等資訊。 3 3 相關之會計政策………相關之會計政策………



(4) 公平價值及相關帳面價值。交易之衍生性商品如有市場成交價時，應揭露市場成交價及市價評估淨損益；無市場成交價時，應揭露最佳估計值及其使用之估計方法與重大假設；如無法合理估計公平價值，應揭露無法估計之理由及與估計公平價值相關之資訊 ( 如帳面價值、實質利率、到期日等資訊 ) 。

( 三 )非以交易為持有或發行目的之衍生性商品，除一般性揭露事項外，應額外揭露左列資訊：：

1 有助於了解持有或發行衍生性商品目的之背景說明及如何達成其目的 ( 包括避險所使用之生性商品種類 ) 之敘述。 2 凡持有或發行衍生性商品以規避已持有資產或負債之風險者，應再彙總揭露左列資訊：

(1) (1) 被避險之已持有資產或負債金額及所用衍生性商品種類之敘述。被避險之已持有資產或負債金額及所用衍生性商品種類之敘述。 (2) (2) 已認列及被明確遞延之避險損益金額。已認列及被明確遞延之避險損益金額。

3 凡持有或發行衍生性商品並以規避預期交易 ( 包括確定承諾之未來交易及不具承諾但預測即將於未來發生之交易 ) 風險方式列帳者，應彙總揭露左列資訊：

(1) (1) 被避險預期交易之敘述，包括預期交易預期發生之期間。被避險預期交易之敘述，包括預期交易預期發生之期間。 (2) (2) 規避預期交易風險所用衍生性商品種類之敘述。規避預期交易風險所用衍生性商品種類之敘述。 (3) (3) 被明確遞延之避險損益金額。被明確遞延之避險損益金額。

資料來源：財政部證券暨期貨管理委員會資料來源：財政部證券暨期貨管理委員會


Lesson’s Short Straddle strategy Lesson’s Short Straddle strategy

Short CallShort CallShort PutShort Put

1850018500 2000020000

1999.1.5 Short 37925 Nikkei calls and 32967 Nikkei puts1999.1.5 Short 37925 Nikkei calls and 32967 Nikkei puts

Total contract volume Total contract volume ：： 6.68 billion6.68 billion

Barrings’s capital size Barrings’s capital size ：： 615 million615 million



Sufficient funding support from Barrings group Sufficient funding support from Barrings group



Barrings group’s merger in 1993 Barrings group’s merger in 1993


derivatives debacles case studies of large losses in derivatives markets

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