A Review of the U.S. Senate Report on the Amaranth Debacle

Hilary Till: This article is excerpted from a two-day seminar by the author on “The History of the U.S. Futures Industry with a Focus on the Role of Chicago.”

Author(s):

Hilary Till

Research Associate, EDHEC-Risk Institute

On June 25, 2007, the U.S. Senate Permanent Subcommittee on Investigations released a report on the Amaranth debacle, entitled, “Excessive Speculation in the Natural Gas Market”. The report was released in conjunction with the subcommittee’s public hearing on the same date. Further hearings are scheduled for July 9th. The 135-page report (and its further 345 pages of appendices) provides a wealth of detail on the largest hedge-fund debacle to have thus far occurred. In carrying out their forensic analysis, the Senate subcommittee examined several million individual trades. The subcommittee obtained this information by subpoenaing records from the New York Mercantile Exchange (NYMEX), the Intercontinental Exchange (ICE), Amaranth, and other traders.

Type: Working paper
Date: le 03/09/2007
Research Cluster : Finance

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