Case Study - National Australia Bank – FX Options

This case study consists of the “Investigation into foreign exchange losses at the National Australia Bank, 12 March 2004.”

Events

• The National Australia Bank staff members involved in the currency options trading are referred to as Traders.
• The Traders’ activities were contrary to the NAB’s strategy. The risk exposure of the currency options desk to the US dollar increased significantly in late 2003. This exposure resulted in significant losses when the US dollar fell by some ten cents against the Australian dollar.