MADISON, Wis. - The first of three examinations of the State of Wisconsin Investment Board concluded that it needs to beef up its derivatives investment management risk controls.
Price Waterhouse L.L.P., New York, recommended an initial move to develop clearly defined goals for each portfolio the board manages. Among the goals to be defined are acceptable levels of risk and liquidity requirements. Price Waterhouse also made numerous recommendations on reporting and tracking of derivatives positions and how to better use systems technology.
The board in March announced $95 million in derivatives-related losses in a pooled cash fund it manages for state and local governmental units. The loss totaled $130 million after financing the termination of the positions over a 10-year period.
Also in the review, Price Waterhouse described in general terms the types of derivatives the board had in its cash fund: 17 interest rate swaps, 16 of which used leverage; eight structured debt instruments, two of which used leverage; and four put options, three of which were so-called knockout options.
The board also is being audited by the state auditor's office at the request of the state Legislature. In addition, an investigator appointed by the board overseeing the SWIB will examine what events led to the cash pool fund taking the derivatives positions, an area Price Waterhouse did not review.
PARIS - William P. Miller II, director of asset mix management for General Motors Investment Management Corp., New York, was named to a newly formed international advisory board of Europe's second largest derivatives exchange, the Marche a Terme International de France.
The board's goal is to help the exchange with strategic and marketing development. It will explore issues such as market globalization and cooperation and competition among futures exchanges.
Other officials on the new board include John R. Frawley Jr., chairman of the Managed Futures Association and president of ML Futures, New York, and Leo Melamed, chairman and chief executive of Sakura Dellsher, Chicago.
NEW YORK - Anne McCool was hired as a senior vice president for Sullivan & Co., an executive search firm focusing on financial services, to specialize in consulting to hedge fund clients.
Ms. McCool said that in addition to working on executive searches for hedge funds, she will assist firms with other issues, such as organizing a hedge fund; compensating its employees, and fulfilling reporting requirements.
She joins the firm at a time when general hedge fund returns have been below expectations and some institutions have cut back on allocations to hedge funds. Nonetheless, Ms. McCool said the business will continue to expand. There are always hedge fund managers that are able to exploit the markets for profit, she said.
Previously she sold margin trading and foreign exchange products in the New York office of Bank Brussels Lambert. Before that she worked for defunct managed futures firm Monmouth Capital Management Inc., San Diego.
BEDFORD, Nova Scotia - In its first such event, the C$610 million (U.S. $442.6 million) pension fund of the Nova Scotia Association of Health Organizations plans to have a "think tank" meeting to discuss a wide range of new investment ideas, including derivatives, synthetic investments and managed futures, said David J. Platt, director benefits administration.
"Come next spring we might decide to change a manager or two, or add a new investment class," he said.
Representatives of SEI Financial Services and William M. Mercer, the fund's investment consultant and actuary, respectively, will join trustees and staff at the meeting on July 5-6.