Morgan Stanley – Huge One Day Loss

Oct. 10 (Bloomberg) — Morgan Stanley, the world’s second- biggest securities firm, said its quantitative strategy traders lost $390 million during a single day in August as their computer models failed to account for “widespread” investor selling.

The company’s traders lost money on 14 days during the quarter ended Aug. 31, “with the largest single-day trading loss being $390 million,” the New York-based firm said in a quarterly regulatory filing today.

Morgan Stanley said last month that the quantitative strategies group lost $480 million during the quarter after they were caught off-guard when other investors sold securities to reduce borrowings. The company disclosed today that daily trading losses during the quarter exceeded the firm’s trading value-at- risk calculation on six days during the quarter.

The filing with the U.S. Securities and Exchange Commission also shows that the firm’s traders generated more than $100 million of trading revenue on about 19 days during the quarter.

To contact the reporter on this story: Christine Harper in New York at charper@bloomberg.net .

http://www.bloomberg.com/apps/news?…PlxQ&refer=home

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