Archegos report details margin failings at Credit Suisse

Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion

Photo of Credit Suisse

Last August, software engineers at Credit Suisse pitched an idea that would have allowed the bank’s prime brokerage division to periodically raise margin levels for the long-dated equity swaps it traded with Archegos Capital Management. The project would have cost just $150,000 but was never approved. Seven months later, Archegos defaulted, leaving Credit Suisse with a loss of $5.5 billion.

The failure to implement the margin fix was one of several blunders detailed in an independent report

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