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
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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