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I'm speaking about this at a conference next week. Here is the MONEY QUOTE from Paul Weiss investigative report: >>> ...further, the various Risk Committees on

I'm speaking about this at a conference next week. Here is the MONEY QUOTE from Paul Weiss investigative report: >>> ...further, the various Risk Committees only had access to data that were four to six weeks old. As a consequence, Risk was unaware of, and unable to fully appreciate in real time, the magnitude and pace of the exponential growth in Archegos’s positions... <<< Ref: https://www.credit-suisse.com/about-us/en/reports-research/archegos-info-kit.html https://www.credit-suisse.com/about-us/en/reports-research/a... I'd like to also point out that unlike the 2008 crisis with margin calls which were highly subjective based on difficult projections of housing prices and defaults and correlations (think AIG-FP), here, these were pretty simple equity swaps. Valuing these assets is not difficult

credit_guy 5y ago
There are many interesting quotes, but for me this is the one that explains everything: "Indeed, the 'Action/Decision' for Archegos was for CRM to 'notify of any changes with the counterparty and revisit the counterparty at afuture meeting.' CPOC did not set a deadline for remediating Archegos’s limit breaches, for moving Archegos to dynamic margining with add-ons, or even for reporting back or revisiting the status of Archegos at a futuremeeting." The Archeos situation was escalated as far up as possible, up to this CPOC committee, where the Chief Risk Officer of the Investment Bank was a member. Instead of the CRO breathing down their neck until the situation was remediated, they got away with a bullet point in some minutes, without even a set deadline. It appears that Credit Swiss replaced their CRO though. https://www.bloomberg.com/news/articles/2021-07-29/credit-suisse-risk-officer-to-exit-after-bank-s-archegos-report https://www.bloomberg.com/news/articles/2021-07-29/credit-su...

credit_guy 5y ago

There are many interesting quotes, but for me this is the one that explains everything: "Indeed, the 'Action/Decision' for Archegos was for CRM to 'notify of any changes with the counterparty and revisit the counterparty at afuture meeting.' CPOC did not set a deadline for remediating Archegos’s limit breaches, for moving Archegos to dynamic margining with add-ons, or even for reporting back or revisiting the status of Archegos at a futuremeeting." The Archeos situation was escalated as far up as possible, up to this CPOC committee, where the Chief Risk Officer of the Investment Bank was a member. Instead of the CRO breathing down their neck until the situation was remediated, they got away with a bullet point in some minutes, without even a set deadline. It appears that Credit Swiss replaced their CRO though. https://www.bloomberg.com/news/articles/2021-07-29/credit-suisse-risk-officer-to-exit-after-bank-s-archegos-report https://www.bloomberg.com/news/articles/2021-07-29/credit-su...