Risk register · entry
Q4 · Where models dieArchegos collapse
Hidden swap leverage detonated; each bank only saw its own slice.
The world stops matching the model. Regime change and leverage turn a small error fatal.
Why this quadrant
Hwang's exposure sat in total return swaps held at several banks at once. Each bank could see only its own book, so no risk model anywhere held the real position. When the first margin call came the unwind ran through all of them and the losses passed 10 billion dollars. It moves toward fraud at the point where concealment stopped being a property of the instrument and became a choice. Hwang misrepresented his positions to keep the credit coming, and was convicted for it.
The record
- Archegos peak swap exposure/assets: over $36 billioncertain
- Total bank losses: more than $10 billioncertain
- Credit Suisse loss: ~$5.5 billioncertain
- Nomura loss: ~$2.85 billion (some reports say $2 billion)likely
- Morgan Stanley loss: ~$911 million (reported also as ~$644M + $267M in components)likely
- UBS loss: $774 millioncertain
- Mitsubishi UFJ loss: ~$300 millionlikely
- Forced liquidation size: approaching $30 billion in positionslikely
- Margin call default and start of collapse: March 26, 2021certain
- Hwang arrested and charged: April 27, 2022certain
- Hwang convicted at trial: July 2024, after a nine-week jury trialcertain
- Hwang sentenced: 18 years in prison, November 2024certain
- Restitution ordered: more than $9 billioncertain
- Credit Suisse managing director headcount decline: 40% since 2019likely
- Credit Suisse's Archegos exposure described as ~4x its next-largest client (~$20 billion exposure cited)likely
Sources
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