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 room
The payoff structure was genuinely complex, opaque swap exposure spread invisibly across counterparties defeated simple per-bank risk models, and the tail behavior was classic fat-tail contagion (a single margin call cascading into a 10 billion dollar multi-bank loss); it slides toward Q-Fraud because the concealment stopped being a side effect of the product and became an intentional, prosecutable deception once Hwang misrepresented his positions to keep banks extending credit.
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
The book
This entry is one of 111 in the register. The full story, and what it cost the people who lived it, is in Risky Business by Claudia Zeisberger, David Munro and Joanna Reijgersberg-Siew.
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