Would margin rules have checked Archegos? Perhaps not
Regulator-prescribed margin methodology permits six-times leverage on equity swaps
The blow-up of Archegos Capital Management is raising questions about whether incoming margin rules for derivatives will prevent similar losses in the future.
Archegos, the family office of former hedge fund manager Bill Hwang, defaulted on equity swaps with several prime brokers at the end of last month, leaving counterparties including Credit Suisse and Nomura with combined losses of around $7 billion.
Those trades would be subject to a standard 15% initial margin requirement under rules due
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