Archegos: Difference between revisions

*[[TRS]] not [[synthetic equity]]: CS appears to have documented the trades as “total return swaps” under a standard equity derivatives master confirmation agreement, and not synthetic equity derivatives under a portfolio swap master confirmation. The differences are subtle, but there are two in particular: TRS tend to be “bullet” swaps with a scheduled termination date and as a result do not “[[re-strike|restrike]]” before maturity, and are [[statical margin|statically margined]].  Portfolio swaps are designed to replicate cash prime brokerage; there is not a specified maturity date, so the notional restrikes periodically (like, monthly), and [[initial margin]] is calculated daily against the prevailing “{{eqderivprov|Final Price}}” rather than the original “{{eqderivprov|Initial Price}}”