Credit Suisse: "Repricing of certain asset-backed positions"

With the markets in structured finance plummeting, there is clearly an incentive to polish up valuations for inventory positions. It appears as if some traders have given in to temptation at Credit Suisse. A press release today reveals an overestimate of inventory value amounting to $2.85B and the BBC reports that structured credit traders in London have been suspended.

What is interesting about this is how completely predictable it is. With the current market illiquidity, it is very difficult to price some structured credit products. At best you are marking many of them as a spread to some proxy such as the ABX or TABX. Clearly for CS to be confident that the positions are mismarked, they can't be just in the margin of error: they must be well outside it. Which given the size of the margin at the moment, means that it might well have been fairly egregious...

Update. The WSJ's take on the difficulty of marking to market in the current conditions is here.