The Fix

Chapter 13 “What the Fuck Kind of Bank Is This?”

Hayes walked through the sliding glass doors of the Shin-Marunouchi skyscraper for the first time as a Citigroup employee in December 2009.

It wasn't just the $3 million signing bonus that had lured him away from UBS. The promise of a fresh start at one of the world's biggest banks, with him center stage in its aggressive expansion into the Asian interest-rate derivatives market, had proved too tempting an offer to resist.

As he rode up to the trading floor in the elevator that winter morning, Hayes had every reason to expect a bright future. Bouncing back from its bailout, Citigroup had repaid much of the $45 billion it had taken after suffering crippling losses linked to the collapse of the U.S. subprime-mortgage market. Rather than being humbled by the experience, the firm saw the credit crisis as an opportunity to revive its fortunes. After Lehman Brothers collapsed in 2008, Citigroup scooped up more than a dozen of its best traders to spearhead a push into interest-rate derivatives. Rates was one of the only areas of banking making any money amid the chaos, and one where Citigroup had long been a laggard.

The bank's chief hire was Andrew Morton, a Canadian former academic renowned for developing a groundbreaking mathematical model to price interest-rate swaps. In the year since he joined as the head of G-10 rates, risk treasury and finance, the one-time professor at the University of Illinois at Chicago had overseen a rapid ...