JPMORGAN CHASE WHALE TRADES: A CASE HISTORY OF DERIVATIVES RISKS AND ABUSES

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(3) Increasing the Reported Losses
His telephone calls, instant messages, and emails show that Mr. Iksil, who was charged
with managing the SCP book, was becoming increasingly concerned about the growing
difference between the SCP losses that the CIO was reporting to the bank versus the losses that
would have been reported by marking at the midpoint. When on March 19, 2012, the unreported
losses reached half a billion dollars, Mr. Iksil decided not to wait until the end of the month, as
his supervisor had requested, but to begin reporting larger losses immediately to better reflect the
actual market prices. On March 20, 2012, Mr. Iksil directed Mr. Grout to report a much larger
SCP loss than had been reported previously during the year. 694
While Mr. Grout was preparing the SCP P&L Predict email that would report the larger
daily loss, Mr. Martin-Artajo met briefly with Ms. Drew about the SCP. In a March 20, 2012
email sent by Ms. Drew to Mr. Martin-Artajo’s supervisor, Achilles Macris, Ms. Drew wrote:
“Javier briefed me this morning on the credit book. He sounded quite nervous.
Let’s discuss on our weekly call. The full briefing is later in the morning but I
want to understand the course of action from you.” 695
Mr. Macris, Ms. Drew, Mr. Martin-Artajo, and Chief Risk Officer Irvin Goldman arranged a
meeting for the next day, Wednesday, March 21, to discuss the SCP.
In the meantime, Mr. Grout worked with Mr. Iksil to complete the daily SCP P&L
Predict email to report a sizeable SCP loss, together with a brief explanation. Prior to its being
sent, Mr. Iksil left a telephone message and an electronic message with Mr. Martin-Artajo to
obtain his approval, but received no response. In his telephone message, Mr. Iksil said that the
CIO needed to start showing losses: “[W]e would show a loss of 40 million core and 3 million
in, in tactical …. I think we should, we should start, start showing it.” 696
The largest daily loss reported for the SCP book, up to that point in 2012, was a $24
million loss on February 8. On March 20, Mr. Iksil instructed Mr. Grout to report an estimated
the $3 million loss to determine the extent to which those marks reflected prices within the daily bid-ask spread. In
its 2013 report, the JPMorgan Chase Task Force stated that, by March 19, the CIO had reported only a small SCP
daily loss for each of the prior seven consecutive days. 2013 JPMorgan Chase Task Force Report, at 50. It also
wrote that the CIO trader recording the SCP marks “told another trader that a more senior trader had pressured him
throughout this period not to show large losses in the Synthetic Credit Portfolio.” Id.
694 See 3/20/2012 email from Julien Grout, CIO, to the CIO Estimated P&L mailing list, “CIO Core Credit P&L
Predict [20 Mar]: -$39,686k (dly) -$275,424k (ytd),” JPM-CIO-PSI 0016487-489.
695 3/20/2012 email from Ina Drew to Achilles Macris, CIO, “Wed call,” JPM-CIO-PSI 0001236.
696 3/20/2012 audio file of recorded telephone message left by Bruno Iksil, CIO, for Javier Martin-Artajo, CIO,
JPM-CIO-A 0000054 (“Hello Javier, it’s Bruno. Again, you know, we can’t try to be close to the market prices and
we, we would show a loss of 40 million core and 3 million in, in tactical and I wanted to know if that was okay with
you. I’m going to send you an SMS, to get your, your approval. We’re still in the range but it’s a 3 everywhere so,
as I try to get closer to, to the target and I don’t want to make it last, you know? I think we should, we should start,
start showing it. Please call me back if you can or just reply to my SMS please.”); see also written transcript of the
recorded telephone message, at JPM-CIO 0003481. The reference to “SMS” is to an instant messaging service.