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

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On the same call, Mr. Martin-Artajo expressed displeasure at Mr. Iksil’s disclosing in the
daily SCP P&L Predict that the “lag” in the SCP book could approach $800 million (“800
bucks”). In addition, Mr. Martin-Artajo expressed concern over what would happen if Ms. Drew
were to instruct them to stop “going long,” which would likely intensify the book’s losses.
Mr. Iksil: “[W]e take this loss, we are maintaining long risk where we have to be, rally
is the on IG but guess what you know, it’s lagging so much that actually we have to
show loss, andI explained that this is a lag that keeps going, that amounts to a potential of
800 bucks, right? …”
Mr. Martin-Artajo: “What are you saying, Bruno? What are you talking about? What
is,, you are losing your mind here, man, why did, you re sending an email that you would
get, what is the 800 bucks?”
Mr. Iksil: “It’s just the lag that we have in IG, in High Yield, in Main, that is all over the
book that makes that this book is just bleeding the money but it’s just the lag. That’s just
the lag.
Mr. Martin-Artajo: “Ok but this is what we need to explain tomorrow you don’t need
to explain in the email man.”
Mr. Iksil: “Yea, but I had to put the comment on this big move, I thought, I thought that
was, that was a way to, to, to show what’s happening on a day like --”
Mr. Martin-Artajo: “Yea but why do you do it today when we are going to explain it
tomorrow? …”
Mr. Iksil: “Because, because that, that’s, that’s what we saw today, you know we’ve
tried everything. …”
Mr. Martin-Artajo: “Why don’t you explain it tomorrow when Ina is there and we
have, because this only, this only creates, it just creates more tension, you understand? ...
What happens if she tells me that, that, that we cannot keep going long?” 705
Continuing the conversation, Mr. Iksil indicated that the divergence between the reported
and unreported losses, which then approached four basis points, or as much as $200 million, in
two credit indices, were too large for him to ignore. He expressed the hope that Ms. Drew would
read the SCP P&L commentary which would give her additional time before the meeting the
next day to think about what the CIO should do, especially as the quarter-end approached. Mr.
Iksil also commented that he had been forced to choose between “one bad thing and one thing
that I think was worse” – perhaps referring to admitting increased SCP losses versus hiding
losses that were rapidly escalating.
Mr. Iksil: “[I]t’s like there were 4 basis points missing on IG9, or 4 basis points missing
on S9 …”
705 Id. at 394-395.