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

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to the portfolio’s enormous size by the end of March, 743 even small price variances in the
positions could produce large losses. 744
On March 30, 2012, the CIO ended up reporting losses totaling $319 million, more than
six times larger than any other daily loss up to that point in the year. 745
When added to the
previous day’s cumulative year-to-date loss of $399 million, the losses on the last day of March
produced a grand total for the quarter of almost $719 million.
Even that large number, however, hid the true extent of the losses in the SCP book at
quarter end. A recorded telephone conversation on March 30, 2012, between Mr. Grout and Mr.
Martin-Artajo, indicates that they were continuing to use overly favorable prices.
Mr. Grout: “Go ahead and tell me where I should put…”
Mr. Iksil: Yes.”
Mr. Grout: “Tell me where I should take a reserve.”
Mr. Iksil: “If you can avoid doing that screwed-up thing you can really stay within bidask.
It’s better you see since you don’t have a reserve, you see?”
Mr. Grout: “For the United States, we’re back to the bid-ask on the on-the-run … and
for Europe, if you want, I can scratch out two bps [basis points] on the crossover.”
Mr. Iksil: “But you see what I mean? This is a little bit at the limit. We should
probably do something cleaner with a, you see, a lesser result. You see what I mean?”
Mr. Grout: “Okay. But if I take off … I can take off four bps on the crossover.”
Mr. Iksil: “…ok, then do that. Do that and we’ll see. Okay? … I’m sorry to ask you to
do this. But I prefer to do it this way. It’s cleaner, you see …”
Mr. Grout: “I must look into this because …”
Mr. Iksil: “You see, now it’s okay. I have the connection. I will validate it for you right
away, okay?”
743 See 3/29/2012 email from Bruno Iksil, CIO, to Javier Martin-Artajo, CIO, “first draft of the presentation,” JPM-
CIO 0003543-554, at 545 (“the book is huge : 96Bln IG9 and 38Bln S9 fwds. … Series 9 lag is overwhelming :
total loss YTD is 1.5bln.”).
744 See 5/10/2012 JPMorgan Chase Controllers special assessment of CIO’s marks, January to April 2012, at 2,
JPM-CIO 0003637-654, at 638. See also 2013 JPMorgan Chase Task Force Report, at 52.
745 See OCC spreadsheet, OCC-SPI-00000298, printed in a chart prepared by the Subcommittee above. Numbers do
not reflect restated P&L figures. See also 6/29/2012 email from Elwyn Wong, OCC, to Scott Waterhouse and
others, OCC, “2nd Wilmer Hale Call,” OCC-SPI-00071386 (“Real market marks were trued by end of Mar and the
large loss on 3/31/2012 was due to that one reason.”).