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

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Chief Investment Office Collateral Disputes - April 20-May 23, 2012
Date Total of CIO Collateral Disputes Largest Counterparty Difference Counterparty of Largest Dispute
4/20/2012 784
$ 520 million
$ 115 million Morgan Stanley
05/02/2012 785
$ 182 million
$ 55 million Morgan Stanley
05/03/2012 786
$ 194 million
$ 57 million Morgan Stanley
05/04/2012 787
$ 203 million
$ 61 million Morgan Stanley
05/07/2012 788
$ 212 million
$ 61 million Morgan Stanley
05/08/2012 789
$ 144 million
$ 54 million Morgan Stanley
05/09/2012 790
$ 120 million
$ 58 million Morgan Stanley
05/10/2012 791
$ 66 million
$ 46 million Morgan Stanley
05/11/2012 792
$ 69 million
$ 27 million Morgan Stanley
05/14/2012 793
$ 156 million
$ 46 million Morgan Stanley
05/15/2012 794
$ 152 million
$ 110 million DBKAG
05/17/2012 795
$ 42 million
$ 27 million Morgan Stanley
05/21/2012 796
$ 25 million
$ 32 million Morgan Stanley
05/23/2012 797
($ 29) million
$ 17 million Morgan Stanley
05/24/2012 798
($ 29) million
$ 17 million Morgan Stanley
05/25/2012 799
$ 25 million
$ 39 million Morgan Stanley
Source: JPMorgan Chase and OCC documents cited in the above footnotes.
784 See 4/20/2012 email from John Hogan to Douglas Braunstein, JPMorgan Chase, “Collateral Disputes,” JPM-CIO
0003597, at 3598. The largest disputed position was the iTraxx Main S09 10 year 22-100 tranche.
785 See 5/6/2012 email from Paul Bates, JPMorgan Chase, to Jamie Dimon, Douglas Braunstein, John Hogan,
JPMorgan Chase, Ina Drew, CIO, and others, “CIO Credit Collateral differences as of COB Thursday 3 rd ,” JPM-
CIO-PSI 0014195.
786 See 5/6/2012 email from Paul Bates, JPMorgan Chase, to Jamie Dimon, Douglas Braunstein, John Hogan,
JPMorgan Chase, Ina Drew, CIO, and others, “CIO Credit Collateral differences as of COB Thursday 3 rd ,” JPM-
CIO-PSI 0014195.
787 See 5/7/2012 email from Paul Bates, JPMorgan Chase, to Phil Lewis, CIO, and others, “CIO Credit Collateral
differences as of COB Friday 4 th ,” JPM-CIO-PSI 0008878.
788 See 5/8/2012 email from Paul Bates, JPMorgan Chase, to Jamie Dimon, Douglas Braunstein, John Hogan,
JPMorgan Chase, Ina Drew, CIO, and others, “CIO Credit Collateral differences as of COB Monday 7 th ,” JPM-CIO-
PSI 0014779.
789 See 5/9/2012 email from Hema Coombes, JPMorgan Chase, to Jamie Dimon, Douglas Braunstein, John Hogan,
JPMorgan Chase, Ina Drew, CIO, and others, “CIO Credit Collateral differences as of COB [Tues]day 8 th including
2 day differences against Morgan Stanley,” JPM-CIO-PSI-H 0002712-717.
790 See 5/10/2012 email from Hema Coombes, JPMorgan Chase, to Jamie Dimon, Douglas Braunstein, John Hogan,
Ina Drew, JPMorgan Chase, and others, “CIO Credit Collateral differences as of COB Wednesday 9 th May,” JPM-
CIO-PSI 0014797.
791 See 5/11/2012 email from Phil Lewis, CIO, to Jamie Dimon, Douglas Braunstein, John Hogan, Ina Drew,
JPMorgan Chase, and others, “CIO Credit Collateral differences as of COB Thursday 10 th May,” JPM-CIO-PSI
0017989.
792 See 5/14/2012 email from Phil Lewis, CIO, to Jamie Dimon, Douglas Braunstein, John Hogan, Ina Drew,
JPMorgan Chase, and others, “CIO Credit Collateral differences as of COB Friday 11 th May,” JPM-CIO-PSI
0032235.
793 See 5/15/2012 email from Phil Lewis, CIO, to Jamie Dimon, Douglas Braunstein, John Hogan, Ina Drew,
JPMorgan Chase, and others, “CIO Credit Collateral differences as of COB Monday 14 th May,” JPM-CIO-PSI
0018281.
794 See 5/16/2012 Synthetic Credit Daily Risk Report, OCC-SPI-00114068, at 11.
795 See 5/22/2012 Synthetic Credit Daily Risk Report, OCC-SPI-00089239, at 15.
796 See 5/23/2012 Synthetic Credit Daily Risk Report, OCC-SPI-00089295, at 18.
797 See 5/24/2012 Synthetic Credit Daily Risk Report, OCC-SPI-00088644, at 18. Negative number implies that
JPM marks are too low. Positive number implies that the marks are too high.
798 See 5/25/2012 Synthetic Credit Daily Risk Report, OCC-SPI-00089351, at 18. Negative number implies that
JPM marks are too low. Positive number implies that the marks are too high.
799 See 5/29/2012 Synthetic Credit Daily Risk Report, OCC-SPI-00089407, at 18.