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

242
Source: 7/30/2012 OCC Large Bank Supervision presentation to Subcommittee re Chief Investment Office
Discussion, at PSI-OCC-06-000026 (showing the MTM Stop Loss Advisory as a horizontal line).
For ten days, from April 9 to April 19, the bank repeatedly assured the OCC that the CIO
whale trades were nothing to worry about. JPMorgan Chase did not update the OCC again until
May 4, 2012, 1368 despite, as the above chart shows, increasing losses and breaches of the CIO’s
MTM stop loss limit. The OCC told the Subcommittee that the bank should have alerted the
agency when the SCP losses intensified. The bank also did not update the OCC on Achilles
Macris’ request at the end of March that JPMorgan employees, Ashley Bacon and Olivier
Vigneron, who worked in the Investment Bank, be diverted “for help with the synthetic credit
book,” because Mr. Macris had “lost confidence” in his team. 1369
In addition, the bank did not
update the OCC, as it should have, on then-$500 million in CIO collateral disputes indicating
1368
Subcommittee interview of Scott Waterhouse, OCC (9/17/2012).
1369
See 3/30/2012 email from Achilles Macris, CIO, to John Hogan, JPMorgan Chase, “synthetic credit- crisis
action plan,” JPM-CIO 0000434. Mr. Macris’ request was granted.