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

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Scenario Analysis Showed SCP Was Not a Hedge. The statements by Mr. Braunstein
and Mr. Dimon were also contradicted by an internal bank analysis that both received two days
before the earnings call. That analysis clearly depicted the SCP as in a long posture and likely to
lose money in a negative credit environment – which meant it was not operating as a hedge to
offset the bank’s other credit risks.
On April 11, 2012, an internal CIO presentation prepared for senior management,
including Messrs. Dimon and Braunstein, reinforced Ms. Drew’s April 5 characterization of the
book as long. 1568 The presentation was prepared by the CIO traders with input from the head of
JPMorgan Chase’s Model Risk and Development Group, as well as his deputy, who had
previously been a credit trader in the Investment Bank. 1569 On page 3 of that presentation,
entitled “Synthetic Credit Summary: Risk & P&L Scenarios,” reprinted below, a table showed
that in multiple credit spread widening environments – i.e., situations in which credit deteriorated
and the risk of default increased – the SCP would lose money. 1570
1568
4/11/2012 email from John Wilmot, CIO, to Jamie Dimon, JPMorgan Chase, and others, “synthetic credit
information,” JPM-CIO-PSI 0001701.
1569
2/4/2013 letter from Douglas Braunstein, JPMorgan Chase, to the Subcommittee, PSI-JPMC-35-000001
(explaining that the presentation was prepared “with input from C.S. Venkatakrishnan and Olivier Vigneron”).
1570
4/11/2012 email from John Wilmot, CIO, to Jamie Dimon, Douglas Braunstein, JPMorgan Chase, and others,
“synthetic credit information,” JPM-CIO-PSI 0001701, at 704.