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

Source: 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 [emphasis added with arrows and circle].
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Specifically, the presentation showed that, if credit spreads widened by one basis point,
the book would lose $46 million. This result is shown in the first table on the left, reprinted
above, in the first column captioned “Spr01,” in the row captioned, “Synthetic Total.” The table
also showed that if credit spreads widened by 10%, the book would lose $163 million. This
result is shown in the next column, captioned “Spr+10%,” in the bottom-most entry. Finally, the
table showed in the last column that, if credit spreads widened by 50%, the book would lose
$918 million – nearly $1 billion.
The SCP book was not always projected to lose money in a negative credit environment.
As recently as February 2012, in another internal CIO presentation reprinted below, when the
SCP book was characterized as hedging “tail risk,” if credit spreads widened by 50%, the book
was expected to generate $100 million in gains, and it was expected to roughly break even if
credit spreads widened by 10%. 1571 Mr. Braunstein, who received this presentation, told the
Subcommittee he did not focus on this page. 1572
1571 2/2012 “CIO February 2012 Business Review,” JPM-CIO-PSI 0000289, at 311.
1572 Subcommittee interview of Douglas Braunstein, JPMorgan Chase (9/12/2012).