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

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discussing the CIO’s investment portfolios. Ina Drew, David Olson, and OCC examiners told
the Subcommittee that the SCP was part of the CIO’s “Tactical Asset Allocation” (TAA)
portfolio, earlier known as the “Discretionary Trading Book.” 217 Ms. Drew told the
Subcommittee that the TAA portfolio was a book of assets managed on a short term basis. 218
Chetan Bhargiri, the CIO’s Chief Risk officer since May 2012, told the Subcommittee that the
TAA was an “idea” book that could be used to test new strategies. 219 A number of internal CIO
documents refer to the SCP as the “Core Credit Book,” 220 but Ms. Drew clarified that the Core
Credit Book was only one part of the SCP, which also had a “tactical piece.” 221 In 2012, the
TAA book was subsumed under a new name, “MTM Overlay.” 222 Ms. Drew said that multiple
terms evolved over time to refer to various portfolios within the CIO, but that the changing
terminology was for business reasons and not to be evasive. 223
Whether established in 2006, June 2007, or somewhat later, the SCP joined a complex set
of investment portfolios already in existence at the CIO. When asked about how the SCP fit into
the broader CIO investment structure, Ms. Drew indicated that the following chart approximated
the placement of key portfolios in the CIO at the beginning of 2012:
217 Subcommittee interviews of Mike Sullivan, OCC (8/30/2012), Jaymin Berg, OCC (8/31/2012); and David Olson,
CIO (9/14/2012). Ms. Drew told the Subcommittee that the terms TAA and Discretionary Trading Book were used
interchangeably and that the SCP was part of the TAA. Subcommittee interview of Ina Drew, CIO (9/7/2012).
218 Subcommittee interview of Ina Drew, JPMorgan Chase (9/7/2012).
219 Subcommittee briefing by JPMorgan Chase (8/15/2012) (Chetan Bhargiri, CIO).
220 For example, Bruno Iksil’s presentations on the synthetic credit portfolio were sometimes entitled “Core Credit
Book Highlights.” See, e.g., JPM-CIO-PSI 0000099; JPM-CIO-PSI 00000160. Another presentation entitled “CIO
Synthetic Credit Update” (JPM-CIO-PSI 0001248) is a discussion of the “Core Credit Book.” (JPM-CIO-PSI
0001249).
221 Subcommittee interview of Ina Drew, CIO (9/7/2012).
222 Subcommittee interview of Ina Drew, CIO (9/7/2012); 3/2012 “Directors Risk Policy Committee – CIO 2012
Opportunities and Challenges,” prepared by Ina Drew and Irvin Goldman, Chief Investment Office, JPM-CIO-PSI
0015016.
223 Subcommittee interview of Ina Drew, CIO (9/7/2012).