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

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Martin-Artajo, Mr. Macris did not want to lose money and, in fact, would be “angry” to lose
money. 427 At one point at the end of January, Mr. Iksil sent Mr. Martin-Artajo an email advising
that they should just “take the pain fast” and “let it go.” 428 But according to Mr. Iksil, his
supervisor Mr. Martin-Artajo disagreed and explicitly instructed him to stop losing money. 429
The second option, unwinding the book, had already been calculated to cost a minimum
430
of $516 million. Mr. Martin-Artajo later told the JPMorgan Chase Task Force investigation
that Mr. Macris did not want to lose money at all, but particularly did not want to lose money
from unwinding the book. 431 In addition, Ms. Drew had already expressed concern about the
high cost of unwinding the book. 432
(9) Four Options to Reshape the SCP
On January 18, 2012, the day before the Kodak default and the start of the nine straight
days of losses in the SCP, Ms. Drew convened a meeting to discuss the SCP and, in particular,
how to reduce its RWA. 433
In preparation for the meeting, Mr. Iksil provided Ms. Drew a written presentation with
434
key information about the SCP. The first page of the presentation focused on the SCP’s
RWA. Specifically, it compared the SCP’s RWA results using the bank’s standard RWA model,
which had been developed by the bank’s Model Risk and Development group (also referred to as
Quantitative Research or “QR,” a function located within JPMorgan Chase’s bankwide risk
group), versus the SCP’s RWA results using a model newly developed by the CIO. The
presentation noted that the CIO’s “Core Credit Book RWA” under the bank’s QR model was
427
Id. (According to Mr. Martin-Artajo, “Achilles told me every day every minute that he would be angry with P&L
loss.”).
428
1/30/2012 email from Bruno Iksil, CIO, to Javier Martin-Artajo, CIO, JPM-CIO-PSI 0001225 (Mr. Iksil also
warned: “there is more loss coming in core credit book”).
429
JPMorgan Chase Task Force interview of Bruno Iksil, CIO (partial readout to Subcommittee on 8/27/2012).
430
1/4/2012 email from Julien Grout, CIO, to Ina Drew, John Wilmot, and Javier Martin-Artajo, CIO, “RWA
reduction for Core Credit- scenario analysis summary,” JPM-CIO-PSI 0001260. The $516 million was the projected
cost for unwinding just 35% of the SCP.
431
JPMorgan Chase Task Force interview of Javier Martin-Artajo, CIO (partial readout to Subcommittee on
9/6/2012).
432
See 1/10/2012 email from Ina Drew, CIO, to Javier Martin-Artajo, CIO, “International Credit Consolidated P&L
09-Jan-2012,” JPM-CIO-PSI 0000075.
433
See 1/18/2012 email from Bruno Iksil, CIO, to Julien Grout, CIO, “Meeting materials for 11am meeting,” JPM-
CIO-PSI 0000098-104, conveying presentation entitled, “Core Credit Book Highlights,” (earlier email in chain from
Andrew Perryman, CIO, to Gina Serpico, who was Ms. Drew’s assistant: “Hi Gina, Please find attached a copy of
the meeting materials for Ina’s 3 pm meeting with Javier, Achilles and Bruno.”). See also 2013 JPMorgan Chase
Task Force Report, at 29 (describing January 18 meeting involving Ms. Drew, Mr. Wilmot, Mr. Weiland, and “two
senior members” of the SCP team to discuss the SCP and RWA reduction).
434
1/18/2012 email from Bruno Iksil, CIO, to Julien Grout, CIO, “Meeting materials for 11am meeting,” JPM-CIO-
PSI 0000098-104, conveying presentation entitled, “Core Credit Book Highlights,” (see earlier email in chain from
Andrew Perryman, CIO, to Gina Serpico, who was Ms. Drew’s assistant: “Hi Gina, Please find attached a copy of
the meeting materials for Ina’s 3 pm meeting with Javier, Achilles and Bruno.”). See also JPMorgan Chase Task
Force interview of Javier Martin-Artajo, JPMorgan Chase (partial readout to Subcommittee on 9/6/2012).