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

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The order to stop trading prevented the CIO traders from expanding the SCP still further,
but came too late to prevent the losses caused by the positions already acquired. In fact, when
the CIO traders stopped trading, the losses increased. 565 The year-to-date losses reported by the
CIO climbed from $719 million in March, to $2.1 billion in April, to $4 billion in May, to $4.4
billion in June, and then to $6.2 billion in December. 566 Since JPMorgan Chase transferred
many SCP index positions to its Investment Bank on July 2, 2012, the total amount of losses
associated with the Synthetic Credit Portfolio will likely never be known. 567
One key area of inquiry with respect to the SCP losses has focused on the CIO’s massive
long position in the IG9 index. To help explain what happened, JPMorgan Chase provided the
Subcommittee with a chart showing how the credit spreads – the premium amounts charged to
obtain long IG9 credit protection – generally declined from November 2011 through April 2012.
In particular, the chart shows a general decline in spreads from January 2012 until March 23,
2012, the day Ina Drew told the traders to stop trading, after which the prices began to
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rebound.
565 JPMorgan Chase Task Force interview of Bruno Iksil, CIO (partial readout to Subcommittee on 8/27/2012).
566 See chart, prepared by the Subcommittee and printed in Chapter 4, tracking SCP’s daily reported profit and losses
(P&L) from January to May 15, 2012, derived from an OCC spreadsheet, OCC-SPI-00000298. Numbers do not
reflect restated P&L figures after JPMorgan Chase’s restatement in July 2012. See also JPMorgan Chase & Co.
Form 10-Q (for period ending 9/30/2012), filed with the SEC (11/08/2012), at 10, 220.
567 Subcommittee interview of Elwyn Wong, OCC (8/20/2012); 2013 JPMorgan Chase Task Force Report, at 110;
JPMorgan Chase & Co. Form 10-Q (for period ending 9/30/2012), filed with the SEC (11/08/2012), at 8 (“Principal
transactions in CIO included $449 million of losses on the index credit derivative positions that had been retained by
it following the transfer of the synthetic credit portfolio to IB on July 2, 2012, reflecting credit spread tightening
during the quarter.”).
568 Undated chart entitled, “Credit Spreads on IG9 Index,” prepared by JPMorgan Chase, JPM-CIO-PSI-0002062.