Ahead Of Tomorrow's Dimon Hearing, Presenting JP Morgan's 93.5% Historical Winning Trade Perfection

Tyler Durden's picture

We are just about 16 hours away from Jamie Dimon's sworn testimony before the Senate Banking Committee, which even has the theatrical name: "A Breakdown in Risk Management: What Went Wrong at JPMorgan Chase?" Will anyone learn anything? Of course not: Jamie Dimon has been well-schooled in not disclosing critical trading information, and will certainly use the "proprietary position" and "more shareholder losses" excuse for any directed question asking how big the JPM CIO loss has become. Because while the hearing could have been productive, if indeed its purpose was to seek to prevent future massive losses of scale such as the suffered by the JPM prop trading unit and its hundreds of billions in CDS notional position, the last thing anyone will care about tomorrow is market efficiency and actual regulation. First and foremost: grandstanding and posturing, in the case of the politicians, and not disclosing anything, without saying too many "I don't recall"s in the case of Dimon. Which is why we have little hope to get anything out of tomorrow's formulaic 2 hours of largely meaningless droning. That said, considering we have already covered the topic of the JPM loss from a mechanistic standpoint more than any other media outlet, there is one more chart we would like to share with readers.

The reason for this chart was predicated by a small note in the latest WSJ article on who knew what and when (which came out at just the same time as the Bloomberg piece - as if the JPM CIO leaks can't decide who to dump information to so does it to both BBG and the WSJ), in which it is said that in "2010, another bad trade caught the attention of a senior finance executive who notified top J.P. Morgan executives. Joseph Bonocore, then chief financial officer of the CIO, became concerned when London-based traders lost about $300 million in a few days on a foreign exchange-options trade, without any offsetting gains to balance out the losses."

We decided to go back to the firm's 2010 filings and see what it had disclosed about its losses based on trading days reporting.

Here is what JPM reported publicly:

  • Q1 2010: zero days with any trading losses; 64 profitable trading days
  • Q2 2010: 8 trading loss days; 57 profitable days; of which the worst were 2 losses between $100-$120 MM
  • Q3 2010: zero days with any trading losses; 66 profitable trading days
  • Q4 2010: 5 trading loss days; 61 profitable days; of which worst was 1 loss day between $80-$100MM

Most importantly, in JPM's own words: "During 2010, losses were sustained on 13 days, none of which exceeded the VaR measure." Recall that this is the fudged VaR, which upon the discovery of the Iksil trade, had to be massively adjusted upward having been found to be completely meaningless and to exclude all CIO positions.

We wonder: was the CIO responsible for all of these losses, and more importantly, is the abovementioned loss captured in any of the JPM public reports? And if not, why not? More importantly, can someone explain how it is possible that a firm that over the past 9 quarters has disclosed a total of 41 days on which it has lost money trading, and 546 days on which it was profitable, or a 93.5% win rate of the total 587 days in the past 2 years and 1 quarter

All this is shown in the chart below:

To borrow a phrase from Taleb: was JPM's now mega-loss merely the non-scalable outlier event that occurs when a firm has an artificially impossible winning ratio, and uses complexity to mask the fact that it is in fact merely accumluating losses which have to be booked eventually?

Does being successful nearly all the time explicitly imply there is a time bomb in your books just waiting to be detonated? If JPM is any indication, the answer is a resounding yes.

 

* * *

Below is the breakdown of the past 9 quarters of JPM trading days from the company's own filings:

Q1 2010: Zero trading loss days: "The following histogram illustrates the daily market risk-related gains and losses for IB, CIO and Consumer Lending positions for the first three months of 2010. The chart shows that the Firm posted market risk-related gains on all 64 days in this period, with 9 days exceeding $180 million. There were no losses sustained during the three months ended March 31, 2010."

Daily IB & Other Market Risk-Related Gains (95% Confidence Level VaR) Three Months Ended March 31, 2010.

 

(BAR CHART) 

Q2 2010: 8 Trading Days Losses of which 2 Days with losses between $100 and $150 MM. "The following histogram illustrates the daily market risk-related gains and losses for IB, CIO and Mortgage Banking positions for the first six months of 2010. The chart shows that the Firm posted market risk-related gains on 121 out of 129 days in this period, with 10 days exceeding $200 million. The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the 95% confidence level VaR exceeded the actual loss on each of those days. Losses were sustained on eight days during the six months ended June 30, 2010, none of which exceeded the VaR measure."

(GAINS LOSS GRAPHIC) 

Q3 2010: Zero Trading Day Losses: "The chart shows that the Firm posted market risk—related gains on 187 out of 195 days in this period, with 12 days exceeding $200 million. The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the 95% confidence-level VaR exceeded the actual loss on each of those days. During the nine months ended September 30, 2010, losses were sustained on eight days, all within the second quarter of 2010, none of which exceeded the VaR measure."

 

(BAR GRAPH)

Q4 2010: 5 Trading Day Losses. "The following histogram illustrates the daily market risk–related gains and losses for IB, CIO and Mortgage Banking positions for 2010. The chart shows that the Firm posted market risk–related gains on 248 out of 261 days in this period, with 12 days exceeding $210 million. The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the 95% confidence-level VaR exceeded the actual loss on each of those days. During 2010, losses were sustained on 13 days, none of which exceeded the VaR measure."

(GRAPH)

 

Q1 2011: Zero Trading Day Losses: "The following histogram illustrates the daily market risk—related gains and losses for IB, CIO and Mortgage Banking positions for the first three months of 2011. The chart shows that the Firm posted market risk—related gains on each of the 64 days in this period, with seven days exceeding $160 million."

(PERFORMANCE GRAPH)

Q2 2011: 2 Trading Day Losses: between $80-$100MM;  "The chart shows that the Firm posted market risk-related gains on 127 of the 129 days in this period, with four days exceeding $200 million. The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the VaR exceeded the actual loss on each of those days. Losses were sustained on two days during the six months ended June 30, 2011, none of which exceeded the VaR measure."

Q3 2011: 16 Trading Day Losses., 5 Days over $200MM "The chart shows that the Firm posted market risk related gains on 177 of the 195 days in this period, with five days exceeding $200 million. The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the VaR exceeded the actual loss on each of those days. Losses were sustained on 18 days during the nine months ended September 30, 2011, of which three days exceeded the VaR measure."

Q4 2011: 9 Trading Day Losses: "The chart shows that the Firm posted market risk related gains on 233 of the 260 days in this period, with seven days exceeding $200 million. The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the VaR exceeded the actual loss on each of those days."

 

Q1 2012: 1 Trading Day Loss:  "The chart shows that the Firm posted market risk-related gains on 64 of the 65 days in this period, with one day exceeding $200 million. The inset graph looks at those days on which the Firm experienced losses and depicts the amount by which the VaR exceeded the actual loss on each of those days."

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lizzy36's picture

Eight out of the 22 on the Senate Banking Committee have JPM as a top five sponsor. JPM is the Chairmens #1 Sponsor and the Ranking Member has JPM as his #2 sponsor.

For context Goldman appears as one members top 5 sponsor. 

I imagine that right now some idiot Senator is getting briefed from some intern on what a "synthetic credit portfolio" is. Likely neither have a clue although betting the intern is less clueless than the Senator. 

Tomorrow each Senator will be hoping to score the sound-bite for the "hard working folks back home". Hoping that none of the "folks back home" notice who their sponsors are.

Politics in the USA is merely the practice of bribery and legalized execution of corruption. Funny because tomorrow the puppet master is on the hot seat.....good thing it is only his marionettes, doing the questioning.

Jena's picture

More like a Tijuana donkey show.

Tijuana Donkey Show's picture

I pity the fool who messes with donkey show. Who called me?

Zero Govt's picture

should Senators with a glaring conflict of interest such as JP Morgan sponsoring their campaigns not have to declare their conflicts at tomorrows Hearing?

Marginal Call's picture

This is gonna be like the time that one Senator from Texas apologized to BP during the gulf oil spill.

Kiwi Pete's picture

But surely those with a conflict of interest have to recluse themselves from the Dimon grilling. Surely? Crickets...

phat ho's picture

"OOO-ooooo-hhhhhhhhhh Aaaannn-dy; don't be too hard on the boy"  Floyd - Andy Griffith show

Cupid Stunt's picture

Dimon Corzine Dimon Corzine. Same shit different day.

Zero Govt's picture

Yep same shit indeed ...maybe the Committee could ask Dimon while he's there where he 'parked' stolen client funds from the MFG heist

coz the wet blanket of a Trustee sure as hell isn't making any effort in that direction

NemoDeNovo's picture

FU Dimon!!!!!!

Karma is a BITCH, bithcez

ProtectiveFather's picture

Are you Spanish? Nice theta on the classic ZH sentence ender.

muppet investor's picture

16 hours ??!!..
Better call Jon Corzine...just in case something goes wrong...

junkyardjack's picture

Preview of tomorrow's hearing

http://www.youtube.com/watch?v=5j2F4VcBmeo

At least 3 congressmen will cry...

Hubbs's picture

Losses on 6.5% of the trades? These smell like increments of unprocessed London whale shit that JPM has to dispose of. 

If you can be 93.5 % sucessful, then you can be essentially be 100%, unless of course you got to hide a big screw up.

jumblies's picture

I wonder how many other big banks also have such high win rates? And if so who are the losers and why haven't they figured out that doing a deal with JPM means you're 93.5% likely to lose your shirt?

 

Rainman's picture

wtf you think these pigmen are doing with free money from the fed...makin loans//??? Sheeeet !

jmcadg's picture

I can barely be bothered to comment, other than Dimon, you're a cunt.

rsnoble's picture

Exactly what does a "sworn testimony" mean to a devil worshiper?

knukles's picture

Sworn Testimony:  (n), as in the truth, the whole truth and nothing but the truth that you better listen to or your ass is grass.  example;

 

"Goddammit, Senator, I swear to fucking God that I'll have that asshole's fucking entrails hanging as a butler bell call cord in my Viennese castle along the Danube when I find out who let this shit out of the fucking bag.  That slimy little cocksucker will be eviscerated in Satan's Own Sacrifice in the middle of Times Square right after I take care of your newest round of campaign contributions which'll be buried as next years trading losses, so do not fucking demean me in front of the public you little prick or those photos of you taking it up the ass while huffing amyl nitrite in the Bohemian Grove will be front and fucking center on every front page from the NY Times to the Enquirer.  Do you fucking understand me, now?"

 

BlueStreet's picture

93.5%, maybe Jamie really can see the future.

 

boooyaaaah's picture

Lest's ask Allen to ask the ZH question

There has to be one tough SOB left in Congress

 

Maybe Allen

If not him, we need to Keep looking

How bout Markopolis

The truth is a huge boulder in the pathway to hell

http://www.theblaze.com/stories/im-just-getting-started-allen-west-releases-epic-new-ad/

 

 

 

 

 

 

booboo's picture

Fuck allen west, he's a truncoat sob draped in camo that voted for NDAA

Everybodys All American's picture

and the one guy who actually could have stopped it from becoming law you give a pass. That guy being the one who signed it into law on Christmas eve. Yeah that guy.

SILVERGEDDON's picture

Wire a polygraph to an electric fencing charger, wired to Jamie's nuts. Every time he lies, full fencing voltage gets applied to his nuts. Let's see if he lives until the end of hour one on that game plan. Hell, let's see if he makes it through the first five minutes without shitting his pants and projectile vomiting.

Xrated's picture

Tyler, watch your back.

These Mafia types will snuff you out if your not careful.

Get a bodyguard. Just saying...

GNWT's picture

Damn dude, was thinking the same thing

And don't get on a plane with Max Keiser, et al.

Decided not to vote ever the night they killed RFK.

Lesson of the 60's, if he can make a difference he will die.

This shit started decades or more ago, ain't nothing new.

G

Stay liquid my friends...

Hubbs's picture

Losses on 6.5% of the trades? These smell like increments of unprocessed London whale shit that JPM has to dispose of. 

If you can be 93.5 % sucessful, then you can be essentially  100%, unless of course you have to hide a big screw up.

Zero Govt's picture

my local worthless utility regulator mandates 95% service reliability

as nobody collects the data other than the utility they can at will drive a horse, coaches and double-decker bus through that 5% rat hole and nobody is any the wiser

The Law looks good on paper, in practice it stinks

booboo's picture

Keep voting amerika and when you do remember you are consenting to the ass raping that will commence withing hours of them swearing on a bible to not cornhole you.

chump666's picture

F*ck JPmorgan and that disease Dimon.  You greedy disgusting a-holes.

Anyway you'll go down in history for setting off the derivative meltdown that the Fed is covertly covering up (there you go conspiracy theory...but most probably true).

 

Convolved Man's picture

TBTF crime and punishment mashup.

 

Put him in the comfy chair...

Bailiff, whack his pee-pee!

The Heart's picture

Blah blah blah... meanwhile...we got a war to start.

Stay tuned for your average normal commercial false flag event any day now to blame on Syria, or some one.

And look who's coming to dinner!

Russia prepares army for Syrian deployment

http://www.wsws.org/articles/2012/jun2012/rusy-j12.shtml

.

MFL8240's picture

Here is what JPM reported publicly:

  • Q1 2010: zero days with any trading losses; 64 profitable trading days
  • Q2 2010: 8 trading loss days; 57 profitable days; of which the worst were 2 losses between $100-$120 MM
  • Q3 2010: zero days with any trading losses; 66 profitable trading days
  • Q4 2010: 5 trading loss days; 61 profitable days; of which worst was 1 loss day between $80-$100MM

THIS IS WHAT HAPPENS WHEN YOU HAVE THE BANKS IN BED WITH BEN BERNANKE!  THIS IS A FUCKING CLOWN SHOW.

chump666's picture

...and PIMCO knows that the Fed will buy-up MBS's soon.

Forget em all.  Point is, JPmorgan has set off the derivative timebomb.  The Fed is printing into ALL markets, from ECB swaps, repo's, op twists in all configurations, USD printing etc etc etc

Won't matter, the CDS (Insurance) bubble connected to the bond bubble is about to go.  The CB's of the world will be lost in a panic and despair.  Nothing on earth will stop the doomsday trade

working class dog's picture

Hey Ron Paul, get them spurs on Partner and ride the wild poney Jamie Dimon,

Yeeh Ha!

Hedgetard55's picture

So, they have been counting their gains and hiding the losses? Just like Hillary! in Cattlegate.

unununium's picture

Transcript you will never see:

Mr. Dimon -

 - What is the gross notional value of all INTEREST RATE SWAPS to which your companies and their subsidiaries, off-balance-sheet vehicles etc. are a party?

 - Who are the largest counterparties and instruments? 

 - Are you "hedging" those IR swaps by buying the underlying instruments, e.g. United States Treasury securities?

 - What, in your estimation, has been the market impact of your purchasing that quantity of Treasuries as "hedges"?

 ** Does that not equate to working in concert with the Treasury to suppress longer-term interest rates, far in excess of publicized QE, QE-Lite, Operation Twist, etc. programs?

 - What is the amout of commissions your companies (subsidiaries, ad nauseuem) have earned on this official business in the past 3 months? In the past 12 months?

 - Any particular plan for ever unwinding any of it?

Thank you and good day sir.

 

 

lakecity55's picture

OR, "congressmen, inside the folders I passed out to each of you are hot stock picks you're gonna love-- along with my printed statement, of course."

"Thank you for your time, Mr D. This committee appreciates your largesse."

Catullus's picture

Is this hearing even remotely necessary? Why doesn't he just say "no" to the request? It's not like the subpoena him

q99x2's picture

CNBC: 'On the economic front, investors will be watching the monthly producer price index and the retail sales numbers at 8:30 am ET.'

What is this crap?

Economic front: That's where past exchange transactions meet future demand for cartons of Tide.

Investors: That must refer to those narly computer algos.

Monthly producer price index: And thats a graph of fraudulent numbers related to Chinese manufacturing.

Then they throw that graph out and replace it with one matched to an upcoming Bernanke speech and present the PPI at 8:30am ET.

So I guess what the meaningful element of the PPI report is is that 8:30am ET arrives at 8:30am ET.


robertocarlos's picture

So he's getting a fair trial, and then what?

lakecity55's picture

Yeah. He needs a trial. They'll give him the same BJ they gave Corzine, who's still roaming like a balth-salt zombie.

toomanyfakeconservatives's picture

Applause and a promotion no doubt.

JuicedGamma's picture

In 2009 Ge Capital was fined for cooking the books in 2002.

No doubt Dimon is retired by 2020 or so when the govt gets around to doing squat about the obvious manipulation of trading results and thus book cooking that is going on here.

gimli's picture

Let us all pray for the Dimon Gaffe tomorrow

so Jon Stewart can exploit the hell out of it.......

http://www.thedailyshow.com/watch/mon-june-11-2012/democalypse-2012---th...

loveyajimbo's picture

Is this where Gensler and Shapiro leave their chairs to sit with Dimon?  After all, they have been paid well by him for years... Hey, Jamie, tell us all about that monster silver short... is that like... er... a legit hedge, sort of like the one you just puked up $40 Billion on?