FT Alphaville


The five sources of information on the JPM whale trade

1) The little that JP Morgan has actually said, especially around the time of its first quarter earnings announcement, and then slightly more after Thursday’s conference call upon releasing their 10-Q. This is where they revealed the (thus far) $2bn mark-to-market loss on their “synthetic credit portfolio” held in the Chief Investment Office.

2) What journalists have reported — specifically what some pissed-off (some now happy) hedge funds and other market participants have said about what they think is going on. These are sometimes referred to in stories as “a source with knowledge of the situation”, etc.. On the one hand, many of these market participants may well be conflicted due to the trades they hold. On the other, they deal with this market every day, so their guesses are best listened to… but then also scrutinised, and scrutinised a lot.

3) The publicly available data from DTCC’s trade information warehouse, which is where something like 99 per cent of all credit default swaps are recorded.

4) MarkitSERV trading activity data, which is available if you have access to a Markit Desktop or to another platform that pipes through this dataset.

5) Pricing data from Markit, and other data providers, as available on various terminals, e.g. Desktop, Bloomberg, Reuters.


That’s from Lisa’s post late Friday night, part of her ongoing series on the JPM whale trade. Click through for the full discussion, which explains the need for greater volume transparency in credit derivatives markets.