Here is an explanation from Matt Levine: http://dealbreaker.com/2012/05/the-tale-of-a-whale-of-a-fail/ http://dealbreaker.com/2012/05/the-tale-of-a-whale-of-a-f

Here is an explanation from Matt Levine: http://dealbreaker.com/2012/05/the-tale-of-a-whale-of-a-fail/ http://dealbreaker.com/2012/05/the-tale-of-a-whale-of-a-fail... . And one from Lisa Pollack: http://ftalphaville.ft.com/blog/2012/05/11/996131/too-big-to-hedge/ http://ftalphaville.ft.com/blog/2012/05/11/996131/too-big-to... . The understanding is that the JPM CIO was writing protection on CDX.IG.NA.9, a synthetic credit default index.