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

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mortgage risks arising from the Firm’s ongoing business activities.” 1615
In addition, JPMorgan
Chase’s Form 10-K provided a table, reprinted below, of VaR-95 totals for key lines of business,
including the Investment Bank (IB) and the CIO.
Source: 2/29/2012, JPMorgan Chase & Co., Form 10-K, at 159 [emphasis added with text box and circles to denote
CIO VaR].
The 2011 table showed that the CIO reported an average VaR-95 total of $61 million in
2010, and $57 million in 2011, meaning those were the total amount of losses that the CIO was
projected to be at risk of losing in a single day in those years, with a 95% confidence level. The
CIO’s VaR totals were less than those shown for the Investment Bank (IB) which reported VaR
totals of $87 million in 2010 and $76 million in 2011. The narrative in the report explained that
the CIO VaR had decreased in 2011 due to “a decline in market volatility ... as well as position
changes.” 1616
In January 2012, JPMorgan Chase allowed the CIO to change its VaR-95 model, but did
not announce this change until May 10. As discussed in Chapter V, JPMorgan Chase
1617
implemented the new CIO VaR methodology at the end of January 2012, to end a four-day
breach of the bankwide VaR limit that was caused by the CIO. The new model immediately
1615
Id. at 159.
1616
Id. at 160.
1617
See 1/30/2012 email from Ashish Dev, JPMorgan Chase, to Peter Weiland, CIO, “draft of the MRG review of
the HVAR methodology for the CIO core credit books,” JPM-CIO-PSI 0000187.