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

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and accompanying earnings call to the public, provided an incomplete and erroneous picture of
the risks then facing the CIO.
The failure to disclose the change in methodology on April 13, either in the 8-K filing or
during the earnings call, occurred even though the evidence indicates that both Mr. Braunstein
and Mr. Dimon had been informed of the change at the time it was made in January 2012. Each
had received multiple email communications about the expected reduction to be provided by
CIO’s new VaR model. They had received the emails in the context of the CIO’s four-day
breach of the bankwide VaR limit in January 2012 and were assured that the new CIO VaR
model, which fed into the bankwide VaR, would produce a lower VaR result and so end the
bankwide VaR breach. 1625 Under JPMorgan Chase policy, Mr. Dimon had to personally respond
to breaches of the bankwide VaR limit and, in this case, approve a temporary VaR limit increase
to end the CIO’s breach. When the request was made of Mr. Dimon to temporarily increase the
VaR limit, and he responded, “I approve” in an email, the rationale provided to him for raising
the limit and ending the breach was that the CIO was going to soon have a new model that would
reduce its VaR by 44%. 1626
Despite having received multiple emails and having approved a
1625 1/23/2012 email from Market Risk Management – Reporting, JPMorgan Chase, to Jamie Dimon, JPMorgan
Chase, and others, “APPROVAL NEEDED: JPMC 95% 10Q VaR One-Off Limit Approval,” JPM-CIO-PSI
0001337-38; 1/20/2012 email from Market Risk Management – Reporting, JPMorgan Chase, to Jamie Dimon,
JPMorgan Chase, and others, “JPMC 95% 10Q – VaR – Limit Excession Notification (COB 1/19/12),” JPM-CIO-
PSI 0000150; 1/20/2012 email from Market Risk Management – Reporting, JPMorgan Chase, to Jamie Dimon,
JPMorgan Chase, Douglas Braunstein, JPMorgan Chase, and others, “JPMC Firmwide VaR – Daily Update – cob
01/19/2012,” JPM-CIO-PSI 0002457; 1/27/2012 email from Market Risk Management – Reporting, JPMorgan
Chase, to Jamie Dimon, JPMorgan Chase, Douglas Braunstein, JPMorgan Chase, and others, “JPMC Firmwide
VaR- Daily Update – COB 01/26/2012,” JPM-CIO-PSI-H 0001675 (“The new VaR model for CIO was approved by
MRG and is expected to be implemented prior to month-end.”); 1/28/2012 email from John Hogan, JPMorgan
Chase, to Jamie Dimon, JPMorgan Chase, “JPMC Firmwide VaR – Daily Update – COB 01/26/2012,” JPM-CIO-
PSI-H 0001675 (“This should be the last day of firmwide VaR breach. A CIO model change is planned to go in this
week-end. New VaR methodology approved (and now the same methodology as IB) reduces standalone Credit VaR
by approx. $30 mio.”); 1/30/2012 email from Market Risk Management – Reporting, JPMorgan Chase, to Jamie
Dimon, JPMorgan Chase, Douglas Braunstein, JPMorgan Chase, and others, “JPMC Firmwide VaR – Daily Update
– COB 1/27/2012,” JPM-CIO-PSI 0001339 (“The Firm's 95% 10Q VaR as of cob 01/27/2012 is $108mm of the
$125mm limit, a decrease of $53mm from the prior day's revised VaR, driven by CIO (implementation of newly
approved VaR model for synthetic credit).”); 2/2012 “CIO February 2012 Business Review,” JPM-CIO-PSI
0000289, at 290 (“Today’s Attendees, Operating Committee, Jamie Dimon, Doug Braunstein,” and others.).
1626 See 1/20/2012 email from Market Risk Management – Reporting, JPMorgan Chase, to Jamie Dimon, JPMorgan
Chase, and others, “JPMC Firmwide VaR – Daily Update – COB 01/19/2012,” JPM-CIO-PSI 0002457 (noting that
the CIO’s “improved VaR model” will reduce the CIO’s VaR “by 44%”); 1/20/2012 email from Market Risk
Management – Reporting, JPMorgan Chase, to Jamie Dimon, JPMorgan Chase, and others, “JPMC 95% 10Q VaR –
Limit Excession Notification (COB 1/19/12),” JPM-CIO-PSI 0001890 (noting that the CIO’s “improved VaR
model” will reduce the CIO’s VaR “by 44%”); 1/20/2012 email from Market Risk Management – Reporting,
JPMorgan Chase, to Jamie Dimon, JPMorgan Chase, and others, “JPMC 95% 10Q – VaR – Limit Excession
Notification (COB 1/19/12),” JPM-CIO-PSI 0000150 (noting that the CIO’s “improved VaR model” will reduce the
CIO’s VaR “by 44%”); 1/23/2012 email from Market Risk Management – Reporting, JPMorgan Chase, to Jamie
Dimon, JPMorgan Chase, and others, “APPROVAL NEEDED: JPMC 95% 10Q VaR One-Off Limit Approval,”
JPM-CIO-PSI 0004660 (noting that the CIO’s “improved VaR model” will reduce the CIO’s VaR “by 44%”);
1/23/2012 email from Jamie Dimon, JPMorgan Chase, to John Hogan, JPMorgan Chase, and others, “APPROVAL
NEEDED: JPMC 95% 10Q VaR One-Off Limit Approval,” JPM-CIO-PSI 0001337 (Dimon expressing “I approve”
to an email requesting an increase in the CIO’s VaR limit); 1/24/2012 email from Market Risk Management –
Reporting, JPMorgan Chase, to Jamie Dimon, JPMorgan Chase, Douglas Braunstein, JPMorgan Chase, and others,
“JPMC Firmwide VaR – Daily Update – COB 01/20/2012,” JPM-CIO-PSI 0003346 (noting that the CIO’s
“improved VaR model” will reduce the CIO’s VaR “by 44%”); 1/24/2012 email from Market Risk Management –