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

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temporary VaR limit increase, Mr. Dimon told the Subcommittee that he did not recall the CIO’s
change to its VaR model and that he became aware of the issue only after “things blew up.” 1627
He told the Subcommittee that he had relied on his risk management staff to inform him about
VaR model issues and provide additional details if there were a problem. 1628 Mr. Braunstein told
the Subcommittee that he, too, despite receiving the emails, was not sure if he was aware in
January that a new CIO VaR model had been adopted that month. 1629
In February 2012, the CIO’s VaR model change was again addressed during a CIO
1630
February Business Review meeting attended by both Mr. Braunstein and Mr. Dimon. Prior
to the meeting, Mr. Braunstein and Mr. Dimon each received a presentation, reprinted below,
which included a section entitled, “VaR Highlights,” describing the CIO’s new VaR model.
Reporting, JPMorgan Chase, to Jamie Dimon, JPMorgan Chase, Douglas Braunstein, JPMorgan Chase, and others,
“JPMC Firmwide VaR – Daily Update – COB 01/23/2012,” JPM-CIO-PSI 0003715 (noting that the CIO’s
“improved VaR model” will reduce the CIO’s VaR “by 44%”).
1627 Subcommittee interview of Jamie Dimon, JPMorgan Chase (9/19/2012).
1628 Id.
1629 Subcommittee interview of Douglas Braunstein, JPMorgan Chase (9/12/2012).
1630 2/2012 “CIO February 2012 Business Review,” JPM-CIO-PSI 0000289, at 290 (“Today’s Attendees, Operating
Committee, Jamie Dimon, Doug Braunstein,” and others.).