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

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The “VaR Highlights” section explained that an “[e]nhanced VaR methodology ... [is] helping to
reduce VaR and RWA usage” at the CIO. 1631 It also provided a line graph showing the trend in
the CIO’s “Global” VaR totals, as reported in its 10-Q filings going back to January 2011. The
line graph showed the VaR total peaking in January 2012 at $120 million, followed by a
precipitous decline. 1632
That decline was the result of the new VaR model which had reduced
the CIO’s risk rating by 50%.
Mr. Dimon told the Subcommittee that he did not specifically recall the February
1633
meeting, but stipulated that he saw the presentation. Mr. Braunstein told the Subcommittee
that he attended the February Business Review, but that attendees usually did not go over every
page of the presentation at the meeting and he did not recall the VaR highlights section. 1634
However, Irvin Goldman, then Chief Risk Officer for the CIO, told the Subcommittee that he
specifically remembered going over the implementation of the new VaR methodology at the
February meeting, and that there were no questions on it. 1635
No public disclosure of the January 27 change in CIO VaR methodology was made until
May 10, 2012, the day that JPMorgan Chase also disclosed that the SCP had lost nearly $2
billion and was expected to lose more. On that date, Mr. Dimon described the change in the VaR
models during a business update call.
1631 Id.
1636
On that same day, JPMorgan Chase filed its 10-Q
quarterly report, finalizing its first quarter financial results. The 10-Q report included a chart,
reprinted below, with revised VaR results for the CIO during the first quarter, but unlike the
business update call, did not publicly disclose and explain the CIO VaR model changes.
1632
Id.
1633
Subcommittee interview of Jamie Dimon, JPMorgan Chase (9/19/2012) (describing the “CIO February 2012
Business Review,” JPM-CIO-PSI 0000289).
1634
Subcommittee interview of Douglas Braunstein, JPMorgan Chase (9/12/2012).
1635
Subcommittee interview of Irvin Goldman, CIO (9/15/2012).
1636
5/10/2012 “Business Update Call,” JPMorgan Chase transcript, at 2-3, http://i.mktw.net/_newsimages/pdf/jpmconference-call.pdf
(Mr. Dimon: “We are also amending a disclosure in the first quarter press release about CIO’s
VAR, Value-at-Risk. We’d shown average VAR at 67. It will now be 129. In the first quarter, we implemented a
new VAR model, which we now deemed inadequate. And we went back to the old one, which had been used for the
prior several years, which we deemed to be more adequate.”).