JP Morgan loss was bungled attempt to cut Basel III RWAs, says Dimon

Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex


An attempt to reduce risk-weighted assets (RWAs), coupled with a change to a value-at-risk model, was behind the $2 billion credit trading loss reported by JP Morgan last month, the bank's chief executive testified yesterday.

Appearing before the Senate Committee on Banking, Housing and Urban Affairs in Washington, DC, Jamie Dimon claimed the trading strategy – described as a hedge – changed in nature as the bank tried to cut RWA numbers at the loss-making chief investment office (CIO).


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