SecProbe.io

Corrected Letter

November 7, 2012

Via E -mail
Douglas L. Braunstein
Executive Vice President and Chief Financial Officer
JPMorgan Chase & Co.
270 Park Avenue
New York, NY 10017

Re: JPMorgan Chase & Co.
Form 10-K for Fiscal Year Ended December 31, 2011
Filed February 29, 201 2
Form 10 -Q for Fiscal Quarter Ended March 31, 2012
Filed May 10, 2012
Form 8 -Ks Filed July 13, 2012
Form 10 -Q for Fiscal Quarter Ended June 30, 2012
Filed August 9, 2012
File No. 001 -05805

Dear Mr. Braunstein :

We have reviewed your filings  and have the following comments.  In some of our
comments, we may ask you to provide us with information so we may better understand your
disclosure.

Please respond to this le tter within ten business days by providing the requested
information, or by advising us when you will provide the requested response.   Where we have
requested changes in future filings, please include a draft of your proposed disclosures that
clearly ident ifies new or revised disclosures.  If you do not believe our comments apply to your
facts and circumstances , please tell us why in your response.

After reviewing the information you provide in response to these comments, including
the draft of your prop osed disclosures, we may have additional comments.

Form 10 -K for Fiscal Year Ended December 31, 2011

Item 9A:  Controls and Procedures, page 20

1. We note your response to prior comment two of our letter dated July 25, 2012 where you
indicated that there  was a material difference in the size and characteristics of the
synthetic credit portfolio during the first quarter of 2012.  As part of your analysis of the

Douglas L. Braunstein
JPMorgan Chase & Co.
November 7, 2012
Page 2

 overall effectiveness of the design of the controls, including your evaluation of the
severity o f the control deficiencies identified, please tell us whether you considered both
the potential size and complexity and the related volume of activity that reasonably could
have occurred in 2011 and the activity that was expected in future periods.  For ex ample,
refer to the section of the Commission’s Guidance Regarding Management’s Report on
Internal Control Over Financial Reporting ( http://www.sec.gov/rules/interp/2007/33 -
8810.pdf) related to evaluation of control deficiencies  that indicates that you should
consider the volume of activity in the class of transactions exposed to the deficiency that
has occurred in the period, or that is expected in future periods.   In this regard, we note
that it would appear that this volume of activity, and the likelihood that it could have
occurred as of December 31, 2011, or was expected to occur in future periods, should be
considered in evaluating whether the design of your controls was effective as of
December 31, 2011.

2. Additionally, please tell us whether you have identified any deficiencies as of
December 31, 2011, March 31, 2012, or June 30, 2012 in the risk assessment component
of your controls related to timeliness of identifying and addressing new or changed
financial reporting risks.   Please also describe how you evaluated the severity of any
such deficiencies.

Form 10 -Q for Fiscal Quarter Ended March 31, 2012

Market Risk Management, page 73

Value -at-Risk, page 73

3. We note your r esponse to the sixth bullet point of prior comment 10 of our letter dated
July 25, 2012 regarding the need for disclosure of certain model, assumptions, and
parameter changes to your value -at-risk (VaR) models.   Please clearly explain  to us how
you conside red your disclosure obligations pursuant to Item 305(a)(4) of Regulation S -K
for the VaR model change that occurred within CIO during the first quarter of 2012, and
how you evaluated materiality for purposes of your conclusions in this instance.   For
examp le, please specifically discuss any quantitative or qualitative metrics you consider
in assessing VaR model changes , and describe whether these factors change depending
on the type of VaR model change being made.   Also, as part of your response, please tel l
us whether you would consider any mathematical model change related to the calculation
of market or credit risk that is required to be submitted to the Division of Trading and
Markets for approval pursuant to Rule 15c3 -1e(a)(8) as material for disclosure  under
Item 305(a)(4), if approval is ultimately granted.   If not, please tell us the types of
circumstances where you believe disclosure under Item 305(a)(4) would not be required.

Douglas L. Braunstein
JPMorgan Chase & Co.
November 7, 2012
Page 3

 Note 3 – Fair value measurement, page 91

4. We note your response to comme nts 11 and 12 of  our letter dated July 25, 2012  and have
the following questions:

 We understand from your disclosure in your third -quarter Form 10 -Q that the CIO
valuation control group (VCG) typically establishes price testing thresholds.  It is not
clear how the acceptable range is defined, especially for instruments with a wide bid -
offer range.  Further, tell us how the VCG ensures that the range i s sensitive enough
that it is actually providing independent price verification .  As part of your response,
please clarify the process for reviewing the thresholds, including to whom the results
of the analysis are reported , the factors that drive the thre sholds, and how often the
thresholds have changed over time.

 In your response to both comments 11 and 12, you have noted that the VCG will
make valuation adjustments for various factors including the size of the net open risk
position.  Tell us which specific portfolio or positions you factor in the net open risk
position.

 You have noted in this response as well in response to our comment 21 that the VCG
is independent of the trading function.  However, you have also noted that the
respective VCG groups are located within both the CIO and Investment Bank (IB).
Please discuss and disclose in future filings the structure of the VCG groups within
the various business lines, including its reporting structure in each line.

 Separately for each CIO and IB, please explain the process when the front office’s
mark is out side of the VCG’s acceptable range and identify the parties responsible for
making the final determination of the mark to be used.  Please clarify how and
whether this information is communicated to the trader that posted the marks.

5. We note your resp onse to comment 13 of our letter dated July 25, 2012, and have the
following questions:

 Your response indicates that you have applied liquidity adjustments to certain
financial instruments .  Please tell us amounts for your entire portfolio where you have
made adjustments that are greater than 10% of the price or spread yet are still in
Level 2.

 Please  reconcile the statement that there was enough market activity for these
instruments to be considered Level 2 with your other statements about holding
positions in indices that were not as liquid.  Specifically address the extent to which
you consider your own positions and your own transactions when assessing the level
of market activity in a particular index.

Douglas L. Braunstein
JPMorgan Chase & Co.
November 7, 2012
Page 4

 Note 24 – Business Segments, page 163

6. We not e your response to comment 19 from our letter dated July 25, 2012  regarding how
the carrying values of your reporting units are determined for purposes of performing
your goodwill impairment analysis.  We are continuing to evaluate your response, and we
may have further comment in the future.

Form 8 -K filed July 13, 2012

Item 4.02(a) Non -Reliance on Previously Issued Financial Statements or a Related Audit Report
or Completed Interim Review, page 2

7. We note your response to comments 21 and 23 from our letter dated July 25, 2012 and
have the following comments:

 We understand  that based on your review and analysis of emails, voice tapes, and
interviews suggest trader intent  to mark positions advantageously.  It is not clear from
your resp onse exactly how  this advantageous marking was being done.  Please further
describe how these positions were being marked advantageously.

 Tell us the extent to which the traders were marking long positions and short
positions incorrectly, but still within the bid -offer  spread and within the VCG
established thresholds.

 As part of the VCG’s verification process, tell us whether they consider recent
transactions at period end to establish their thresholds, or verify if the trader marks
within the bid -offer spread repres ent a reasonable basis for an “exit price .”

 You note in your response that VCG makes two types of adjustments to the front
office markets .  Please tell us if these adjustments were made to the positions in
question (where the traders had marked the positi ons advantageously), and if so,
whether the VCG group noted any issues with the marks.  Please specifically explain
whether, and if so, how the VCG made adjustments to these positions without
recognizing that they were being marked differently or more adva ntageously.

 Please  tell us whether VCG or anyone in management inquired further about any
adjustments, and whether there were any controls in place that would have required
them to do so.

 Please quantify the positions that were marked advantageously by  the traders and any
VCG adjustments that were made to these positions both prior to and after the
restatement (separate from the correction of the error).

Douglas L. Braunstein
JPMorgan Chase & Co.
November 7, 2012
Page 5

  We understand  that CIO’s valuation control environment was not appropriately
enhanced in light of t he significant changes to the size and characteristics of the
portfolio and also that you note  in Item 4 of your June 30, 2012  Form 10-Q that you
have instituted more formal controls around establishment and monitoring of your
price testing thresholds.  Ho wever, in your response you have indicated that you
believe the controls over valuation were designed appropriately.  Please tell us how
you considered that it appears that  the price testing thresholds were not sensitive
enough to ensure that the trader’s marks were appropriate, which would appear to be
a weakness in the design of the control.

 Further, tell us how you considered that it appears that the controls were not sensitive
enough to detect that the portfolio had grown in both size and complexity d uring the
quarter ended March 31, 2012, such that additional measures were warranted.

8. We note your response to comment 22 from our letter dated July 25, 2012 and have the
following questions:

 You have told us in response to comment 11 that VCG verifies front office marks by
evaluating independently derived market data.  In response to comment 13, you
indicated that the fair values are verified using readily available prices derived from
independent third party data providers and quoted market pr ices from dealers, which
represent observable inputs.  You further indicated that based on this information you
conclud ed these positions represented L evel 2 inputs.  This conclusion appears to be
inconsistent with your disclosure on page 3 of Item 4.02(a)  of your Form 8 -K that you
did not have independent third party data to run your VaR model for certain positions
and therefore had to rely on trader marks.  Please explain.

 Please quantify the positions where you used trader marks to calculate your VaR, and
further explain the reasons for the lack of availability of information (i.e. illiquidity of
positions etc.).

 Please disclose in future filings the fact that the data used to calculate your VaR is not
the same as what is used in your financial stateme nts, and explain the reasons for the
difference.

Form 8 -K filed July 13, 2012

Exhibit 99.1 - Earnings Release – Second Quarter 2012 Results

Retail Financial Services, page 6

9. We note your response to comment 24 regarding the $1.4 billion reduction in y our Retail
Financial Services allowance for loan losses.  In your response , you note that you adjust
your statistical calculation to take into consideration model imprecision, external factors

Douglas L. Braunstein
JPMorgan Chase & Co.
November 7, 2012
Page 6

 and current economic events that have occurred but that are not  yet reflected in the
factors used to derive the statistical calculation, as further discussed on pages 168 and
169 of your 2011 Form 10 -K.  In order to provide additional transparency in future
filings, please address the following for each of your respec tive portfolio segments:

 Given the significant judgment management applies in making the adjustment to the
statistical calculation, as discussed on page 169 of your 2011 Form 10 -K, please tell
us and consider disclosing in future filings the amount of th is component of the
allowance for loan losses.

 Given the factors disclosed on page 169 of your 2011 Form 10 -K that drive this
component of the allowance, please provide disclosure describing how these factors
have directionally impacted this component of the allowance over the past two years.

 Tell us whether you have made any changes to the historical loss periods used for any
of your portfolio segments during the past two years. If so, please describe the
changes and discuss how these changes affected th e qualitative component of the
allowance discussed above.

Form 10 -Q for the Quarter Ended June 30, 2012

Management’s Discussion and Analysis, page 3

Selected European exposure, page 104

10. We note your response to comment six of our letter dated July 25, 2012, as well as your
disclosure in your quarterly filing and have the following questions:

 We note your disclosure that the “Trading” column includes approximately $9.0
billion of net purchased protection, including single n ame, index and tranched credit
derivatives that are part of the Firm’s market making activities as well as the
synthetic credit portfolio h eld by CIO. The majority of the $9.0 billion relates to the
synthetic credit portfolio held by the CIO.  Please tell us why these amounts are
included in the “Trading” column and not the “Portfolio Hedging” column as these
amounts are not part of your market making and appear to serve the same function
as the instruments in your “Portfolio Hedging” column.

 We also not e your disclosure in footnote “d” to your table on page 104 that
beginning on March 31, 2012, the Firm’s country risk reporting reflects enhanced
measurement of tranched credit derivative products.  It is not clear what “enhanced
measurement” actually mean s in this context.  Please tell us and disclose in future
filings the nature of such enhancements and the reasons for including its effects in
the table.

Douglas L. Braunstein
JPMorgan Chase & Co.
November 7, 2012
Page 7

  We also note in your response that both your trading and portfolio hedge columns
include index credit  derivatives.  You also indicate that the table does not
contemplate any potential ineffectiveness of your hedges.  In your future filings, in
addition to stating that your effectiveness may vary based on a number of factors,
please more clearly discuss ho w the indices that you use as hedges relate to your
exposures to Greece, Italy, Ireland, Portugal, and Spain, and describe specific risks
(i.e. correlation) that may the cause the hedge to not be effective. For transparency
purposes, please consider disclo sing the historical correlation between the indices
and your European exposure.

You may contact Angela Connell at (202) 551 -3426 or Kevin W. Vaughn,
Accounting Branch Chief, at (202) 551 -3494 if you have questions regarding comments on the
financial stat ements and related matters.  Please contact Celia Soehner at (202) 551 -3463 or me
at (202) 551 -3675 with any other questions.

Sincerely,

 /s/ Suzanne Hayes
 Suzanne Hayes
        Assistant Director