SEC Company Response from JPMORGAN CHASE & CO (JPM, AMJB, VYLD, JPM-PC, JPM-PD, JPM-PJ, JPM-PK, JPM-PL, JPM-PM) (CIK 0000019617) (JPM) — Aug 9, 2012
JPMORGAN CHASE & CO (JPM, AMJB, VYLD, JPM-PC, JPM-PD, JPM-PJ, JPM-PK, JPM-PL, JPM-PM) (CIK 0000019617)
Date: Aug. 9, 2012 · CIK: 0000019617 · Accession: 0000019617-12-000279
AI Filing Summary & Sentiment
Reasoning
File numbers found in text: 001-05805
Referenced dates: April 17, 2012, July 25, 2012, May 2, 2012
Letter
Division of Corporation Finance United States Securities and Exchange Commission Form 10-Q for Fiscal Quarter Ended March 31, 2012 Filed May 10, 2012 Forms 8-K Filed July 13, 2012 File No. 001-05805
Dear Ms. Hayes:
We are in receipt of the letter dated July 25, 2012 to Douglas L. Braunstein, Executive Vice President and Chief Financial Officer of JPMorgan Chase & Co. (“JPMorgan Chase” or the “Firm”), from the staff (the “Staff”) of the Securities and Exchange Commission (the “Commission”), regarding the above-referenced filings.
Certain confidential portions of this letter were omitted by means of redacting a portion of the text. The word “[Redacted]” has been inserted in place of the portions so omitted. Pursuant to the provisions of 17 C.F.R. §200.83, we have separately submitted a copy of this letter containing the redacted portions of this letter with the Staff and have requested confidential treatment for the redacted portions of this letter.
To assist in your review of our responses to the comments set forth in the Staff's letter, we have set forth below in full the comments contained in the letter, together with our responses.
Please note that the Firm has also filed an amended quarterly report on Form 10-Q/A for the quarter ended March 31, 2012, to reflect the restatement of its 2012 first quarter financial statements. The disclosures made in response to the Staff's comments, as outlined in this letter, have been made in the Quarterly Report on Form 10-Q for the period ended June 30, 2012 ("Second Quarter Form 10-Q"), which was filed on the same day as the amended first quarter report. References in this letter to the "First Quarter Form 10-Q" mean the Quarterly Report on Form 10-Q for the period ended March 31, 2012 as originally filed ("First Quarter Form 10-Q") and not the amended report.
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 2
Form 10-K for Fiscal Year Ended December 31, 2011
Risk Management, page 15
JPMorgan Chase's framework for managing risks may not be effective…, page 15
1. We note from your disclosure provided with your Forms 8-K on July 13, 2012 that management has evaluated risk procedures in place within your Chief Investment Office and concluded that certain risk management practices were ineffective. Beginning with your next Form 10-Q, please revise your risk factor disclosure to discuss the risks presented by the recent trading losses within your Chief Investment Office and the shortcomings identified with respect to your risk management strategies.
The Firm has included a risk factor relating to risk management deficiencies in its Second Quarter Form 10-Q. Please see Part II, Item 1A: Risk Factors, “JPMorgan Chase's framework for managing risk and risk management procedures and practices may not be effective in mitigating risk and loss to the Firm” on page 220 of the Second Quarter Form 10-Q.
Item 9A: Controls and Procedures, page 20
2. Given the Item 4.02 Form 8-K filed on July 13, 2012 and the risk management and controls issues identified through your internal investigation into the trading losses within the Chief Investment Office, please provide us with your analysis as to how you concluded that your internal controls over financial reporting were effective as of December 31, 2011.
In light of the determination that a material weakness existed at March 31, 2012 in the Firm's internal control over financial reporting, management of the Firm deemed it appropriate to also assess, as part of its internal review, the internal control over financial reporting for the Chief Investment Office ("CIO") valuation control process for the synthetic credit portfolio as of December 31, 2011.
The Firm performed its assessment of the effectiveness of its internal control over financial reporting based upon the COSO framework.
The Firm analyzed the CIO valuation control process for the synthetic credit portfolio, and assessed the design and operating effectiveness of the various control elements comprising the valuation control process at December 31, 2011 in order to determine if there was a deficiency in the design or operating effectiveness of the valuation control process at such date. The assessment was done on a granular level, assessing each of the control elements comprising the valuation control process, in order to conservatively assess the design and operating effectiveness of the valuation control process at such date.
The assessment noted that there was a material difference in the size and characteristics of the synthetic credit portfolio during the first quarter of 2012. [Redacted]
Management's Discussion and Analysis, page 64
Risk Management, page 125
3. We refer to your disclosure that “Risk Management coordinates and communicates with each line of business through the line of business risk committees and chief risk officers…” and
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 3
note that various committees “meet frequently” to discuss and consider risk issues. Please revise your disclosure in future filings to explain in greater detail Risk Management's, the individual business lines' and the various committees' responsibilities for communicating risks and maintaining risk governance.
In addition to the information on the overall Risk Management structure, including its organization and committee structure, which has been included in the “Risk Management” section of the Firm's prior Form 10-K and Form 10-Q's, the Firm has provided on pages 64-66 of its Second Quarter Form 10-Q additional disclosures concerning the line of business risk committees, how information flows from those committees to the Firmwide Risk Committee, as well as how information is communicated to the Board's Risk Policy Committee. In addition, as reflected on pages 101-102 of the Second Quarter Form 10-Q, and discussed in response to Comment 4 below, additional disclosures regarding the manner by which market risk limits are established and reviewed, and how breaches are communicated to senior management, which are relevant to how risks are communicated within the Firm, have also been included in the Second Quarter Form 10-Q. Additional information related to risk governance changes are noted in "Recent Developments" on pages 10-11 of the Second Quarter Form 10-Q.
4. In future filings, please expand your disclosure in this section to clearly explain your policies in the event of a risk limit breach. For example, please disclose how breaches in risk limits are reported to Risk Management, senior management and the Board of Directors, and by whom. To the extent that your policies for reporting differ depending on the severity of the breach, please explain.
The Firm has included the requested information in an expanded “Risk monitoring and control” section in the Second Quarter Form 10-Q, which contains a subsection entitled “Limits.” As reflected on pages 101-102 of the Second Quarter Form 10-Q, that section explains the purpose of risk limits, how they are set, how they are reviewed and what occurs when those limits are exceeded. The Board's Risk Policy Committee does not approve limit breaches, although it reviews periodic reports of breaches and reviews Firmwide limits. See “Risk Management” section on pages 64-66 of the Second Quarter Form 10-Q.
5. We note from your disclosure in Exhibit 99.3 furnished with your Form 8-K on July 13, 2012 that you have implemented several changes to the risk management structure within your Chief Investment Office. In future filings, please revise this section to explain material risk governance changes that you have made.
The Firm has included the requested information in an expanded “Risk Management” section in the Second Quarter Form 10-Q, which contains a subsection entitled “Internal review of CIO's synthetic credit portfolio.” As reflected on page 66 of the Second Quarter Form 10-Q, that section discusses several of the changes to the CIO risk management structure, including, among other items, establishing the joint Treasury-CIO-Corporate Risk Committee co-chaired by CIO's Chief Risk Officer and the Firm's Chief Investment Officer. Additional enhancements are noted in “Recent developments” on pages 10-11 of the Second Quarter Form 10-Q.
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 4
Country Risk Management, page 163
Selected European Exposure, page 164
6. We note your response to comment three of our letter dated April 17, 2012 and we continue to believe that providing a further breakout of the individual countries, as well providing both the gross amounts for your lending activities and your credit default swaps, provides appropriate transparency to your Selected European country disclosures. Please address the following regarding the disclosure around your Country Risk Management, including your Selected European exposure, in future filings:
•
Please provide a breakout of your Ireland, Portugal, and Greece exposures to provide greater transparency around your activities in each of these individual countries.
The Selected European exposure table on page 104 of the Second Quarter Form 10-Q provides details regarding the Firm's direct exposure to each of these countries at June 30, 2012.
•
For your lending activities, please provide the gross amount prior to the deduction of the allowance for loan losses to supplement your presentation of the net amount after allowance for loan losses.
To supplement the Firm's presentation of its lending exposures, footnote (a) to the Selected European exposure table on page 104 of the Second Quarter Form 10-Q clarifies that the amounts presented are net of the allowance for credit losses specifically attributable to these countries of $136 million (Spain), $67 million (Italy), $2 million (Ireland), $18 million (Portugal) and $24 million (Greece).
•
We note your disclosure regarding your credit default swaps including both the gross notional and fair value. In future filings, please provide this information on a country-by-country basis, preferably included in the table on page 165 to provide greater transparency around your activities in each of these individual countries.
As requested by the Staff, the Firm will endeavor to enhance its disclosures further in future filings beginning with its Form 10-Q for the quarter ended September 30, 2012 to provide relevant information related to the Firm's credit derivatives, country-by-country, on a gross basis (purchased and sold).
[Redacted]
In the Second Quarter Form 10-Q, the Firm has continued to provide information regarding the gross notional and fair value of purchased and sold single-name credit derivatives in the aggregate for the five countries. The Firm believes this provides financial statement users information regarding the level of activity that comprises the Firm's net protection purchased as included in the Selected European exposure table. In addition, the Firm enhanced its disclosures regarding the effect of credit derivatives on its Selected European exposure on page 105 provide country-level information regarding net purchased protection from credit derivatives included in the “Trading” column in the Selected European exposure table, as well as specific information on the synthetic credit portfolio held by CIO.
•
We also note your disclosure that you have offset portfolio hedges against your European exposures. It is not clear from these disclosures what makes up the amounts in this column. Do they represent just single name CDS purchased and sold on European sovereigns, or do they also
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 5
include credit indices, and other types of credit protection other than single name CDS? Do the amounts included represent your total net hedging positions or do they take into account how effective these portfolio hedges are in actually mitigating your country-specific exposure?
The “Portfolio hedging” column reflects the Firm's Credit Portfolio Management activities, which include both single-name and index credit derivatives and short bond positions on sovereign and non-sovereign exposures as noted. [Redacted] The Firm enhanced its disclosures on page 105 the Second Quarter Form 10-Q as follows to clarify these activities:
"Credit Portfolio Management activities are shown in the “Portfolio hedging” column in the table above and primarily represent single-name credit derivatives, as well as a more limited amount of index credit derivatives and short bond positions used to mitigate the credit risk associated with traditional lending activities and derivative counterparty exposure."
The amounts included in the summary table represent the net purchased protection of these activities measured under the Firm's internal risk reporting methodology. The Selected European exposure table measures all amounts (exposures and hedges) by considering the Firm's risk to an immediate default of the counterparty or obligor, consistent with the Firm's internal country risk reporting methodology. Therefore, the amounts presented do not contemplate the likelihood of default or the potential for ineffectiveness of the Firm's hedges. The Firm acknowledges the potential for ineffectiveness on page 105 of the Second Quarter Form 10-Q:
"The effectiveness of the Firm's CDS protection as a hedge of the Firm's exposures may vary depending upon a number of factors, including the contractual terms of the CDS."
Notes to Consolidated Financial Statements, page 182
Note 3 - Fair value measurement, page 184
7. We note your response to comments five and six of our letter dated April 17, 2012. However, it is not clear from the proposed disclosure in your response that inventory that is not subject to fair value hedge accounting is carried at lower of cost or market. In future filings, disclose the fact that not all of your physical commodities are carried at fair value. Please disclose the amount of inventory that are carried at market value, or if the difference between “market value” and “fair value” is immaterial, disclose that fact. Please briefly disclose your reasons for including all of the physical commodities in the fair value hierarchy table.
As noted in the Firm's response to Comment 4 in our letter to the Staff dated May 2, 2012, the primary difference between “fair value” and “market value” as defined in the accounting literature relates to the treatment of transaction costs; however, transaction costs for the Firm's physical commodity positions are either not applicable or are an immaterial component of the asset's overall fair value. The Firm uses the term “fair value” throughout its financial statements and, to avoid confusion for users of our financial statements regarding the technical and nuanced difference between “market value” and “fair value” in US GAAP, which is not significant in this circumstance and is unlikely to be appreciated by most financial statement users, we have referred to these positions being recorded at the lower of cost or fair value. We believe, given the immateriality of transaction costs to the Firm's physical commodity position, this is an appropriate way to reference the valuation of such commodities.
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 6
In addition, as noted in our response to Comment 4 in our letter to the Staff dated May 2, 2012, we believe that presenting physical commodities in the fair value hierarchy table is the most meaningful presentation for financial statem
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filename1.htm
7-25-2012 SEC Comment Letter (Redaction)
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 1
August 9, 2012
Ms. Suzanne Hayes
Assistant Director
Division of Corporation Finance
United States Securities and Exchange Commission
100 F Street, N.E.
Washington, D.C. 20549
Re: JPMorgan Chase & Co.
Form 10-K for Fiscal Year Ended December 31, 2011
Filed February 29, 2012
Form 10-Q for Fiscal Quarter Ended March 31, 2012
Filed May 10, 2012
Forms 8-K Filed July 13, 2012
File No. 001-05805
Dear Ms. Hayes:
We are in receipt of the letter dated July 25, 2012 to Douglas L. Braunstein, Executive Vice President and Chief Financial Officer of JPMorgan Chase & Co. (“JPMorgan Chase” or the “Firm”), from the staff (the “Staff”) of the Securities and Exchange Commission (the “Commission”), regarding the above-referenced filings.
Certain confidential portions of this letter were omitted by means of redacting a portion of the text. The word “[Redacted]” has been inserted in place of the portions so omitted. Pursuant to the provisions of 17 C.F.R. §200.83, we have separately submitted a copy of this letter containing the redacted portions of this letter with the Staff and have requested confidential treatment for the redacted portions of this letter.
To assist in your review of our responses to the comments set forth in the Staff's letter, we have set forth below in full the comments contained in the letter, together with our responses.
Please note that the Firm has also filed an amended quarterly report on Form 10-Q/A for the quarter ended March 31, 2012, to reflect the restatement of its 2012 first quarter financial statements. The disclosures made in response to the Staff's comments, as outlined in this letter, have been made in the Quarterly Report on Form 10-Q for the period ended June 30, 2012 ("Second Quarter Form 10-Q"), which was filed on the same day as the amended first quarter report. References in this letter to the "First Quarter Form 10-Q" mean the Quarterly Report on Form 10-Q for the period ended March 31, 2012 as originally filed ("First Quarter Form 10-Q") and not the amended report.
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 2
Form 10-K for Fiscal Year Ended December 31, 2011
Risk Management, page 15
JPMorgan Chase's framework for managing risks may not be effective…, page 15
1. We note from your disclosure provided with your Forms 8-K on July 13, 2012 that management has evaluated risk procedures in place within your Chief Investment Office and concluded that certain risk management practices were ineffective. Beginning with your next Form 10-Q, please revise your risk factor disclosure to discuss the risks presented by the recent trading losses within your Chief Investment Office and the shortcomings identified with respect to your risk management strategies.
The Firm has included a risk factor relating to risk management deficiencies in its Second Quarter Form 10-Q. Please see Part II, Item 1A: Risk Factors, “JPMorgan Chase's framework for managing risk and risk management procedures and practices may not be effective in mitigating risk and loss to the Firm” on page 220 of the Second Quarter Form 10-Q.
Item 9A: Controls and Procedures, page 20
2. Given the Item 4.02 Form 8-K filed on July 13, 2012 and the risk management and controls issues identified through your internal investigation into the trading losses within the Chief Investment Office, please provide us with your analysis as to how you concluded that your internal controls over financial reporting were effective as of December 31, 2011.
In light of the determination that a material weakness existed at March 31, 2012 in the Firm's internal control over financial reporting, management of the Firm deemed it appropriate to also assess, as part of its internal review, the internal control over financial reporting for the Chief Investment Office ("CIO") valuation control process for the synthetic credit portfolio as of December 31, 2011.
The Firm performed its assessment of the effectiveness of its internal control over financial reporting based upon the COSO framework.
The Firm analyzed the CIO valuation control process for the synthetic credit portfolio, and assessed the design and operating effectiveness of the various control elements comprising the valuation control process at December 31, 2011 in order to determine if there was a deficiency in the design or operating effectiveness of the valuation control process at such date. The assessment was done on a granular level, assessing each of the control elements comprising the valuation control process, in order to conservatively assess the design and operating effectiveness of the valuation control process at such date.
The assessment noted that there was a material difference in the size and characteristics of the synthetic credit portfolio during the first quarter of 2012. [Redacted]
Management's Discussion and Analysis, page 64
Risk Management, page 125
3. We refer to your disclosure that “Risk Management coordinates and communicates with each line of business through the line of business risk committees and chief risk officers…” and
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 3
note that various committees “meet frequently” to discuss and consider risk issues. Please revise your disclosure in future filings to explain in greater detail Risk Management's, the individual business lines' and the various committees' responsibilities for communicating risks and maintaining risk governance.
In addition to the information on the overall Risk Management structure, including its organization and committee structure, which has been included in the “Risk Management” section of the Firm's prior Form 10-K and Form 10-Q's, the Firm has provided on pages 64-66 of its Second Quarter Form 10-Q additional disclosures concerning the line of business risk committees, how information flows from those committees to the Firmwide Risk Committee, as well as how information is communicated to the Board's Risk Policy Committee. In addition, as reflected on pages 101-102 of the Second Quarter Form 10-Q, and discussed in response to Comment 4 below, additional disclosures regarding the manner by which market risk limits are established and reviewed, and how breaches are communicated to senior management, which are relevant to how risks are communicated within the Firm, have also been included in the Second Quarter Form 10-Q. Additional information related to risk governance changes are noted in "Recent Developments" on pages 10-11 of the Second Quarter Form 10-Q.
4. In future filings, please expand your disclosure in this section to clearly explain your policies in the event of a risk limit breach. For example, please disclose how breaches in risk limits are reported to Risk Management, senior management and the Board of Directors, and by whom. To the extent that your policies for reporting differ depending on the severity of the breach, please explain.
The Firm has included the requested information in an expanded “Risk monitoring and control” section in the Second Quarter Form 10-Q, which contains a subsection entitled “Limits.” As reflected on pages 101-102 of the Second Quarter Form 10-Q, that section explains the purpose of risk limits, how they are set, how they are reviewed and what occurs when those limits are exceeded. The Board's Risk Policy Committee does not approve limit breaches, although it reviews periodic reports of breaches and reviews Firmwide limits. See “Risk Management” section on pages 64-66 of the Second Quarter Form 10-Q.
5. We note from your disclosure in Exhibit 99.3 furnished with your Form 8-K on July 13, 2012 that you have implemented several changes to the risk management structure within your Chief Investment Office. In future filings, please revise this section to explain material risk governance changes that you have made.
The Firm has included the requested information in an expanded “Risk Management” section in the Second Quarter Form 10-Q, which contains a subsection entitled “Internal review of CIO's synthetic credit portfolio.” As reflected on page 66 of the Second Quarter Form 10-Q, that section discusses several of the changes to the CIO risk management structure, including, among other items, establishing the joint Treasury-CIO-Corporate Risk Committee co-chaired by CIO's Chief Risk Officer and the Firm's Chief Investment Officer. Additional enhancements are noted in “Recent developments” on pages 10-11 of the Second Quarter Form 10-Q.
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 4
Country Risk Management, page 163
Selected European Exposure, page 164
6. We note your response to comment three of our letter dated April 17, 2012 and we continue to believe that providing a further breakout of the individual countries, as well providing both the gross amounts for your lending activities and your credit default swaps, provides appropriate transparency to your Selected European country disclosures. Please address the following regarding the disclosure around your Country Risk Management, including your Selected European exposure, in future filings:
•
Please provide a breakout of your Ireland, Portugal, and Greece exposures to provide greater transparency around your activities in each of these individual countries.
The Selected European exposure table on page 104 of the Second Quarter Form 10-Q provides details regarding the Firm's direct exposure to each of these countries at June 30, 2012.
•
For your lending activities, please provide the gross amount prior to the deduction of the allowance for loan losses to supplement your presentation of the net amount after allowance for loan losses.
To supplement the Firm's presentation of its lending exposures, footnote (a) to the Selected European exposure table on page 104 of the Second Quarter Form 10-Q clarifies that the amounts presented are net of the allowance for credit losses specifically attributable to these countries of $136 million (Spain), $67 million (Italy), $2 million (Ireland), $18 million (Portugal) and $24 million (Greece).
•
We note your disclosure regarding your credit default swaps including both the gross notional and fair value. In future filings, please provide this information on a country-by-country basis, preferably included in the table on page 165 to provide greater transparency around your activities in each of these individual countries.
As requested by the Staff, the Firm will endeavor to enhance its disclosures further in future filings beginning with its Form 10-Q for the quarter ended September 30, 2012 to provide relevant information related to the Firm's credit derivatives, country-by-country, on a gross basis (purchased and sold).
[Redacted]
In the Second Quarter Form 10-Q, the Firm has continued to provide information regarding the gross notional and fair value of purchased and sold single-name credit derivatives in the aggregate for the five countries. The Firm believes this provides financial statement users information regarding the level of activity that comprises the Firm's net protection purchased as included in the Selected European exposure table. In addition, the Firm enhanced its disclosures regarding the effect of credit derivatives on its Selected European exposure on page 105 provide country-level information regarding net purchased protection from credit derivatives included in the “Trading” column in the Selected European exposure table, as well as specific information on the synthetic credit portfolio held by CIO.
•
We also note your disclosure that you have offset portfolio hedges against your European exposures. It is not clear from these disclosures what makes up the amounts in this column. Do they represent just single name CDS purchased and sold on European sovereigns, or do they also
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 5
include credit indices, and other types of credit protection other than single name CDS? Do the amounts included represent your total net hedging positions or do they take into account how effective these portfolio hedges are in actually mitigating your country-specific exposure?
The “Portfolio hedging” column reflects the Firm's Credit Portfolio Management activities, which include both single-name and index credit derivatives and short bond positions on sovereign and non-sovereign exposures as noted. [Redacted] The Firm enhanced its disclosures on page 105 the Second Quarter Form 10-Q as follows to clarify these activities:
"Credit Portfolio Management activities are shown in the “Portfolio hedging” column in the table above and primarily represent single-name credit derivatives, as well as a more limited amount of index credit derivatives and short bond positions used to mitigate the credit risk associated with traditional lending activities and derivative counterparty exposure."
The amounts included in the summary table represent the net purchased protection of these activities measured under the Firm's internal risk reporting methodology. The Selected European exposure table measures all amounts (exposures and hedges) by considering the Firm's risk to an immediate default of the counterparty or obligor, consistent with the Firm's internal country risk reporting methodology. Therefore, the amounts presented do not contemplate the likelihood of default or the potential for ineffectiveness of the Firm's hedges. The Firm acknowledges the potential for ineffectiveness on page 105 of the Second Quarter Form 10-Q:
"The effectiveness of the Firm's CDS protection as a hedge of the Firm's exposures may vary depending upon a number of factors, including the contractual terms of the CDS."
Notes to Consolidated Financial Statements, page 182
Note 3 - Fair value measurement, page 184
7. We note your response to comments five and six of our letter dated April 17, 2012. However, it is not clear from the proposed disclosure in your response that inventory that is not subject to fair value hedge accounting is carried at lower of cost or market. In future filings, disclose the fact that not all of your physical commodities are carried at fair value. Please disclose the amount of inventory that are carried at market value, or if the difference between “market value” and “fair value” is immaterial, disclose that fact. Please briefly disclose your reasons for including all of the physical commodities in the fair value hierarchy table.
As noted in the Firm's response to Comment 4 in our letter to the Staff dated May 2, 2012, the primary difference between “fair value” and “market value” as defined in the accounting literature relates to the treatment of transaction costs; however, transaction costs for the Firm's physical commodity positions are either not applicable or are an immaterial component of the asset's overall fair value. The Firm uses the term “fair value” throughout its financial statements and, to avoid confusion for users of our financial statements regarding the technical and nuanced difference between “market value” and “fair value” in US GAAP, which is not significant in this circumstance and is unlikely to be appreciated by most financial statement users, we have referred to these positions being recorded at the lower of cost or fair value. We believe, given the immateriality of transaction costs to the Firm's physical commodity position, this is an appropriate way to reference the valuation of such commodities.
Confidential Treatment
Requested by JPMorgan Chase & Co.
Page 6
In addition, as noted in our response to Comment 4 in our letter to the Staff dated May 2, 2012, we believe that presenting physical commodities in the fair value hierarchy table is the most meaningful presentation for financial statem