JPMorgan Chase & Co. head Jamie Dimon said last year's volatility in U.S. Treasuries is a "warning shot" to investors and that the next financial crisis could be exacerbated by a shortage of the securities.

The Oct. 15 gyration, when Treasury yields fluctuated by almost 0.4 percentage point, was an "unprecedented move" that would have serious consequences in a stressed environment, Dimon, the New York-based bank's chairman and chief executive officer, said in a letter Wednesday to shareholders. Treasuries are supposed to be among the most stable securities.

Dimon, 59, cited the incident as he waded into a debate about whether bank regulations implemented after the 2008 financial crisis exacerbate price declines by limiting the ability of Wall Street banks to make markets. It's just a matter of time until some political, economic or market event triggers another financial crisis, he said, without predicting one is imminent.

The Treasuries move was "an event that is supposed to happen only once in every 3 billion years or so," Dimon wrote. A future crisis could be worsened because there "is a greatly reduced supply of Treasuries to go around."

New regulations have resulted in diminished liquidity across bond markets, which could result in higher volatility during a crisis, Dimon wrote.

"Inventories are lower — not because of one new rule but because of the multiple new rules that affect market-making, including far higher capital and liquidity requirements and the pending implementation of the Volcker Rule," Dimon wrote. Conceived by former Fed Chairman Paul Volcker, the rule aims to let banks handle client trades without making additional bets with their own money on the direction of asset prices.

While banks' ability to buffer clients and consumers during the next crisis may be reduced, the industry is much stronger now because of higher capital requirements, Dimon wrote.

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