Fair value gains give JP Morgan DFAST edge

Bank was only one to record bigger capital lift from AOCI by end of test’s horizon

Mark-to-market gains gave JP Morgan a capital lift over other participants in the Federal Reserve’s latest stress test. A Risk Quantum analysis of the effect of accumulated other comprehensive income (AOCI) across 10 banks found JP Morgan was the only one where the securities book provided a tailwind by the end of the simulation’s nine-quarter horizon.

Unrealised gains and losses on securities a bank plans to sell flow through to their book equity as AOCI. To estimate how a severely adverse

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