JP Morgan takes $14bn AOCI capital hit

Q2 loss from fair-value securities book was largest in 16 years

JP Morgan has been left nursing the biggest mark-to-market hit to its capital in at least 16 years, after rates volatility continued to batter the fair value of its bond book in the second quarter.

Losses recorded under accumulated other comprehensive income (AOCI) – which quantifies swings in securities’ fair value and filters through to Common Equity Tier 1 (CET1) capital – widened 50% to $14.4 billion.

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The loss reduced stockholders’ equity – the primary component of CET1 capital

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