JP Morgan sails through DFAST with 200% AOCI reversal

Only major dealer to turn mark-to-market losses into gain in simulated recession

JP Morgan’s securities and hedges portfolios outperformed those of other banks in this year’s Dodd-Frank Act stress test (DFAST), resulting in a $6.5 billion paper gain by the simulation’s end-point.

The lender entered the exercise with a negative $6.5 billion in accumulated other comprehensive income (AOCI) weighing on its capital. However, the US Federal Reserve forecasted a 200% reversal, projecting a $6.5 billion tailwind after nine quarters.

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