DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Aggregate projected losses on domestic and foreign mortgages in the Fed’s latest Dodd-Frank Act stress test (DFAST) were double those calculated in the previous year’s exercise, and reached the highest point since 2018.
The loss rate for first-lien mortgages was 2.7% across the 23 banks included in this year’s assessment, equivalent to $33.8 billion in losses. This compares to a loss rate of 1.3% and an aggregate projected loss of $16.7 billion recorded by the 33 banks tested in DFAST 2022.
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