Below, I have attached Slide #2 from the presentation in which JP Morgan provides a "highly stressed environment" in which they model a:
- 2 Year Recession
- 10% Unemployment Rate
- 40% Decline in Housing Prices (Peak to trough)
Click for a Larger Image (Red highlight box, added for emphasis)
Should this "stress case" come to a reality, many more mortgages will be underwater and millions more homeowners will lose their income and possibly lose their homes---This will cause the mortgages and mortgage securities that JP Morgan holds to lose value a pressure their capital base.