The industry’s worst nightmare

But counterparty credit risk never went away. The laws of physics tell us that a bar of gold effectively has a zero probability of turning to lead during the lifetime of the universe. Credit rating agency Standard & Poor’s (S&P) tells us that derivatives dealer JP Morgan Chase has a roughly one in 3,000 chance of defaulting on its $25 trillion notional derivatives portfolio over the next 12 months. That corresponds to a $8 billion notional value of derivatives contracts that can be expected to v