JP Morgan counterparty credit risk grows
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years
Counterparty credit risk at JP Morgan is climbing, with an increasing share of its derivatives and repo books now seen as more likely to default. Exposure amounts and risk-weighted assets (RWAs) for these trades have increased considerably over the last two years.
The biggest change is in the portion of RWAs consumed by the least-risky counterparties – those with a less than 0.15% probability of
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