Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
Counterparty credit risk at Bank of America and JP Morgan has climbed over the 12 months to end-June, with a growing share of their derivatives and repo books more likely to default.
The portion of risk-weighted assets attributable to the least-risky counterparties at the two banks, those with a less than 0.15% probability of default (PD), fell to 32% from 41% of the total at JP Morgan and to 42% from 55% at Bank of America over the year.
Total exposures in these PD buckets grew to $149
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