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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