Two US dealers grow appetite for counterparty risk

JP Morgan and Bank of America saw the risk density of their over-the-counter derivatives, repo and margin loan portfolios inch up over the first half of the year, as those for Citi and Wells Fargo edged lower.

JP Morgan disclosed total exposures-at-default (EAD) related to these transactions of $256.9 billion at end-June, up 8% on end-2018. Of this amount $150.5 billion (59%) related to the least-risky counterparties – those with a less-than-0.15% probability of default (PD) – slightly lower

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: