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

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