Top US banks’ counterparties’ credit quality deteriorated in Q2

Counterparties to over-the-counter derivatives, repo and margin loans got riskier over the second quarter, systemic US banks’ internal model outputs show.

At JP Morgan, counterparty credit risk (CCR) exposures with the lowest probability of default (PD) (less than 0.15%) made up 52% of its total, down on Q1 2020 and with their smallest share for at least two years. The dollar amount of exposures with a PD of 10–100% also rocketed 40% to $2 billion, though these still made up less than 1% of