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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a 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