What counterparty risk do you see in HBD?

There's always risk ! It is just the level of risk that varies.

For HBD, I'd say the counter-party risks are either if the Hive blockchain fails spectacularly, is corrupted, comes under sustained and organised attack, or if the debt ratio goes out of control.

My own (unscientific !) feeling is that the Hive blockchain is well enough designed and backed up that the first two risks, while possible, are very low probability.

The third, of Hive coming under attack is more likely to mean financial manipulation by someone who thinks that they can create (for example) a pump & dump scenario, rather than a hacker or DDoS attack. While it's possible, Hive has quite a few mechanisms which would make it difficult; the witness system, the time delays in unstaking Hive Power, and the HBD/HIVE stabilisation mechanism all work together to protect us. I also feel that (slightly counter-intuitively) HIVE being relatively low market cap and not available on many exchanges also protects us.

The final risk is that the HIVE/HBD debt ratio goes out of control - what is called the "haircut rule". The HBD/HIVE stabilisation mechanism is supposed to help protect against that, but I think it is still the largest risk (although still not a high risk unless there was major disruption of some kind). My understanding, but hopefully someone will correct me if I am wrong, is that the haircut rule would only affect those selling their HBD at the time, and that once things reverted to a more even keel then those who had carried on holding HBD would have their balances restored, even if the new interest rate was lower.