Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
Most systemic US banks raised the probability of default (PD) of their corporate loan portfolios in the first quarter, likely anticipating a wave of coronavirus-induced business failures.
The median weighted-average PD for corporate exposures across the eight US global systemically important banks (G-Sibs) was 1.39% as of end-March, up from 1.22% three months prior and at its highest level since Q4 2016. It was also the largest one-quarter change in the median since Q2 2016.
Citi and JP Morgan
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