Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
The default probabilities of big US banks’ corporate loan portfolios have been trending upwards in the past year, regulatory disclosures show.
The median weighted-average probability-of-default (PD) for corporate exposures across the eight US global systemically important banks (G-Sibs) was 1.22% as of end-June, up nine basis points year-on-year.
Wells Fargo and JP Morgan saw their average corporate PDs edge up by 9bp and 8bp to 1.14% and 1.29%, respectively. Morgan Stanley and BNY Mellon’s
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