US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter
Systemic US banks raised probability of default (PD) estimates for corporate loans in the second quarter, as their credit models responded to the gloomy outlook for the coronavirus-ravaged economy.
The median-weighted average PD for corporate exposures across the eight US global systemically important banks (G-Sibs) was 1.7% as of end-June, up from 1.39% three months prior and at its highest level since Q3 2014. It was also the largest one-quarter change in the median since Q1 2016.
Citi and
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