EU banks’ Q1 credit risk estimates show little Covid effect

Probability of defaults for retail exposures edged up only slightly quarter-on-quarter

In spite of the outbreak of the coronavirus crisis in March, European Union lenders’ probability of default (PD) estimates for corporate borrowers fell in Q1 2020, regulatory data shows.

The mean average weighted PD for corporate exposures, as gauged by EU banks for counterparties across 39 countries, was 1.92% in Q1 2020, down from 2.14% in the previous quarter and 2.24% a year prior. The mean average weighted loss given default (LGD) estimate was 35.75%, up from 34.92% on the quarter and 35

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