US banks’ corporate default indicators worsened in Q2

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. 

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