EU banks’ credit risk estimates deteriorated in Q2

Probability of default (PD) estimates for corporate borrowers, as ballparked by European Union banks, edged higher in Q2, regulatory data shows. In contrast, those for retail exposures improved.

The mean weighted average PD of corporate exposures for counterparties across 39 countries was 2.04% in Q2 2020, up from 1.92% the previous quarter but lower than the 2.07% disclosed the year prior. The mean weighted average loss given default (LGD) estimate was 35.49%, down from 35.75% on the quarter

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