At systemic US banks, corporate default risk ebbed in Q4

Top US banks’ internal models revised down the likelihood that corporate borrowers would welch on their debts over the fourth quarter. However, end-of-year probability of default (PD) ratings remained elevated compared to end-2019.

The median weighted-average PD for corporate exposures across the eight US global systemically important banks (G-Sibs) was 1.6% as of end-December, down from 1.73% as of end-September but up from 1.22% at end-2019.

Year on year, weighted-average PD increased most

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