At systemic US banks, corporate default risk ebbed in Q4

Median PD of corporate portfolios down to 1.6% from 1.73%

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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