EU banks’ credit risk estimates stabilised at year-end

Weighted average corporate borrower PD across countries climbed to 2.15%

Probability of default (PD) estimates for corporate borrowers – as gauged by European Union banks’ internal ratings-based (IRB) models – edged lower in Q4 2020 and, for some countries, ended the year tighter than in 2019 despite the ravages of the coronavirus pandemic.

The mean weighted average (WA) PD of corporate exposures for counterparties across 39 countries was 2.15% in Q4 2020, barely changed from 2.14% the year-ago quarter. However, it did represent a big increase on the low of 1.92%

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