Institutional Risk Analytics has published actual performance and Basel II credit metrics for the top US bank holding companies above $10 billion in total consolidated assets for the first quarter of 2005. The report is based on data from the FDIC. These profiles represent a "bank only" view of the BHC, excluding non-bank activities, rolled up and weighted by the total assets of each US bank subsidiary.
Some of the performance and Basel II metrics in the report include:
Coverage = Provision for loan losses as % total defaults. Results < 50% generate a flag and are shown in red.
Probability of Default ("P(D)") = actual LTM gross defaults expressed as bond equivalent rating using industry break points.
Defaults = LTM observed loan and lease defaults in basis points.
Loss Given Default ("LGD") = percent loss after default per dollar lent.
WAM = weighed average maturity of the aggregate loan portfolio.
Exposure at Default ("EAD") = amount obligor could borrow immediately prior to default expressed as % of existing credit line.
IRA is a custom designer of risk analysis and valuation tools for credit officers, auditors, corporate lenders, regulators and other financial decision makers. The IRA Bank Monitor is the first commercially available Basel II benchmarking system for US banks, using "as filed" data and calculations from taken from US bank regulatory agencies.
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