Credit Risk Benchmarks from the RMA/AFS Risk Analysis Service

The RMA Journal, March 2011 | Go to article overview

Credit Risk Benchmarks from the RMA/AFS Risk Analysis Service


We are pleased to provide third-quarter 2010 metrics for this Journal feature, which provides an up-to-date view of C&I credit quality and trends. Comparing portfolio composition and performance to industry benchmarks is one of the keys to effective credit risk management. The graphs presented on the following pages are based on data reported in the RMA/AFS Risk Analysis Service, global banking's only comprehensive, industry-standard credit risk benchmark. Consistent with its "global reach, local markets" approach, RAS is currently offered in U.S. Commercial and Industrial, U.S. Commercial Real Estate, and European versions of the service. The service is an industry-led credit-data consortium of key credit risk metrics that tracks risk ratings (PD and LGD), expected loss, delinquencies, nonaccruals, and charge-offs. The data in the consortium currently represents over half of the U.S. middle market in terms of total exposure and continues to grow.

The RMA/AFS Risk Analysis Service includes analytical capabilities for portfolio segmentation and in-depth analysis by line of business, industry, location, deal size, collateral, product type, and time period. For more information, please contact Mark Zmiewski at RMA at +1 215-446-4085 or Doug Skinner at AFS at + 1 484-875-1562, or visit www.rmahq.org or www.afsvision.com.

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Probability of default (PD) reflects the bank's estimate of the likelihood that a loan will not be repaid as expected. It is calculated using a one-year time horizon. The graph on the top of the next page shows the PD distribution in the middle market.

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The RAS Performance Indicator represents a combination of past-due and nonaccuring loan balances as a percentage of the outstanding balances of the specific portfolio dimension cited. The RAS Performance Indicator the sum of loans past due 30 days and over and still accruing interest, and loans placed on nonaccrual, to present an overall view of potential and realized problem assets in specific portfolio segments. …

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