A vulnerability analysis of Irish SME credit exposures

Niall McGeever
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Niall McGeever: Central Bank of Ireland

No 7/FS/19, Financial Stability Notes from Central Bank of Ireland

Abstract: I use loan-level data from three major banks to analyse the stock of performing Irish SME credit exposures as at June 2018. I calculate a vulnerability score for each exposure by linking borrower characteristics and macroeconomic conditions to historical default outcomes. I find evidence of improvement in the condition of the aggregate SME portfolio, but a subset of exposures – accounting for 7.3 per cent of performing balances – continue to have high vulnerability scores. These exposures are spread across all regions. Accommodation & Food and Wholesale & Retail borrowers account for a large share of high vulnerability balances, while borrowers in the Agriculture, Forestry & Fishing and Manufacturing sectors are under-represented relative to their share of outstanding credit.

Date: 2019-06
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