Businesses need liquidity to overcome the challenges being presented by COVID-19 and get back on their feet when the recovery begins. They are looking to banks and lenders to support them in this crucial period – either directly, or through Government loan programs. On the other hand, lenders are concerned with the impact of COVID-19 on the health of their current loan books.

Given the unprecedented scale and dynamics of this crisis, trying to assess credit risk based on previous risk ratings doesn’t make sense as all previous correlations are broken. As a result, lenders need to be able to:

    • Reassess credit risk based on forward-looking scenarios which factor in the impact that COVID-19 is having on businesses and then follow through on these stress scenarios on a granular, loan-by-loan basis, rather than just at the portfolio level;
    • Monitor all credits more closely as sectors have become more volatile post-COVID-19, and;
    • Re-underwrite these loans at depth and bring consistency to their credit approach through the crisis, running risk analysis on a consistent basis.

The Solution

OakNorth has developed a “COVID Vulnerability Rating” (CVR) Framework, which helps lenders undertake portfolio diagnostics to rate loans from 1-5 based on their vulnerability to the new economic environment, with 1 being least vulnerable, and 5 being most vulnerable. The ratings are based on multiple factors including liquidity, debt capacity, funding gap and profitability, and can be dynamically customized to reflect the lender’s credit risk criteria and appetite.

COVID Vulnerability Rating Framework: Key Highlights

Updated forward-looking scenarios

OakNorth’s CVR Framework incorporates over 130 proprietary subsector-specific COVID-19 stress scenarios with regional overlays, incorporating assumptions for impacts on key financial metrics such as revenue, operating costs, working capital and capex.

Easy Onboarding

Requires only 14 data points for C&I and 18 for CRE borrower that can be easily extracted from lenders’ spreading and core systems.

Frequent reviews

Diagnostics can be done for 1000s of borrowers rapidly, allowing lenders to frequently review their portfolio and factor in the impact of COVID-19 across sectors.


The Framework enables commercial lenders to identify the most vulnerable loans in their portfolio, re-underwrite at depth, and bring consistency to the scenarios being run in each subsector.

1-click Deep Dive

For any cases added to the Platform for segmentation, lenders can request additional deeper analysis to help determine the more granular risks (or opportunities) for a particular borrower, appropriate for size and complexity of loan.

Based on the outputs of the Framework, lenders may choose to prioritize some of their customers for additional lending support through Government programs, such as the Main Street Lending Program (MSLP).

OakNorth has designed an online workflow solution “Borrower Hub”, specifically to help lenders participating in the MSLP with the borrower onboarding process and ensure a consistent and auditable document trail. This is available to all lenders utilizing the Framework and allows for collection of Main Street-specific initial and ongoing quarterly attestations, and collection of loan information documents from the borrower. Find out more about our MSLP offering here.