We exploit confidential regulatory data containing banks’ private assessments of their loans’ expected losses. We show that changes in expected losses predict firms’ next quarter stock returns, bond returns and earnings surprises. The predictability only occurs when banks adjust their risk assessments downwards, consistent with banks monitoring firms’ downside risks. Our results point to bank relationships being particularly important for small and growth firms. Moreover, banks’ information advantage seems to arise from both receiving private information early and processing information. Overall, our findings suggest that banks engage in information production and monitoring, even among publicly traded firms.