BPCE - 2018 Risk report / Pillar III
CREDIT RISK Detailed quantitative disclosures
12/31/2017
Non-defaulted exposures
Average PD
Average LGD
in millions of euros
France
393,272 26,326 32,030 37,141 13,090
1.9% 0.0% 0.8% 0.6% 0.5% 0.5% 0.7% 1.6% 1.0% 0.0% 0.4% 0.2% 0.2% 2.6% 0.7% 0.7%
17.3%
European Institutions Europe(excl. France) North &SouthAmerica
7.1%
23.9% 16.6% 25.7% 21.2% 19.1% 17.3%
Asia
Africa and theMiddle East
9,632 1,631
Oceania
A-IRB France
513,121 97,813 52,835 13,977
5
European Institutions Europe(excl. France) North &SouthAmerica
1,091
Asia
840
Africa and theMiddle East
1,510
Oceania
89
F-IRB
168,154 681,276
TOTAL
TABLE 45 – BACKTESTING OF LGDS BY EXPOSURE CLASS ➡
Estimated probability of default
Actual EAD/Estimated EAD
Actual CCF/Estimated CCF
Actual default rate
Estimated
Portfolio
LGD Actual LGD
Central governmentsand central banks
0.17% 6.6% 48.7% 30.2% 0.25% 1.1% 64.9% 40.1% 0.39% 0.8% 39.2% 29.9%
N/A N/A N/A
62.7% 62.7% 62.7%
Banks
Very large corporates
SMEs and ISEs
3.32% 3.6%
N/A
N/A
N/A
N/A
Retail –Professionalcustomers Retail –Individualcustomers
4.70% 5.1% 25.5% 16.0% 77.1% 62.0% 1.59% 2.1% 21.5% 14.3% 82.5% 72.0%
This table provides a general summary of the backtesting system’s significant, representative percentage of each exposure class. The performancebut differs from the Group’s annual backtests,which are results come from data warehouses used for modeling purposes, conducted on a model-by-modelbasis and not overall by portfolio. based on all performing exposures for default rates and PDs, and on However, the table can be used to compare estimates and actual all customers indefaultfor LGD and EAD. results for each internal input over an extended period and for a
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Risk Report Pillar III 2018
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