BPCE_PILLAR_III_2017

5 CREDIT RISK

Detailed quantitative disclosures

TABLE 42 – BACKTESTING OF LGDS BY EXPOSURE CLASS ➡

Estimated probability of default

Actual EAD/Estimated EAD

Actual CCF/Estimated CCF

Actual default rate

Estimated LGD

Basel portfolio

Actual LGD

Central governmentsand central banks

0.2% 0.3% 0.4% 3.4% 4.8% 1.6%

6.5% 48.2% 31.3% 1.2% 50.4% 37.9% 0.9% 40.5% 29.4%

N/A N/A N/A N/A

63.6% 63.6% 63.6%

Institutions

Very large corporates

SMEs and ISEs

3.6%

N/A

N/A

N/A

Retail –Professionalcustomers Retail –Individualcustomers

5.4% 25.3% 16.6% 76.8% 62.4% 2.1% 21.1% 14.1% 82.1% 71.4%

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 warehousesused for modeling. This is based conducted on a model-by-modelbasis and not overall by portfolio. on all performing customers for default rates and PD, and on all However, the table can be used to compare estimates and actual customers indefault for LGD and EAD. results for each internal input over an extended period and for a

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Risk Report Pillar III 2017