BPCE - Risk Report - Pillar III 2020
CREDIT RISKS
DETAILED QUANTITATIVE DISCLOSURES
12/31/2019
Non-defaulted exposures
Average PD
Average LGD
in millions of euros
France
445,871
1.9% 0.0% 0.6% 0.6% 0.3% 0.8% 0.6% 1.6% 1.9% 0.0% 0.6% 0.1% 0.1% 3.1% 0.6% 1.0%
17.0%
European Institutions Europe (excl. France) North & South America
7,373
7.1%
39,468 39,202 16,420 10,221 559,949 95,405 53,387 1,394
23.2% 18.8% 26.5% 23.9% 27.5% 17.7%
Asia
Africa and the Middle East
Oceania
IRBA France
European Institutions Europe (excl. France) North & South America
5
7,787 7,464 1,072 1,352
Asia
Africa and the Middle East
Oceania
80
IRBF
166,547 726,496
TOTAL
BPCE21 – BACKTESTING OF LGDS BY EXPOSURE CLASS
Estimated probability of default
Actual default rate
Actual EAD/ Estimated EAD
Actual CCF/ Estimated CCF
Portfolio
Estimated LGD
Actual LGD
Sovereigns
0.37% 0.18% 0.55% 3.19% 4.44% 1.52%
2.23% 0.49% 0.66% 3.69% 5.31% 2.08%
65.20% 58.37% 32.77%
40.20% 29.33% 29.64%
N/A N/A N/A N/A
65.95% 65.95% 65.95%
Banks
Very large corporates
SMEs and ISEs
N/A
N/A
N/A
Retail – Professional customers Retail – Individual customers
25.59% 21.06%
16.00% 14.03%
77.74% 83.17%
60.88% 74.07%
This table provides a general summary of the backtesting over an extended period and for a significant, representative system’s performance but differs from the Group’s annual percentage of each exposure class. The results come from data backtests, which are conducted on a model-by-model basis and warehouses used for modeling purposes, based on all not overall by portfolio. However, the table can be used to performing exposures for default rates and PDs, and on all compare estimates and actual results for each internal input customers in default for LGD and EAD.
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RISK REPORT PILLAR III 2020 | GROUPE BPCE
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