EBA欧洲银行-Risk-parameters-Q1-2017_10页_464kb

RISK DASHBOARD ANNEX SUMMARY

Core Content Overview

This document provides risk parameters statistics for IRB banks in various EU and main non-EU countries for Q1 2017, as reported by COREP C 9.02. The statistics include default rate, loss rate, PD - adjusted, and LGD, with values presented as 25th percentile, 50th percentile, 75th percentile, and weighted average (W.A). The data is aggregated by country and counterparty type (Corporates and Retail), and further subdivided into Specialised Lending, SME, Qualifying Revolving, and Other Retail.

Key Information and Statistics

Austria

• Corporates

  • Default rate: N=6, 25th=0.70%, 50th=0.75%, 75th=0.90%, W.A=0.82%
  • Loss rate: N=4, 25th=11.04%, 50th=19.57%, 75th=26.71%, W.A=24.46%
  • PD - adjusted: N=59, 25th=0.20%, 50th=0.46%, 75th=1.79%, W.A=1.76%
  • LGD: N=58, 25th=31.95%, 50th=41.86%, 75th=45.00%, W.A=29.79%

• Corporates - Of Which: Specialised Lending

  • Default rate: N=4, 25th=0.88%, 50th=1.13%, 75th=1.42%, W.A=1.34%
  • Loss rate: N=18, 25th=0.23%, 50th=0.73%, 75th=2.24%, W.A=2.36%
  • LGD: N=18, 25th=2.68%, 50th=20.75%, 75th=40.06%, W.A=7.62%

• Corporates - Of Which: SME

  • Default rate: N=22, 25th=0.23%, 50th=0.51%, 75th=0.85%, W.A=0.64%
  • Loss rate: N=20, 25th=14.06%, 50th=30.31%, 75th=39.44%, W.A=26.02%
  • PD - adjusted: N=30, 25th=0.33%, 50th=1.24%, 75th=2.68%, W.A=2.60%
  • LGD: N=30, 25th=22.96%, 50th=38.67%, 75th=44.92%, W.A=28.18%

• Retail

  • Default rate: N=8, 25th=0.48%, 50th=0.72%, 75th=8.79%, W.A=0.62%
  • Loss rate: N=7, 25th=5.56%, 50th=6.52%, 75th=30.29%, W.A=11.42%
  • PD - adjusted: N=51, 25th=0.37%, 50th=0.83%, 75th=1.47%, W.A=1.48%
  • LGD: N=51, 25th=11.54%, 50th=15.35%, 75th=22.02%, W.A=14.64%

• Retail - Qualifying Revolving

  • Default rate: N=8, 25th=0.29%, 50th=0.40%, 75th=0.44%, W.A=0.44%
  • Loss rate: N=9, 25th=29.01%, 50th=35.77%, 75th=48.11%, W.A=29.02%
  • PD - adjusted: N=26, 25th=0.38%, 50th=1.24%, 75th=2.19%, W.A=2.27%
  • LGD: N=27, 25th=43.51%, 50th=55.53%, 75th=74.20%, W.A=86.36%

• Retail - Other Retail

  • Default rate: N=19, 25th=0.34%, 50th=0.88%, 75th=2.53%, W.A=0.74%
  • Loss rate: N=15, 25th=19.45%, 50th=28.61%, 75th=55.07%, W.A=48.59%
  • PD - adjusted: N=56, 25th=1.04%, 50th=2.07%, 75th=4.35%, W.A=2.16%
  • LGD: N=54, 25th=30.60%, 50th=45.09%, 75th=55.01%, W.A=44.98%

Belgium

• Corporates

  • Default rate: N=10, 25th=0.55%, 50th=0.91%, 75th=2.28%, W.A=1.19%
  • Loss rate: N=8, 25th=6.29%, 50th=12.00%, 75th=21.35%, W.A=14.53%
  • PD - adjusted: N=61, 25th=0.13%, 50th=0.57%, 75th=1.91%, W.A=2.10%
  • LGD: N=60, 25th=31.60%, 50th=42.48%, 75th=45.00%, W.A=27.99%

• Corporates - Of Which: Specialised Lending

  • Default rate: N=4, 25th=1.26%, 50th=2.49%, 75th=3.63%, W.A=1.38%
  • Loss rate: N=21, 25th=0.10%, 50th=0.44%, 75th=1.02%, W.A=1.13%
  • LGD: N=22, 25th=16.85%, 50th=24.16%, 75th=45.00%, W.A=23.36%

• Corporates - Of Which: SME

  • Default rate: N=6, 25th=1.78%, 50th=2.16%, 75th=2.40%, W.A=2.02%
  • Loss rate: N=6, 25th=5.69%, 50th=9.90%, 75th=16.27%, W.A=12.86%
  • PD - adjusted: N=33, 25th=0.26%, 50th=1.02%, 75th=2.57%, W.A=3.15%
  • LGD: N=33, 25th=23.03%, 50th=37.78%, 75th=45.00%, W.A=24.60%

• Retail

  • Default rate: N=25, 25th=0.56%, 50th=0.79%, 75th=1.26%, W.A=0.87%
  • Loss rate: N=21, 25th=9.55%, 50th=17.48%, 75th=30.55%, W.A=8.55%
  • PD - adjusted: N=62, 25th=0.63%, 50th=1.33%, 75th=2.41%, W.A=1.39%
  • LGD: N=63, 25th=14.73%, 50th=18.96%, 75th=27.60%, W.A=16.92%

• Retail - Secured on real estate property

  • Default rate: N=10, 25th=0.85%, 50th=1.02%, 75th=1.48%, W.A=0.89%
  • Loss rate: N=12, 25th=3.09%, 50th=8.21%, 75th=13.08%, W.A=4.71%
  • PD - adjusted: N=59, 25th=0.46%, 50th=0.98%, 75th=1.82%, W.A=1.27%
  • LGD: N=59, 25th=10.87%, 50th=14.59%, 75th=19.06%, W.A=13.10%

• Retail - Qualifying Revolving

  • Default rate: N=11, 25th=0.10%, 50th=1.29%, 75th=3.01%, W.A=0.13%
  • Loss rate: N=9, 25th=25.57%, 50th=38.13%, 75th=66.00%, W.A=34.56%
  • PD - adjusted: N=28, 25th=0.66%, 50th=1.55%, 75th=4.44%, W.A=1.06%
  • LGD: N=29, 25th=44.12%, 50th=53.48%, 75th=62.67%, W.A=48.16%

• Retail - Other Retail

  • Default rate: N=19, 25th=0.78%, 50th=1.08%, 75th=1.75%, W.A=0.83%
  • Loss rate: N=16, 25th=19.63%, 50th=34.70%, 75th=46.94%, W.A=22.02%
  • PD - adjusted: N=54, 25th=1.09%, 50th=1.97%, 75th=3.39%, W.A=1.96%
  • LGD: N=55, 25th=29.76%, 50th=35.22%, 75th=50.44%, W.A=31.48%

Bulgaria

• Corporates

  • Default rate: N=4, 25th=1.47%, 50th=2.92%, 75th=10.94%, W.A=2.86%
  • Loss rate: N=4, 25th=0.50%, 50th=8.84%, 75th=25.56%, W.A=10.37%
  • PD - adjusted: N=29, 25th=0.73%, 50th=2.54%, 75th=5.81%, W.A=4.98%
  • LGD: N=28, 25th=30.71%, 50th=37.94%, 75th=45.00%, W.A=40.03%

• Corporates - Of Which: Specialised Lending

  • Default rate: N=16, 25th=0.00%, 50th=0.00%, 75th=0.00%, W.A=0.00%
  • Loss rate: N=11, 25th=1.82%, 50th=2.96%, 75th=7.76%, W.A=6.44%
  • LGD: N=11, 25th=10.00%, 50th=19.49%, 75th=45.00%, W.A=26.91%

• Corporates - Of Which: SME

  • Default rate: N=6, 25th=0.00%, 50th=0.00%, 75th=0.00%, W.A=0.00%
  • Loss rate: N=16, 25th=0.32%, 50th=0.97%, 75th=4.35%, W.A=4.32%
  • PD - adjusted: N=16, 25th=0.32%, 50th=0.97%, 75th=4.35%, W.A=4.32%
  • LGD: N=16, 25th=42.33%, 50th=48.82%, 75th=63.05%, W.A=41.30%

• Retail

  • Default rate: N=17, 25th=1.02%, 50th=1.69%, 75th=2.28%, W.A=2.03%
  • Loss rate: N=16, 25th=20.11%, 50th=31.61%, 75th=45.92%, W.A=25.22%
  • PD - adjusted: N=52, 25th=0.42%, 50th=1.74%, 75th=3.55%, W.A=3.79%
  • LGD: N=55, 25th=18.07%, 50th=26.58%, 75th=48.25%, W.A=32.30%

• Retail - Secured on real estate property

  • Default rate: N=10, 25th=1.31%, 50th=1.77%, 75th=6.59%, W.A=1.38%
  • Loss rate: N=9, 25th=27.83%, 50th=50.74%, 75th=55.77%, W.A=43.55%
  • PD - adjusted: N=37, 25th=0.31%, 50th=0.67%, 75th=1.99%, W.A=3.24%
  • LGD: N=38, 25th=11.25%, 50th=15.25%, 75th=21.51%, W.A=20.14%

• Retail - Qualifying Revolving

  • Default rate: N=14, 25th=2.22%, 50th=3.34%, 75th=12.66%, W.A=2.75%
  • Loss rate: N=14, 25th=27.80%, 50th=35.92%, 75th=57.78%, W.A=39.43%
  • PD - adjusted: N=47, 25th=0.49%, 50th=3.02%, 75th=5.38%, W.A=3.30%
  • LGD: N=25, 25th=44.84%, 50th=55.49%, 75th=70.40%, W.A=40.93%

• Retail - Other Retail

  • Default rate: N=14, 25th=2.22%, 50th=3.34%, 75th=12.66%, W.A=2.75%
  • Loss rate: N=16, 25th=0.86%, 50th=3.35%, 75th=6.65%, W.A=4.81%
  • PD - adjusted: N=45, 25th=0.27%, 50th=0.87%, 75th=1.86%, W.A=1.74%
  • LGD: N=40, 25th=9.23%, 50th=13.21%, 75th=17.48%, W.A=27.99%

Croatia

• Corporates

  • Default rate: N=5, 25th=0.00%, 50th=33.70%, 75th=34.49%, W.A=25.75%
  • Loss rate: N=29, 25th=1.00%, 50th=1.90%, 75th=4.44%, W.A=3.89%
  • PD - adjusted: N=25, 25th=0.49%, 50th=1.23%, 75th=2.58%, W.A=2.31%
  • LGD: N=40, 25th=25.25%, 50th=29.92%, 75th=42.69%, W.A=34.53%

• Corporates - Of Which: Specialised Lending

  • Default rate: N=13, 25th=0.11%, 50th=0.63%, 75th=1.37%, W.A=2.73%
  • Loss rate: N=11, 25th=17.00%, 50th=28.17%, 75th=39.08%, W.A=16.97%
  • PD - adjusted: N=42, 25th=0.49%, 50th=1.23%, 75th=2.58%, W.A=2.31%
  • LGD: N=40, 25th=15.47%, 50th=29.92%, 75th=42.69%, W.A=34.53%

• Retail - Secured on real estate property

  • Default rate: N=14, 25th=0.62%, 50th=1.34%, 75th=1.59%, W.A=0.85%
  • Loss rate: N=5, 25th=16.95%, 50th=25.94%, 75th=37.86%, W.A=25.37%
  • PD - adjusted: N=29, 25th=0.27%, 50th=0.87%, 75th=1.86%, W.A=1.74%
  • LGD: N=28, 25th=9.23%, 50th=13.21%, 75th=17.48%, W.A=27.99%

• Retail - Qualifying Revolving

  • Default rate: N=10, 25th=0.75%, 50th=2.30%, 75th=2.98%, W.A=2.97%
  • Loss rate: N=8, 25th=19.87%, 50th=26.81%, 75th=38.57%, W.A=17.70%
  • PD - adjusted: N=38, 25th=0.44%, 50th=1.29%, 75th=3.32%, W.A=2.62%
  • LGD: N=36, 25th=26.47%, 50th=42.11%, 75th=55.55%, W.A=38.60%

Cyprus

• Corporates

  • Default rate: N=5, 25th=0.00%, 50th=33.70%, 75th=34.49%, W.A=25.75%
  • Loss rate: N=44, 25th=0.95%, 50th=2.67%, 75th=6.78%, W.A=4.81%
  • PD - adjusted: N=45, 25th=0.23%, 50th=0.63%, 75th=1.63%, W.A=1.76%
  • LGD: N=48, 25th=33.40%, 50th=41.23%, 75th=45.00%, W.A=32.83%

• Corporates - Of Which: Specialised Lending

  • Default rate: N=16, 25th=0.00%, 50th=0.00%, 75th=0.00%, W.A=0.00%
  • Loss rate: N=18, 25th=3.55%, 50th=9.04%, 75th=14.70%, W.A=8.25%
  • LGD: N=18, 25th=25.32%, 50th=33.37%, 75th=45.00%, W.A=33.15%

• Corporates - Of Which: SME

  • Default rate: N=6, 25th=0.00%, 50th=0.00%, 75th=0.00%, W.A=0.00%
  • Loss rate: N=26, 25th=0.42%, 50th=1.68%, 75th=7.60%, W.A=1.33%
  • LGD: N=25, 25th=29.15%, 50th=45.00%, 75th=52.25%, W.A=43.69%

• Retail

  • Default rate: N=5, 25th=0.62%, 50th=1.34%, 75th=1.59%, W.A=0.85%
  • Loss rate: N=5, 25th=16.95%, 50th=25.94%, 75th=37.86%, W.A=25.37%
  • PD - adjusted: N=52, 25th=0.45%, 50th=1.01%, 75th=2.22%, W.A=0.74%
  • LGD: N=50, 25th=16.10%, 50th=21.99%, 75th=39.67%, W.A=16.59%

• Retail - Secured on real estate property

  • Default rate: N=14, 25th=0.62%, 50th=1.34%, 75th=1.59%, W.A=0.85%
  • Loss rate: N=4, 25th=20.06%, 50th=24.18%, 75th=26.40%, W.A=23.41%
  • PD - adjusted: N=35, 25th=0.10%, 50th=0.46%, 75th=1.17%, W.A=1.00%
  • LGD: N=34, 25th=9.08%, 50th=13.15%, 75th=20.61%, W.A=19.42%

• Retail - Qualifying Revolving

  • Default rate: N=4, 25th=1.42%, 50th=2.95%, 75th=3.81%, W.A=2.93%
  • Loss rate: N=4, 25th=21.11%, 50th=31.90%, 75th=56.46%, W.A=40.33%
  • PD - adjusted: N=42, 25th=0.33%, 50th=1.39%, 75th=2.80%, W.A=0.61%
  • LGD: N=41, 25th=19.73%, 50th=42.69%, 75th=50.20%, W.A=8.80%

Czech

• Corporates

  • Default rate: N=6, 25th=1.16%, 50th=1.27%, 75th=1.39%, W.A=1.27%
  • Loss rate: N=7, 25th=22.86%, 50th=34.23%, 75th=35.87%, W.A=28.57%
  • PD - adjusted: N=50, 25th=0.23%, 50th=0.63%, 75th=1.63%, W.A=1.76%
  • LGD: N=48, 25th=33.40%, 50th=41.23%, 75th=45.00%, W.A=32.83%

• Corporates - Of Which: Specialised Lending

  • Default rate: N=4, 25th=0.14%, 50th=0.49%, 75th=0.91%, W.A=0.58%
  • Loss rate: N=4, 25th=3.55%, 50th=9.04%, 75th=14.70%, W.A=8.25%
  • PD - adjusted: N=14, 25th=0.23%, 50th=0.85%, 75th=2.13%, W.A=1.49%
  • LGD: N=14, 25th=22.37%, 50th=30.93%, 75th=41.06%, W.A=31.25%

• Corporates - Of Which: SME

  • Default rate: N=6, 25th=1.00%, 50th=1.54%, 75th=1.92%, W.A=1.49%
  • Loss rate: N=5, 25th=26.68%, 50th=27.25%, 75th=51.38%, W.A=30.27%
  • PD - adjusted: N=23, 25th=0.70%, 50th=2.29%, 75th=4.49%, W.A=2.73%
  • LGD: N=22, 25th=31.43%, 50th=39.40%, 75th=48.00%, W.A=31.25%

• Retail

  • Default rate: N=18, 25th=0.39%, 50th=0.94%, 75th=1.44%, W.A=0.92%
  • Loss rate: N=15, 25th=29.58%, 50th=37.91%, 75th=44.36%, W.A=38.16%
  • PD - adjusted: N=60, 25th=0.30%, 50th=0.87%, 75th=2.22%, W.A=2.04%
  • LGD: N=60, 25th=15.21%, 50th=31.22%, 75th=42.81%, W.A=31.74%

• Retail - Secured on real estate property

  • Default rate: N=8, 25th=0.51%, 50th=0.58%, 75th=0.87%, W.A=0.54%
  • Loss rate: N=6, 25th=20.06%, 50th=24.18%, 75th=26.40%, W.A=23.41%
  • PD - adjusted: N=46, 25th=0.18%, 50th=0.52%, 75th=1.30%, W.A=1.40%
  • LGD: N=45, 25th=9.99%, 50th=13.84%, 75th=13.84%, W.A=24.11%

• Retail - Qualifying Revolving

  • Default rate: N=10, 25th=0.53%, 50th=0.84%, 75th=3.13%, W.A=1.41%
  • Loss rate: N=8, 25th=33.82%, 50th=45.27%, 75th=48.81%, W.A=48.39%
  • PD - adjusted: N=25, 25th=0.51%, 50th=1.39%, 75th=3.24%, W.A=4.67%
  • LGD: N=26, 25th=46.54%, 50th=55.71%, 75th=67.66%, W.A=57.18%

• Retail - Other Retail

  • Default rate: N=14, 25th=0.66%, 50th=1.58%, 75th=2.62%, W.A=1.82%
  • Loss rate: N=12, 25th=36.35%, 50th=44.58%, 75th=54.87%, W.A=49.87%
  • PD - adjusted: N=49, 25th=0.84%, 50th=2.12%, 75th=4.07%, W.A=3.41%
  • LGD: N=47, 25th=34.11%, 50th=45.00%, 75th=54.44%, W.A=49.32%

Denmark

• Corporates

  • Default rate: N=11, 25th=0.48%, 50th=0.92%, 75th=29.41%, W.A=0.72%
  • Loss rate: N=6, 25th=11.33%, 50th=19.84%, 75th=31.80%, W.A=20.77%
  • PD - adjusted: N=55, 25th=0.22%, 50th=0.62%, 75th=1.80%, W.A=1.87%
  • LGD: N=55, 25th=29.64%, 50th=40.31%, 75th=45.00%, W.A=22.66%

• Corporates - Of Which: Specialised Lending

  • Default rate: N=16, 25th=0.00%, 50th=0.00%, 75th=0.00%, W.A=0.00%
  • Loss rate: N=16, 25th=11.33%, 50th=19.84%, 75th=31.80%, W.A=20.77%
  • LGD: N=18, 25th=9.69%, 50th=28.04%, 75th=42.94%, W.A=21.15%

• Corporates - Of Which: SME

  • Default rate: N=6, 25th=0.92%, 50th=1.48%, 75th=4.73%, W.A=0.79%
  • Loss rate: N=4, 25th=11.77%, 50th=22.33%, 75th=32.97%, W.A=22.23%
  • PD - adjusted: N=29, 25th=0.65%, 50th=1.20%, 75th=3.39%, W.A=2.54%
  • LGD: N=2