EBA欧洲银行-Risk-parameters-annex-Q2-2017_10页_464kb

RISK DASHBOARD ANNEX - CREDIT RISK PARAMETERS Q2 2017 SUMMARY

Core Content

This document provides credit risk parameters for IRB (Internal Ratings-Based) banks in various countries across the EU and main non-EU regions for the second quarter of 2017. The parameters include default rates, loss rates, PD (Probability of Default) - adjusted, and LGD (Loss Given Default). The statistics are presented as percentiles (25th, 50th, 75th) and weighted averages (W.A), along with the number of observations (N) for each category.

Main Countries Covered

• Austria
• Belgium
• Bulgaria
• Croatia
• Denmark
• Estonia
• Finland
• France
• Germany
• Greece
• Hungary
• Ireland
• Italy
• Latvia
• Lithuania
• Luxembourg

Key Risk Parameters Overview

Default Rate

• Corporates: Varies significantly across countries, with higher rates observed in Greece (up to 46.27%) and lower in Denmark (0.28%).
• Specialised Lending: Higher default rates in some countries, such as Bulgaria (10.28%).
• SME (Small and Medium Enterprises): Default rates are generally moderate, with notable exceptions in Greece (12.85%).
• Retail: Default rates range from 0.09% (Croatia) to 4.50% (Hungary), with secured real estate lending showing higher rates.

Loss Rate

• Corporates: Loss rates are generally lower than default rates, with higher losses observed in Greece (up to 37.87%) and lower in Denmark (13.81%).
• Specialised Lending: Loss rates are relatively high in Bulgaria (up to 53.59%) and lower in other countries.
• SME: Loss rates are moderate, with higher values in Greece (up to 37.87%).
• Retail: Loss rates vary widely, with some countries showing losses as high as 66.00% (Belgium) and as low as 11.25% (Denmark).

PD - Adjusted

• Corporates: Adjusted PDs range from 0.14% (Belgium) to 2.54% (Croatia).
• Specialised Lending: PDs are generally higher than for general corporates, with values ranging from 0.16% (Belgium) to 2.42% (Croatia).
• SME: PDs are typically higher than for general corporates, with notable values in Greece (up to 20.00%).
• Retail: PDs vary from 0.19% (Latvia) to 4.87% (Belgium), with secured real estate lending showing higher PDs.

LGD (Loss Given Default)

• Corporates: LGD ranges from 10.27% (Latvia) to 79.09% (Greece).
• Specialised Lending: LGD is higher in countries like Belgium and Croatia, with values up to 64.29%.
• SME: LGD is moderate, with some countries showing higher values in Greece (up to 45.00%).
• Retail: LGD varies significantly, with secured real estate lending showing higher losses in Belgium (up to 68.34%) and lower in Estonia (up to 40.13%).

Summary of Key Observations

• Higher risk levels are observed in countries like Greece, with high default and loss rates across all categories.
• Secured real estate lending generally shows higher default and loss rates compared to other retail categories.
• Specialised lending tends to have higher PD and LGD than general corporate lending.
• SMEs have higher default and loss rates than general corporates, but this varies by country.
• Retail has a wide range of risk parameters, with lower default rates in some countries and higher loss rates in others.
• Weighted averages are used to summarize the data, providing a more accurate reflection of risk exposure across different segments.

Summary of Country-Specific Trends

• Austria: Moderate default and loss rates, with SMEs showing the lowest default rates.
• Belgium: Retail has the highest loss rates (up to 66.00%), with SMEs having relatively high PD.
• Bulgaria: Corporates and retail segments show high default and loss rates, particularly in specialised lending.
• Croatia: High default and loss rates for both corporates and retail, with retail showing the highest LGD.
• Denmark: Low default and loss rates, with retail showing moderate PD and LGD.
• Estonia: Low default rates, but high LGD in retail.
• Finland: Moderate risk parameters, with retail showing relatively high LGD.
• France: Low default and loss rates, with retail showing higher PD and LGD.
• Germany: Moderate to high risk parameters, with SMEs showing the highest PD.
• Greece: The highest default and loss rates, especially in corporates and retail.
• Hungary, Ireland, Italy, Latvia, Lithuania, Luxembourg: Limited data due to fewer than 3 reporting banks, so they are excluded from the statistics.

Conclusion

The credit risk parameters for Q2 2017 show a wide variation across countries and risk segments. Greece stands out as having the highest risk levels, while Denmark and Estonia demonstrate relatively low risk. The secured real estate lending and specialised lending segments generally exhibit higher risk than general corporate or retail categories. These statistics are crucial for understanding the credit risk exposure of IRB banks and can inform risk management strategies and capital adequacy assessments.