Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL

TABLE 51: INTERNAL APPROACH - CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE (CR6) - AIRB The table below pesents Group exposures subject to credit risk and for which an internal model is used with a view to calculating RWA.

31.12.2019

Original on- balance sheet gross exposure

Value adjust- ments and Provi- sions

Off- balance sheet exposures pre CCF

EAD post CRM and post-CCF

Average CCF

Average PD

Average LGD

Average maturity RWA

RWA density

(In EURm)

PD scale

EL

Central governments and central banks

0.00 to <0.15 147,518

1,692

64% 173,727 0.01% 3.22% 1.50 1,742

1% 3

0.15 to <0.25

-

-

-

-

-

-

-

-

-

-

0.25 to <0.50 1,618 0.50 to <0.75 13,998 0.75 to <2.50 1,946 2.50 to <10.00 1,854

23

75% 3,174 0.26% 16.07% 2.93

681

21% 1 47% 3 49% 9 63% 9 94% 6 30% 61

0

0% 2,307 0.50% 30.02% 1.61 1,084

877 722 410

75% 2,042 1.79% 24.64% 2.65 67% 1,025 4.40% 18.22% 3.12 50% 237 11.78% 19.73% 1.94 75% 70 100.00% 77.99% 1.49

996 649 222

10.00 to <100.00 100.00 (default)

297 115

0

21

Sub-total 167,346 0.00 to <0.15 25,538

3,724 66% 182,582 0.12% 4.15% 1.55 5,396

3% 93 (70)

Institutions

8,090

62% 37,548 0.04% 12.72% 2.46 2,111

6% 3

0.15 to <0.25 0.25 to <0.50

-

-

-

-

-

-

-

-

-

-

509

636

60% 922 0.26% 24.66% 1.97 8% 732 0.50% 32.32% 1.66 53% 1,682 1.50% 19.00% 1.59 33% 764 4.03% 24.64% 1.21 38% 170 15.20% 11.79% 1.27 89% 46 100.00% 29.09% 4.23 52% 1,274 0.09% 35.87% 2.47 93% 3,872 0.20% 12.36% 1.05 49% 1,775 0.28% 37.03% 2.16

229 321 822 578

25% 1 44% 1 49% 5 76% 7

0.50 to <0.75 6,093 0.75 to <2.50 3,656 2.50 to <10.00 1,248

1,608

967 602 214

10.00 to <100.00 100.00 (default)

245

191 113% 6 49 106% 13

47

0

Sub-total

37,336 12,116 52% 41,864 0.36% 14.01% 2.37 4,302 10% 35 (62)

Corporate – SME

0.00 to <0.15

752

590 500 773

236 285 614

19% 2 7% 1 35% 2 43% 5 59% 47 79% 121

0.15 to <0.25 3,358 0.25 to <0.50 1,383 0.50 to <0.75 3,836 0.75 to <2.50 9,948 2.50 to <10.00 7,947 10.00 to <100.00 2,349

1,006 2,421 1,221

48% 3,169 0.51% 33.22% 2.43 1,365 46% 11,174 1.48% 27.76% 3.34 6,544 58% 8,876 4.56% 30.24% 2.48 7,055

204 167

48% 2,500 17.14% 27.01% 2.35 2,558 102% 113

100.00 (default)

1,408

40% 1,459 100.00% 38.99% 2.04 1,126

77% 689

Sub-total

30,981

6,883 53% 34,099 7.30% 28.38% 2.55 19,784 58% 980 (918)

Corporate – Specialised lending

0.00 to <0.15 5,223

2,911

35% 10,924 0.07% 17.89% 2.94 1,099

10% 1

0.15 to <0.25

-

-

-

-

-

-

-

-

-

-

0.25 to <0.50 3,268 0.50 to <0.75 7,727 0.75 to <2.50 15,826 2.50 to <10.00 8,377

2,096 2,274 7,114 3,031

40% 3,696 0.26% 14.49% 2.68

652

18% 1 25% 6 40% 32 55% 39 83% 5 5% 359 17% 13 32% 0 36% 13 43% 18 60% 102 85% 178 39% 0 5% 0 7% 0 7% 1 15% 4 29% 3 44% 7 92% 98 49% 1,258

50% 8,947 0.50% 13.45% 3.65 2,268 40% 13,464 1.51% 13.50% 3.22 5,336 37% 5,811 4.07% 14.80% 2.80 3,183

10.00 to <100.00 100.00 (default)

469 668

56 32

49% 215 13.76% 17.95% 2.43 60% 602 100.00% 35.87% 2.20

180

33

Sub-total

41,560 17,514 40% 43,660 2.60% 15.16% 3.12 12,751 29% 443 (446)

Corporate – Other

0.00 to <0.15 19,116

73,155

46% 60,138 0.07% 32.54% 2.50 10,048

0.15 to <0.25

12

2

53% 12 0.16% 33.35% 3.21

4

0.25 to <0.50 7,629 0.50 to <0.75 21,101 0.75 to <2.50 21,775 2.50 to <10.00 12,024 10.00 to <100.00 2,419

20,631

44% 15,774 0.26% 30.98% 2.45 5,689 59% 13,715 0.50% 27.63% 2.39 5,831 44% 26,166 1.55% 24.82% 2.31 15,695 46% 15,528 4.25% 26.22% 2.18 13,195

9,581

16,420

7,798

932 717

39% 2,186 15.35% 27.55% 2.09 2,912 133% 93

100.00 (default)

2,512

50% 2,703 100.00% 34.90% 1.76 1,333

Sub-total

86,588 129,237 47% 136,223 3.12% 29.60% 2.39 54,707 40% 1,676 (1,717)

Retail – Secured by real estate SME

0.00 to <0.15 0.15 to <0.25 0.25 to <0.50

17

5 100% 80 0.03% 11.73%

- - - - - - - -

31

0

0

0% 0 0.19% 15.74%

0

863

13 100% 876 0.27% 16.19% 26 100% 1,592 0.62% 9.65% 39 100% 2,503 1.11% 13.91% 13 100% 767 3.02% 14.75% 9 100% 369 16.05% 10.17% 0 100% 207 100.00% 44.17%

57

0.50 to <0.75 1,606 0.75 to <2.50 2,428

112 368 224 163 191

2.50 to <10.00 10.00 to <100.00 100.00 (default)

754 360 260

Sub-total

6,288

105 100% 6,393 5.15% 14.00% -

1,146 18% 113 (106)

112

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |