Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL

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

Retail – Secured by real estate non-SME

0.00 to <0.15 24,742 0.15 to <0.25 22,289 0.25 to <0.50 7,625 0.50 to <0.75 12,527 0.75 to <2.50 23,467 2.50 to <10.00 7,620 10.00 to <100.00 1,403

984 100% 26,897 0.06% 13.85% 88% 22,815 0.22% 14.35% 74% 7,686 0.41% 17.59% 83% 12,510 0.62% 10.52% 89% 24,179 1.44% 10.62% 94% 7,755 4.94% 12.17% 99% 1,431 17.93% 9.19% 97% 1,092 100.00% 42.12% 38% 607 0.10% 43.03% 41% 118 0.23% 35.70% 37% 356 0.42% 48.77% 37% 331 0.60% 36.14% 37% 871 1.48% 44.18% 38% 1,537 4.77% 45.85% 37% 569 21.77% 43.54% 38% 405 100.00% 61.04% 10% 15 0.24% 31.01% 49% 1,530 0.36% 29.93% 73% 1,320 0.57% 31.86% 66% 8,968 1.46% 24.91% 65% 4,464 5.00% 28.79% 75% 1,680 19.16% 34.00% 84% 1,565 100.00% 47.77% 1 100% 36 0.03% 7.90% 6 34 3 286 232 604 567 307 36 8 357 29 596 235 195 16 632 229 508 866 156

- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -

2,077 1,481

8% 2 6% 7 13% 6 10% 8 18% 33 41% 43 53% 26 3% 0 5% 0 10% 1 10% 1 24% 6 67% 33 1% 0 11% 0 15% 2 20% 2 23% 34 45% 65 57% 107 35% 981 5% 0 6% 2 19% 5 31% 6 38% 39 54% 90 78% 114 40% 1,018 48% 248

977

1,247 4,250 3,141

758

100.00 (default)

1,795

1,128 103% 448

Sub-total 101,467

3,412 91% 104,366 2.16% 13.19% - 15,060 14% 573 (559)

Retail – Qualifying revolving

0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default)

62

1,111

16

0

5

87

36 33

108 359 729 456 403

207

1,036

641 113% 52

196

Sub-total

2,203

3,150 38% 4,794 12.93% 45.50% -

2,170 45% 340 (315)

Retail – Other SME

0.00 to <0.15 0.15 to <0.25

35 15

0 2

0.25 to <0.50 1,291 0.50 to <0.75 1,382 0.75 to <2.50 8,518 2.50 to <10.00 4,229 10.00 to <100.00 1,465 0.00 to <0.15 1,573 0.15 to <0.25 6,463 0.25 to <0.50 4,304 0.50 to <0.75 2,510 0.75 to <2.50 7,769 2.50 to <10.00 5,824 10.00 to <100.00 1,383 100.00 (default) 1,551 Sub-total 18,485

224 263

2,101 2,015

952 553

1,435 63% 19,577 11.52% 29.24% -

6,110 31% 1,192 (1,151)

Retail – Other non – SME

125 100% 1,807 0.09% 18.46%

84

1,267

99% 7,708 0.20% 13.30%

432 935 816

546 100% 4,921 0.38% 30.24% 102 100% 2,612 0.60% 37.46% 892 100% 8,732 1.34% 32.06% 229 100% 6,186 4.30% 33.30%

3,344 3,310 1,094

36

58% 1,406 25.32% 33.67% 96% 1,859 100.00% 49.82%

100.00 (default)

1,851

9

737

Sub-total

31,677

3,205 99% 35,231 7.52% 28.62% - 10,752 31% 1,275 (1,245)

SPECIALISED LENDING SLOTTING CRITERIA OTHER NON CREDIT-OBLIGATION ASSETS

Sub-total

684

2,196

0% 1,430 0.00% 0.00% -

827 58% 10 (3)

Sub-total

35

0

0% 24 0.00% 0.00% -

21 88% 0

-

SECURITISATION POSITIONS

Sub-total Sub-total

6,612 24,588

0% 30,978 0.00% 0.00% -

3,695 12% 0

- -

EQUITY

5,520

0

0% 5,520 0.00% 0.00% - 20,061 363% 129

TOTAL

SUB-TOTAL 536,782 207,565 43% 646,740 2.69% 16.84% 2.12 156,782 24% 6,859 (6,593)

113

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