Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL

31.12.2018

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 22,173 0.15 to <0.25 19,638 0.25 to <0.50 6,863 0.50 to <0.75 11,256 0.75 to <2.50 21,124 2.50 to <10.00 7,399 10.00 to <100.00 1,395

797 100% 24,040 0.06% 15.22%

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

1,803 1,358

7% 2 7% 6 13% 5 11% 8 19% 29 37% 40 61% 26 3% 0 4% 0 10% 1 10% 1 24% 6 66% 34 1% 0 11% 0 14% 2 19% 2 25% 31 35% 64 62% 113 37% 1,092 4% 0 4% 1 18% 5 30% 5 37% 34 46% 84 81% 108 39% 1,117 36% 311

540 226 425 654 103

86% 20,084 0.21% 15.43% 72% 6,909 0.41% 17.56% 79% 11,334 0.59% 11.81% 89% 21,573 1.48% 10.91% 92% 7,469 5.15% 11.46% 99% 1,405 18.58% 8.98% 96% 1,118 100.00% 43.41% 36% 561 0.09% 42.95% 38% 105 0.23% 35.07% 33% 356 0.42% 48.53% 36% 319 0.61% 34.99% 35% 883 1.49% 44.01% 34% 1,574 4.84% 45.07% 34% 617 22.33% 42.51% 41% 492 100.00% 54.64%

881

1,238 4,033 2,768

15

859

100.00 (default)

1,908

3

1,177 105% 455

Sub-total

91,756

2,764 89% 93,932 2.38% 13.98% - 14,117 15% 571 (574)

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)

57

1,071

14

0

277 258 597 583 320

5

89

36 31

106 365 764 493 488

209

1,042

40

694 112% 56

9

175

Sub-total

2,362

3,155 35% 4,906 14.73% 44.66% -

2,206 45% 408 (368)

Retail – Other SME

0.00 to <0.15 0.15 to <0.25

27 14

1 100% 31 0.03% 7.41% 1 100% 15 0.24% 30.59%

0 2

0.25 to <0.50 1,288 0.50 to <0.75 1,328 0.75 to <2.50 8,109 2.50 to <10.00 4,345 10.00 to <100.00 1,510 0.00 to <0.15 1,980 0.15 to <0.25 5,337 0.25 to <0.50 4,344 0.50 to <0.75 2,629 0.75 to <2.50 7,329 2.50 to <10.00 6,066 10.00 to <100.00 1,447 100.00 (default) 1,702 Sub-total 18,323

191

85% 1,487 0.36% 29.26% 83% 1,284 0.57% 31.04% 88% 8,612 1.46% 23.91% 91% 4,688 5.05% 26.49% 99% 1,751 19.46% 33.58% 98% 1,795 100.00% 48.04%

211 249

35

440 208 185

2,123 1,626 1,084

15

657

1,076 90% 19,664 12.77% 28.44% -

5,953 30% 1,304 (1,250)

Retail – Other non – SME

209 100% 2,746 0.07% 15.48%

116 248 893 702

411 957

81% 6,020 0.18% 11.06% 74% 4,989 0.39% 28.15%

139 100% 2,331 0.62% 35.68% 588 100% 7,968 1.34% 30.37% 285 100% 6,440 4.33% 29.77%

2,960 2,945 1,195

25 18

99% 1,477 25.17% 30.45% 98% 2,046 100.00% 46.06%

100.00 (default)

1,994

794

Sub-total

31,126

2,631 84% 34,016 8.38% 26.62% -

9,852 29% 1,354 (1,343)

SPECIALISED LENDING SLOTTING CRITERIA OTHER NON CREDIT-OBLIGATION ASSETS

Sub-total

550

1,941

0% 1,193 0.00% 0.00% -

731 61% 15 (3)

Sub-total

47

0

0% 22 0.00% 0.00% -

22 100% 0

-

SECURITISATION POSITIONS

Sub-total Sub-total

331 22,838

0% 23,177 0.00% 0.00% -

2,015

9% 0

-

EQUITY

4,202

0

0% 4,202 0.00% 0.00% - 15,178 361% 97 -

TOTAL

519,055 200,816 44% 631,006 2.94% 17.47% 2.09 159,988 25% 7,453 (7,027)

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