Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL

TABLE 52: INTERNAL APPROACH - CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE (CR6) - FIRB

31.12.2019

Original on- balance sheet gross exposure

Off- balance sheet expo- sures pre CCF

Value adjust- ments and Provi- sions

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 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) 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) 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) 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) Sub-total Sub-total Sub-total

30

5

75% 46 0.02% 44.85% 2.50

0

0%

- - - - - - - -

- - - - - - -

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

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

30

5 75% 46 0.02% 44.85% 2.50 75% 4 0.03% 44.68% 2.50 0

0 1

0% - 16% 0

(0)

Institutions

4

-

-

-

-

-

-

-

-

-

0 0 0 0 0

0% 0 0.26% 45.00% 2.50 0% 0 0.50% 45.00% 2.50 0% 0 1.10% 45.00% 2.50 0% 0 3.28% 44.70% 2.50 0% 0 14.33% 45.00% 2.50 0 75% 5 0.40% 44.69% 2.50 50% 92 0.12% 42.83% 2.50 75% 99 0.16% 42.56% 2.50 75% 137 0.27% 42.68% 2.50 75% 332 0.53% 42.50% 2.50 75% 890 1.54% 42.60% 2.50 75% 792 4.37% 42.75% 2.50 75% 160 16.09% 42.72% 2.50 75% 100 100.00% 44.04% 2.50 7 7 2 0 75% 997 0.07% 44.02% 2.50 75% 3 0.16% 42.27% 2.50 75% 173 0.26% 43.90% 2.50 75% 559 0.51% 43.43% 2.50 75% 663 1.58% 43.21% 2.50 75% 650 4.49% 43.15% 2.50 75% 86 15.34% 43.37% 2.50 75% 66 100.00% 43.93% 2.50 0 1 0 - - - - -

0 0 0

53% 0 74% 0 2% 0

1 139% 0 0 232% 0

-

-

-

-

5

1 29% 0 (0)

Corporate – SME

88 94

1

2% 0 30% 0 40% 0 55% 1 78% 6

29 55

127 318 849 770 164 102

14 22 52 38

183 693

855 108% 15 250 156% 11

-

-

44

2,512

142 74% 2,603 6.79% 42.71% 2.50 2,067 79% 77 (66)

Corporate – Other

955

48

232

23% 0 26% 0 51% 0 70% 1

3

1

165 548 632 636

10 13 47 21

88

393

681 103% 5 917 141% 13 166 193% 6

86 66

-

-

29

Sub-total

3,091

140 75% 3,196 3.83% 43.54% 2.50 2,477 77% 53 (40)

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Sub-total

386

-

100% 386 0.00% 0.00% -

179 46% -

-

TOTAL

6,023

287 74% 6,237 5.12% 43.18% 2.50 4,725 76% 130 (107)

116

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |