Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL

The table as at 31 December 2018 has been modified as follows to take into account the integration of default for each exposure class (probability of default equal to 100%):

31.12.2018

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

28

2

75% 40 0.01% 44.86% 2.50

0

0%

- - - - - - - -

- - - - - - -

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

- - - - - - -

-

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

- - - - - - -

0 0 0 0 0 0

28

2 75% 40 0.01% 44.86% 2.50 0% 3 0.03% 44.37% 2.50

0 1

0% - 16% 0

-

Institutions

3

-

-

-

-

-

-

-

-

-

0 0 0 1

0% 0 0.26% 45.00% 2.50 0% 0 0.50% 45.00% 2.50 0% 0 1.24% 43.97% 2.50 0% 1 3.31% 44.47% 2.50

0 0 0

69% 0 74% 0 22% 0

1 142% 0

- -

- -

- -

- -

- -

- -

- -

- -

- -

5

0% 5 0.54% 44.40% 2.50 68% 131 0.12% 42.65% 2.50

2 35% 0

(0)

Corporate – SME

121

13

32

25% 0

-

-

-

-

-

-

-

-

-

-

100 304 978 698 138

7

75% 104 0.26% 42.69% 2.50 75% 321 0.50% 42.64% 2.50 75% 1,025 1.58% 42.64% 2.50 75% 717 4.41% 42.80% 2.50 75% 135 15.09% 42.70% 2.50 75% 96 100.00% 44.04% 2.50

41

39% 0 51% 1 79% 7

27 61 34

163 807

780 109% 14 213 158% 9

1 0

98

-

-

42

2,437

142 74% 2,530 6.56% 42.74% 2.50 2,036 81% 72 (64)

Corporate – Other

809

80

75% 880 0.07% 43.99% 2.50

220

25% 0

-

-

-

-

-

-

-

-

-

-

169 442 733 504

5

75% 173 0.26% 44.00% 2.50 75% 453 0.50% 43.40% 2.50 75% 752 1.58% 43.16% 2.50 75% 514 4.37% 43.11% 2.50 75% 59 15.00% 42.91% 2.50 0% 71 100.00% 44.05% 2.50

90

52% 0 71% 1

12 37 14

323

808 107% 5 746 145% 10 129 218% 4

60 72

1

-

-

-

31

Sub-total

2,788

149 75% 2,902 4.07% 43.51% 2.50 2,316 80% 52 (45)

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Sub-total

474

26 100% 492 0.00% 0.00% -

234 48% -

(0)

TOTAL

5,731

320 69% 5,968 5.19% 43.16% 2.50 4,588 77% 124 (109)

117

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020