Société Générale / Risk Report - Pillar III

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6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

BREAKDOWN COUNTERPARTY RISK – DETAIL

TABLE 63: IRB COUNTERPARTY CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR4) The table below presents Group exposures subject to counterparty credit risk and for which an internal model is used with a view to calculating RWA. In accordance with the EBA’s recommendations, CVA charges and exposures cleared through a CCP have been excluded.

31.12.2019

Average maturity

RWA density

(In EURm)

PD scale EAD post CRM Average PD Average LGD

RWA

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) 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 Sub-total

22,651

0.00%

2.59% 1.21

109 0.48%

18 30

0.26% 0.50% 1.10% 4.61%

39.33% 1.31 45.00% 3.95 20.24% 0.89 45.00% 1.21

6 35.91% 27 91.72% 73 36.35% 87 157.63%

201

- -

22,954 17,019

0.03% 0.04%

2.91% 1.21 24.20% 1.53

302 1.32% 1,517 8.91%

Institutions

1,203

0.26% 0.50% 1.75% 4.06% 12.80% 100.00% 0.20% 0.10% 0.20% 0.26% 0.51% 1.47% 6.29% 19.18% 100.00%

27.90% 1.66 38.81% 1.78 40.21% 1.56 30.80% 1.36 23.81% 1.06 35.00% 2.88 30.79% 3.58 11.72% 4.98 30.28% 1.74 34.16% 2.63 34.82% 2.40 31.12% 3.67 35.09% 2.03 38.47% 1.68 27.74% 3.55 30.00% 3.75 10.24% 4.13 10.00% 4.22 9.25% 2.37 9.87% 1.71 - -

375 31.17% 293 64.28% 450 73.20% 168 102.86% 71 185.34% 19 437.50% 10 18.12% 14 18.22% 3 23.98% 16 47.61% 36 67.80% 113 97.16% 12 145.12% 5 250.30% 208 58.13% 57 28.15% 4 16.06% 11 21.13% 113 23.37% 135 29.85% - -

455 615 163

19,498

25.86% 1.55 2,893 14.84%

Corporate – SME

55 79 11 34 53

116

8 2

358 203

3.30% 0.07%

Corporate – Specialised lending

27 50

0.26% 0.50% 1.86% 3.90%

483 451

- -

1,214 30,744

2.23% 0.05%

13.00% 2.47 33.36% 1.36

319 26.32% 3,634 11.82%

Corporate – Other

3,574 3,106 2,775 1,948

0.26% 0.50% 1.48% 4.31% 13.86% 100.00%

29.54% 2.48 25.64% 2.33 28.50% 2.42 31.89% 1.60 32.68% 1.68 29.43% 3.20

1,141 31.94% 1,180 37.98% 1,890 68.11% 1,910 98.06% 143 156.49% 211 196.79%

107

Sub-total

42,345

0.67%

31.93% 1.61 10,110 23.87%

135

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020

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