Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

31.12.2019

Average maturity

RWA density

(In EURm)

PD scale EAD post CRM Average PD Average LGD

RWA

Retail – Other non – SME

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)

11

0.03% 0.20% 0.34% 0.53%

12.30% 5.00 11.50% 5.00 46.00% 5.00 28.75% 5.00

0 1.29% 9 4.94% 0 27.90% 0 22.64%

177

1 0

- - - -

- - - -

- - - -

- - - -

- - - -

- - - -

Sub-total Sub-total

189

0.19%

11.79% 5.00

9 4.90%

SECURITISATION POSITIONS

9

-

-

0.00%

TOTAL

86,567

0.43%

21.15% 1.52 13,841 15.99%

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

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) Sub-total Sub-total

16,916

0.02%

12.04% 1.29

285 1.68%

-

-

-

-

-

-

174

0.26% 0.50% 1.10% 7.54%

44.70% 1.00 45.00% 2.45 21.54% 0.98 45.00% 1.89

65 37.12% 46 73.25% 115 39.18% 152 176.36%

62

293

86

- -

- -

- -

- -

- -

- -

17,532 16,708

0.07% 0.04%

12.80% 1.29 23.38% 1.72

662 3.77% 1,600 9.58%

Institutions

-

-

-

-

-

-

1,646

0.26% 0.50% 1.34% 4.31% 15.83% 0.29% 0.10% 0.16% 0.26% 0.50% 1.55% 3.71% 15.75% 100.00% -

31.17% 1.89 43.99% 1.89 38.82% 1.47 40.60% 1.25 19.43% 1.30 27.98% 3.08 8.14% 5.00 31.48% 1.44 31.51% 2.37 32.29% 2.07 36.25% 1.35 35.11% 1.85 37.67% 2.17 27.52% 2.60 - -

630 38.29% 292 68.71% 802 91.65% 199 131.01% 302 181.44% 7 19.82% 11 11.60% 6 22.92% 15 38.76% 37 61.04% 109 82.96% 14 141.66% 13 296.72% 211 53.11% - -

426 875 152 167

-

19,974

25.23% 1.72 3,826 19.16%

Corporate – SME

34 94 24 39 60

132

10

4

Sub-total

398

3.04%

136

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |