Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

31.12.2018

Average maturity

RWA density

(In EURm)

PD scale EAD post CRM Average PD Average LGD

RWA

Corporate – Specialised lending

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

100

0.04%

3.56

16 16.03%

-

-

-

-

-

-

30

0.26% 0.50% 1.63% 3.82%

10.17% 4.21 12.54% 1.00 12.21% 2.67 10.37% 1.12

5 16.11% 23 15.43% 167 33.09% 105 26.00%

146 504 403

- -

- -

- -

- -

- -

- -

1,183 31,388

2.07% 0.05%

11.51% 2.05 32.93% 1.60

315 26.63% 4,414 14.06%

Corporate – Other

-

-

-

-

-

-

3,935 4,765 3,493 2,322

0.26% 0.50% 1.40% 4.31% 14.60% 100.00%

31.34% 2.13 21.57% 1.89 27.28% 2.18 31.34% 1.70 37.51% 1.80 26.64% 3.69 7.08% 4.97 7.65% 5.00 46.00% 1.07

1,197 30.42% 1,438 30.17% 2,122 60.74% 2,278 98.10% 323 177.90% 221 179.80%

182 123

46,208

0.75% 0.03% 0.16% 0.34%

30.90% 1.73 11,992 25.95%

Retail – Other non – SME

7

0 0.74% 5 2.82% 28 27.90%

161 100

-

-

-

-

-

-

119

1.23%

19.55% 1.00

27 22.92%

-

-

-

-

-

-

2

24.71%

24.00% 5.00

1 61.40%

-

-

-

-

-

-

Sub-total Sub-total

388

0.63%

21.19% 2.77

61 15.60% 0 2.00%

SECURITISATION POSITIONS

7

-

TOTAL

85,690

0.53%

25.18% 1.65 17,067 19.92%

137

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020