Société Générale / Risk Report - Pillar III

16 APPENDIX

INDEX OF THE TABLES IN THE RISK REPORT

6 6

32 33

Credit quality of forborne exposures

90 91

Template 1 NPL Template 3 NPL

Credit quality of performing and non-performing exposures by past due days Performing and non-performing exposures and related provisions Quality of non-performing exposures by geography Credit quality of loans and advances by industry sector Changes in the stock of defaulted and impaired loans and debt securities Collateral obtained by taking possession and execution processes Global credit risk exposure, EAD and RWA by approach and exposure class Retail credit risk exposure, EAD and RWA by approach and exposure class Exposure classes Exposure treated under Standardised approach by exposure class and external rating Credit risk exposure, EAD and RWA by approach and exposure class Credit quality of exposures by exposure class and intrument Standardised approach - Credit risk exposure and credit risk mitigation effects (CRM) Internal approach - Credit risk exposures by exposure class and PD range - AIRB Internal approach - Credit risk exposures by exposure class and PD range - FIRB Credit risk in Standardised approach - EAD distributed by Risk Weight Net exposures by exposure class Geographical breakdown of average PD and LGD Corporate portfolio's EAD by industry sector EAD by geographic region and main countries and by exposure class Retail EAD by geographic region and main countries

6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6

34 35 36 37 38 39 40 42 43 44 45 46 47 48 49 50 41

92 93 94 95 95 96 97

Template 4 NPL Template 5 NPL Template 6 NPL

CR2-B

Template 9 NPL

98

99

100 102 104 105 107 108 109 110

CR1-A CRB-B

CR4

6

51

112

CR6

6

52

116

CR6

6 6 6 6 6 6 6 6

53 54 55 56 57 58 59 60

118 120 124 128 129 130 132 133

CR5

Geographical breakdown ot net exposures

CRB-C CRB-D CRB-E

Concentration of exposures by industry or counterparty type

Maturity of exposures

Credit risk mitigation techniques - Overview

CR3 CR7

Impact of credit risk derivatives used as CRM techniques on RWA - IRB

Specialised lending and equities - Internal approach

CR10

RWA and capital requirements flow statements of credit risk exposures under IRB approach

CR8

6 6

61 62

Changes in credit risk adjustments

133 134

CR2-A

22

Counterparty credit risk exposure, EAD and RWA by approach and exposure class IRB counterparty credit risk exposures by exposure class and PD scale Counterparty credit risk in Standardised approach - EAD distributed by Risk Weight Counterparty credit risk EAD by geographic region and main countries

203

6 6

63 64

135 138

CCR4 CCR3

6

65

140

6 6 6 6 6 6 6

66 67 68 69 70 71 72

23 24

Analysis of counterparty credit risk exposure by approach EAD and RWA towards central counterparties (CCP)

140 141 142 143 143 143 144

204 204

CCR1 CCR8 CCR6

Credit derivatives exposures

Credit derivatives exposures - Protections bought

Impact of netting and collateral held on exposure values Breakdown of collateral for counterparty credit risk exposures RWA and capital requirements flow statements of counterparty credit risk exposures under IRB approach Exposure and RWA relating to Credit Valuation Adjustement (CVA) Breakdown of trading derivative instruments commitments (notional) - Prudential scope Amounts of securitised exposures by type of underlying assets Amounts of securitised exposures that are past due or impaired by type of underlying assets

CCR5-A CCR5-B

25

205 206

27

CCR7

6 6

73 74

26

144 145

205

CCR2

7 7

75 76

152 153

7

77

Assets awaiting securitisation by type of underlying assets

154

230

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |