Société Générale / Risk Report - Pillar III

16 APPENDIX

MAPPING TABLE OF EXPOSURE CLASSES

MAPPING TABLE OF EXPOSURE CLASSES 16.3

As part of the presentation of credit risk data, the table below shows the link between the synthetic presentations of certain tables and the exposure classes detailed in the tables requested by the EBA in the context of the revision of Pillar 3.

Method

COREP exposure class

Pillar 3 exposure class

AIRB AIRB AIRB AIRB AIRB AIRB AIRB AIRB AIRB AIRB AIRB AIRB FIRB FIRB FIRB FIRB FIRB

Central governments and central banks

Sovereigns Institutions Corporates Corporates Corporates

Institutions

Corporate - SME

Corporate - Specialised lending

Corporate - Other

Retail - Secured by real estate SME Retail - Secured by real estate non-SME

Retail Retail Retail Retail Retail Others Others

Retail - Qualifying revolving

Retail - Other SME

Retail - Other non-SME

Other non credit-obligation assets

Default funds contributions

Central governments and central banks

Sovereigns Institutions Corporates Corporates Corporates Sovereigns Institutions Institutions Sovereigns Sovereigns Institutions Corporates Others Others

Institutions

Corporate - SME

Corporate - Specialised lending

Corporate - Other Equity Exposures

IRB IRB

Securitisation

Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised Standardised

Central governments or central banks Regional governments or local authorities

Public sector entities

Multilateral development banks

International organisations

Institutions Corporates

Retail

Retail

Secured by mortgages on immovable property

Others Others Others Others Others Others Others Others Others Others

Exposures in default

Items associated with particularly high risk

Covered bonds

Claims on institutions and corporate with a short-term credit assessment

Claims in the form of CIU

Equity Exposures

Other items

Default funds contributions

Securitisation

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PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |