Société Générale / Risk Report - Pillar III

6

CREDIT AND COUNTERPARTY CREDIT RISK

Distribution of credit risk RWA by core business At end 2019: EUR 345bn (EUR 376bn at end 2018) |

Corporate Center

French Retail Banking

4%

28%

INBRIEF

Global Banking and Investor Solutions

34%

Credit risk corresponds to the risk of losses arising from the inability of the Group’s customers, issuers or other counterparties to meet their financial commitments. Credit risk includes the counterparty risk linked to market transactions and securitisation activities and may be further amplified by individual, country and sector concentration risk. This section describes the Group’s risk profile. It focuses on regulatory indicators, including Exposure at Default (EAD) and Risk-Weighted Assets (RWA). The risk profile is analysed through several axes (countries, sectors, probabilty of default, residual maturities, etc.).

International Retail Banking and Financial Services

33%

Geographical distribution of credit risk EAD At end 2019: EUR 918bn (EUR 920bn at end 2018) |

Africa and Middle East Asia Pacific

Latin America and Caribbean

1%

4%

6%

North America

14%

France

Eastern Europe (excl. EU)

2%

45%

6%

Eastern Europe EU

22%

Western Europe (excl. France)

Credit risk RWA at end 2019: 282.5 bn EUR (Credit risk RWA at end 2018: 302.7 bn EUR)

Distributionof credit riskEADby exposure class Credit risk exposure (EAD) at end 2019: EUR 918bn (EUR 920bn at end 2018) |

Others

Sovereign

EAD calculated in IRB (% of total credit risk): 81 %

10%

23%

Retail

22%

12%

Institutions

33%

Corporates

65

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020