Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK RISK MEASUREMENT AND INTERNAL RATINGS

TABLE 26: COMPARISON OF RISK PARAMETERS: ESTIMATED AND ACTUAL LGD VALUES – WHOLESALE CLIENTS

31.12.2019

Actual LGD excluding safety margin

Estimated LGD (1)

Basel portfolio

Large corporates

34% 39%

33% 27%

Small- and medium-sized enterprises

Senior unsecured LGD (1)

31.12.2018 (2)

Actual LGD excluding safety margin

Estimated LGD (1)

Basel portfolio

Large corporates

34% 40%

32% 29%

Small- and medium-sized enterprises

Senior unsecured LGD (1) A new segmentation of "Corporates" LGD was used: pro forma performed on 2018 data (2)

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