Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK RISK MEASUREMENT AND INTERNAL RATINGS

TABLE 29: COMPARISON OF RISK PARAMETERS: ESTIMATED AND ACTUAL LGD AND EAD VALUES – RETAIL CLIENTS

31.12.2019 Estimated LGD (1) Actual LGD excluding safety margin

Actual EAD (2) /estimated EAD

Basel portfolio

Real estate loans (excl. guaranteed exposures)

18%

12%

-

Revolving credits

46%

39%

73%

Other loans to individual customers

26% 28%

21% 22%

-

VSB and professionals

76%

TOTAL GROUP RETAIL CLIENTS (1)

25%

19%

74%

The changes in the portfolio "Other loans to individual customers" and "VSB and professionals" are explained by a change in scope.

31.12.2018 Estimated LGD (1) Actual LGD excluding safety margin

Actual EAD (2) /estimated EAD

Basel portfolio

Real estate loans (excl. guaranteed exposures)

18% 45% 28% 26%

12% 39% 22% 21%

-

73%

Revolving credits

Other loans to individual customers

-

VSB and professionals

77%

TOTAL GROUP RETAIL CLIENTS (1)

25%

19%

74%

82

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |