Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION

QUANTITATIVE INFORMATION 6.6

The measurement used for credit exposures in this section is EAD – Exposure At Default (on- and off-balance sheet). Under the Standardised approach, EAD is calculated net of collateral and provisions. EAD is broken down according to the guarantor’s characteristics, after taking into account the substitution effect (unless otherwise indicated). The presentation of the data, applied since last year, is in line with the guidelines on prudential disclosure requirements published by the

European Banking Authority (EBA) in December 2016 (document EBA/GL/2016/11). This presentation highlights the exposure classes as defined in the portfolios of the COREP regulatory financial statements, in relation to EBA requirements on Pillar 3. More information available in sections 6.7 "Additional quantitative information on global credit risk (credit and counterparty risk)", 6.8 "Credit risk detail" and 6.9 "Counterparty risk detail" of this document.

Credit risk exposure At 31 December 2019, the Group’s Exposure at Default (EAD) amounted to EUR 918 billion.

CREDIT RISK EXPOSURE BY EXPOSURE CLASS (EAD) AT 31 DECEMBER 2019 On- and off-balance sheet exposures (EUR 918 billion in EAD)

CREDIT RISK EXPOSURE BY EXPOSURE CLASS (EAD) AT 31 DECEMBER 2018 On- and off-balance sheet exposures (EUR 920 billion in EAD).

Others

Others

Sovereign

Sovereign

9%

10%

23%

22%

Retail

Retail

21%

22%

12%

12%

Institutions

Institutions

33%

36%

Corporates

Corporates

* Institutions: Basel classification bank and public sector portfolios.

RETAIL CREDIT RISK EXPOSURE BY EXPOSURE SUBCLASS (EAD) AT 31 DECEMBER 2019 On- and off-balance sheet exposures (EUR 203 billion in EAD)

RETAIL CREDIT RISK EXPOSURE BY EXPOSURE SUBCLASS (EAD) AT 31 DECEMBER 2018 On- and off-balance sheet exposures (EUR 189 billion in EAD)

Other - small entities or self employed

Other - small entities or self employed

16%

15%

53%

28%

26%

54%

Other credits to individuals

Other credits to individuals

Residential mortgages

Residential mortgages

4%

4%

Revolving credits

Revolving credits

84

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |