Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION

Corporate and bank counterparty exposure BREAKDOWN OF RISK BY INTERNAL RATING FOR CORPORATE CLIENTS AT 31 DECEMBER 2019 (AS %OF EAD)

BREAKDOWN OF RISK BY INTERNAL RATING FOR CORPORATE CLIENTS AT 31 DECEMBER 2018 (AS %OF EAD)

50%

50%

40%

40%

30%

30%

20%

20%

10%

10%

0%

0%

AAA AA A BBB BB B

AAA AA A BBB BB B

Regarding corporate clients, the scope consists of performing loans recorded under the IRB method (excluding prudential classification criteria, by weight, of specialised financing) over the entire corporate clients portfolio, all divisions combined, and represents a EUR 259 billion EAD (out of a EUR 296 billion total EAD for the Corporate Basel portfolio, Standardised method included). The rating breakdown of Societe Generale Group’s corporate counterparty exposure reveals the sound quality of the portfolio. It is based on an internal counterparty rating system, displayed above as its Standard & Poor’s equivalent.

As at 31 December 2019, the majority of the portfolio had an Investment Grade rating, i.e. counterparties with an S&P-equivalent internal rating higher than BBB- (63% of Corporate clients). Transactions with non-Investment Grade counterparties were very often backed by guarantees and collaterals in order to mitigate the risk incurred.

BREAKDOWN OF RISK BY INTERNAL RATING FOR BANKING CLIENTS AT 31 DECEMBER 2019 (AS %OF EAD)

BREAKDOWN OF RISK BY INTERNAL RATING FOR BANKING CLIENTS AT 31 DECEMBER 2018 (AS %OF EAD)

50%

50%

40%

40%

30%

30%

20%

20%

10%

10%

0%

0%

AAA AA A BBB BB B

AA A BBB BB B

Regarding banking clients, the scope consists of performing loans recorded under the IRB method over the entire banking clients portfolio, all divisions combined, and represents a EUR 62 billion EAD (out of a EUR 107 billion total EAD for the Bank Basel portfolio, Standardised method included). The rating breakdown of Societe Generale Group’s banking counterparty exposure reveals the sound

quality of the portfolio. It is based on an internal counterparty rating system, displayed above as its Standard & Poor’s equivalent. As at 31 Dcecember 2019, exposure on banking clients was concentrated on Investment Grade counterparties (94% of the exposure) and in developed countries (89%).

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PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |