Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION

TABLE 30: GEOGRAPHIC BREAKDOWN OF GROUP CREDIT RISK EXPOSURES ON TOP FIVE COUNTRIES BY EXPOSURE CLASS (IN%)

France Czech Republic 2019 2018 2019 2018 2019 2018 2019 2018 2019 2018 United States United Kingdom Germany

Sovereign

19% 18% 33% 33% 14% 10% 17% 15% 29% 30%

Institutions

9% 8% 16% 18% 27% 29% 18% 21% 4% 3%

Corporates

27% 31% 38% 38% 37% 45% 27% 31% 30% 32%

Retail Other

37% 36% 0% 0% 10% 6% 22% 21% 35% 33% 8% 7% 13% 11% 12% 10% 16% 12% 2% 2%

Change in risk-weighted assets (RWA) and capital requirements for credit and counterparty risks TABLE 31: CHANGES IN RWA BY METHOD ON OVERALL CREDIT RISK (CREDIT AND COUNTERPARTY)

Capital requirements - IRB

Capital requirements - Standard

Capital requirements - total

RWA - Standard RWA - Total

RWA - IRB

(In EURm)

RWA as at end of previous reporting period (31.12.2018)

181,651

116,167

297,818

14,532

9,293

23,825

Asset size

(3,375)

740 132

(2,636)

(270)

59 11

(211)

Asset quality

(242)

(110)

(19)

(9)

Model updates

22

-

22

2

-

2

Methodology and policy

(4,091)

(1,588)

(5,679)

(327)

(127) (976)

(454)

Acquisitions and disposals

(432)

(12,197)

(12,628)

(35)

(1,010)

Foreign exchange movements

1,074

1,348

2,421

86 60

108

194

Other

752

(52)

700

(4)

56

RWA AS AT END OF REPORTING PERIOD (31.12.2019)

175,359

104,549

279,908

14,029

8,364

22,393

The table above presents the data without CVA (Credit Valuation Adjustment). The main effects explaining the EUR 17.9 billion decrease in RWA (excluding CVA) in 2019 are as follows: a decrease of EUR -2.6 billion related to the activity: decreasing p Global Banking activity (EUR -4.5 billion), partially offset by an increase of EUR +2.3 billion) in the French network; a change in the prudential scope of EUR -12.6 billion related to the p several disposals of entities operated in 2019; a foreign exchange effect (EUR +2.4 billion), mainly related to the p appreciation of the US dollar against the euro (EUR +0.9 billion) as well as that of the Russian rouble against the euro (EUR +0.7 billion). The effects are defined as follows: Asset size: organic changes in book size and composition (including p the creation of new business lines and maturing loans) but excluding changes due to acquisitions and disposals of entities;

Asset quality: changes in the quality of the Bank’s assets due to p changes in borrower risk, such as rating grade migration or similar effects; Model updates: changes due to model implementation, changes in p model scope or any changes intended to address model weaknesses; Methodology and policy: changes due to methodological changes in p calculations driven by regulatory changes, including both revisions to existing regulations and new regulations; Acquisitions and disposals: changes in book size due to acquisitions p and disposals of entities; Foreign exchange movements: changes arising from market p fluctuations, such as foreign currency translation movements; Other: this category is used to capture changes that cannot be p attributed to any other categories.

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PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |