Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON b GLOBAL CREDIT RISK (CREDIT b AND b COUNTERPARTY RISK)

BREAKDOWN OF GLOBAL CREDIT RISK – OVERVIEW The Group’s Exposure At Default (EAD) decreased by EUR 2 billion between 31 December 2018 and 2019 (EUR 918 billion in 2019 against EUR 920 billion in 2018). By exposure class, the variation can be broken down as follows: Sovereigns: increase of EUR 8 billion, mostly relating to exposures to p central banks; Institutions: decrease of EUR 8 billion, especially on Global Banking p and Investor Solutions (GBIS);

Corporates: decrease of EUR 28 billion, mainly on French Retail p Banking (RBDF) and International Banking and Financial Services (IBFS); Retail: increase of EUR 14 billion, of which EUR 10 billion on mortage p loans in France; Others: increase of EUR 12 billion, mainly on securitisation. p

TABLE 40: GLOBAL CREDIT RISK EXPOSURE, EAD AND RWA BY APPROACH AND EXPOSURE CLASS

31.12.2019 Global portfolio

Average (1)

IRB approach

Standardised approach

Total

(In EURm)

Exposure Class

Exposure

EAD RWA Exposure

EAD RWA Exposure

EAD RWA Exposure RWA

Sovereign

193,948 205,582 5,698

8,373 8,497 7,980 202,321 214,079 13,678 203,040 14,161

Institutions

69,465 61,876 7,205 42,257 44,888 3,992 111,721 106,764 11,196 118,435 11,856

Corporates

365,942 265,515 103,431 57,800 37,199 34,107 423,741 302,714 137,538 432,234 147,243

171,615 170,549 35,248 46,759 32,900 22,383 218,374 203,449 57,631 213,793 57,150

Retail

Others

36,765 36,532 23,778 59,155 54,626 36,087 95,920 91,157 59,865 91,276 56,992

TOTAL 837,734 740,054 175,359 214,343 178,110 104,549 1,052,077 918,164 279,908 1,058,779 287,402 The average exposure and RWA are determined by aggregating the total gross exposure and RWA at the end of the last four quarters and dividing the result by 4. (1)

The table as at 31 December 2018 has been modified as follows:

31.12.2018 Global portfolio

Average (1)

IRB approach

Standardised approach

Total

(In EURm)

Exposure Class

Exposure

EAD RWA Exposure

EAD RWA Exposure

EAD RWA Exposure

RWA

Sovereign

183,790 195,661 6,482 10,308 10,335 8,426 194,098 205,996 14,908 191,400 65,757 60,090 8,001 49,785 55,078 5,128 115,542 115,168 13,128 120,349 374,826 280,366 116,523 68,302 50,402 47,256 443,128 330,769 163,780 426,044 158,484 14,807 13,664 159,822 159,144 33,430 41,722 29,964 20,634 201,544 189,108 54,064 200,113 27,425 27,408 17,215 56,391 51,409 34,723 83,816 78,817 51,937 78,697 54,535 50,974

Institutions

Corporates

Retail

Others

TOTAL 811,619 722,670 181,651 226,509 197,188 116,167 1,038,128 919,858 297,818 1,016,603 292,465 The average exposure and RWA are determined by aggregating the total gross exposure and RWA at the end of the last four quarters and dividing the result by 4. (1) The tables display amounts excluding CVA (Credit Valuation Adjustment) which represents EUR 2.6 billion as at 31 December 2019 (vs. EUR 4.9 billion as at 31 December 2018). The exposures towards Multilateral Development Banks have been reclassified from Institutions to Sovereign.

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