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 – DETAIL

TABLE 42: GEOGRAPHICAL BREAKDOWN OF AVERAGE PD AND LGD

The following table presents the average PD and LGD calculated on performing exposures (EAD) subject to the Advanced Internal Ratings-Based (AIRB) approach. The geographical areas are grouped according to their significance.

31.12.2019

Sovereign

Institutions

Corporates

Retail

Average PD

Average

Average PD

Average

Average PD

Average

Average PD

Average LGD

EAD

LGD EAD

LGD EAD

LGD EAD

(In EURm)

France

73,966 0.02% 1% 22,534 0.12% 8% 89,711 1.74% 30% 137,651 1.80% 16%

Western Europe (excl.France)

44,277 0.03% 1% 14,057 0.15% 21% 67,999 1.24% 25% 12,214 2.62% 33% Eastern Europe 16,837 0.05% 6% 2,191 0.46% 24% 13,949 1.56% 29% 13,374 1.20% 25% Eastern Europe (excl. UE) 2,591 0.24% 25% 642 3.00% 33% 3,425 1.72% 23% 216 1.49% 25% North America 41,439 0.00% 0% 11,303 0.06% 21% 50,401 0.67% 25% 189 3.06% 47% Rest of the world 26,357 0.42% 20% 10,585 0.52% 32% 27,540 1.09% 25% 1,776 0.98% 21% TOTAL 205,466 0.07% 4% 61,312 0.23% 16% 253,025 1.31% 27% 165,421 1.80% 18%

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

31.12.2018

Sovereign

Institutions

Corporates

Retail

Average PD

Average

Average PD

Average

Average PD

Average

Average PD

Average LGD

EAD

LGD EAD

LGD EAD

LGD EAD

(In EURm)

France

67,922 0.00% 1% 20,551 0.09% 8% 96,481 1.64% 30% 127,332 1.95% 17%

Western Europe (excl.France)

42,403 0.04% 2% 16,314 0.22% 18% 77,807 1.34% 25% 11,545 2.80% 30% Eastern Europe 17,535 0.06% 20% 1,540 0.42% 23% 14,027 1.50% 30% 12,771 1.30% 25% Eastern Europe (excl. UE) 3,728 0.53% 25% 592 2.95% 37% 3,290 2.15% 22% 158 0.55% 25% North America 42,902 0.00% 0% 10,720 0.06% 20% 47,910 0.74% 26% 180 2.69% 46% Rest of the world 21,055 0.44% 21% 10,340 0.70% 30% 28,239 1.10% 28% 1,448 1.22% 24% TOTAL 195,546 0.07% 5% 60,056 0.26% 14% 267,754 1.33% 28% 153,435 1.95% 18%

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