Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 112 ADDITIONAL QUANTITATIVE INFORMATION 6.7 ON CREDIT RISK DEFINITION OF REGULATORY METRICS The main metrics used in the following tables are: Exposure: defined as all assets ( e.g. loans, receivables, accruals, etc.) p associated with market or customer transactions, recorded on and off-balance sheet; Net exposure: corresponds to initial exposure on a net basis, net of p provisions; collateral. Under the Standardised method, EADs are presented net of specific provisions and financial collateral; EAD (Exposure At Default) is defined as the bank’s exposure (on- and p off-balance sheet) in the event of a counterparty's default. Unless otherwise specifically indicated to the contrary, the EAD is reported post-CRM (Credit Risk Mitigation), after factoring in guarantees and Risk-Weighted Assets (RWA): are computed from the exposures and p the associated level of risk, which depends on the debtors’ credit quality; Expected Loss (EL): potential loss incurred, given the quality of the p structuring of a transaction and any risk mitigation measures such as collateral. Under the AIRB method, the following equation summarises the relation between these variables: EL = EAD x PD x LGD (except for defaulted exposures). BREAKDOWN OF CREDIT RISK – OVERVIEW TABLE 52: CREDIT RISK EXPOSURE, EAD AND RWA BY APPROACH AND EXPOSURE CLASS (In EURm) 31.12.2020 IRB approach Standardised approach Total Exposure class Exposure EAD RWA Exposure EAD RWA Exposure EAD RWA Sovereign 238,278 259,525 6,035 9,884 11,795 7,965 248,162 271,320 14,000 Institutions 50,071 42,174 4,260 14,400 20,213 3,267 64,472 62,386 7,526 Corporates 336,718 218,170 97,642 47,472 30,320 27,815 384,190 248,490 125,456 Retail 173,480 171,042 32,667 47,489 30,688 20,413 220,969 201,730 53,081 Others 41,646 41,345 27,241 56,393 52,079 33,612 98,039 93,425 60,853 TOTAL 840,192 732,255 167,845 175,638 145,095 93,072 1,015,831 877,351 260,917 The table as at 31 December 2019 has been modified as follows in order to exclude risk exposures related to contributions to the default funds of central counterparties (EUR 1.1 billion of RWA as at 31 December 2019): (In EURm) 31.12.2019 IRB approach Standardised approach Total Exposure class Exposure EAD RWA Exposure EAD RWA Exposure EAD RWA Sovereign 171,106 182,628 5,396 8,370 8,495 7,980 179,476 191,123 13,376 Institutions 49,459 41,870 4,304 13,047 15,679 2,957 62,506 57,549 7,260 Corporates 321,911 221,595 92,792 56,758 36,158 33,280 378,669 257,753 126,072 Retail 171,426 170,360 35,238 46,758 32,899 22,382 218,184 203,259 57,621 Others 36,756 36,522 23,778 55,194 50,665 34,820 91,950 87,188 58,598 TOTAL 750,657 652,977 161,507 180,127 143,895 101,420 930,785 796,871 262,928