Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 118 (In EURm) 31.12.2020 PD scale Original on- balance sheet gross exposure Off- balance sheet exposures pre CCF Average CCF EAD post CRM and post-CCF Average PD Average LGD Average maturity RWA RWA density EL Value adjust- ments and Provi- sions Retail – Secured by real estate non-SME 0.00 to <0.15 28,108 1,100 100% 29,795 0.06% 13.81% 2,102 7% 3 0.15 to <0.25 24,934 653 89% 25,500 0.22% 14.41% 1,646 6% 8 0.25 to <0.50 8,066 235 73% 8,128 0.41% 17.42% 1,014 12% 6 0.50 to <0.75 11,883 437 84% 12,673 0.62% 10.64% 1,263 10% 8 0.75 to <2.50 20,746 691 85% 20,843 1.45% 10.35% 3,547 17% 28 2.50 to <10.00 6,427 129 93% 6,530 4.80% 12.37% 2,607 40% 36 10.00 to <100.00 998 16 99% 1,010 18.16% 9.55% 546 54% 19 100.00 (default) 1,379 3 83% 783 100.00% 40.96% 1,569 200% 253 Subtotal 102,540 3,265 90% 105,261 1.68% 13.24% 14,294 14% 361 (351) Retail – Qualifying revolving 0.00 to <0.15 77 1,153 38% 618 0.10% 42.83% 19 3% 0 0.15 to <0.25 251 40% 100 0.23% 35.31% 4 4% 0 0.25 to <0.50 91 195 38% 313 0.41% 48.36% 31 10% 1 0.50 to <0.75 106 555 36% 307 0.60% 35.90% 30 10% 1 0.75 to <2.50 353 497 37% 760 1.47% 43.37% 174 23% 5 2.50 to <10.00 656 253 37% 1,236 4.78% 45.23% 803 65% 27 10.00 to <100.00 365 29 37% 430 21.45% 42.73% 466 108% 38 100.00 (default) 300 7 7% 300 100.00% 64.59% 213 71% 182 Subtotal 1,948 2,940 37% 4,064 11.48% 44.97% 1,740 43% 253 (235) Retail – Other SME 0.00 to <0.15 85 7 16% 89 0.06% 14.59% 184 207% 0 0.15 to <0.25 16 7 6% 17 0.23% 29.09% 2 11% 0 0.25 to <0.50 3,125 438 39% 3,296 0.38% 18.30% 298 9% 2 0.50 to <0.75 2,989 29 73% 2,969 0.57% 19.54% 363 12% 3 0.75 to <2.50 9,338 524 52% 9,618 1.45% 22.97% 2,069 22% 33 2.50 to <10.00 4,183 202 55% 4,304 4.87% 24.73% 1,648 38% 53 10.00 to <100.00 1,008 109 54% 1,089 20.09% 26.92% 496 46% 58 100.00 (default) 1,472 13 9% 1,469 100.00% 41.78% 595 41% 819 Subtotal 22,215 1,330 48% 22,850 9.04% 23.55% 5,654 25% 968 (1,007) Retail – Other non – SME 0.00 to <0.15 1,698 165 23% 1,738 0.09% 17.52% 89 5% 0 0.15 to <0.25 6,678 981 99% 6,717 0.20% 13.69% 384 6% 2 0.25 to <0.50 4,562 548 90% 5,015 0.38% 31.13% 984 20% 6 0.50 to <0.75 1,414 98 99% 2,453 0.62% 36.21% 759 31% 6 0.75 to <2.50 7,924 370 82% 8,205 1.37% 33.17% 3,253 40% 38 2.50 to <10.00 5,490 241 78% 5,676 4.24% 34.16% 3,081 54% 83 10.00 to <100.00 1,241 20 90% 1,257 24.90% 34.52% 993 79% 103 100.00 (default) 1,825 10 72% 1,829 100.00% 47.73% 400 22% 1,044 Subtotal 30,832 2,433 88% 32,891 7.74% 29.31% 9,943 30% 1,281 (1,302) SPECIALISED LENDING SLOTTING CRITERIA Subtotal 690 2,101 1,442 795 55% 13 (5) OTHER NON CREDIT-OBLIGATION ASSETS Subtotal 830 830 115 14% 7 - SECURITISATION POSITIONS Subtotal 14,836 19,705 34,241 5,184 15% 0 - EQUITY Subtotal 6,274 6,274 21,942 350% 132 - TOTAL 617,207 217,297 44% 726,625 2.37% 15.11% 1.85 163,428 22% 6,925 (7,312)