Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 119 (In EURm) 31.12.2019 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 Central governments and central banks 0.00 to <0.15 147,518 1,692 64% 173,727 0.01% 3.22% 1.50 1,742 1% 3 0.15 to <0.25 - - - - - 0.25 to <0.50 1,618 23 75% 3,174 0.26% 16.07% 2.93 681 21% 1 0.50 to <0.75 13,998 - 2,307 0.50% 30.02% 1.61 1,084 47% 3 0.75 to <2.50 1,946 877 75% 2,042 1.79% 24.64% 2.65 996 49% 9 2.50 to <10.00 1,854 722 67% 1,025 4.40% 18.22% 3.12 649 63% 9 10.00 to <100.00 297 410 50% 237 11.78% 19.73% 1.94 222 94% 6 100.00 (default) 115 0 75% 70 100.00% 77.99% 1.49 21 30% 61 Subtotal 167,346 3,724 66% 182,582 0.12% 4.15% 1.55 5,396 3% 93 (70) Institutions 0.00 to <0.15 25,538 8,090 62% 37,548 0.04% 12.72% 2.46 2,111 6% 3 0.15 to <0.25 - - - - - 0.25 to <0.50 509 636 60% 922 0.26% 24.66% 1.97 229 25% 1 0.50 to <0.75 6,093 1,608 8% 732 0.50% 32.32% 1.66 321 44% 1 0.75 to <2.50 3,656 967 53% 1,682 1.50% 19.00% 1.59 822 49% 5 2.50 to <10.00 1,248 602 33% 764 4.03% 24.64% 1.21 578 76% 7 10.00 to <100.00 245 214 38% 170 15.20% 11.79% 1.27 191 113% 6 100.00 (default) 47 0 89% 46 100.00% 29.09% 4.23 49 106% 13 Subtotal 37,336 12,116 52% 41,864 0.36% 14.01% 2.37 4,302 10% 35 (62) Corporate – SME 0.00 to <0.15 752 590 52% 1,274 0.09% 35.87% 2.47 236 19% 2 0.15 to <0.25 3,358 500 93% 3,872 0.20% 12.36% 1.05 285 7% 1 0.25 to <0.50 1,383 773 49% 1,775 0.28% 37.03% 2.16 614 35% 2 0.50 to <0.75 3,836 1,006 48% 3,169 0.51% 33.22% 2.43 1,365 43% 5 0.75 to <2.50 9,948 2,421 46% 11,174 1.48% 27.76% 3.34 6,544 59% 47 2.50 to <10.00 7,947 1,221 58% 8,876 4.56% 30.24% 2.48 7,055 79% 121 10.00 to <100.00 2,349 204 48% 2,500 17.14% 27.01% 2.35 2,558 102% 113 100.00 (default) 1,408 167 40% 1,459 100.00% 38.99% 2.04 1,126 77% 689 Subtotal 30,981 6,883 53% 34,099 7.30% 28.38% 2.55 19,784 58% 980 (918) Corporate – Specialised lending 0.00 to <0.15 5,223 2,911 35% 10,924 0.07% 17.89% 2.94 1,099 10% 1 0.15 to <0.25 - - - - - 0.25 to <0.50 3,268 2,096 40% 3,696 0.26% 14.49% 2.68 652 18% 1 0.50 to <0.75 7,727 2,274 50% 8,947 0.50% 13.45% 3.65 2,268 25% 6 0.75 to <2.50 15,826 7,114 40% 13,464 1.51% 13.50% 3.22 5,336 40% 32 2.50 to <10.00 8,377 3,031 37% 5,811 4.07% 14.80% 2.80 3,183 55% 39 10.00 to <100.00 469 56 49% 215 13.76% 17.95% 2.43 180 83% 5 100.00 (default) 668 32 60% 602 100.00% 35.87% 2.20 33 5% 359 Subtotal 41,560 17,514 40% 43,660 2.60% 15.16% 3.12 12,751 29% 443 (446) Corporate – Other 0.00 to <0.15 19,116 73,155 46% 60,138 0.07% 32.54% 2.50 10,048 17% 13 0.15 to <0.25 12 2 53% 12 0.16% 33.35% 3.21 4 32% 0 0.25 to <0.50 7,629 20,631 44% 15,774 0.26% 30.98% 2.45 5,689 36% 13 0.50 to <0.75 21,101 9,581 59% 13,715 0.50% 27.63% 2.39 5,831 43% 18 0.75 to <2.50 21,775 16,420 44% 26,166 1.55% 24.82% 2.31 15,695 60% 102 2.50 to <10.00 12,024 7,798 46% 15,528 4.25% 26.22% 2.18 13,195 85% 178 10.00 to <100.00 2,419 932 39% 2,186 15.35% 27.55% 2.09 2,912 133% 93 100.00 (default) 2,512 717 50% 2,703 100.00% 34.90% 1.76 1,333 49% 1,258 Subtotal 86,588 129,237 47% 136,223 3.12% 29.60% 2.39 54,707 40% 1,676 (1,717) Retail – Secured by real estate SME 0.00 to <0.15 17 5 100% 80 0.03% 11.73% 31 39% 0 0.15 to <0.25 0 - 0 0.19% 15.74% 0 5% 0 0.25 to <0.50 863 13 100% 876 0.27% 16.19% 57 7% 0 0.50 to <0.75 1,606 26 100% 1,592 0.62% 9.65% 112 7% 1 0.75 to <2.50 2,428 39 100% 2,503 1.11% 13.91% 368 15% 4 2.50 to <10.00 754 13 100% 767 3.02% 14.75% 224 29% 3 10.00 to <100.00 360 9 100% 369 16.05% 10.17% 163 44% 7 100.00 (default) 260 0 100% 207 100.00% 44.17% 191 92% 98 Subtotal 6,288 105 100% 6,393 5.15% 14.00% 1,146 18% 113 (106)