Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 120 (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 Retail – Secured by real estate non-SME 0.00 to <0.15 24,742 984 100% 26,897 0.06% 13.85% 2,077 8% 2 0.15 to <0.25 22,289 632 88% 22,815 0.22% 14.35% 1,481 6% 7 0.25 to <0.50 7,625 229 74% 7,686 0.41% 17.59% 977 13% 6 0.50 to <0.75 12,527 508 83% 12,510 0.62% 10.52% 1,247 10% 8 0.75 to <2.50 23,467 866 89% 24,179 1.44% 10.62% 4,250 18% 33 2.50 to <10.00 7,620 156 94% 7,755 4.94% 12.17% 3,141 41% 43 10.00 to <100.00 1,403 34 99% 1,431 17.93% 9.19% 758 53% 26 100.00 (default) 1,795 3 97% 1,092 100.00% 42.12% 1,128 103% 448 Subtotal 101,467 3,412 91% 104,366 2.16% 13.19% 15,060 14% 573 (559) Retail – Qualifying revolving 0.00 to <0.15 62 1,111 38% 607 0.10% 43.03% 16 3% 0 0.15 to <0.25 0 286 41% 118 0.23% 35.70% 5 5% 0 0.25 to <0.50 87 232 37% 356 0.42% 48.77% 36 10% 1 0.50 to <0.75 108 604 37% 331 0.60% 36.14% 33 10% 1 0.75 to <2.50 359 567 37% 871 1.48% 44.18% 207 24% 6 2.50 to <10.00 729 307 38% 1,537 4.77% 45.85% 1,036 67% 33 10.00 to <100.00 456 36 37% 569 21.77% 43.54% 641 113% 52 100.00 (default) 403 8 38% 405 100.00% 61.04% 196 48% 248 Subtotal 2,203 3,150 38% 4,794 12.93% 45.50% 2,170 45% 340 (315) Retail – Other SME 0.00 to <0.15 35 1 100% 36 0.03% 7.90% 0 1% 0 0.15 to <0.25 15 6 10% 15 0.24% 31.01% 2 11% 0 0.25 to <0.50 1,291 357 49% 1,530 0.36% 29.93% 224 15% 2 0.50 to <0.75 1,382 29 73% 1,320 0.57% 31.86% 263 20% 2 0.75 to <2.50 8,518 596 66% 8,968 1.46% 24.91% 2,101 23% 34 2.50 to <10.00 4,229 235 65% 4,464 5.00% 28.79% 2,015 45% 65 10.00 to <100.00 1,465 195 75% 1,680 19.16% 34.00% 952 57% 107 100.00 (default) 1,551 16 84% 1,565 100.00% 47.77% 553 35% 981 Subtotal 18,485 1,435 63% 19,577 11.52% 29.24% 6,110 31% 1,192 (1,151) Retail – Other non – SME 0.00 to <0.15 1,573 125 100% 1,807 0.09% 18.46% 84 5% 0 0.15 to <0.25 6,463 1,267 99% 7,708 0.20% 13.30% 432 6% 2 0.25 to <0.50 4,304 546 100% 4,921 0.38% 30.24% 935 19% 5 0.50 to <0.75 2,510 102 100% 2,612 0.60% 37.46% 816 31% 6 0.75 to <2.50 7,769 892 100% 8,732 1.34% 32.06% 3,344 38% 39 2.50 to <10.00 5,824 229 100% 6,186 4.30% 33.30% 3,310 54% 90 10.00 to <100.00 1,383 36 58% 1,406 25.32% 33.67% 1,094 78% 114 100.00 (default) 1,851 9 96% 1,859 100.00% 49.82% 737 40% 1,018 Subtotal 31,677 3,205 99% 35,231 7.52% 28.62% 10,752 31% 1,275 (1,245) SPECIALISED LENDING SLOTTING CRITERIA Subtotal 684 2,196 1,430 827 58% 10 (3) OTHER NON CREDIT-OBLIGATION ASSETS Subtotal 35 0 24 21 88% 0 - SECURITISATION POSITIONS Subtotal 6,612 24,588 30,978 3,695 12% 0 - EQUITY Subtotal 5,520 0 5,520 20,061 363% 129 - TOTAL 536,782 207,565 43% 646,740 2.69% 16.84% 2.12 156,782 24% 6,859 (6,593)