Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 121 TABLE 57: INTERNAL APPROACH - CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE (CR6) - FIRB (In EURm) 31.12.2020 PD scale Original on- balance sheet gross exposure Off- balance sheet expo- sures 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 53 1 75% 64 0.01% 44.49% 2.50 6 10% 0 0.15 to <0.25 - - - - - 0.25 to <0.50 - - - - - 0.50 to <0.75 - - - - - 0.75 to <2.50 - - - - - 2.50 to <10.00 - - - - - 10.00 to <100.00 - - - - - 100.00 (default) - - - - - Subtotal 53 1 75% 64 0.01% 44.49% 2.50 6 10% 0 (0) Institutions 0.00 to <0.15 2 0 0% 2 0.03% 44.86% 2.50 0 16% 0 0.15 to <0.25 - - - - - 0.25 to <0.50 0 - 0 0.26% 45.00% 2.50 0 53% 0 0.50 to <0.75 - - - - - 0.75 to <2.50 0 - 0 1.13% 45.00% 2.50 0 129% 0 2.50 to <10.00 0 - 0 3.30% 44.85% 2.50 0 139% 0 10.00 to <100.00 0 - 0 14.33% 40.00% 2.50 0 206% 0 100.00 (default) - - - - - Subtotal 2 0 0% 2 0.13% 44.86% 2.50 0 20% 0 (0) Corporate – SME 0.00 to <0.15 40 6 46% 80 0.08% 42.84% 2.50 20 25% 0 0.15 to <0.25 36 10 75% 43 0.16% 43.31% 2.50 11 26% 0 0.25 to <0.50 89 5 75% 93 0.28% 42.79% 2.50 35 37% 0 0.50 to <0.75 199 18 75% 174 0.54% 42.71% 2.50 86 49% 0 0.75 to <2.50 477 43 75% 510 1.54% 42.78% 2.50 358 70% 3 2.50 to <10.00 678 37 75% 704 4.69% 42.96% 2.50 692 98% 14 10.00 to <100.00 208 5 75% 206 16.07% 42.92% 2.50 304 148% 14 100.00 (default) 103 1 75% 102 100.00% 43.99% 2.50 0 0% 45 Subtotal 1,830 124 74% 1,911 9.26% 42.94% 2.50 1,506 79% 77 (80) Corporate – Other 0.00 to <0.15 1,038 6 75% 1,061 0.08% 44.25% 2.50 257 24% 0 0.15 to <0.25 1 0 75% 1 0.16% 44.38% 2.50 0 36% 0 0.25 to <0.50 123 8 75% 132 0.26% 42.70% 2.50 65 49% 0 0.50 to <0.75 452 13 75% 445 0.51% 43.53% 2.50 311 70% 1 0.75 to <2.50 509 18 75% 523 1.57% 43.43% 2.50 537 103% 4 2.50 to <10.00 832 47 75% 868 4.53% 43.20% 2.50 1,211 140% 17 10.00 to <100.00 175 4 78% 173 14.64% 43.00% 2.50 351 202% 11 100.00 (default) 53 0 75% 53 100.00% 44.19% 2.50 0 0% 23 Subtotal 3,183 97 75% 3,255 3.97% 43.61% 2.50 2,733 84% 56 (69) ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Subtotal 398 - 100% 398 171 43% - - TOTAL 5,466 222 74% 5,631 5.85% 43.38% 2.50 4,417 78% 134 (149)