Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 122 (In EURm) 31.12.2019 PD scale Original on- balance sheet gross expo- sure 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 30 5 75% 46 0.02% 44.85% 2.50 0 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 30 5 75% 46 0.02% 44.85% 2.50 0 0% - (0) Institutions 0.00 to <0.15 4 0 75% 4 0.03% 44.68% 2.50 1 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 - - - 0.50% 45.00% 2.50 0 74% 0 0.75 to <2.50 0 - 0 1.10% 45.00% 2.50 0 2% 0 2.50 to <10.00 0 - 0 3.28% 44.70% 2.50 1 139% 0 10.00 to <100.00 0 - 0 14.33% 45.00% 2.50 0 232% 0 100.00 (default) - - - - - Subtotal 5 0 75% 5 0.40% 44.69% 2.50 1 29% 0 (0) Corporate – SME 0.00 to <0.15 88 7 50% 92 0.12% 42.83% 2.50 1 2% 0 0.15 to <0.25 94 7 75% 99 0.16% 42.56% 2.50 29 30% 0 0.25 to <0.50 127 14 75% 137 0.27% 42.68% 2.50 55 40% 0 0.50 to <0.75 318 22 75% 332 0.53% 42.50% 2.50 183 55% 1 0.75 to <2.50 849 52 75% 890 1.54% 42.60% 2.50 693 78% 6 2.50 to <10.00 770 38 75% 792 4.37% 42.75% 2.50 855 108% 15 10.00 to <100.00 164 2 75% 160 16.09% 42.72% 2.50 250 156% 11 100.00 (default) 102 0 75% 100 100.00% 44.04% 2.50 - - 44 Subtotal 2,512 142 74% 2,603 6.79% 42.71% 2.50 2,067 79% 77 (66) Corporate – Other 0.00 to <0.15 955 48 75% 997 0.07% 44.02% 2.50 232 23% 0 0.15 to <0.25 3 0 75% 3 0.16% 42.27% 2.50 1 26% 0 0.25 to <0.50 165 10 75% 173 0.26% 43.90% 2.50 88 51% 0 0.50 to <0.75 548 13 75% 559 0.51% 43.43% 2.50 393 70% 1 0.75 to <2.50 632 47 75% 663 1.58% 43.21% 2.50 681 103% 5 2.50 to <10.00 636 21 75% 650 4.49% 43.15% 2.50 917 141% 13 10.00 to <100.00 86 1 75% 86 15.34% 43.37% 2.50 166 193% 6 100.00 (default) 66 0 75% 66 100.00% 43.93% 2.50 - - 29 Subtotal 3,091 140 75% 3,196 3.83% 43.54% 2.50 2,477 77% 53 (40) ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Subtotal 386 - 100% 386 179 46% - - TOTAL 6,023 287 74% 6,237 5.12% 43.18% 2.50 4,725 76% 130 (107)