Société Générale / Risk report 2021 - Pillar 3 2020

7 COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 149 (In EURm) 31.12.2020 PD scale EAD post CRM Average PD Average LGD Average maturity RWA RWA density Corporate – Other 0.00 to <0.15 36,811 0.06% 33.93% 1.32 5,171 14.05% 0.15 to <0.25 0 0.17% 38.50% 1.00 0 23.82% 0.25 to <0.50 3,823 0.26% 31.36% 2.33 1,518 39.69% 0.50 to <0.75 4,020 0.50% 24.28% 2.45 1,387 34.50% 0.75 to <2.50 4,758 1.47% 30.64% 2.99 3,531 74.22% 2.50 to <10.00 2,169 4.65% 34.41% 1.84 2,431 112.08% 10.00 to <100.00 367 13.98% 32.21% 2.92 546 148.84% 100.00 (default) 261 100.00% 32.15% 2.30 492 188.18% Subtotal 52,209 1.02% 32.70% 1.67 15,076 28.88% Retail – Other non – SME 0.00 to <0.15 - - 0.15 to <0.25 113 0.20% 11.50% 5.00 6 4.94% 0.25 to <0.50 6 0.34% 46.00% 5.00 2 27.90% 0.50 to <0.75 0 0.53% 28.75% 5.00 0 22.64% 0.75 to <2.50 - - 2.50 to <10.00 - - 10.00 to <100.00 1 24.71% 24.00% 5.00 0 61.40% 100.00 (default) - - Subtotal 121 0.36% 13.40% 5.00 8 6.56% SECURITISATION POSITIONS Subtotal 1 0 37.86% TOTAL 97,340 0.67% 23.54% 1.57 19,411 19.94%