Société Générale / Risk report 2021 - Pillar 3 2020

7 COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 150 (In EURm) 31.12.2019 PD scale EAD post CRM Average PD Average LGD Average maturity RWA RWA density Central governments and central banks 0.00 to <0.15 22,651 0.00% 2.59% 1.21 109 0.48% 0.15 to <0.25 - - 0.25 to <0.50 18 0.26% 39.33% 1.31 6 35.91% 0.50 to <0.75 30 0.50% 45.00% 3.95 27 91.72% 0.75 to <2.50 201 1.10% 20.24% 0.89 73 36.35% 2.50 to <10.00 55 4.61% 45.00% 1.21 87 157.63% 10.00 to <100.00 - - 100.00 (default) - - Subtotal 22,954 0.03% 2.91% 1.21 302 1.32% Institutions 0.00 to <0.15 17,019 0.04% 24.20% 1.53 1,517 8.91% 0.15 to <0.25 - - 0.25 to <0.50 1,203 0.26% 27.90% 1.66 375 31.17% 0.50 to <0.75 455 0.50% 38.81% 1.78 293 64.28% 0.75 to <2.50 615 1.75% 40.21% 1.56 450 73.20% 2.50 to <10.00 163 4.06% 30.80% 1.36 168 102.86% 10.00 to <100.00 38 12.80% 23.81% 1.06 71 185.34% 100.00 (default) 4 100.00% 35.00% 2.88 19 437.50% Subtotal 19,498 0.20% 25.86% 1.55 2,893 14.84% Corporate – SME 0.00 to <0.15 55 0.10% 30.79% 3.58 10 18.12% 0.15 to <0.25 79 0.20% 11.72% 4.98 14 18.22% 0.25 to <0.50 11 0.26% 30.28% 1.74 3 23.98% 0.50 to <0.75 34 0.51% 34.16% 2.63 16 47.61% 0.75 to <2.50 53 1.47% 34.82% 2.40 36 67.80% 2.50 to <10.00 116 6.29% 31.12% 3.67 113 97.16% 10.00 to <100.00 8 19.18% 35.09% 2.03 12 145.12% 100.00 (default) 2 100.00% 38.47% 1.68 5 250.30% Subtotal 358 3.30% 27.74% 3.55 208 58.13% Corporate – Specialised lending 0.00 to <0.15 203 0.07% 30.00% 3.75 57 28.15% 0.15 to <0.25 - - 0.25 to <0.50 27 0.26% 10.24% 4.13 4 16.06% 0.50 to <0.75 50 0.50% 10.00% 4.22 11 21.13% 0.75 to <2.50 483 1.86% 9.25% 2.37 113 23.37% 2.50 to <10.00 451 3.90% 9.87% 1.71 135 29.85% 10.00 to <100.00 - - 100.00 (default) - - Subtotal 1,214 2.23% 13.00% 2.47 319 26.32% Corporate – Other 0.00 to <0.15 30,744 0.05% 33.36% 1.36 3,634 11.82% 0.15 to <0.25 - - 0.25 to <0.50 3,574 0.26% 29.54% 2.48 1,141 31.94% 0.50 to <0.75 3,106 0.50% 25.64% 2.33 1,180 37.98% 0.75 to <2.50 2,775 1.48% 28.50% 2.42 1,890 68.11% 2.50 to <10.00 1,948 4.31% 31.89% 1.60 1,910 98.06% 10.00 to <100.00 91 13.86% 32.68% 1.68 143 156.49% 100.00 (default) 107 100.00% 29.43% 3.20 211 196.79% Subtotal 42,345 0.67% 31.93% 1.61 10,110 23.87% Retail – Other non – SME 0.00 to <0.15 11 0.03% 12.30% 5.00 0 1.29% 0.15 to <0.25 177 0.20% 11.50% 5.00 9 4.94% 0.25 to <0.50 1 0.34% 46.00% 5.00 0 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 - - 100.00 (default) - - Subtotal 189 0.19% 11.79% 5.00 9 4.90% SECURITISATION POSITIONS Subtotal 9 0 0.00% TOTAL 86,567 0.43% 21.15% 1.52 13,841 15.99%