Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK RISK MEASUREMENT AND INTERNAL RATINGS PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 86 The historic default rate remains stable across all of the Basel developed on the most significant portfolios in order to comply with portfolios. The estimated default probability is higher than the new regulatory requirements and to address the identified weaknesses historical default rates for all Basel portfolios and for most of the of existing models. ratings. It should be noted that new internal models are being TABLE 31: COMPARISON OF RISK PARAMETERS: ESTIMATED AND ACTUAL PD VALUES - WHOLESALE CLIENTS (CR9) Basel Portfolio PD Range 31.12.2020 Weigthed average PD Arithmetic average PD Number of obligors Defaulted obligors over the year of which: new defaulted obligor in the year Average historical annual default rate End of previous year End of the year Sovereigns TOTAL 0.1% 1.0% 729 621 - - 0.2% 0.00 to < 0.15 0.0% 0.0% 529 510 - - 0.0% 0.15 to < 0.25 0.0% 0.0% - - - - 0.0% 0.25 to < 0.50 0.3% 0.3% 17 15 - - 0.0% 0.50 to < 0.75 0.5% 0.5% 112 10 - - 0.0% 0.75 to < 2.50 1.7% 1.9% 20 16 - - 0.3% 2.50 to < 10.00 5.3% 5.2% 38 52 - - 0.7% 10.00 to < 100.00 11.8% 15.7% 13 18 - - 3.3% Institutions TOTAL 0.2% 0.9% 5,582 4,166 10 1 0.3% 0.00 to < 0.15 0.0% 0.1% 4,251 2,922 - - 0.2% 0.15 to < 0.25 0.0% 0.0% - - - - 0.0% 0.25 to < 0.50 0.3% 0.3% 320 351 - - 0.1% 0.50 to < 0.75 0.5% 0.5% 274 179 - - 0.2% 0.75 to < 2.50 1.6% 1.6% 198 185 1 - 0.4% 2.50 to < 10.00 3.9% 3.8% 461 447 4 - 0.8% 10.00 to < 100.00 14.5% 15.7% 78 82 5 1 4.0% Specialised lending TOTAL 1.4% 2.6% 2,289 2,339 28 4 2.1% 0.00 to < 0.15 0.1% 0.1% 214 219 - - 0.2% 0.15 to < 0.25 0.0% 0.0% - - - - 0.0% 0.25 to < 0.50 0.3% 0.3% 171 146 - - 0.1% 0.50 to < 0.75 0.5% 0.5% 322 351 - - 0.4% 0.75 to < 2.50 1.5% 1.6% 871 838 11 2 1.0% 2.50 to < 10.00 4.3% 4.4% 662 696 12 2 3.1% 10.00 to < 100.00 14.0% 15.6% 49 89 5 - 12.1% Large corporates TOTAL 1.1% 3.5% 37,285 36,592 493 57 1.5% 0.00 to < 0.15 0.1% 0.1% 7,591 7,663 1 1 0.1% 0.15 to < 0.25 0.0% 0.0% - 84 - - 0.0% 0.25 to < 0.50 0.3% 0.3% 2,412 2,152 2 - 0.2% 0.50 to < 0.75 0.5% 0.5% 4,398 3,148 7 - 0.4% 0.75 to < 2.50 1.5% 1.6% 7,834 7,311 37 4 1.0% 2.50 to < 10.00 4.5% 4.3% 12,240 12,717 253 30 2.9% 10.00 to < 100.00 14.6% 16.7% 2,810 3,517 193 22 10.3% Small and medimum-sized companies TOTAL 3.3% 5.3% 97,833 97,695 2,752 420 3.3% 0.00 to < 0.15 0.1% 0.1% 3,591 3,230 1 1 0.3% 0.15 to < 0.25 0.2% 0.2% 2,245 2,292 - - 0.5% 0.25 to < 0.50 0.3% 0.3% 5,740 5,903 1 - 0.5% 0.50 to < 0.75 0.5% 0.5% 6,022 6,253 7 2 0.6% 0.75 to < 2.50 1.6% 1.7% 21,265 22,538 128 19 1.5% 2.50 to < 10.00 4.5% 4.5% 42,665 43,295 799 100 3.9% 10.00 to < 100.00 16.7% 18.2% 16,305 15,853 1,817 298 14.5%