Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK QUANTITATIVE INFORMATION | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 91 QUANTITATIVE INFORMATION 6.6 In this section, the measurement used for credit exposures is the EAD – Exposure At Default (on- and off-balance sheet). Under the standardised approach, the EAD is calculated net of collateral and provisions. The EAD is broken down according to the guarantor’s characteristics, after taking into account the substitution effect (unless otherwise indicated). The presentation of the data is in line with the guidelines on prudential disclosure requirements published by the European Banking Authority (EBA) in December 2016 (document EBA/GL/2016/11). This presentation features the exposure classes as defined in the portfolios of the COREP regulatory financial statements, in relation to EBA requirements on Pillar 3. A simplified view of credit risk exposures by exposure class is presented below. TABLE 36: EXPOSURE CLASSES Sovereigns Claims or contingent claims on sovereign governments, regional authorities, local authorities or public sector entities as well as on multilateral development banks and international organisations. Institutions Claims or contingent claims on regulated credit institutions, as well as on governments, local authorities or other public sector entities that do not qualify as sovereign counterparties. Corporates Claims or contingent claims on corporates, which include all exposures not covered in the portfolios defined above. In addition, small/medium-sized enterprises are included in this category as a sub-portfolio, and are defined as entities with total annual sales below EUR 50 million. Retail Claims or contingent claims on an individual or individuals, or on a small or medium-sized entity, provided in the latter case that the total amount owed to the credit institution does not exceed EUR 1 million. Retail exposure is further broken down into residential mortgages, revolving credit and other forms of credit to individuals, the remainder relating to exposures to very small entities and self-employed. Others Claims relating to securitisation transactions, equity, fixed assets, accruals, contributions to the default fund of a CCP, as well as exposures secured by mortgages on immovable property under the standardised approach, and exposures in default under the standardised approach. Credit risk exposure (including counterparty credit risk) As at 31 December 2020, the Group’s Exposure at Default (EAD) amounted to EUR 1,004 billion. GROUP RISK EXPOSURE BY EXPOSURE CLASS (EAD) AT 31 DECEMBER 2020 On- and off-balance sheet exposures (EUR 1,004 billion in EAD) GROUP RISK EXPOSURE BY EXPOSURE CLASS (EAD) AT 31 DECEMBER 2019 On- and off-balance sheet exposures (EUR 918 billion in EAD) * Institutions: Basel classification bank and public sector portfolios.