Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK QUANTITATIVE INFORMATION | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 95 TABLE 37: BREAKDOWN OF EXPOSURES (CREDIT AND COUNTERPARTY CREDIT RISKS) ON TOP FIVE COUNTRIES BY EXPOSURE CLASS (IN%) France United States United Kingdom Germany Czech Republic 2020 2019 2020 2019 2020 2019 2020 2019 2020 2019 Sovereign 29% 19% 31% 33% 32% 14% 19% 17% 31% 29% Institutions 9% 9% 16% 16% 18% 27% 16% 18% 4% 4% Corporates 22% 27% 40% 38% 33% 37% 25% 27% 29% 30% Retail 32% 37% 0% 0% 4% 10% 21% 22% 34% 35% Other 8% 8% 13% 13% 13% 12% 19% 16% 2% 2% TABLE 38: GEOGRAPHICAL BREAKDOWN OF AVERAGE PD AND LGD (CREDIT AND COUNTERPARTY CREDIT RISKS) The following table presents the average PD and LGD calculated on performing exposures (EAD) subject to the Advanced Internal Ratings-Based (AIRB) approach. The geographical areas are grouped according to their significance. (In EURm) 31.12.2020 Sovereign Institutions Corporates Retail EAD Average PD Average LGD EAD Average PD Average LGD EAD Average PD Average LGD EAD Average PD Average LGD France 136,082 0.01% 0% 24,313 0.11% 8% 90,269 2.08% 32% 141,013 1.48% 16% Western Europe (excl.France) 62,413 0.03% 1% 14,880 0.16% 20% 73,115 0.95% 27% 10,596 2.92% 34% Eastern Europe 18,762 0.06% 5% 2,349 0.51% 22% 13,491 1.88% 29% 14,021 1.12% 24% Eastern Europe (excl. UE) 2,443 0.21% 23% 595 4.09% 36% 3,025 1.65% 24% 91 0.69% 29% North America 37,603 0.01% 0% 9,606 0.12% 17% 51,013 0.70% 27% 90 4.92% 40% Rest of the world 25,658 0.57% 20% 10,062 0.55% 36% 28,377 1.07% 28% 883 0.88% 23% TOTAL 282,960 0.07% 3% 61,804 0.25% 17% 259,289 1.37% 29% 166,694 1.54% 18% (In EURm) 31.12.2019 Sovereign Institutions Corporates Retail EAD Average PD Average LGD EAD Average PD Average LGD EAD Average PD Average LGD EAD Average PD Average LGD France 73,966 0.02% 1% 22,534 0.12% 8% 89,711 1.74% 30% 137,651 1.80% 16% Western Europe (excl.France) 44,277 0.03% 1% 14,057 0.15% 21% 67,999 1.24% 25% 12,214 2.62% 33% Eastern Europe 16,837 0.05% 6% 2,191 0.46% 24% 13,949 1.56% 29% 13,374 1.20% 25% Eastern Europe (excl. UE) 2,591 0.24% 25% 642 3.00% 33% 3,425 1.72% 23% 216 1.49% 25% North America 41,439 0.00% 0% 11,303 0.06% 21% 50,401 0.67% 25% 189 3.06% 47% Rest of the world 26,357 0.42% 20% 10,585 0.52% 32% 27,540 1.09% 25% 1,776 0.98% 21% TOTAL 205,466 0.07% 4% 61,312 0.23% 16% 253,025 1.31% 27% 165,421 1.80% 18%