Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 117 TABLE 56: INTERNAL APPROACH - CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD RANGE (CR6) - AIRB The table below pesents Group exposures subject to credit risk and for which an internal model is used with a view to calculating RWA. (In EURm) 31.12.2020 PD scale Original on- balance sheet gross exposure Off- balance sheet exposures pre CCF Average CCF EAD post CRM and post-CCF Average PD Average LGD Average maturity RWA RWA density EL Value adjust- ments and Provi- sions Central governments and central banks 0.00 to <0.15 215,434 3,033 67% 250,956 0.02% 1.98% 1.18 2,083 1% 2 0.15 to <0.25 - - - - - 0.25 to <0.50 727 0 20% 3,234 0.26% 17.80% 2.79 719 22% 1 0.50 to <0.75 11,990 150 75% 1,454 0.50% 32.58% 2.52 879 60% 2 0.75 to <2.50 1,078 593 75% 2,526 1.76% 22.75% 2.60 1,206 48% 23 2.50 to <10.00 2,928 1,317 68% 867 5.43% 23.86% 2.22 753 87% 12 10.00 to <100.00 628 248 84% 362 11.65% 22.46% 1.99 386 107% 10 100.00 (default) 97 0 75% 62 100.00% 81.31% 1.12 4 7% 68 Subtotal 232,882 5,341 69% 259,461 0.10% 2.67% 1.23 6,029 2% 120 (101) Institutions 0.00 to <0.15 23,624 8,925 64% 36,845 0.04% 11.52% 2.47 1,667 5% 2 0.15 to <0.25 - - - - - 0.25 to <0.50 492 413 58% 797 0.26% 22.52% 1.54 175 22% 0 0.50 to <0.75 6,993 3,723 23% 1,987 0.28% 14.12% 1.97 436 22% 1 0.75 to <2.50 2,435 796 50% 1,135 1.58% 20.50% 1.54 645 57% 4 2.50 to <10.00 1,559 629 52% 1,197 3.97% 24.09% 1.83 1,023 85% 13 10.00 to <100.00 215 212 36% 178 14.28% 8.54% 1.05 257 144% 7 100.00 (default) 52 2 26% 31 100.00% 25.67% 3.04 55 176% 7 Subtotal 35,370 14,699 52% 42,170 0.34% 12.51% 2.38 4,259 10% 35 (78) Corporate – SME 0.00 to <0.15 852 486 53% 1,345 0.09% 36.31% 2.41 484 36% 3 0.15 to <0.25 3,984 644 88% 3,482 0.20% 12.86% 2.23 305 9% 1 0.25 to <0.50 1,484 848 52% 1,616 0.28% 36.74% 2.52 492 30% 2 0.50 to <0.75 1,763 1,162 49% 2,965 0.53% 34.63% 2.77 1,272 43% 5 0.75 to <2.50 10,617 1,771 53% 9,050 1.51% 28.78% 3.48 5,163 57% 40 2.50 to <10.00 9,290 1,402 59% 8,302 4.53% 32.69% 2.86 6,483 78% 122 10.00 to <100.00 3,000 248 54% 2,380 16.33% 30.66% 2.76 2,592 109% 118 100.00 (default) 1,799 226 47% 1,796 100.00% 37.38% 2.23 2,320 129% 846 Subtotal 32,790 6,787 56% 30,937 8.81% 29.98% 2.88 19,111 62% 1,137 (1,213) Corporate – Specialised lending 0.00 to <0.15 4,300 2,494 43% 9,549 0.07% 20.08% 3.00 1,331 14% 1 0.15 to <0.25 - - - - - 0.25 to <0.50 4,030 1,804 49% 4,523 0.26% 14.04% 2.97 733 16% 2 0.50 to <0.75 7,509 2,823 44% 8,848 0.50% 13.27% 3.54 1,977 22% 6 0.75 to <2.50 15,885 6,990 40% 14,026 1.49% 14.69% 3.25 5,452 39% 38 2.50 to <10.00 8,415 2,865 38% 6,027 4.28% 13.95% 2.63 2,983 49% 45 10.00 to <100.00 1,077 147 41% 468 15.06% 20.59% 3.38 478 102% 17 100.00 (default) 1,367 90 79% 1,179 100.00% 39.81% 2.21 624 53% 594 Subtotal 42,583 17,214 42% 44,619 3.98% 16.12% 3.12 13,577 30% 703 (820) Corporate – Other 0.00 to <0.15 18,971 80,335 46% 62,789 0.07% 35.15% 2.27 12,244 20% 16 0.15 to <0.25 44 10 33% 19 0.16% 37.90% 2.07 5 28% 0 0.25 to <0.50 7,602 20,891 47% 16,681 0.26% 31.41% 2.31 5,864 35% 16 0.50 to <0.75 18,168 10,145 60% 12,037 0.50% 30.41% 2.21 5,600 47% 22 0.75 to <2.50 18,216 16,007 48% 21,355 1.52% 25.31% 2.11 12,567 59% 92 2.50 to <10.00 17,080 8,934 46% 16,847 4.39% 30.17% 2.26 16,345 97% 241 10.00 to <100.00 4,678 1,951 43% 3,285 15.14% 31.92% 2.02 5,007 152% 155 100.00 (default) 2,770 3,120 9% 2,595 100.00% 36.01% 1.82 2,117 82% 1,337 Subtotal 87,530 141,392 47% 135,609 3.17% 32.00% 2.23 59,749 44% 1,880 (2,171) Retail – Secured by real estate SME 0.00 to <0.15 26 7 100% 79 0.03% 11.94% 27 34% 0 0.15 to <0.25 3 - 3 0.21% 13.65% 0 6% 0 0.25 to <0.50 824 10 100% 833 0.27% 16.19% 55 7% 0 0.50 to <0.75 1,641 25 100% 1,666 0.62% 9.76% 155 9% 1 0.75 to <2.50 2,376 33 100% 2,409 1.09% 14.12% 362 15% 4 2.50 to <10.00 648 11 100% 659 2.92% 14.80% 190 29% 3 10.00 to <100.00 236 3 100% 240 15.64% 9.83% 106 44% 4 100.00 (default) 133 1 85% 87 100.00% 40.01% 142 164% 24 Subtotal 5,887 90 100% 5,976 3.05% 13.44% 1,037 17% 36 (31)