Société Générale / Risk report 2021 - Pillar 3 2020

7 COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 148 TABLE 70: EXPOSURES AND RWA RELATED TO CREDIT VALUATION ADJUSTMENT (CCR2) (In EURm) 31.12.2020 31.12.2019 Exposure value RWA Exposure value RWA Total portfolios subject to the Advanced Method 37,471 2,783 33,457 2,276 (i) VaR component (including the 3×multiplier) 740 - 318 (ii) Stressed VaR component (including the 3×multiplier) 2,043 - 1,959 All portfolios subject to the Standardised Method 5,349 347 5,611 310 Based on Original Exposure Method - - - - Total subject to the CVA capital charge 42,821 3,131 39,068 2,586 BREAKDOWN COUNTERPARTY CREDIT RISK – DETAIL TABLE 71: IRB COUNTERPARTY CREDIT RISK EXPOSURES BY EXPOSURE CLASS AND PD SCALE (CCR4) The table below presents Group exposures subject to counterparty credit risk and for which an internal model is used with a view to calculating RWA. In accordance with the EBA’s recommendations, CVA charges and exposures cleared through a CCP have been excluded. (In EURm) 31.12.2020 PD scale EAD post CRM Average PD Average LGD Average maturity RWA RWA density Central governments and central banks 0.00 to <0.15 23,262 0.02% 1.68% 1.25 120 0.51% 0.15 to <0.25 - - 0.25 to <0.50 22 0.26% 39.02% 1.00 7 32.39% 0.50 to <0.75 12 0.50% 45.00% 3.56 10 86.91% 0.75 to <2.50 111 2.12% 21.73% 0.98 56 49.99% 2.50 to <10.00 153 4.50% 39.18% 1.36 189 124.01% 10.00 to <100.00 - - 100.00 (default) - - Subtotal 23,560 0.05% 2.07% 1.25 382 1.62% Institutions 0.00 to <0.15 16,715 0.04% 24.33% 1.58 1,762 10.54% 0.15 to <0.25 - - 0.25 to <0.50 1,475 0.26% 26.20% 1.92 505 34.23% 0.50 to <0.75 717 0.50% 37.67% 1.47 412 57.56% 0.75 to <2.50 375 1.52% 41.49% 1.59 358 95.35% 2.50 to <10.00 336 3.74% 33.75% 1.13 270 80.24% 10.00 to <100.00 48 13.49% 28.36% 2.18 71 149.52% 100.00 (default) 2 100.00% 35.00% 4.03 8 437.50% Subtotal 19,667 0.21% 25.43% 1.59 3,386 17.22% Corporate – SME 0.00 to <0.15 73 0.12% 37.63% 3.51 8 11.17% 0.15 to <0.25 44 0.20% 12.15% 2.29 5 10.60% 0.25 to <0.50 57 0.28% 32.16% 3.88 26 45.45% 0.50 to <0.75 59 0.51% 36.36% 2.28 28 47.76% 0.75 to <2.50 80 1.77% 34.91% 2.24 53 66.49% 2.50 to <10.00 68 4.11% 37.69% 2.04 57 83.99% 10.00 to <100.00 18 17.93% 37.03% 2.12 24 132.51% 100.00 (default) 3 100.00% 38.92% 2.09 14 486.44% Subtotal 402 2.74% 33.32% 2.67 215 53.59% Corporate – Specialised lending 0.00 to <0.15 225 0.07% 25.20% 4.06 50 22.22% 0.15 to <0.25 - - 0.25 to <0.50 124 0.26% 10.15% 3.72 18 14.14% 0.50 to <0.75 126 0.50% 31.40% 1.87 40 31.40% 0.75 to <2.50 497 1.65% 11.65% 1.78 119 24.02% 2.50 to <10.00 365 3.86% 10.27% 1.51 95 25.94% 10.00 to <100.00 12 11.42% 3.10% 2.79 1 9.77% 100.00 (default) 32 100.00% 10.00% 3.97 21 65.28% Subtotal 1,380 4.11% 15.03% 2.32 343 24.85%