Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK RISK MEASUREMENT AND INTERNAL RATINGS | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 89 TABLE 34: COMPARISON OF RISK PARAMETERS: ESTIMATED AND ACTUAL PD VALUES – RETAIL CLIENTS* (CR9) Basel Portfolio PD Range 31.12.2020 Weighted average PD Arithmetic average PD Number of obligors o.w. new defaulted obligors over the year End of previous year End of the year Defaulted obligors over the year Other loans to individual customers TOTAL 2.3% 3.3% 2,251,637 2,244,161 28,691 3.5% 0.00 to <0.15 0.1% 0.1% 35,560 32,577 38 0.1% 0.15 to <0.25 0.2% 0.2% 51,916 60,107 34 0.2% 0.25 to <0.50 0.4% 0.3% 315,192 323,955 533 0.3% 0.50 to <0.75 0.6% 0.6% 292,979 295,384 421 0.5% 0.75 to <2.50 1.4% 1.3% 778,052 807,936 1,578 1.0% 2.50 to <10.00 4.2% 4.5% 564,325 537,107 8,642 3.4% 10.00 to <100.00 24.8% 20.8% 213,613 187,096 17,445 20.1% Real estate loans TOTAL 1.0% 1.0% 879,422 886,357 4,090 1.1% 0.00 to <0.15 0.1% 0.1% 177,758 191,287 229 0.1% 0.15 to <0.25 0.2% 0.2% 156,527 167,621 171 0.1% 0.25 to <0.50 0.4% 0.4% 126,577 134,514 108 0.2% 0.50 to <0.75 0.6% 0.7% 91,921 90,214 310 0.4% 0.75 to <2.50 1.4% 1.0% 216,647 205,754 966 0.7% 2.50 to <10.00 4.6% 3.4% 94,859 85,704 1,065 2.7% 10.00 to <100.00 17.4% 17.4% 15,133 11,263 1,241 15.0% Revolving credits TOTAL 4.4% 2.2% 7,886,771 7,403,642 145,516 2.1% 0.00 to <0.15 0.1% 0.1% 2,180,209 2,213,652 1,962 0.1% 0.15 to <0.25 0.2% 0.2% 85,387 80,756 60 0.1% 0.25 to <0.50 0.4% 0.4% 1,570,530 1,506,560 9,540 0.4% 0.50 to <0.75 0.6% 0.6% 158,786 154,511 367 0.4% 0.75 to <2.50 1.5% 1.4% 1,940,736 1,753,397 23,868 1.0% 2.50 to <10.00 4.7% 4.2% 1,446,249 1,220,024 38,493 3.6% 10.00 to <100.00 21.6% 17.0% 504,875 474,742 71,226 15.4% VSB and professionals TOTAL 2.8% 2.7% 823,464 811,861 19,762 3.8% 0.00 to <0.15 0.0% 0.0% 140 187 6 0.1% 0.15 to <0.25 0.2% 0.2% 36,093 39,564 278 0.3% 0.25 to <0.50 0.4% 0.3% 146,407 188,746 244 0.2% 0.50 to <0.75 0.6% 0.6% 47,573 54,975 480 0.6% 0.75 to <2.50 1.5% 1.4% 285,886 304,225 2,446 1.2% 2.50 to <10.00 4.9% 5.2% 229,835 183,852 5,361 4.6% 10.00 to <100.00 19.5% 18.8% 77,531 40,312 10,947 16.2% Data a presented on the basis of the latest figures available as at 30 September 2020. * TABLE 35: COMPARISON OF RISK PARAMETERS: ESTIMATED AND ACTUAL LGD AND EAD VALUES – RETAIL CLIENTS Basel portfolio 31.12.2020 A-IRB LGD Estimated losses excluding margin of prudence Observed EAD/A-IRB EAD Real estate loans (excl. guaranteed exposures) 18% 11% - Revolving credits 46% 41% 74% Other loans to individual customers 28% 24% - VSB and professionals 28% 22% 79% TOTAL GROUP RETAIL CLIENTS 25% 20% 75% The changes in the portfolio “Other loans to individual customers” are explained by a change in scope.