Société Générale / Risk Report - Pillar III

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1. KEY FIGURES	5
2. RISK FACTORS	9
2.1 TYPES OF RISKS	10
2.2 RISK FACTORS	11
2.2.1 RISKS RELATED TO THE MACROECONOMIC, MARKET AND REGULATORY ENVIRONMENTS	11
2.2.2 CREDIT AND COUNTERPARTY RISK	14
2.2.3 MARKET AND STRUCTURAL RISKS	15
2.2.4 OPERATIONAL (INCLUDING RISK OF INAPPROPRIATE CONDUCT)AND MODEL RISKS	16
2.2.5 LIQUIDITY AND FUNDING RISKS	18
2.2.6 RISKS RELATED TO INSURANCE ACTIVITIES	19
3. RISK MANAGEMENT ORGANISATION	21
3.1 SUITABILITY OF RISKMANAGEMENT SYSTEMS	22
3.2 SUMMARY OF THE GROUP'S RISK PROFILE IN 2019	22
3.3 RISK APPETITE	23
3.4 RISK APPETITE – GENERAL FRAMEWORK	26
3.5 RISKMANAGEMENT ORGANISATION	27
3.6 RISKMAPPING FRAMEWORK AND STRESS TESTS	29
4. INTERNAL CONTROL FRAMEWORK	31
4.1 INTERNAL CONTROL	32
4.2 CONTROL OF THE PRODUCTION AND PUBLICATION OF FINANCIAL MANAGEMENT INFORMATION	35
5. CAPITAL MANAGEMENT AND ADEQUACY	39
5.1 THE REGULATORY FRAMEWORK	40
5.2 SCOPE OF APPLICATION – PRUDENTIAL SCOPE	41
5.3 REGULATORY CAPITAL	47
5.4 RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS	50
5.5 CAPITAL MANAGEMENT	52
5.6 TLAC AND MREL RATIOS	53
5.7 LEVERAGE RATIOMANAGEMENT	53
5.8 RATIO OF LARGE EXPOSURES	54
5.9 FINANCIAL CONGLOMERATE RATIO	54
5.10 APPENDIX: DETAILS OF OWN FUNDS AND CAPITAL ADEQUACY	55
6. CREDIT AND COUNTERPARTY CREDIT RISK	69
6.1 CREDIT AND COUNTERPARTY CREDIT RISK MONITORING AND SURVEILLANCE SYSTEM	70
6.2 CREDIT RISK HEDGING	72
6.3 IMPAIRMENT	73
6.4 COUNTERPARTY CREDIT RISK	75
6.5 RISKMEASUREMENT AND INTERNAL RATINGS	78
6.6 QUANTITATIVE INFORMATION	88
6.7 ADDITIONAL QUANTITATIVE INFORMATION ON GLOBAL CREDIT RISK (CREDIT AND COUNTERPARTY RISK)	100
6.8 CREDIT RISK DETAIL	111
6.9 COUNTERPARTY RISK DETAIL	138
7. SECURITISATION	151
7.1 SECURITISATIONS AND REGULATORY FRAMEWORK	152
7.2 ACCOUNTING METHODS	153
7.3 STRUCTURED ENTITIES' SPECIFIC CASE	154
7.4 MANAGEMENT OF SECURITISATION RISKS	154
7.5 SOCIETE GENERALE’S SECURITISATION ACTIVITIES	155
7.6 PRUDENTIAL TREATMENT OF SECURITISATION POSITIONS	162
8. MARKET RISK	167
8.1 ORGANISATION OF MARKET RISKMANAGEMENT	168
8.2 MARKET RISK MONITORING PROCESS	169
8.3 VALUATION OF FINANCIAL INSTRUMENTS	170
8.4 MARKET RISK MAIN MEASURES	171
8.5 RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS	177
8.6 MARKET RISK RWA AND CAPITAL REQUIREMENTS – ADDITIONAL QUANTITATIVE INFORMATION	180
9. OPERATIONAL RISK	183
9.1 ORGANISATION OF OPERATIONAL RISK MANAGEMENT	184
9.2 OPERATIONAL RISKMONITORING PROCESS	186
9.3 OPERATIONAL RISK MEASUREMENT	188
9.4 RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS	190
9.5 OPERATIONAL RISK INSURANCE	191
10. STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS	193
10.1 ORGANISATION OF THEMANAGEMENT OF STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS	194
10.2 STRUCTURAL INTEREST RATE RISK	195
10.3 STRUCTURAL EXCHANGE RATE RISK	197
11. LIQUIDITY RISK	199
11.1 GOVERNANCE AND ORGANISATION	200
11.2 THE GROUP’S PRINCIPLES AND APPROACH TO LIQUIDITY RISK MANAGEMENT	201
11.3 REFINANCING STRATEGY	202
11.4 DISCLOSURE ON ASSET ENCUMBRANCE	203
11.5 LIQUIDITY RESERVE	206
11.6 REGULATORY RATIOS	206
11.7 BALANCE SHEET SCHEDULE	208
12. COMPLIANCERISK, LITIGATION	213
12.1 COMPLIANCE	215
12.2 DISPUTES	219
13. MODEL RISK	221
13.1 MODEL RISKMONITORING	222
14. RISKS RELATED TO INSURANCE ACTIVITIES	223
14.1 MANAGEMENT OF INSURANCE RISKS	224
14.2 INSURANCE RISKMODELLING	224
15. OTHER RISKS	225
15.1 EQUITY RISKS	226
15.2 RESIDUAL VALUE RISK	228
15.3 STRATEGIC RISKS	228
15.4 ENVIRONMENTAL AND SOCIAL RISKS	229
15.5 CONDUCT RISK	229
16. APPENDIX	231
16.1 PILLAR 3 CROSS-REFERENCE TABLE	232
16.2 INDEX OF THE TABLES IN THE RISK REPORT	233
16.3 MAPPING TABLE OF EXPOSURE CLASSES	236
16.4 GLOSSARY	237

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