Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL

TABLE 50: STANDARDISED APPROACH – CREDIT RISK EXPOSURE AND CREDIT RISKMITIGATION EFFECTS (CRM) (CR4)

The credit conversion factor (CCF) is the ratio between the current undrawn part of a credit line which could be drawn and would therefore be exposed in the event of default and the undrawn part of this credit line. The significance of the credit line depends on the authorised limit, unless the unauthorised limit is greater.

The concept of “credit risk mitigation” (CRM) is the technique used by an institution to reduce the credit risk associated with its exposures. Amounts indicated in this table are without securitisation and contributions to default funds of CCPs.

31.12.2019 Exposures before CCF and CRM Exposures post-CCF and CRM RWA and RWA density

(In EURm)

On-balance sheet amount

Off-balance sheet amount

On-balance sheet amount

Off-balance sheet amount

RWA density

Asset classes

RWA

Central governments or central banks

7,798

126

7,928

21

7,980

100%

Regional government or local authorities

644

76

661

33

206

30%

Public sector entities

405

16

389

4

120

31%

Multilateral development banks

422

21

545

-

-

0%

International organisations

-

-

-

-

-

Institutions

6,233

5,666

13,299

1,293

2,631

18%

Corporates

41,170

15,330

32,997

3,160

33,280

92%

Retail

39,941

6,486

31,353

1,546

22,382

68%

Secured by mortgages on immovable property

14,586

482

14,547

189

6,273

43%

Exposures in defaul

2,856

418

2,805

97

3,100

107%

Higher-risk categories

296

154

295

77

561

151%

Covered bonds

-

-

-

-

-

Institutions and corporates with a short term credit assessment

-

-

-

-

-

Collective investment undertakings

65

4

65

2

67

100%

Equity

1,636

- -

1,636

- -

1,942

119%

Other items

29,664

29,664

22,811

77%

TOTAL

145,716

28,780

136,185

6,421 101,354

71%

110

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |