Société Générale / Risk Report - Pillar III
6 CREDIT AND COUNTERPARTY CREDIT RISK CREDIT RISK DETAIL
TABLE 59: SPECIALISED LENDING AND EQUITIES – INTERNAL APPROACH (CR10)
31.12.2019 Specialised lending
(In EURm)
On-balance sheet amount
Off-balance sheet amount Risk weight
Exposure amount
Expected losses
Regulatory categories
Remaining maturity Less than 2.5 years Equal to or more than 2.5 years Less than 2.5 years Equal to or more than 2.5 years Less than 2.5 years Equal to or more than 2.5 years Less than 2.5 years Equal to or more than 2.5 years Less than 2.5 years Equal to or more than 2.5 years Less than 2.5 years Equal to or more than 2.5 years
RWAs
Category 1
292
1,615
50%
815
397
-
34
104 361
70% 70%
58
40
0 2
Category 2
280
437
279
18 35
40 72
90%
34 60
30 66
0 2
Category 3
115%
1 6
1 2
115% 250%
1 7
1
0 1
Category 4
14
-
0 1
250%
0
0
0 5
Category 5
18
0%
18
-
-
1
0%
0
-
0 9
Total
631
2,051
1,337
756
53
146
92
71
1
Equities under the simple risk-weighted approach Categories
On-balance sheet amount
Off-balance sheet amount Risk weight
Exposure amount
Capital requirements
RWAs
Private equity exposures Exchange-traded equity exposures Other equity exposures
185
-
190%
185
352
28
38
- -
290% 370%
38
111
9
5,297
5,297
19,599
1,568
TOTAL
5,520
-
5,520
20,061
1,605
31.12.2018 Specialised lending
(In EURm)
On-balance sheet amount
Off-balance sheet
Regulatory categories
Exposure amount
Expected losses
Remaining maturity Less than 2.5 years
amount Risk weight
RWAs
Category 1
238
1,480
50% 70% 70% 90%
705
352
1 0 2 0 1 0 1 0 9 0
Equal to or more than 2.5 years
24
45
40
28
Category 2
Less than 2.5 years
217
331
349
244
Equal to or more than 2.5 years
12 33
7
14 50
13 58
Category 3
Less than 2.5 years
53
115% 115% 250% 250%
Equal to or more than 2.5 years
1 6 0
0
1
1
Category 4
Less than 2.5 years
21
14
35
Equal to or more than 2.5 years
0 1 2
0
0 0 0
Category 5
Less than 2.5 years
19
0% 0%
19
Equal to or more than 2.5 years
0
0
Total
Less than 2.5 years
513
1,886
1,137
689
14
Equal to or more than 2.5 years
37
55
55
42
0
Equities under the simple risk-weighted approach
On-balance sheet amount
Off-balance sheet
Exposure amount
Capital requirements
Categories
amount Risk weight
RWAs
Private equity exposures Exchange-traded equity exposures Other equity exposures
197
0
190%
197
375
30
18
0 0
290%
18
52
4
3,987
370% 3,987
14,751
1,180
TOTAL
4,202
0
4,202
15,178
1,214
132
PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |
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