Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

COUNTERPARTY RISK DETAIL 6.9

Amounts indicated in this section correspond solely to counterparty risk ( i.e. without credit risk).

BREAKDOWN OF COUNTERPARTY RISK – OVERVIEW

TABLE 62: COUNTERPARTY CREDIT RISK EXPOSURE, EAD AND RWA BY APPROACH AND EXPOSURE CLASS

31.12.2019

IRB

Standard

Total

(In EURm)

Exposure class

Exposure

EAD

RWA Exposure

EAD

RWA Exposure

EAD

RWA

Sovereign

22,843

22,954

302

3

3

-

22,845

22,956

302

Institutions

20,006

20,005

2,901

29,209

29,209

1,035

49,215

49,215

3,936

Corporates

44,030

43,919

10,639

1,042

1,042

826

45,072

44,961

11,465

Retail Other

189

189

9

1

1

1

190 199

190 199

11

9

9

-

189

189

189

189

TOTAL

87,077

87,077

13,852

30,444

30,444

2,052 117,521 117,521

15,904

31.12.2018

IRB

Standard

Total

(In EURm)

Exposure class

Exposure

EAD

RWA Exposure

EAD

RWA Exposure

EAD

RWA

Sovereign

17,455 19,974 47,873

17,532 19,974 47,796

662

1

1

1

17,456 51,113 50,156

17,533 51,113 50,079

662

Institutions

3 826

31,139

31,139

1,113 2,189

4,940

Corporates

12,526

2,283

2,283

14,715

Retail

388

388

61

287 436

1

1

675 443

389 443

62

Others

7

7

0

436

448

448

TOTAL

85,696 85,696 17,074 34,146 33,861

3,752 119,843 119,557 20,827

Both tables display amounts excluding CVA (Credit Valuation Adjustment). CVA amounted to EUR 2.6 billion at 31 December 2019 (vs. EUR 4.9 billion at 31 December 2018).

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