Société Générale / Risk Report - Pillar III
6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL
31.12.2019
Average maturity
RWA density
(In EURm)
PD scale EAD post CRM Average PD Average LGD
RWA
Retail – Other non – SME
0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default)
11
0.03% 0.20% 0.34% 0.53%
12.30% 5.00 11.50% 5.00 46.00% 5.00 28.75% 5.00
0 1.29% 9 4.94% 0 27.90% 0 22.64%
177
1 0
- - - -
- - - -
- - - -
- - - -
- - - -
- - - -
Sub-total Sub-total
189
0.19%
11.79% 5.00
9 4.90%
SECURITISATION POSITIONS
9
-
-
0.00%
TOTAL
86,567
0.43%
21.15% 1.52 13,841 15.99%
The table as at 31 December 2018 has been modified as follows to take into account the integration of default for each exposure class (probability of default equal to 100%):
31.12.2018
Average maturity
RWA density
(In EURm)
PD scale EAD post CRM Average PD Average LGD
RWA
Central governments and central banks
0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) 0.00 to <0.15 0.15 to <0.25 0.25 to <0.50 0.50 to <0.75 0.75 to <2.50 2.50 to <10.00 10.00 to <100.00 100.00 (default) Sub-total Sub-total
16,916
0.02%
12.04% 1.29
285 1.68%
-
-
-
-
-
-
174
0.26% 0.50% 1.10% 7.54%
44.70% 1.00 45.00% 2.45 21.54% 0.98 45.00% 1.89
65 37.12% 46 73.25% 115 39.18% 152 176.36%
62
293
86
- -
- -
- -
- -
- -
- -
17,532 16,708
0.07% 0.04%
12.80% 1.29 23.38% 1.72
662 3.77% 1,600 9.58%
Institutions
-
-
-
-
-
-
1,646
0.26% 0.50% 1.34% 4.31% 15.83% 0.29% 0.10% 0.16% 0.26% 0.50% 1.55% 3.71% 15.75% 100.00% -
31.17% 1.89 43.99% 1.89 38.82% 1.47 40.60% 1.25 19.43% 1.30 27.98% 3.08 8.14% 5.00 31.48% 1.44 31.51% 2.37 32.29% 2.07 36.25% 1.35 35.11% 1.85 37.67% 2.17 27.52% 2.60 - -
630 38.29% 292 68.71% 802 91.65% 199 131.01% 302 181.44% 7 19.82% 11 11.60% 6 22.92% 15 38.76% 37 61.04% 109 82.96% 14 141.66% 13 296.72% 211 53.11% - -
426 875 152 167
-
19,974
25.23% 1.72 3,826 19.16%
Corporate – SME
34 94 24 39 60
132
10
4
Sub-total
398
3.04%
136
PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |
Made with FlippingBook Ebook Creator