Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

TABLE 65: COUNTERPARTY CREDIT RISK EAD BY GEOGRAPHIC REGION ANDMAIN COUNTRIES

31.12.2019

31.12.2018

(In EURm)

Counterparty Risk

EAD

EAD

France

17,569

20,443

United Kingdom

11,319

14,699

Germany

8,589

9,324

Luxembourg

9,954

4,367

Other Western European countries

13,042

11,320

Czech Republic

8,908

9,563

Other Eastern European countries EU

1,025

851

Eastern Europe excluding EU

2,049

1,751

Africa and Middle East

1,222

1,478

United States

27,283

27,571

Other countries of North America

1,892

2,258

Latin America and Caribbean

1,969

1,535

Japan

3,610 9,092

4,349

Asia-Pacific

10,049

TOTAL

117,521

119,557

TABLE 66: ANALYSIS OF COUNTERPARTY CREDIT RISK EXPOSURE BY APPROACH (CCR1)

Subject to supervisor approval, the Internal Model Method (IMM) enables the use of an internal model to calculate the Effective Expected Positive Exposure (EEPE), multiplied by a regulatory factor

called "alpha" as defined in Article 284-4 of Regulation (EU) 575/2013. For Societe Generale Group, it is 1.5. The aim of the internal model is to

determine exposure profiles.

31.12.2019

Potential future credit exposure

Replacement cost / current market value

EAD post

Notional

EEPE Multiplier

CRM RWAs

(In EURm)

Mark to market

5,831

19,340

23,618

3,479

Original exposure Standardised approach IMM (for derivatives and SFTs)

42,765

1.5

64,148

11,623

Of which securities financing transactions Of which derivatives and long settlement transactions Of which from contractual cross - product netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (for SFTs)

19,356

1.5

29,033

1,440

23,410

1.5

35,114

10,184

4,292

416

VaR for SFTs TOTAL

15,519

140

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |