Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

TABLE 67: EAD AND RWA TOWARDS CENTRAL COUNTERPARTIES (CCP) (CCR8)

31.12.2019

31.12.2018

EAD

RWA

EAD

RWA

(In EURm)

Exposures to QCCPs

32,252

1,454

40,233

1,702

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which:

16,225

326

20,325

413

OTC derivatives „

1,108

23

2,493

50

Exchange-traded derivatives „

13,551

271

16,362

334

Securities financing transactions „

1,323

26

964 505

19 10

Netting sets where cross-product netting has been approved „

243

6

Segregated initial margin

9,731

-

7,007

-

Non-segregated initial margin

2,525

51

9,273

185

Pre-funded default fund contributions

3,771

1,077

3,628

1,103

Alternative calculation of own funds requirements for exposures

-

-

-

13

Exposures to non-QCCPs

-

-

-

-

Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which:

- - - - -

- - - - -

- - - - -

- - - - -

OTC derivatives „

Exchange-traded derivatives „

Securities financing transactions „

Netting sets where cross-product netting has been approved „

Segregated initial margin

-

-

-

-

Non-segregated initial margin

-

-

-

-

Pre-funded default fund contributions

- -

- -

- -

- -

Unfunded default fund contributions

141

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