Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

TABLE 68: CREDIT DERIVATIVES EXPOSURES (CCR6)

31.12.2019

Credit derivative hedges

Other credit derivatives

Protection bought

Protection sold

(In EURm)

Notionals Single-name credit default swaps

-

-

147,689

Index credit default swaps

-

-

74,288

Total return swaps

-

-

802

Credit options

-

- - - - - -

1,223

Other credit derivatives

2,466

17,030

TOTAL NOTIONALS

2,466

241,033

FAIR VALUES

-

-

Positive fair value (asset) Negative fair value (liability)

1

5,027

(17)

(3,908)

The table as at 31 December 2018 has been modified as follows:

31.12.2018

Credit derivative hedges

Other credit derivatives

Protection bought

Protection sold

(In EURm)

Notionals Single-name credit default swaps

-

-

175,685

Index credit default swaps

-

-

93,023

Total return swaps

-

-

514

Credit options

-

- - -

6,459

Other credit derivatives

420

15,369

TOTAL NOTIONALS

420

291,050

FAIR VALUES

Positive fair value (asset) Negative fair value (liability)

3

- -

4,641

(0)

(4,445)

142

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |