Société Générale / Risk Report - Pillar III
6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL
TABLE 69: CREDIT DERIVATIVES EXPOSURES - PROTECTIONS BOUGHT This table presents the notional value of credit derivative hedges by exposure class. Besides, the data as at 31 December 2018 presented below have undergone modifications.
31.12.2019
31.12.2018
(In EURm)
Sovereign
-
-
Institutions
2,466
420
Corporates
-
-
Retail
- -
- -
Others
TOTAL
2,466
420
TABLE 70: IMPACT OF NETTING AND COLLATERAL HELD ON EXPOSURE VALUES (CCR5-A)
31.12.2019
Netted current credit exposure
Gross positive fair value or net carrying amount
Netting benefits
Collateral held
Net credit exposire
(In EURm)
Derivatives
249,486
217,764
48,677
19,600
26,041
SFTs
728,078
252,487
581,563
447,511
65,658
Cross-product netting
9,680
47,938
60,051
9,642
2,470
TOTAL
987,244
518,189
690,291
476,753
94,170
The concept of net credit exposure presented in this table differs from that of EAD, insofar as other parameters not included here may be involved in the calculation of regulatory exposure (regulatory haircuts, add-ons...).
TABLE 71: BREAKDOWN OF COLLATERAL FOR COUNTERPARTY CREDIT RISK EXPOSURES (CCR5-B)
31.12.2019
Collateral used in derivative transactions
Collateral used in SFTs
Fair value of collateral received
Fair value of posted collateral
Fair value of collateral received
Fair value of posted collateral
(In EURm)
Cash
24,186
22,125
14,418
22,569
Banks/Broker-dealers
27
576
58,188
64,052
Central Counterparties
-
8,238
8,262
5,620
Government-sponsored entities/ Government Agencies
-
-
-
-
0
-
3
107
Hedge funds
Insurance and Financial Guaranty Firms
4
10
864
2,647
Mutual funds
179
-
823
2,444
Nonfinancial corporations
464
1,437
25,488
60,671
Pension Plans
0
-
2
-
4,391
2,393 230,186
241,977
Sovereign national governments
SPVs, SPCs, and SPEs
- -
- -
-
186
Supranationals
1,561
1,557
143
| SOCIETE GENERALE GROUP | PILLAR 3 - 2020
Made with FlippingBook Ebook Creator