Société Générale / Risk Report - Pillar III

6 CREDIT AND COUNTERPARTY CREDIT RISK COUNTERPARTY RISK DETAIL

TABLE 72: RWA AND CAPITAL REQUIREMENTS FLOWSTATEMENTS OF COUNTERPARTY CREDIT RISK EXPOSURES UNDER IRB APPROACH (CCR7) IMM is the internal model method applied to calculate exposures to counterparty credit risk. The banking models used are subject to approval of the supervisor. Application of these internal models has an impact on the method used to calculate the EAD of market transactions but also on the Basel maturity calculation method.

RWA amounts – IRB hors IMM

Capital requirements – IRB hors IMM

RWA amounts – IRB IMM

RWA amounts – Total IRB

Capital requirements – IRB IMM

Capital requirements – Total IRB

(In EURm)

RWA as at end of previous reporting period (31.12.2018)

12,449

4,625

17,074 (2,610)

996 (63) (18)

370

1,366

Asset size

(787) (221)

(1,823)

(146)

(209)

Credit quality of counterparties

(21)

(242)

(2)

(19)

Model updates

- - -

-

-

- - -

-

-

Methodology and policy

(620)

(620)

(50)

(50)

Acquisitions and disposals

(3)

(3)

(0)

(0)

Foreign exchange movements

153

73

226

12

6

18

Other

78

(52)

27

6

(4)

2

RWA as at end of reporting period (31.12.2019)

11,672

2,180

13,852

934

174

1,108

The table above displays data without CVA (Credit Valuation Adjustment) which amounts to EUR 2.6 billion in advanced method.

TABLE 73: EXPOSURE AND RWA RELATING TO CREDIT VALUATION ADJUSTMENT (CVA) (CCR2)

31.12.2019

31.12.2018

Exposure value

RWA Exposure value

RWA

(In EURm)

Total portfolios subject to the Advanced Method

33,457

2,276

35,461

4,074

(i) VaR component (including the 3×multiplier)

-

318

-

602

(ii) Stressed VaR component (including the 3×multiplier)

-

1,959

-

3,471

All portfolios subject to the Standardised Method

5,611

310

8,759

830

Based on Original Exposure Method

-

-

-

-

TOTAL SUBJECT TO THE CVA CAPITAL CHARGE

39,068

2,586

44,220

4,904

144

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |