Société Générale / Risk Report - Pillar III

7 SECURITISATION

PRUDENTIAL TREATMENT OF SECURITISATION POSITIONS

REGULATORY CAPITAL REQUIREMENTS The following tables show the bank’s securitisation exposures and corresponding regulatory capital requirements for the banking book at 31 December 2019 and at 31 December 2018. The implementation of STS securitisation transactions has an impact on the prudential treatment of these transactions. Therefore the structure of the tables has been adapted to take into account this specificity in terms of approach but also in terms of weighting.

It is important to mention that, in 2019, the conditions of eligibility for this new STS classification applied only to new operations. Starting from 2020, the entire securitisation stock will be subject to this classification and some operations could potentially be qualified as STS.

TABLE 84: AMOUNTS OF SECURITISED EXPOSURES RETAINED OR PURCHASED IN THE BANKING BOOK BY APPROACH AND BY RISKWEIGHT

2019 Exposure at Defaut (EAD)

Capital Requirements

(In EURm)

Securisation Re-securisation Securisation

Re-securisation

Risk wieght band

STS Non STS STS Non STS STS Non STS STS Non STS

≤ 20% RW

-

662

-

-

-

6

-

-

> 20% à 50% RW

-

7

-

-

-

-

-

-

Exposures values by RW bands / deductions

> 50% à 100% RW

-

-

-

-

-

-

-

-

> 100% à 1250% RW 1250% deductions

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

-

SEC-IRBA

-

10,104

-

-

-

149

-

-

SEC-ERBA (including IAA)

Exposures values by regulatory approach

-

20,205

-

-

-

141

-

-

SEC-SA

946

336

-

-

-

5

-

-

1250% / deductions

-

16

-

-

-

16

-

-

TOTAL BANKING BOOK

946 31,330

-

-

-

317

-

-

As at 31 December 2019, 97% of banking book securitisation exposures were non-STS. 65% of exposures were weighted using the SEC-ERBA / IAA method, 32% using the SEC-IRBA.

2018 Exposure at Defaut (EAD)

Capital Requirements Securisation Re-securisation Securisation Re-securisation

(In EURm)

Risk weight band

STS Non STS STS Non STS STS Non STS STS Non STS

≤ 20% RW

- - - - -

951

- - - - -

- - - - -

- - - - -

8

- - - - -

- - - - -

> 20% à 50% RW

7

- - - -

Exposures values by RW bands / deductions

> 50% à 100% RW

- - -

> 100% à 1250% RW 1250% deductions

SEC-IRBA

-

337

-

-

-

6

-

-

SEC-ERBA (including IAA)

Exposures values by regulatory approach

- - -

21,885

- - -

- - -

- - -

147

- - -

- - -

SEC-SA

40

15

1250% / deductions

5

5

TOTAL BANKING BOOK

-

23,224

-

-

-

181

-

-

159

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020