Société Générale / Risk Report - Pillar III

7 SECURITISATION

PRUDENTIAL TREATMENT OF SECURITISATION POSITIONS

TABLE 85: AMOUNTS OF SECURITISED EXPOSURES RETAINED OR PURCHASED IN THE TRADING 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

-

108

-

-

-

1

-

-

> 20% à 50% RW

29

390

-

-

-

7

-

-

Exposures values by RW bands / deductions

> 50% à 100% RW

44

-

-

-

5

-

-

> 100% à 1250% RW 1250% deductions

-

62

-

-

-

7 2

-

-

-

-

-

-

-

-

-

SEC-IRBA

-

-

-

-

-

-

-

-

SEC-IAA

-

-

-

-

-

-

-

-

Exposures values by regulatory approach

SEC-SA

-

-

-

-

-

-

-

-

1250% / deductions

-

12

-

-

-

9

-

-

TOTAL TRADING BOOK

29

616

-

-

-

31

-

-

2018 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

- - - - -

187

- - - - -

- - - - -

- - - - -

1 1 3

- - - - -

- - - - -

> 20% à 50% RW

78 36

Exposures values by RW bands / deductions

> 50% à 100% RW

> 100% à 1250% RW 1250% deductions

-

-

-

-

SEC-IRBA

-

-

-

-

-

-

-

-

SEC-ERBA (including IAA)

Exposures values by regulatory approach

- - -

- -

- - -

- - -

- - -

- -

- - -

- - -

SEC-SA

1250% / deductions

9

10

TOTAL TRADING BOOK

-

310

-

-

-

16

-

-

160

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |