Société Générale / Risk Report - Pillar III

10 STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS STRUCTURAL EXCHANGE RATE RISK

STRUCTURAL EXCHANGE RATE RISK 10.3

This structural exchange rate risk results mainly from: exposures related to net investments abroad, i.e. in subsidiaries and p branches; exposures related to other banking book transactions. p The Group's policy is to make the CET1 ratio insensitive to fluctuations in exchange rates against the euro.

As such, Group entities are only allowed to maintain residual positions against their local reference currency. At central Finance Department level, Societe Generale maintains a target exposure in each RWA currency equivalent to the level of the target Group CET1 ratio. For each currency, the difference between actual and target exposure is governed by limits validated by the Finance Committee and the Board of Directors.

TABLE 102: SENSITIVITY OF THE GROUP’S COMMON EQUITY TIER 1 RATIO TO A 10%CHANGE IN THE CURRENCY (IN BASIS POINTS)

Impact of a 10% currency depreciation on the Common Equity Tier 1 ratio

Impact of a 10% currency appreciation on the Common Equity Tier 1 ratio

31.12.2019

31.12.2018

31.12.2019

31.12.2018

Currency

DZD

-

-

-

-

USD

-

(1)

-

1

JPY

-

-

-

-

CZK

-

-

-

-

GBP

-

-

-

-

CNY

-

-

-

-

DKK

-

-

-

MAD

-

-

-

-

XAF

- -

-

- -

-

Other

(2)

2

193

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020