Société Générale / Risk Report - Pillar III

16 APPENDIX

INDEX OF THE TABLES IN THE RISK REPORT

7

78

Amounts of securitised exposures retained or purchased by type of underlying assets in the banking book Amounts of securitised exposures retained or purchased by type of underlying assets in the trading book Amounts of securitised exposures retained or purchased by region in the banking book and in the trading book Quality of securitisation positions retained or purchased by type of underlying assets in the banking book Quality of securitisation positions retained or purchased by type of underlying assets in the trading book Credit rating agencies used in securitisations by type of underlying assets Amounts of securitised exposures retained or purchased in the banking book by approach and by Risk Weight Amounts of securitised exposures retained or purchased in the trading book by approach and by Risk Weight Securitisation exposures deducted from own funds by type of underlying assets Regulatory capital requirements relating to securitisations held or purchased in the trading book

154

7

79

155

7

80

155

7

81

156

7

82

157

7

83

158

7

84

159

7

85

160

7

86

161

7

87

161

7 8 8 8 8 8 8 8 8 8

88 89 90 91 92 93 94 95 96 97

Re-securitisation positions retained or purchased Regulatory ten-day 99% VaR and one-day 99% VaR Regulatory ten-day 99% SVaR and one-day 99% SVaR

161 168 170 174 175 175 176 176 177 178 186 192 192 193 200 200 201 202 203 204 222 223 223 178

33 34 35 36 37

215 218 222 222 223

IRC (99.9%) and CRM (99.9%)

Market risk capital requirements and RWA by risk factor Capital requirements and RWA by type of market risk

Market risk under Standardised approach Market risk under Internal Model approach Internal Model values in trading portfolios

MR1

MR2-A

MR3

Annual RWA flow statements of market risk exposures under IMA (Internal Model Approach) Quarterly RWA flow statements of market risk exposures under IMA (Internal Model Approach) RWA and capital requirements relating to operational risk Sensitivity of the Group's value to a +10 bp interest rate variation

MR2-B

8

98

MR2-B

9

99

38 39 40 41

230 233 233 234

10 10 10 11 11 11 11 11 11 15 15 15

100 101 102 103 104 105 106 107 108 109 110 111

Sensitivity of the Group’s interest margin

Sensitivity of the Group's Common Equity Tier 1 ratio to a 10% change in the currency (in basis points)

Encumbered and unencumbered assets

AE-ASS AE-COL AE-SOU

Collateral received

Sources of encumbrance

42

Liquidity reserve

237

Liquidity Coverage Ratio Balance sheet schedule

EU-LIQ1

43 44 45 46

238 251 252 252

Shares and equities in the banking book

Net gains and losses on banking book shares and equities

Capital requirements relating to banking book shares and equities

(1) Universal Registration Document

231

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020