Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY

RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS

TABLE 8: CET1 REGULATORY DEDUCTIONS AND ADJUSTMENTS UNDER CRR/CRD4

31.12.2019

31.12.2018

(In EURm)

Unrecognised minority interests

(2,158)

(1,917)

Deferred tax assets

(1,903)

(2,079)

Prudent Valuation Adjustment

(935)

(844)

Adjustments related to changes in the value of own liabilities

217

107

Other

(577)

(523)

TOTAL CET1 REGULATORY DEDUCTIONS AND ADJUSTMENTS

(5,356)

(5,256)

CRR/CRD4 prudential deductions and restatements included in “Other” essentially involve the following: any positive difference between expected losses on customer loans p and receivables, measured according to the internal ratings-based (IRB) approach, and the sum of related value adjustments and impairment losses;

expected losses on equity portfolio exposures; p unrealised gains and losses on cash flow hedges; p

assets from defined benefit pension funds, net of deferred taxes; p securitisation exposures weighted at 1,250%, where these positions p are not included in the calculation of total risk-weighted exposures.

RISK-WEIGHTED ASSETS AND CAPITAL 5.4 REQUIREMENTS

The Basel 3 agreement established the rules for calculating risk requirements for operations allowing the use of two minimal approaches for capital requirements in order to more accurately assess the risks to which banks are exposed. The calculation of credit

risk weight takes into account the transaction risk profile based on two approaches for determining risk-weighted assets: a standardised method and advanced methods based on internal models for rating

counterparties.

46

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |