Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY

RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS

Changes in risk-weighted assets and capital requirements TABLE 9: GROUP CAPITAL REQUIREMENTS AND RWA (OV1)

RWA

Minimum capital requirements

(In EURm)

31.12.2019

31.12.2018

31.12.2019

31.12.2018

Credit risk (excluding counterparty credit risk)

251,113

264,787 102,225

20,089

21,183

o.w. Standardised approach

93,302

7,464

8,178

o.w. Foundation IRB (FIRB) approach o.w. Advanced IRB (AIRB) approach

4,725

4,588

378

367

133,026 20,061 19,567

142,795 15,178 26,834

10,642 1,605 1,565

11,424 1,214 2,147

o.w. equity IRB under the simple risk-weighted approach or IMA

Counterparty credit risk

o.w. risk exposure for contributions to the default fund of a CCP

1,077 2,586

1,103 4,904

86

88

o.w. CVA

207

392

Settlement risk

41

6

3

-

Securitisation exposures in the banking book (after cap)

3,762

2,199

301

176

o.w. IRB approach

70

95 78

6

8 6

o.w. IRB supervisory formula approach (SFA) o.w. Internal assessment approach (IAA)

1,860 1,766

149 141

1,842

147

o.w. Standardised approach

66

184

5

15

Market risk

14,513

23,701

1,161

1,896

o.w. Standardised approach

1,373

2,444

110

196

o.w. IMA

13,140

21,257

1,051

1,701

Large exposures Operational risk

-

-

47,961

49,621

3,837

3,970

o.w. Basic indicator approach o.w. Standardised approach

-

-

-

-

2,470

2,872

198

230

o.w. Advanced measurement approach

45,491

46,749

3,639

3,740

Amounts below the thresholds for deduction (subject to 250% risk-weighting)

8,052

8,902

644

712

Floor adjustment

-

-

-

-

TOTAL

345,010

376,049

27,601

30,084

TABLE 10: DISTRIBUTION OF RWA BY CORE BUSINESS AND RISK TYPE

Credit

Market Operational

Total 2019 Total 2018

(In EURbn)

French Retail Banking

92.4

0.1

5.3

97.8

97.6

International Retail Banking and Financial Services

108.3

0.1

6.9

115.3

119.7

Global Banking and Investor Solutions

72

13.5

32.2

117.7

142.3

Corporate Centre

9.8

0.8

3.5

14.1

16.5

Group

282.5

14.5

48.0

345.0

376.0

As at 31 December 2019, RWA (EUR 345.0 billion) were distributed as follows: credit risk accounted for 82% of RWA (of which 38% for International p Retail Banking and Financial Services);

market risk accounted for 4% of RWA (of which 93% for Global p Banking and Investor Solutions); operational risk accounted for 14% of RWA (of which 67% for Global p Banking and Investor Solutions).

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