Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY

APPENDIX: DETAILS OF OWN FUNDS AND CAPITAL ADEQUACY

COUNTERCYCLICAL BUFFER DETAILS The rate of countercyclical capital buffer (or CCyB) is defined by country. The countercyclical capital buffer requirement is calculated by averaging the countercyclical rates of each country, weighted by the exposures relevant to credit risk in those countries. The rate of countercyclical capital buffer, which came into effect on 1 January 2016, is generally between 0% and 2.5% per country, with a transitional period that ended in 2019. In France, the authority in

charge of defining the countercyclical rate applicable to exposures in France and in charge of recognising any rates applicable in other countries is the High Council for Financial Stability (HCSF). The HCSF publishes quarterly the CCyB rate for France and the rates recognised for third countries. The rate applicable to the Group is recalculated whenever a country is subject to a rate change. As a result, there is no annual rate for this cushion, but a rate applicable on a given date.

TABLE 16: GEOGRAPHICAL DISTRIBUTION OF CREDIT EXPOSURES RELEVANT FOR THE CALCULATION OF THE COUNTERCYCLICAL CAPITAL BUFFER (CCYB1)

31.12.2019

General credit exposures

Trading book exposures

Securitisation exposures

Own funds requirements

Own funds require- ments weights

Counter- cyclical capital buffer rate

Sum of long and short positions of trading book exposures for SA

Value of book exposures for internal

of which: General credit exposures

of which: Trading book exposures

of which: Securiti- sation exposures Total

(In EURm) Bulgaria Czech Republic France Norway Slovakia Sweden Hong Kong

Standard IRB

models Standard IRB

1

259

-

-

-

-

6

-

-

6

0 0.50%

3,375 25,609

- -

(1) 46

- - - - - - - - - -

- -

980

0 1

- -

980

5 1.50% 0 1.00% 49 0.25% 1 2.50% 0 1.50% 0 2.50% 0 2.00% 0 1.00% 0 1.75% 0 1.00%

Danemark 1,160

654

95

95

45,580 247,738

19

1,015

11,352 10,044

14

138 10,196

866 3,371

- - - - - - -

58

- - - -

185

0 0 7 0 2

- - - -

186

950

184

1

82 84 27 96

82 91 27

585 1,349 127 1,540 185 4,504

250

73 53

Ireland Iceland

835

6

103

0 0

1 0

- -

- -

0 0

- -

- -

0 0

Lithuania

United Kingdom 4,870 13,185

-

817

-

1,293

582

17

9

608

3 1.00%

TOTAL

57,699 298,394

19

2,314

- 13,481 12,180

41

153 12,374

0.28%

TABLE 17: COUNTERCYCLICAL CAPITAL BUFFER REQUIREMENTS (CCYB2)

31.12.2019

31.12.2018

Total risk exposure amount (in EURm)

345,010

376,049

Institution specific countercyclical capital buffer (rate)

0.28%

0.11%

Institution specific countercyclical capital buffer requirement (in EURm)

951

419

59

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