Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY

APPENDIX: DETAILS OF OWN FUNDS AND CAPITAL ADEQUACY

TABLEAU 19: MAIN SOURCES OF DIFFERENCES BETWEEN REGULATORY EXPOSURE AMOUNTS AND CARRYING AMOUNTS IN FINANCIAL STATEMENTS (LI2)

Consolidated balance sheet within the prudential scope

Subject to counterparty risk

Subject to the securitisation framework

Subject to credit risk

Subject to market risk

(In EURm)

Asset carrying value amount under the scope of regulatory consolidation (as per template EU LI1) Liabilities carrying value amount under the scope of regulatory consolidation (as per template EU LI1)

1,195,209

762,801

311,444

402,909

11,894

(261,983)

-

(261,983)

(379,869)

-

TOTAL NET AMOUNT UNDER REGULATORY SCOPE OF CONSOLIDATION

933,226

762,801

49,461

23,040

11,894

Off-balance sheet amounts

212,213

191,831 -

20,382

Differences due to Credit Conversion Factor (CCF) Differences due to considerations for provisions in AIRB approach

(118,130)

(118,130)

-

-

7,161

7,161

-

-

Differences due to Credit Risk Mitigation (CRM) techniques

(9,410)

(9,410)

-

-

Re-assessment of regulatory exposure

(92,919) (13,977)

(51,910) (13,977)

68,060

- -

Others

-

EXPOSURE AMOUNTS CONSIDERED FOR REGULATORY PURPOSES (EAD)

918,164

768,367

117,521

32,276

The table above features the various effects inducing the difference between accounting carrying values on prudential perimeter and regulatory exposures (EAD), split by type of risk. As per BCBS recommendations relayed by the EBA in its report EBA/Rep/2020/09, total accounting carrying values correspond to those displayed in table LI1 without elements deducted from own funds. The main factors illustrated by this table are the following ones: Inclusion of gross off-balance sheet amounts: financing and p guarantee commitments relating to credit risk as well as securitisation exposures;

Impact of the application of CCF on credit risk off-balance sheet p amounts; Reintegration of provisions associated with exposures treated under p advanced method, insofar as initial accounting carrying values are net of provisions while credit risk EAD in advanced method is gross; Impact on EAD treated under Standardised approach of some Credit p Risk Mitigation elements (cash collateral); Regulatory reevaluation of exposures, including: p prudential netting of credit and counterparty risk, - deduction of items subject to market risk that do not generate - EAD.

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PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |