Société Générale / Risk Report - Pillar III

CONTENTS

1 KEY FIGURES 2 RISK FACTORS Types of risks 2.1

8 MARKET RISK Organisation of market risk management 8.1 Market risk monitoring process 8.2 Valuation of financial instruments 8.3 Risk-weighted assets and capital requirements 8.5 Market risk RWA and capital requirements – 8.6 Additional quantitative information 9 OPERATIONAL RISK Organisation of operational risk management 9.1 Market risk main measures 8.4

1

163 164 165 166 167 173

5

6 7

Risk factors 2.2

3 RISK MANAGEMENT ORGANISATION Suitability of risk management systems 3.1 Summary of the Group's risk profile in 2019 3.2 Risk appetite – General framework 3.4 Risk management organisation 3.5 Risk mapping framework and stress test s 3.6 4 INTERNAL CONTROL FRAMEWORK Internal control 4.1 Control of the production and publication of 4.2 financial management information Risk appetite 3.3

176

17 18 18 19 22 23 25

179 180 182 184 186 187

Operational risk monitoring process 9.2 Operational risk measurement 9.3

Risk-weighted assets and capital requirements 9.4

Operational risk insurance 9.5

10

27

STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS Organisation of the management of structural 10.1 interest rate and exchange rate risks

28

189

31

190 191 193

5 5.1

Structural interest rate risk 10.2 Structural exchange rate risk 10.3 11 LIQUIDITY RISK Governance and organisation 11.1

CAPITAL MANAGEMENT AND ADEQUACY The regulatory framework

35

36 37 43 46 48 49 49 50 50

Scope of application – Prudential scope 5.2

195 196 197 198 199 202 202 204

Regulatory capital 5.3

Risk-weighted assets and capital requirements 5.4

The Group’s principles and approach to liquidity 11.2 risk management

Capital management 5.5 TLAC and MREL ratios 5.6

Refinancing strategy 11.3

Leverage ratio management 5.7 Ratio of large exposures 5.8 Financial conglomerate ratio 5.9

Disclosure on asset encumbrance 11.4

Liquidity reserve 11.5 Regulatory ratios 11.6

Appendix: details of own funds and capital 5.10 adequacy CREDIT AND COUNTERPARTY CREDIT RISK Credit and counterparty credit risk monitoring 6.1 and surveillance system 6

Balance sheet schedule 11.7 12 COMPLIANCE RISK, LITIGATION Compliance 12.1

51

209

65

211 215

Disputes 12.2 13 MODEL RISK

66 68 69 71 74 84

Credit risk hedging 6.2

217 218

Impairment 6.3

Counterparty credit risk 6.4

Model risk monitoring 13.1

14

Risk measurement and internal ratings 6.5

RISKS RELATED TO INSURANCE ACTIVITIES

Quantitative information 6.6

219 220 220 221 222 224 224 225 225

Additional quantitative information on global 6.7 credit risk (credit and counterparty risk)

Management of insurance risks 14.1

96

Insurance risk modelling 14.2

Credit risk detail 6.8

107 134

15 OTHER RISKS Equity risks 15.1

Counterparty risk detail 6.9 7 SECURITISATION

147 148 149 150 150 151 158

Residual value risk 15.2

7.1

Securitisations and regulatory framework

Strategic risks 15.3

Accounting methods 7.2

Environmental and social risks 15.4

Structured entities' specific case 7.3 Management of securitisation risks 7.4 Societe Generale’s securitisation activities 7.5 Prudential treatment of securitisation positions 7.6

Conduct risk 15.5

16 APPENDIX Pillar 3 cross-reference table 16.1

227

228 229 232 233

index of the tables in the Risk Report 16.2 Mapping table of exposure classes 16.3

Glossary 16.4