Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 115 TABLE 55: STANDARDISED APPROACH – CREDIT RISK EXPOSURE AND CREDIT RISKMITIGATION EFFECTS (CRM) (CR4) The credit conversion factor (CCF) is the ratio between the current undrawn part of a credit line which could be drawn and would therefore be exposed in the event of default and the undrawn part of this credit line. The significance of the credit line depends on the authorised limit, unless the unauthorised limit is greater. The concept of “credit risk mitigation” (CRM) is a technique used by an institution to reduce the credit risk associated with its exposures. Amounts indicated in this table are without securitisation and contributions to default funds of CCPs. (In EURm) 31.12.2020 Exposures before CCF and CRM Exposures post-CCF and CRM RWA and RWA density Asset classes On-balance sheet amount Off-balance sheet amount On-balance sheet amount Off-balance sheet amount RWA RWA density Central governments or central banks 8,492 35 10,288 28 7,932 77% Regional government or local authorities 497 73 731 49 193 25% Public sector entities 272 18 262 2 71 27% Multilateral development banks 1,339 16 1,478 1 33 2% International organisations - - - - - Institutions 8,806 4,719 18,710 459 3,002 16% Corporates 36,371 10,759 27,470 2,850 27,815 92% Retail 40,619 6,525 29,248 1,440 20,413 67% Secured by mortgages on immovable property 14,941 332 14,891 152 6,645 44% Exposures in defaul 2,861 179 2,814 77 3,057 106% Higher-risk categories 295 186 294 75 553 150% Covered bonds 206 - 206 - 21 10% Institutions and corporates with a short term credit assessment - - - - - Collective investment undertakings 5 - 5 - 5 100% Equity 974 - 974 - 706 72% Other items 29,012 - 29,012 - 22,324 77% TOTAL 144,692 22,841 136,382 5,134 92,771 66%