Société Générale / Risk report 2021 - Pillar 3 2020

7 Counterparty credit risk is the risk of losses stemming from market operations, should a counterparty fail to meet its payment obligations. The future market value of the exposure and the counterparty’s credit quality are uncertain and may vary over time as underlying market parameters change. Counterparty credit risk covers the replacement risk resulting from the default of a counterparty, the CVA (Credit Valuation Adjustment) risk related to the adjustment to the value of the Group portfolio, and the risk over the central counterparties (CCP) following clearing of market transactions. It is also affected by the wrong-way risk. IN BRIEF Counterparty credit risk RWA at end 2020 EUR 26.3 bn (Counterparty credit risk RWA at end 2019: EUR19.6bn) 139 | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 COUNTERPARTY CREDIT RISK