Société Générale / Risk report 2021 - Pillar 3 2020

7 COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 145 TABLE 67: ANALYSIS OF COUNTERPARTY CREDIT RISK (CCR) EXPOSURE BY APPROACH (CCR1) Subject to supervisor approval, the Internal Model Method (IMM) enables the use of an internal model to calculate the Effective Expected Positive Exposure (EEPE), multiplied by a regulatory factor called “alpha” as defined in Article 284-4 of Regulation (EU) 575/2013. For Societe Generale, it stands at 1.85. The aim of the internal model is to determine exposure profiles. (In EURm) 31.12.2020 Notional Replace- ment cost/current market value Potential future credit exposure EEPE Multiplier EAD post CRM RWAs Mark to market 21,626 29,694 26,586 5,677 Original exposure Standardised approach IMM (for derivatives and SFTs) 36,449 1.85 67,431 15,767 of which securities financing transactions 15,500 1.85 28,676 2,270 of which derivatives and long settlement transactions 20,949 1.85 38,756 13,497 of which from contractual cross-product netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (for SFTs) 9,937 383 VaR for SFTs TOTAL 21,827 The table as at 31 December 2019 has been modified as follows: (In EURm) 31.12.2019 Notional Replacement cost/current market value Potential future credit exposure EEPE Multiplier EAD post CRM RWAs Mark to market 6,802 31,535 26,443 4,481 Original exposure Standardised approach IMM (for derivatives and SFTs) 43,569 1.5 65,354 11,698 of which securities financing transactions 20,159 1.5 30,239 1,514 of which derivatives and long settlement transactions 23,410 1.5 35,115 10,184 of which from contractual cross - product netting Financial collateral simple method (for SFTs) Financial collateral comprehensive method (for SFTs) 3,433 418 VaR for SFTs TOTAL 16,597