Société Générale / Risk report 2021 - Pillar 3 2020

8 SECURITISATION PRUDENTIAL TREATMENT OF SECURITISATION POSITIONS | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 169 TABLE 87: AMOUNTS OF SECURITISED EXPOSURES RETAINED OR PURCHASED IN THE TRADING BOOK BY APPROACH AND BY RISKWEIGHT (In EURm) 2020 Exposure at Defaut (EAD) Capital Requirements Securitisation Re-securitisation Securitisation Re-securitisation Risk wieght band STS Non STS STS Non STS STS Non STS STS Non STS Exposure values by RW bands/deductions ≤ 20% RW 11 332 - - 0 4 - - > 20% à 50% RW - 71 - - - 2 - - > 50% à 100% RW - 24 - - - 1 - - > 100% à 1250% RW - 144 - - - 36 - - 1250% RW - - - - - - - - Deductions - 2 - - - - - - Exposure values by regulatory approach SEC-IRBA - - - - - - - - SEC-IAA 7 285 - - 0 39 - - SEC-SA 3 286 - - 0 4 - - 1250% RW - - - - - - - - Deductions - 2 - - - - - - TOTAL TRADING BOOK 11 573 - - 0 43 - - (In EURm) 2019 Exposure at Defaut (EAD) Capital Requirements Securitisation Re-securitisation Securitisation Re-securitisation Risk wieght band STS Non STS STS Non STS STS Non STS STS Non STS Exposure values by RW bands/deductions ≤ 20% RW - 108 - - - 1 - - > 20% à 50% RW 29 375 - - 0 6 - - > 50% à 100% RW - 59 - - - 6 - - > 100% à 1250% RW - 62 - - - 7 - - 1250% RW - 3 - - - 3 - - deductions - 9 - - - - - - Exposure values by regulatory approach SEC-IRBA - - - - - - - - SEC-ERBA (including IAA) 29 604 - - 0 19 - - SEC-SA - - - - - - - - 1250% RW - 3 - - - 3 - - deductions - 9 - - - - - - TOTAL TRADING BOOK 29 616 - - 0 22 - -