Société Générale / Risk report 2021 - Pillar 3 2020

Overall sensitivity of the Group’s value to structural interest rate risk in the event of a parallel shift in the yield curves of +10 bps at end 2020 (in % of regulatory capital) < 1% Group net interest margin sensitivity over three years, in the event of a parallel shift in the yield curves of +10 bps in 2020 (in % of the net banking income) < 2% Maximum sensitivity of the Group’s Common Equity Tier 1 ratio per currency to a 10% change by currency (in basis points) < 0.8 bp Overall sensitivity all currencies combined (in basis points) +3.6 bps Structural interest rate and exchange rate risks correspond to the risk of losses of interest margin or value of the fixed rate structural position arising from variations in interest or exchange rates. Structural interest rate and exchange rate risks arise from commercial activities and from transactions entered into by the Corporate Centre. This section describes the monitoring of structural risks and provides information on structural interest rate and exchange rate risks. IN BRIEF 11 197 | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS