Société Générale / Risk report 2021 - Pillar 3 2020

16 OTHER RISKS EQUITY RISKS | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 229 Unrealised gains and losses related to changes in fair value, since the end of the previous year are recognised in: net income statement “Net gains and losses on financial p transactions” for equity investment classified into Financial assets at fair value through profit or loss; and other comprehensive income “Unrealised gains or losses without p subsequent recycling in the income statement” for equity investment classified into Financial assets at fair value through other comprehensive income. For investments in listed shares, the fair value is estimated based on the stock price at closing date. For investment in unlisted shares, fair value can be estimated based on one or more of the following methods: quantitative method such as Discounted Cash Flows (DCF), p Discounted Dividend Model (DDM); pro rata share of the entity's net assets; p recent transactions identified on the entity’s share (stake acquired p by third party, valuation assessed by experts); recent transactions identified on entities from the same sector p (earnings or NAV multiples, etc.). Dividends received from equity investment are recognised in the net income statement “Net gains and losses on financial transactions”. In the event of a disposal, gains and losses resulting from a change in fair value occurring since the end of the previous year are recognised in: net income statement “Net gains and losses on financial p transactions” for equity investment classified into Financial assets at fair value through profit or loss; and other comprehensive income “Unrealised gains or losses without p subsequent recycling in the income statement” for equity investment classified into Financial assets at fair value through other comprehensive income. Gains and losses on equity investment disposals are transferred to Reserves in the subsequent accounting period following the disposal. TABLE 111: NET GAINS AND LOSSES ON BANKING BOOK EQUITIES AND HOLDINGS (In EURm) 31.12.2020 31.12.2019 Gains and losses on the sale of shares and equity 155 388 Net gains/losses on banking book 49 33 Regulatory capital requirements if they are not deducted from own funds, material investments in the capital of finance companies are assigned a weighting coefficient of To calculate the risk-weighted assets under Basel 3, the Group applies 250%. the advanced approach (IRB) to the majority of its non-trading equity portfolio. Shares in private equity companies are assigned a risk-weighting coefficient of 190%, shares in listed companies a coefficient of 290%, and shares in unlisted companies, including holdings in insurance subsidiaries, a coefficient of 370%. Furthermore, As at 31 December 2020, the Group’s risk-weighted assets related to its non-trading equity portfolio, and its corresponding capital requirements, were as follows: TABLE 112: CAPITAL REQUIREMENTS RELATED TO BANKING BOOK EQUITIES AND HOLDINGS (1) (In EURm) 31.12.2020 31.12.2019 Equities and holdings Approach Weighting Exposure at default Risk-weighted assets Capital requirements Exposure at default Risk-weighted assets Capital requirements Private equity Standardised 150% - - - - - - Private equity Advanced approach (IRB) 190% 351 668 53 185 352 28 Financial securities Advanced approach (IRB) 250% 517 1,292 103 - - - Financial securities Standardised 250% 10 26 2 503 1,257 101 Listed shares Advanced approach (IRB) 290% 25 74 6 38 111 9 Unlisted shares and insurance Advanced approach (IRB) 370% 5,381 19,908 1,593 5,297 19,599 1,568 TOTAL 6,285 21,968 1,757 6,023 21,318 1,705 Excluding cash investments. (1)