Société Générale / Risk report 2021 - Pillar 3 2020

17 APPENDICES INDEX OF THE TABLES IN THE RISK REPORT | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 235 INDEX OF THE TABLES IN THE RISK REPORT 17.2 Chapter Table number Pillar 3 Table number URD (1) Title Page in Pillar 3 report Page in the URD (1) EBA revised Pillar 3 guidelines regulatory references 1 1 Provisioning of doubtful loans 6 1 2 Cost of risk 6 1 3 Market risk - VaR and SVaR 8 1 4 Sensitivity of the Group's value to a +10 bps interest rate variation 9 3 5 1 Financial assets and liabilities and derivatives impacted by the interest rate benchmarks reform 35 171 5 6 2 Difference between accounting scope and prudential reporting scope 48 180 5 7 3 Reconciliation between the consolidated balance sheet and the prudential accounting balance sheet 48 181 5 8 4 Entities outside the prudential scope 50 183 5 9 Total amount of debt instruments eligible for Tier 1 equity 52 5 10 5 Changes in debt instruments eligible for solvency capital requirements 52 185 5 11 6 Breakdown of prudential capital requirement for Societe Generale 53 185 5 12 7 Regulatory capital and CRR/CRD4 solvency ratios 53 186 5 13 8 CET1 regulatory deductions and adjustments under CRR/CRD4 54 186 5 14 9 Group capital requirements and risk-weighted assets 55 187 OV1 5 15 10 Risk-weighted assets (RWA) by core business and risk type 55 188 5 16 Main subsidiaries' contributions to the Group's RWA 56 5 17 Calculation of the TLAC ratio 57 5 18 11 Leverage ratio summary and transition from prudential balance sheet to leverage exposure 58 189 5 12A Regulatory capital and CRR/CRD4 solvency ratios (details of table 12) 59 5 12B Transitional own funds disclosure template 61 5 18A Summary reconciliation of accounting assets and leverage ratio exposures 64 LRSUM 5 18B Leverage ratio - Common disclosure 65 LRCOM 5 18C Leverage ratio - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) 66 LRSPL 5 19 Non-deducted equities in insurance undertakings 66 INS1 5 20 Financial conglomerates information on own funds and capital adequacy ratio 66 INS2 5 21 Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer 67 CCyB1 5 22 Countercyclical capital buffer requirements 67 CCyB2 5 23 Differences between statutory and prudential consolidated balance sheets and allocation to regulatory risk categories 68 LI1 5 24 Main sources of differences between regulatory exposure amounts and carrying amounts in financial statements 72 LI2 5 25 Comparison of own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 74 IFRS9-FL 6 26 Credit rating agencies used in standardised approach 82 6 27 13 Breakdown of EAD by Basel approach 83 197 6 28 14 Scopes of application of the IRB and standardised approaches for the Group 83 197 6 29 15 Societe Generale’s internal rating scale and indicative corresponding scales of rating agencies 84 198 6 30 16 Main characteristics of models and methods – Wholesale clients 85 199 6 31 17 Comparison of risk parameters: estimated and actual PD values – Wholesale clients 86 200 CR9 6 32 18 Comparison of risk parameters: estimated and actual LGD values - Wholesale clients 87 201