Société Générale / Risk report 2021 - Pillar 3 2020

17 APPENDICES INDEX OF THE TABLES IN THE RISK REPORT PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 236 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 6 33 19 Main characteristics of models and methods used – Retail clients 88 202 6 34 20 Comparison of risk parameters: estimated and actual PD values – Retail clients 89 203 CR9 6 35 21 Comparison of risk parameters: estimated and actual LGD and EAD values - Retail clients 89 203 6 36 Exposure classes 91 6 37 22 Breakdown of exposures (credit and counterparty credit risks) on top five countries by exposure class (in %) 95 209 6 38 Geographical breakdown of average PD and LGD (credit and counterparty credit risks) 95 6 39 Exposure treated under standardised approach by exposure class and external rating (credit and counterparty credit risks) 96 6 40 23 Change in risk-weighted assets (RWA) by approach (credit and counterparty credit risks) 97 209 6 41 Credit quality of forborne exposures 99 Template 1 NPL 6 42 Credit quality of performing and non-performing exposures by past due days 100 Template 3 NPL 6 43 Performing and non-performing exposures and related provisions 102 Template 4 NPL 6 44 Quality of non-performing exposures by geography 104 Template 5 NPL 6 45 Credit quality of loans and advances by industry sector 106 Template 6 NPL 6 46 Collateral obtained by taking possession and execution processes 108 Template 9 NPL 6 47 Changes in the stock of defaulted and impaired loans and debt securities 108 CR2-B 6 48 Changes in credit risk adjustments 108 CR2-A 6 49 Information on loans and advances subject to legislative and non-legislative moratoria 109 6 50 Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of the moratoria 110 6 51 Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced in response to Covid-19 crisis 111 6 52 Credit risk exposure, EAD and RWA by approach and exposure class 112 6 53 Credit quality of exposures by exposure class and intrument 113 CR1-A 6 54 Net exposures by exposure class 114 CRB-B 6 55 Standardised approach - Credit risk exposure and credit risk mitigation effects (CRM) 115 CR4 6 56 Internal approach - Credit risk exposures by exposure class and PD range - AIRB 117 CR6 6 57 Internal approach - Credit risk exposures by exposure class and PD range - FIRB 121 CR6 6 58 Credit risk in standardised approach - EAD distributed by Risk Weight 123 CR5 6 59 Geographical breakdown ot net exposures 124 CRB-C 6 60 Concentration of exposures by industry or counterparty type 129 CRB-D 6 61 Maturity of exposures 133 CRB-E 6 62 12 Credit risk mitigation techniques - Overview 135 193 CR3 6 63 Impact of credit risk derivatives used as CRM techniques on RWA - IRB 135 CR7 6 64 Specialised lending and equities - Internal approach 137 CR10 6 65 RWA and capital requirements flow statements of credit risk exposures under IRB approach 138 CR8 7 66 30 Counterparty credit risk exposure, EAD and RWA by approach and exposure class 144 220 7 67 31 Analysis of counterparty credit risk exposure by approach 145 221 CCR1 7 68 32 EAD and RWA towards central counterparties (CCP) 146 222 CCR8 7 69 33 Breakdown of collateral for counterparty credit risk 147 223 CCR5-B 7 70 34 Exposure and RWA relating to Credit Valuation Adjustement (CVA) 147 223 CCR2