Société Générale / Risk report 2021 - Pillar 3 2020

17 APPENDICES INDEX OF THE TABLES IN THE RISK REPORT | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 237 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 7 71 IRB counterparty credit risk exposures by exposure class and PD scale 148 CCR4 7 72 Counterparty credit risk in standardised approach - EAD distributed by Risk Weight 151 CCR3 7 73 Credit derivatives exposures 153 CCR6 7 74 Credit derivatives exposures - Protections bought 154 7 75 Impact of netting and collateral held on exposure values 154 CCR5-A 7 76 RWA and capital requirements flow statements of counterparty credit risk exposures under IRB approach 154 CCR7 8 77 Amounts of securitised exposures by type of underlying assets 161 8 78 Amounts of securitised exposures that are past due or impaired by type of underlying assets in the banking book 162 8 79 Assets awaiting securitisation by type of underlying assets 163 8 80 Amounts of securitised exposures retained or purchased by type of underlying assets in the trading book 163 8 81 Amounts of securitised exposures retained or purchased by type of underlying assets in the banking book 164 8 82 Amounts of securitised exposures retained or purchased by region in the banking book and in the trading book 164 8 83 Quality of securitisation positions retained or purchased by type of underlying assets in the banking book 165 8 84 Quality of securitisation positions retained or purchased by type of underlying assets in the trading book 166 8 85 Credit rating agencies used in securitisations by type of underlying assets 167 8 86 Amounts of securitised exposures retained or purchased in the banking book by approach and by Risk Weight 168 8 87 Amounts of securitised exposures retained or purchased in the trading book by approach and by Risk Weight 169 8 88 Securitisation exposures deducted from own funds by type of underlying assets 170 8 89 Regulatory capital requirements relating to securitisations held or purchased in the trading book 170 8 90 Re-securitisation positions retained or purchased 170 9 91 35 Regulatory ten-day 99% VaR and one-day 99% VaR 177 229 9 92 36 Regulatory ten-day 99% SVaR and one-day 99% SVaR 179 231 9 93 37 IRC (99.9%) and CRM (99.9%) 180 232 9 94 38 Market risk capital requirements and RWA by risk factor 182 234 9 95 39 Market risk capital requirements and RWA by type of risk 182 234 9 96 Market risk under standardised approach 184 MR1 9 97 Market risk under internal model approach 184 MR2-A 9 98 Internal Model values in trading portfolios 185 MR3 9 99 Quarterly RWA flow statements of market risk exposures under IMA (Internal Model Approach) 186 MR2-B 10 100 40 Risk-weighted assets and capital requirements for operational risk 194 242 11 101 41 Sensitivity of the Group's value to a +10 bps interest rate variation 200 245 11 102 42 Sensitivity of the Group’s interest margin 200 245 11 103 43 Sensitivity of the Group's Common Equity Tier 1 ratio to a 10% change in the currency (in basis points) 201 246 12 104 Encumbered and unencumbered assets 207 AE-ASS 12 105 Collateral received 208 AE-COL 12 106 Sources of encumbrance 208 AE-SOU 12 107 44 Liquidity reserve 209 249 12 108 Liquidity Coverage Ratio 210 EU-LIQ1 12 109 45 Balance sheet schedule 211 250 16 110 46 Shares and equities in the banking book 228 263