Société Générale / Risk report 2021 - Pillar 3 2020

3 RISKMANAGEMENT ORGANISATION RISK MANAGEMENT ORGANISATION | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 35 INTEREST RATE BENCHMARK REFORM As part of the reform of interbank rates (‘IBOR’ rates), the Group is pushing ahead with its efforts towards the significant deadline of the end of 2021. The project structure, which the Group has placed under the leadership of the General Management (DGLE), pursues a dual objective: on the one hand, to prepare the Group to deal with “Risk Free Rates”, and on the other hand to prepare the migration of the stock of operations in progress indexed to IBOR rates which will expire successively after 2021 and 2023. In 2014, the Financial Stability Board considered on interbank rates, that uncertainty related to IBOR rates and their termination, if left unchecked, constituted systemic vulnerability and risk. The Group assesses its own main risks as follows: governance and programme execution risk that could lead to delays and lost opportunities is monitored as part of the regular Committee p and arbitration bodies; risk of legal documentation that could lead to post-transition litigation is managed by the introduction of fallback clauses in transactions p depending on the presence of market standards and the support of external firms in the renegotiation of bilateral contracts; market risk with the creation of a basic risk between the rate curves associated with the different indices is the subject of close monitoring p and supervision; operational risks in the execution of transaction migrations, depending on the willingness and preparedness of our customers, the volume p of transactions to be migrated and their spread over time; risk of “conduct” associated with the announced end of LIBORs, managed in particular through specific group guidelines and broken down p by entity. Training for teams and communications to clients (conferences, events, bilateral points, especially with less well-informed clients) are organised on the associated risks, the alternative solutions that could be deployed, and the way in which they could be affected. TABLE 5: FINANCIAL ASSETS AND LIABILITIES AND DERIVATIVES IMPACTED BY THE INTEREST RATE BENCHMARKS REFORM (In EURbn) Exposures at 30.09.2020 New risk-free rates likely to replace current benchmark interest rates Remaining capital Notional Amounts (1) Financial assets (2) (excluding derivatives) impacted by the reform Financial liabilities (3) (excluding derivatives) impacted by the reform Derivatives (4) impacted by the reform EURIBOR - Euro Interbank Offered Rate 106 6 3,463 EONIA - Euro OverNight Index Average Euro Short-Term Rate (EUR STR) 4 16 495 LIBOR - London Interbank Offered Rate - USD Secured Overnight Financing Rate (SOFR) 35 3 2,536 LIBOR - London Interbank Offered Rate - GBP Reformed Sterling Overnight Index Average (SONIA) 4 0 568 LIBOR - London Interbank Offered Rate - CHF Swiss Average Rate Overnight (SARON) 0 0 63 LIBOR - London Interbank Offered Rate - JPY Tokyo Overnight Average (TONA) 0 1 641 LIBOR - London Interbank Offered Rate - EUR Euro Short-Term Rate (€STR) 1 0 7 TOTAL 150 26 7,774 Notional amounts used in combination with a reference interest rate to calculate derivative cash flows. (1) Of which accounts receivable, loans, securities received under repurchase agreements, debt securities bearing interest at variable rates. (2) Of which deposits, borrowing, transaction of securities given in delivered reseal, debt issued in the form of securities bearing interest at variable rates. (3) Of which firm instruments (swap and futures) and conditional instruments. (4)