Société Générale / Risk report 2021 - Pillar 3 2020

5 CAPITAL MANAGEMENT AND ADEQUACY ADDITIONAL QUANTITATIVE INFORMATION ON OWN FUNDS AND CAPITAL ADEQUACY PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 72 TABLEAU 24: MAIN SOURCES OF DIFFERENCES BETWEEN REGULATORY EXPOSURE AMOUNTS AND CARRYING AMOUNTS IN FINANCIAL STATEMENTS (LI2) (In EURm) Consolidated balance sheet within the prudential scope Subject to credit risk Subject to counterparty credit risk Subject to the securitisation framework Subject to market risk Asset carrying value amount under the scope of regulatory consolidation 1,277,640 799,737 321,924 18,966 438,396 Liabilities carrying value amount under the scope of regulatory consolidation (299,562) - (299,562) - (390,364) TOTAL NET AMOUNT UNDER REGULATORY SCOPE OF CONSOLIDATION 978,078 799,737 22,362 18,966 48,032 Off-balance sheet amounts 241,251 220,818 - 20,433 Differences in valuations (884) - - - Differences due to different netting rules 104,133 - 104,133 - Differences due to considerations for provisions 7,928 7,928 - - Differences due to the use of Credit Risk Mitigation (CRM) techniques (8,469) (8,469) - - Differences due to Credit Conversion Factors (CCF) (123,282) (123,282) - - Differences due to securitisation with risk transfer - - - - Other differences (194,907) (57,200) - (1,578) EXPOSURE AMOUNTS CONSIDERED FOR REGULATORY PURPOSES (EAD) 1,003,847 839,531 126,495 37,821 The table above features the various effects inducing the difference between accounting carrying values on prudential perimeter and regulatory exposures (EAD), split by type of risk. As per BCBS recommendations relayed by the EBA in its report EBA/Rep/2020/09, total accounting carrying values correspond to those displayed in table LI1 without elements not subject to capital requirements or subject to deduction from capital. The main factors illustrated by this table are the following ones: inclusion of gross off-balance sheet amounts: financing and p guarantee commitments relating to credit risk as well as securitisation exposures; impact of the application of CCF on credit risk off-balance sheet p amounts; reintegration of provisions associated with exposures treated under p advanced approach, insofar as initial accounting carrying values are net of provisions while credit risk EAD in advanced approach is gross; impact on EAD treated under standardised approach of some Credit p Risk Mitigation elements (cash collateral); prudential netting of counterparty credit risk; p other differences: notably include the deduction of items subject to p market risk that do not generate EAD.