Société Générale / Risk report 2021 - Pillar 3 2020

1 GROUP CONCISE RISK STATEMENT LIQUIDITY RISK | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 9 LIQUIDITY RISK 1.5 The Liquidity Coverage Ratio (LCR) stood at 149% at the end of 2020 Liquidity reserves amounted to EUR 243 billion as at 31 December 2020 (compared with 119% at the end of 2019). The variation can be (compared with EUR 190 billion as at 31 December 2019). explained by a significant increase in high-quality liquid assets (HQLA). (See details in sections 5 and 6 of Chapter 12 “Liquidity risk”.) LCR RATIO STRUCTURAL RISKS 1.6 The sensitivity of the Group's value to an interest rate change of +10 net interest margin over the next three years remains low. In the event bps was EUR +345 million as at 31 December 2020 (compared with of a parallel rise in the yield curve of +10 bps, it is positive and EUR -54 million as at 31 December 2019). The sensitivity of the Group's represents less than 2% of net banking income. TABLE 4: SENSITIVITY OF THE GROUP’S VALUE TO A +10 BPS INTEREST RATE VARIATION (In EURm) Total Amount of sensitivity (31.12.2020) 345 Amount of sensitivity (31.12.2019) (54) (See details in section 2 of Chapter 11 “Structural interest rate and exchange rate risks”.) SIGNIFICANT OPERATIONS IN 2020 1.7 The Group’s strategy is to concentrate its presence on markets where its subsidiaries Société Générale de Banque aux Antilles (SGBA) and SG it enjoys leading positions with critical mass. In accordance with this Finans AS. These two disposals reduced the Group’s total balance strategy of refocusing and reallocating its RWAs, it finalised the sale of sheet by EUR 4.4 billion.