Société Générale / Risk report 2021 - Pillar 3 2020

6 CREDIT RISK QUANTITATIVE INFORMATION | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 97 Change in risk-weighted assets (RWA) and capital requirements for credit and counterparty credit risks TABLE 40: CHANGE IN RISK-WEIGHTED ASSETS (RWA) BY APPROACH (CREDIT AND COUNTERPARTY CREDIT RISKS) (In EURm) RWA - IRB RWA - Standard RWA - Total Capital requirements - IRB Capital requirements - Standard Capital requirements - total RWA as at end of previous reporting period (31.12.2019) 175,359 104,549 279,908 14,029 8,364 22,393 Asset size 3,542 (4,118) (577) 283 (329) (46) Asset quality 3,985 700 4,685 319 56 375 Model updates 13,605 200 13,805 1,088 16 1,104 Methodology and policy (3,830) 1,382 (2,448) (306) 111 (196) Acquisitions and disposals (1,613) (1,518) (3,130) (129) (121) (250) Foreign exchange movements (3,273) (3,508) (6,782) (262) (281) (543) Other (367) (979) (1,346) (29) (78) (108) RWA as at end of reporting period (31.12.2020) 187,407 96,708 284,115 14,993 7,737 22,729 The table above presents the data without CVA (Credit Valuation Adjustment). The main effects explaining the EUR 4.2 billion rise in RWA (excluding CVA) in 2020 are as follows: a model effect of EUR +13.8 billion including an increase of p EUR 10 billion due to TRIM (“Targeted Review of Internal Models”); a change in the prudential scope (EUR -3.1 billion) linked with the p various disposals operated in 2020, including SG Banque aux Antilles (EUR -0.4 billion) and SG Finans (EUR -2.5 billion); a foreign exchange effect (EUR -6.8 billion), mainly related to the p depreciation of the US dollar against the euro (EUR -2.8 billion), of the Russian ruble (EUR -1.8 billion), of the Czech crown (EU -0.5 billion) and of the British pound (EUR -0.4 billion). The effects are defined as follows: asset size: organic changes in book size and composition (including p the creation of new business lines and maturing loans) but excluding changes due to acquisitions and disposals of entities; asset quality: changes in the quality of the Bank’s assets due to p changes in borrower risk, such as rating grade migration or similar effects; model updates: changes due to model implementation, changes in p model scope or any changes intended to address model weaknesses; methodology and policy: changes due to methodological changes in p calculations driven by regulatory changes, including both revisions to existing regulations and new regulations; acquisitions and disposals: changes in book size due to acquisitions p and disposals of entities; foreign exchange movements: changes arising from market p fluctuations, such as foreign currency translation movements; other: this category is used to capture changes that cannot be p attributed to any other categories.