Société Générale / Risk report 2021 - Pillar 3 2020

7 COUNTERPARTY CREDIT RISK QUANTITATIVE INFORMATION PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 154 TABLE 74: CREDIT DERIVATIVES EXPOSURES - PROTECTIONS BOUGHT This table presents the notional value of credit derivative hedges by exposure class. (In EURm) 31.12.2020 31.12.2019 Sovereign - - Institutions 2,486 2,466 Corporates - - Retail - - Others - - TOTAL 2,486 2,466 TABLE 75: IMPACT OF NETTING AND COLLATERAL HELD ON EXPOSURE VALUES (CCR5-A) (In EURm) 31.12.2020 Gross positive fair value or net carrying amount Netting benefits Netted current credit exposure Collateral held Net credit exposire Derivatives 303,530 270,556 65,442 30,685 34,757 SFTs 1,167,508 504,084 663,424 572,633 90,791 Cross-product netting - - - - - TOTAL 1,471,038 774,639 728,866 603,318 125,549 The concept of net credit exposure presented in this table differs from that of EAD, insofar as other parameters not included here may be involved in the calculation of regulatory exposure (regulatory haircuts, add-ons...). TABLE 76: RWA AND CAPITAL REQUIREMENTS FLOWSTATEMENTS OF COUNTERPARTY CREDIT RISK EXPOSURES UNDER IRB APPROACH (CCR7) IMM is the internal model method applied to calculate exposures to counterparty credit risk. The banking models used are subject to approval of the supervisor. Application of these internal models has an impact on the method used to calculate the EAD of market transactions but also on the Basel maturity calculation method. (In EURm) RWA amounts – IRB IMM RWA amounts – IRB hors IMM RWA amounts – Total IRB Capital requirements – IRB IMM Capital requirements – IRB hors IMM Capital requirements – Total IRB RWA as at end of previous reporting period (30.09.2020) 13,103 3,978 17,081 1,048 318 1,366 Asset size 308 (272) 37 25 (22) 3 Credit quality of counterparties 358 110 468 29 9 37 Model updates - - - - Methodology and policy 2,623 2,623 210 - 210 Acquisitions and disposals - - - - Foreign exchange movements (184) (62) (246) (15) (5) (20) Other (461) 62 (399) (37) 5 (32) RWA as at end of reporting period (31.12.2020) 15,746 3,817 19,563 1,260 305 1,565 The table above displays data without CVA (Credit Valuation Adjustment) which amounts to EUR 2.8 billion in advanced approach.