Société Générale / Risk report 2021 - Pillar 3 2020

8 SECURITISATION PRUDENTIAL TREATMENT OF SECURITISATION POSITIONS PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 168 REGULATORY CAPITAL REQUIREMENTS The following tables show the bank’s securitisation exposures and corresponding regulatory capital requirements for the Banking Book at 31 December 2020 and at 31 December 2019. TABLE 86: AMOUNTS OF SECURITISED EXPOSURES RETAINED OR PURCHASED IN THE BANKING BOOK BY APPROACH AND BY RISKWEIGHT (In EURm) 2020 Exposure at Defaut (EAD) Capital Requirements Securitisation Re-securitisation Securitisation Re-securitisation Risk wieght band STS Non STS STS Non STS STS Non STS STS Non STS Exposure values by RW bands/deductions ≤ 20% RW 8,644 27,795 - - 56 342 - - > 20% à 50% RW - 1,158 - - - 28 - - > 50% à 100% RW - 199 - - - 12 - - > 100% à 1250% RW - 0 - - - 0 - - 1250% RW - - - - - - - - Deduction s 12 14 - - - - - - Exposure values by regulatory approach SEC-IRBA - 14,596 - - - 179 - - SEC-ERBA (including IAA) 7,053 12,579 - - - 180 - - SEC-SA 1,591 1,976 - - 56 24 - - 1250% RW - - - - - - - - Deductions 12 14 - - - - - - TOTAL BANKING BOOK 8,656 29,165 - - 56 382 - - As at 31 December 2020, 77% of banking book securitisation exposures were non-STS. 52% of exposures were weighted using the SEC-ERBA/IAA method, 39% using the SEC-IRBA. (In EURm) 2019 Exposure at Defaut (EAD) Capital Requirements Securitisation Re-securitisation Securitisation Re-securitisation Risk weight band STS Non STS STS Non STS STS Non STS STS Non STS Exposure values by RW bands/deductions ≤ 20% RW 946 30,722 - - - 288 - - > 20% à 50% RW - 544 - - - 10 - - > 50% à 100% RW - 48 - - - 3 - - > 100% à 1250% RW - - - - - - - - 1250% RW - - - - - - - - Deductions - 16 - - - - - - Exposure values by regulatory approach SEC-IRBA - 10,104 - - - 149 - - SEC-ERBA (including IAA) - 20,873 - - - 147 - - SEC-SA 946 336 - - - 5 - - 1250% RW - - - - - - - - Deductions - 16 - - - - - - TOTAL BANKING BOOK 946 31,330 - - - 301 - -