Société Générale / Risk report 2021 - Pillar 3 2020

1 GROUP CONCISE RISK STATEMENT | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 5 DISTRIBUTION OF RWA BY CORE BUSINESS (RWA AT END 2020: EUR 352BN VS. RWA AT END 2019: EUR 345BN) DISTRIBUTION OF RWA BY RISK TYPE (RWA AT END 2020: EUR 352BN VS. RWA AT END 2019: EUR 345BN) CREDIT RISK AND COUNTERPARTY CREDIT RISK 1.2 The risk-weighted exposures for credit risk and counterparty credit risk represent the main risk of the Group with an amount of risk-weighted exposures (RWA) of EUR 287.3 billion at 31 December 2020, or 82% of total RWAs. These risk-weighted exposures increased by 2% compared to 31 December 2019 and are mainly based on the internal model approach (83% of RWA credit and counterparty credit risks). This increase is mainly explained by a model effect (mainly linked to the review of internal models - TRIM) and a decline in the quality of assets, and is partially offset by a contraction of the prudential scope (following the sale of Société Générale de Banque aux Antilles and SG Finans) as well as a negative currency effect (due in particular to the depreciation of US dollar and Russian ruble against the euro). (especially to French sovereign). The distribution of the portfolio between main customer categories is balanced: Corporates (30%), Sovereigns (29%), Retail (20%), Institutions (11%) and Others (10%). The credit portfolio has a diversified profile. At 31 December 2020, exposure to credit and counterparty credit risks represented an EAD amount of EUR 1,004 billion, up (+9.3%) compared with the end of 2019, driven in particular by the increase in “Sovereign” exposures In terms of geographic breakdown of the portfolio, exposure to emerging countries remains limited: the Group's exposure is 69% to Western Europe (including 47% to France) and 12% towards the United States. In sectoral terms, only three business sectors (financial activities, business services and real estate activities) represent more than 10% of the Group’s Corporate exposures. Regarding counterparty credit risk in particular, the exposure represents an EAD amount of EUR 126 billion, up (+4.3%) compared to the end of 2019, linked to the significant increase in Corporate exposures, partially offset by a decrease in Institution exposures. (See details in Chapter 6 “Credit risk” and Chapter 7 “Counterparty credit risk”.)