Société Générale / Risk report 2021 - Pillar 3 2020

5 CAPITAL MANAGEMENT AND ADEQUACY RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 55 Change in risk-weighted assets and capital requirements TABLE 14: GROUP CAPITAL REQUIREMENTS AND RISK-WEIGHTED ASSETS (OV1) RWA Minimum capital requirements (In EURm) 31.12.2020 31.12.2019 31.12.2020 31.12.2019 Credit risk (excluding counterparty credit risk) 247,423 251,113 19,794 20,089 o.w. standardised approach 86,000 93,302 6,880 7,464 o.w. Foundation IRB (F-IRB) approach 4,417 4,725 353 378 o.w. Advanced IRB (A-IRB) approach 136,302 133,026 10,904 10,642 o.w. equity IRB under the simple risk-weighted approach or IMA 20,704 20,061 1,656 1,605 Counterparty credit risk 26,330 19,567 2,106 1,565 o.w. risk exposure for contributions to the default fund of a CCP 986 1,077 79 86 o.w. CVA 3,131 2,586 250 207 Settlement risk 77 41 6 3 Securitisation exposures in the Banking Book (after cap) (1) 5,486 3,762 439 301 o.w. SEC-ERBA incl. IAA 2,951 1,836 236 147 o.w. SEC-IRBA 2,233 1,860 179 149 o.w. SEC-SA 301 66 24 5 o.w. 1,250% / deductions - - - - Market risk 15,340 14,513 1,227 1,161 o.w. standardised approach 1,728 1,373 138 110 o.w. IMA 13,612 13,140 1,089 1,051 Large exposures - - - - Operational risk 49,188 47,961 3,935 3,837 o.w. basic indicator approach - - - - o.w. standardised approach 2,250 2,470 180 198 o.w. advanced measurement approach 46,938 45,491 3,755 3,639 Amounts below the thresholds for deduction (subject to 250% risk-weighting) 8,008 8,052 641 644 Floor adjustment - - - - TOTAL 351,852 345,010 28,148 27,601 The amounts of RWA and of capital requirements as at 31 December 2019 relating to securitisation in the Banking Book are featured in accordance with the new classification (1) by prudential approach. TABLE 15: RISK-WEIGHTED ASSETS (RWA) BY CORE BUSINESS AND RISK TYPE (In EURbn) Credit and counterparty credit Market Operational Total 2020 Total 2019 French Retail Banking 94.4 0.1 4.4 98.9 97.8 International Retail Banking and Financial Services 102.3 0.1 5.6 108.0 115.3 Global Banking and Investor Solutions 79.0 15.0 31.9 125.9 117.7 Corporate Centre 11.6 0.2 7.3 19.1 14.1 Group 287.3 15.3 49.2 351.9 345.0 As at 31 December 2020, RWA (EUR 351.9 billion) were distributed as follows: credit and counterparty credit risks accounted for 82% of RWA (of p which 36% for International Retail Banking and Financial Services); market risk accounted for 4% of RWA (of which 98% for Global p Banking and Investor Solutions); operational risk accounted for 14% of RWA (of which 65% for Global p Banking and Investor Solutions).