Société Générale / Risk report 2021 - Pillar 3 2020

CONTENTS	II
1. GROUP CONCISE RISK STATEMENT	3
1.1 FINANCIAL STRENGTH PROFILE	4
1.2 CREDIT RISK AND COUNTERPARTY CREDIT RISK	5
1.3 OPERATIONAL RISK	7
1.4 MARKET RISK	8
1.5 LIQUIDITY RISK	9
1.6 STRUCTURAL RISKS	9
1.7 SIGNIFICANT OPERATIONS IN 2020	9
2. RISK FACTORS	11
2.1 TYPES OF RISKS	12
2.2 RISK FACTORS	13
2.2.1 RISKS RELATED TO THE MACROECONOMIC, MARKET AND REGULATORY ENVIRONMENTS	13
2.2.2 CREDIT AND COUNTERPARTY CREDIT RISKS	17
2.2.3 MARKET AND STRUCTURAL RISKS	19
2.2.4 OPERATIONAL (INCLUDING RISK OF INAPPROPRIATE CONDUCT) AND MODEL RISKS	20
2.2.5 LIQUIDITY AND FUNDING RISKS	22
2.2.6 RISKS RELATED TO INSURANCE ACTIVITIES	23
3. RISK MANAGEMENT ORGANISATION	25
3.1 SUITABILITY OF RISK MANAGEMENT SYSTEMS	26
3.2 RISK APPETITE	26
3.3 RISK APPETITE – GENERAL FRAMEWORK	30
3.4 RISK MANAGEMENT ORGANISATION	32
4. INTERNAL CONTROL FRAMEWORK	37
4.1 INTERNAL CONTROL	38
4.2 CONTROL OF THE PRODUCTION AND PUBLICATION OF FINANCIAL MANAGEMENT INFORMATION	41
5. CAPITAL MANAGEMENT AND ADEQUACY	45
5.1 REGULATORY FRAMEWORK	46
5.2 CAPITAL MANAGEMENT	47
5.3 SCOPE OF APPLICATION – PRUDENTIAL SCOPE	47
5.4 REGULATORY CAPITAL	51
5.5 RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS	54
5.6 TLAC AND MREL RATIOS	56
5.7 LEVERAGE RATIO	57
5.8 LARGE EXPOSURES RATIO	58
5.9 FINANCIAL CONGLOMERATE RATIO	58
5.10 ADDITIONAL QUANTITATIVE INFORMATION ON OWN FUNDS AND CAPITAL ADEQUACY	59
6. CREDIT RISK	75
6.1 CREDIT RISK MONITORING AND SURVEILLANCE SYSTEM	76
6.2 CREDIT RISK HEDGING	78
6.3 NEW DEFINITION OF DEFAULT	79
6.4 IMPAIRMENT	80
6.5 RISK MEASUREMENT AND INTERNAL RATINGS	82
6.6 QUANTITATIVE INFORMATION	91
6.7 ADDITIONAL QUANTITATIVE INFORMATION ON CREDIT RISK	112
7. COUNTERPARTY CREDIT RISK	139
7.1 LIMIT SETTING AND FRAMEWORK MONITORING	140
7.2 MITIGATION OF COUNTERPARTY CREDIT RISK ON MARKET OPERATIONS	141
7.3 COUNTERPARTY CREDIT RISK MEASURES	142
7.3.1 REPLACEMENT RISK	142
7.3.2 CREDIT VALUATION ADJUSTMENT	142
7.3.3 UNFAVOURABLE CORRELATION RISK (WRONG WAY RISK)	143
7.4 QUANTITATIVE INFORMATION	144
8. SECURITISATION	155
8.1 SECURITISATIONS AND REGULATORY FRAMEWORK	156
8.2 ACCOUNTING METHODS	157
8.3 STRUCTURED ENTITIES’ SPECIFIC CASE	158
8.4 MANAGEMENT OF SECURITISATION RISKS	158
8.5 SOCIETE GENERALE’S SECURITISATION ACTIVITIES	160
8.6 PRUDENTIAL TREATMENT OF SECURITISATION POSITIONS	167
9. MARKET RISK	171
9.1 ORGANISATION OF MARKET RISK MANAGEMENT	172
9.2 MARKET RISK MONITORING PROCESS	173
9.3 MARKET RISK MAIN MEASURES	174
9.4 RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS	181
9.5 FINANCIAL INSTRUMENTS VALUATION	183
9.6 ADDITIONAL QUANTITATIVE INFORMATION ON MARKET RISK	184
10. OPERATIONAL RISK	187
10.1 ORGANISATION OF OPERATIONAL RISK MANAGEMENT	188
10.2 OPERATIONAL RISK MONITORING PROCESS	190
10.3 OPERATIONAL RISK MEASUREMENT	192
10.4 RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS	194
10.5 OPERATIONAL RISK INSURANCE	195
11. STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS	197
11.1 ORGANISATION OF THE MANAGEMENT OF STRUCTURAL INTEREST RATE AND EXCHANGE RATE RISKS	198
11.2 STRUCTURAL INTEREST RATE RISK	199
11.3 STRUCTURAL EXCHANGE RATE RISK	201
12. LIQUIDITY RISK	203
12.1 OBJECTIVES AND GUIDING PRINCIPLES	204
12.2 OPERATIONAL IMPLEMENTATION	204
12.3 GOVERNANCE	205
12.4 ASSET ENCUMBRANCE	206
12.5 LIQUIDITY RESERVE	209
12.6 REGULATORY RATIOS	209
12.7 BALANCE SHEET SCHEDULE	211
13. COMPLIANCE RISK, LITIGATION	215
13.1 COMPLIANCE	216
13.2 LITIGATION	222
14. MODEL RISK	223
14.1 MODEL RISK MONITORING	224
15. RISK RELATED TO INSURANCE ACTIVITIES	225
15.1 MANAGEMENT OF INSURANCE RISKS	226
15.2 INSURANCE RISK MODELLING	226
16. OTHER RISKS	227
16.1 EQUITY RISKS	228
16.2 RESIDUAL VALUE RISK	230
16.3 STRATEGIC RISKS	230
16.4 ENVIRONMENTAL AND SOCIAL RISKS	230
16.5 CONDUCT RISK	231
17. APPENDICES	233
17.1 PILLAR 3 CROSS-REFERENCE TABLE	234
17.2 INDEX OF THE TABLES IN THE RISK REPORT	235
17.3 MAPPING TABLE OF EXPOSURE CLASSES	238
17.4 GLOSSARY	239

RkJQdWJsaXNoZXIy NzMxNTcx