R I S K

R E P O R T

2022

ĀŽ¸¸Ąјӳјѕӝѕћӝїѕїї

1 !

Types of risks

7

Risk factors

8

3

!

Scope of application Prudential scope

21

Risk-weighted assets and capital

requirements

26

TLAC ratio

27

Leverage ratio

27

Countercyclical buffer

28

Additional quantitative information

on own funds and capital adequacy

30

4

Quantitative information

41

Additional quantitative information

on credit risk

62

5

!

Breakdown of counterparty credit risk

Overview

87

Breakdown of counterparty credit risk

Details

88

6

7

Value at Risk 99% (VaR)

107

Risk-weighted assets and capital

requirements

109

Additional quantitative information

on market risk

110

8

9

!

Liquidity reserve

115

Regulatory ratios

115

Balance sheet schedule

120

10

Person responsible for the Pillar 3 report

125

Statement of the person responsible

for the Pillar 3 report

125

11

R I S K

R E P O R T

2022

ĀŽ¸¸Ąјӳјѕӝѕћӝїѕїї

1

2

1

The amounts forming the prudential solvency and leverage ratios which are featured hereinafter take into account the transitional arrangements relating to the introduction of the IFRS 9 standard, over the whole historical period considered.

1= @1A

(In EURm)

30.06.2022

31.03.2022

31.12.2021

30.09.2021

30.06.2021

AVAILABLE

OWN

FUNDS

(AMOUNTS)

1

Common Equity Tier 1 (CET1) capital

47,254

48,211

49,835

47,752

48,315

2

Tier 1 capital

56,024

56,443

57,907

55,620

57,258

3

Total capital

67,835

66,990

68,487

66,432

69,331

RISK-WEIGHTED

ASSETS

(RWA)

4

Total risk-weighted assets

367,637

376,636

363,371

363,508

361,488

CAPITAL

RATIOS

(AS

A

PERCENTAGE

OF

RWA)

5

Common Equity Tier 1 ratio (%)

12.85%

12.80%

13.71%

13.14%

13.37%

6

Tier 1 ratio (%)

15.24%

14.99%

15.94%

15.30%

15.84%

7

Total capital ratio (%)

18.45%

17.79%

18.85%

18.28%

19.18%

ADDITIONAL

OWN

FUNDS

REQUIREMENTS

TO

ADDRESS

RISKS

OTHER

THAN

THE

RISK

OF

EXCESSIVE

LEVERAGE

(AS

A

PERCENTAGE

OF

RWA)

Additional own funds requirements to address risks

EU 7a

other than the risk of excessive leverage (%)

2.12%

2.12%

1.75%

1.75%

1.75%

EU 7b

of which to be made up of CET1 capital (%)

1.19%

1.19%

0.98%

0.98%

0.98%

EU 7c

of which to be made up of Tier 1 capital (%)

1.59%

1.59%

1.31%

1.31%

1.31%

EU 7d

Total SREP own funds requirements (%)

10.12%

10.12%

9.75%

9.75%

9.75%

COMBINED

BUFFER

REQUIREMENT

(AS

A

PERCENTAGE

OF

RWA)

8

Capital conservation buffer (%)

2.50%

2.50%

2.50%

2.50%

2.50%

Conservation buffer due to macro-prudential

or systemic risk identified at the level of

EU 8a

a Member State (%)

9

Institution-specific countercyclical capital buffer (%)

0.05%

0.04%

0.04%

0.04%

0.04%

EU 9a

Systemic risk buffer (%)

3

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Société Générale SA published this content on 14 September 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 14 September 2022 16:19:03 UTC.