Societe Generale : Pillar 3 report – 31.12.2023

	GROUP CONCISE RISK STATEMENT	5
1.1	Financial strength profile	6
1.2	Credit risk and counterparty credit risk	8
1.3	Operational risk	10
1.4	Market risk	11
1.5	Structural risk - Liquidity	12
1.6	Structural risk - Rates	13
1.7	Significant operations in 2023	14
1.8	Key Figures	14

	RISK FACTORS	17
2.1	Risk factors by category	18
	RISK MANAGEMENT ORGANISATION	31
3.1	Suitability of risk management systems	32
3.2	Risk appetite	32
3.3	Risk appetite - General framework	37
3.4	Risk management organisation	40
	INTERNAL CONTROL FRAMEWORK	47
4.1	Internal control	48

4.2 Control of the production and publication of

	financial management information	52
	CAPITAL MANAGEMENT
	AND ADEQUACY	55
5.1	Regulatory framework	56
5.2	Capital management	56
5.3	Scope of application - Prudential scope	57
5.4	Regulatory capital	61
5.5	Risk-weighted assets and capital requirements	65
5.6	TLAC and MREL ratios	67
5.7	Leverage ratio	67
5.8	Large exposures ratio	68
5.9	Financial conglomerate ratio	68

5.10 Additional quantitative information on own funds

	and capital adequacy	69
	CREDIT RISK	91
6.1	Credit risk monitoring and surveillance system	92
6.2	Credit risk hedging	95
6.3	Impairment	97
6.4	Risk measurement and internal ratings	98
6.5	Quantitative information	118
6.6	Additional quantitative information on credit risk	136

COUNTERPARTY CREDIT RISK	161
7.1 Determining Limits and monitoring framework	162

7.2 Mitigation of counterparty credit risk on market

	transactions	163
7.3	Counterparty credit risk measures	165
7.4	Quantitative Information	167

	SECURITISATION	177
8.1	Securitisations and regulatory framework	178
8.2	Accounting methods	179
8.3	Structured entities' specific case	180
8.4	Management of securitisation risks	180
8.5	Societe Generale's securitisation activities	182
8.6	Prudential treatment of securitisation positions	188
8.7	Perimeter of securitisation vehicles	194

	MARKET RISK	197
9.1	Organisation of market risk management	198
9.2	Market risk monitoring process	199
9.3	MainMarket risk measures	200
9.4	Risk-weighted assets and capital requirements	207
9.5	Financial instrument valuation	209
9.6	Additional quantitative information on market risk	210

	OPERATIONAL RISK	213
10.1	Organisation of operational risk management	214
10.2	Operational risk monitoring process	216
10.3	Operational risk measurement	218
10.4	Risk-weighted assets and capital requirements	220
10.5	Operational risk insurance	221
	STRUCTURAL INTEREST RATE
	AND EXCHANGE RATE RISKS	223

11.1 Organisation of the management of structural

	interest rate and exchange rate risks	224
11.2	Structural interest rate risk	225
11.3	Structural exchange rate risk	227

	LIQUIDITY RISK	229
12.1	Objectives and guiding principles	230
12.2	Operational implementation	230
12.3	Governance	231
12.4	Asset encumbrance	232
12.5	Liquidity reserve	236
12.6	Regulatory ratios	236
12.7	Balance sheet schedule	241

	COMPLIANCE RISK, LITIGATION	245
13.1	Compliance	247
13.2	Litigation	252
	ENVIRONMENTAL, SOCIAL
	AND GOVERNANCE (ESG) RISKS	253
14.1	Introduction	254
14.2	Analytical approach to extra-financial risk factors	254
14.3	Managing E&S risks	257

14.4 A committed bank regarding Corporate social

responsability	262
14.5 Incorporating ESG risk factors in the risk
management framework - general principles	269

14.6 Incorporating environmental factors in the risk

management framework

272

14.7 Incorporating social factors in the risk management

framework

280

14.8 Incorporating governance factors in the risk

management framework	282
14.9 Pillar 3 cross-reference table	283
14.10Quantitative information on ESG Risks	289

MODEL RISK	329
15.1 Model risk monitoring	330

	OTHER RISKS	333
16.1	Management of insurance risks	334
16.2	Investment risk	334
16.3	Risk related to operating leasing activities	335
16.4	Strategic risks	335
16.5	Conduct risk	336

PERSON RESPONSIBLE FOR
THE PILLAR 3 REPORT	337
17.1 Person responsible for the Pillar 3 report	338

17.2 Statement of the person responsible for the Pillar 3

	report	338
	APPENDICES	339
18.1	Pillar 3 cross-reference table	340
18.2	Index of the tables in the Risk Report	341
18.3	Mapping table of exposure classes	345
18.4	Abbreviations table	346

2

3

4

GROUP CONCISE RISK

STATEMENT

5

GROUP CONCISE RISK STATEMENT

FINANCIAL STRENGTH PROFILE

Societe Generale seeks a sustainable development based on a diversified and balanced banking model with a strong European foothold and a global presence targeted on a few areas of strong business expertise. Risk appetite is declined in a global strategy which fulfills the following targets:

1. CET 1 ratio at 13% in 2026, under Basel IV;

1. average annual revenue growth between 0% and 2% over 2022-2026;

1. increased operational efficiency with cost-to-income ratio below 60% in 2026;

1. return on tangible equity (ROTE) between 9% and 10% in 2026;

1. best standards of risk monitoring with a NCR comprised between 25 and 30 bps on 2024-2026, and a non performing loan rate between 2,5% and 3% in 2026;

1. maintaining a robust liquidity profile with an LCR superior or equal to 130% on 2024-2026 and a NSFR superior or equal to 112% on 2024-2026.

At 31 December 2023, the indicators of the Group's risk appetite in terms of solvency, credit risk, market risk, operational risk and structural risks were within the risk appetite levels defined by the Group. They have not reached the tolerance thresholds defined by the Board.

1.1 FINANCIAL STRENGTH PROFILE

In 31 December 2023, the Group complies with all regulatory requirements relating to solvency.

Concerning the internal economic approach of the ICAAP, the rate of coverage of the Group's internal capital requirement by the internal capital the end of 2023 is greater than 100% and respects the risk appetite validated by the Board

SOLVENCY RATIOS (IN %)
18.8	19.3	18.2
3.1
2.9	2.7
2.8
2.2	2.4
13.7	13.5	13.1
2021	2022	2023
CET1	AT1	Tier II

LEVERAGE RATIO

4.9%	4.4%	4.3%
2021	2022	2023

TLAC RATIO (IN %)

35	33.7	31.9
31.1
30
25
20
15
10
5
0
2021	2022	2023

6

DISTRIBUTION OF RWA BY RISK TYPE (RWA AS OF 31.12.2023: EUR 389BN VS. RWA AS OF 31.12.2022: EUR 362 (1) BN)

Market risk	Credit risk
Operational		5%
risk
13%
Counterparty	6%	€ 388.8bn
risk
		76%

GROUP CONCISE RISK STATEMENT

FINANCIAL STRENGTH PROFILE

DISTRIBUTION OF RWA BY CORE BUSINESS (RWA AS OF 31.12.2023: EUR 389BN VS. RWA AS OF 31.12.2022: EUR 362 (1)BN)

Corporate Centre			French Retail,
			Private Banking
	6%		and Insurance
		30%
30%	€ 388.8bn
Global
Banking	33%	International Retail,
and Investor
Mobility and
Solutions
		Leasing Services

In addition, the Group presents its unconsolidated structured entities in Note 2.4 of the financial statements of the 2023 Universal Registration Document. Intra-group transactions are governed by a credit granting process respecting different levels of delegation within the Business Units, the Risk Department and the Finance Department.

The risks of intervention on these intra-group transactions are tracked as part of the risk inventory and represent a non-material risk to date. The entities' structural risk management and oversight systems are also submitted to the Finance Department and the Risk Department.

(1) 2022 figures are restated in compliance with IFRS 17 and IFRS 9 for insurance entities.

7

GROUP CONCISE RISK STATEMENT

CREDIT RISK AND COUNTERPARTY CREDIT RISK

1.2 CREDIT RISK AND COUNTERPARTY CREDIT RISK

CHANGE IN WEIGHTED EXPOSURE FROM EUR 298 BN TO EUR 323 BN (IN MEUR)

1. 000

1. 000

1. 000

1. 000

1. 000

1. 000
   0

20,382

25,276

-1,766

8,023

-2,218

1,469

-614

Asset size

Asset

Model

Methodology

Acquisitions

Foreign

Cumulative

quality

updates

and policy

and disposals

exchange

change

Increase

Decrease

Cumulative change

movements

PORTFOLIO BREAKDOWN BY CUSTOMER TYPE	BREAKDOWN OF GROUP EXPOSURE
(IN EAD)	BY GEOGRAPHIC AREA (IN EAD)

Others
12%	Sovereign
	30%
Institutions
9%
Retail
18%
Corporates
31%

Asia Pacific	Latine America
5%	and the Carraibbean
Africa Middle East	1%
3%

UE Eastern Europe

7%

North America

15%

France

45%

Western Europe (excl. France)

22%

As of December 2023, the increase of counterparty and credit risk exposure compared to 2022 is mainly due to increase of "Sovereign" exposures (+5%).

8