Société Générale — Audit Report / Information 2010

Jul 15, 2011

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Name of the bank: SOCIETE GENERALE

Actual results at 31 December 2010	million EUR, %
Operating profit before impairments Impairment losses on financial and non-financial assets in the banking book	9,258 -3,979
Risk weighted assets (4)	343,862
Core Tier 1 capital (4)	27,824
Core Tier 1 capital ratio, % (4)	8.1%
Additional capital needed to reach a 5 % Core Tier 1 capital benchmark

Outcomes of the adverse scenario at 31 December 2012, excluding all mitigating actions taken in 2011	%
Core Tier 1 Capital ratio	6.6%
Outcomes of the adverse scenario at 31 December 2012, including recognised mitigating measures as of 30 April 2011	million EUR, %
2 yr cumulative operating profit before impairments	11,522
2 yr cumulative impairment losses on financial and non-financial assets in the banking book	-9,539
2 yr cumulative losses from the stress in the trading book	-4,328
of which valuation losses due to sovereign shock	-508
Risk weighted assets	445,529
Core Tier 1 Capital	29,221
Core Tier 1 Capital ratio (%)	6.6%
Additional capital needed to reach a 5 % Core Tier 1 capital benchmark
Effects from the recognised mitigating measures put in place until 30 April 2011 (5)
Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011 (CT1 million EUR)
Effect of government support publicly announced and fully committed in period from 31
December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio)
Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital ratio (percentage points of CT1 ratio)

	percentage points contributing
Additional taken or planned mitigating measures	to capital ratio
Use of provisions and/or other reserves (including release of countercyclical provisions)
Divestments and other management actions taken by 30 April 2011
Other disinvestments and restructuring measures, including also future mandatory restructuring
not yet approved with the EU Commission under the EU State Aid rules
Future planned issuances of common equity instruments (private issuances)
Future planned government subscriptions of capital instruments (including hybrids)
Other (existing and future) instruments recognised as appropriate back-stop measures by
national supervisory authorities
Supervisory recognised capital ratio after all current and future mitigating actions as of 31
December 2012, % (6)	6.6%

Notes

(1) The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors, where binding (see http://www.eba.europa.eu/EU-wide-stress-testing/2011.aspx for the details on the EBA methodology).

(2) All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.

(3) Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.

(4) Full static balance sheet assumption excluding any mitigating management actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures and capital raisings fully paid in before 31 December 2010 are included).

(5) Effects of capital raisings, government support and mandatory restructuring plans publicly announced and fully committed in period from 31 December 2010 to 30 April 2011, which are incorporated in the Core Tier 1 capital ratio reported as the outcome of the stress test.

(6) The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities. Details of all mitigating measures are presented in the worksheet "3 - Mitigating measures).

Results of the 2011 EBA EU-wide stress test: Aggregate information and evolution of capital (1-4)

All in million EUR, or %

Name of the bank: SOCIETE GENERALE

A. Results of the stress test based on the full static balance sheet assumption without any mitigating actions, mandatory restructuring or capital raisings post 31 December 2010 (all government support measures fully paid in before 31 December 2010 are included)

		Baseline scenario		Adverse scenario
Capital adequacy	2010	2011	2012	2011	2012
Risk weighted assets (full static balance sheet assumption)	343,862	386,205	394,318	418,651	445,529
Common equity according to EBA definition	27,824	30,341	32,921	28,374	29,221
of which ordinary shares subscribed by government
Other existing subscribed government capital (before 31 December
2010)	0
Core Tier 1 capital (full static balance sheet assumption)	27,824	30,341	32,921	28,374	29,221
Core Tier 1 capital ratio (%)	8.1%	7.9%	8.3%	6.8%	6.6%

B. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 31 December 2010

		Baseline scenario		Adverse scenario
Capital adequacy	2010	2011	2012	2011	2012
Risk weighted assets (full static balance sheet assumption)	343,862	386,205	394,318	418,651	445,529
Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on RWA (+/-)
Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 Core Tier 1 Capital (full static balance sheet assumption) Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on Core Tier 1 capital	343,862 27,824	386,205 30,341	394,318 32,921	418,651 28,374	445,529 29,221
(+/-) Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 Core Tier 1 capital ratio (%)	27,824	30,341	32,921	28,374	29,221
	8.1%	7.9%	8.3%	6.8%	6.6%

C. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 30 April 2011

		Baseline scenario		Adverse scenario
Capital adequacy	2010	2011	2012	2011	2012
Risk weighted assets after the effects of mandatory restructuring plans
publicly announced and fully committed before 31 December 2010	343,862	386,205	394,318	418,651	445,529
Effect of mandatory restructuring plans, publicly announced and
fully committed in period from 31 December 2010 to 30 April 2011
on RWA (+/-)
Risk weighted assets after the effects of mandatory restructuring plans
publicly announced and fully committed before 30 April 2011		386,205	394,318	418,651	445,529
of which RWA in banking book		281,079	286,589	303,754	325,112
of which RWA in trading book		58,056	60,659	67,827	73,347
RWA on securitisation positions (banking and trading book)		36,208	43,373	62,126	85,433
Total assets after the effects of mandatory restructuring plans publicly
announced and fully committed and equity raised and fully committed by
30 April 2011	1,051,323	1,053,839	1,056,420	1,051,873	1,052,720
Core Tier 1 capital after the effects of mandatory restructuring plans
publicly announced and fully committed before 31 December 2010	27,824	30,341	32,921	28,374	29,221
Equity raised between 31 December 2010 and 30 April 2011
Equity raisings fully committed (but not paid in) between 31
December 2010 and 30 April 2011
Effect of government support publicly announced and fully
committed in period from 31 December 2010 to 30 April 2011 on
Core Tier 1 capital (+/-)
Effect of mandatory restructuring plans, publicly announced and
fully committed in period from 31 December 2010 to 30 April 2011
on Core Tier 1 capital (+/-)
Core Tier 1 capital after government support, capital raisings and effects
of restructuring plans fully committed by 30 April 2011		30,341	32,921	28,374	29,221
Tier 1 capital after government support, capital raisings and effects of
restructuring plans fully committed by 30 April 2011		37,880	40,460	35,913	36,760
Total regulatory capital after government support, capital raisings and
effects of restructuring plans fully committed by 30 April 2011		42,659	44,395	40,627	40,630
Core Tier 1 capital ratio (%)	8.1%	7.9%	8.3%	6.8%	6.6%
Additional capital needed to reach a 5% Core Tier 1 capital
benchmark
		Baseline scenario		Adverse scenario
Profit and losses	2010	2011	2012	2011	2012
Net interest income	11,933	11,605	11,380	10,867	10,787
Trading income	5,401	5,193	5,193	3,622	3,622
of which trading losses from stress scenarios		-757	-757	-2,164	-2,164
of which valuation losses due to sovereign shock				-254	-254
Other operating income (5)	5,330	5,300	5,300	5,000	5,000
Operating profit before impairments	9,258	8,550	8,324	5,801	5,721
Impairments on financial and non-financial assets in the banking
book (6)	-3,979	-3,546	-2,807	-5,309	-4,230

Operating profit after impairments and other losses from the stress 5,279 5,004 5,516 492 1,490 Other income (5,6) 600 550 550 500 500 Net profit after tax (7) 4,301 3,665 4,004 655 1,314 of which carried over to capital (retained earnings) 2,796 2,317 2,530 409 870 of which distributed as dividends 1,505 1,349 1,473 246 443

		Baseline scenario		Adverse scenario
Additional information	2010	2011	2012	2011	2012
Deferred Tax Assets (8)	4,819	4,284	3,722	4,622	4,586
Stock of provisions (9)	14,472	17,557	20,204	19,214	23,164
of which stock of provisions for non-defaulted assets	1,252	1,252	1,252	1,507	1,778
of which Sovereigns (10)	34	34	34	282	513
of which Institutions (10)	10	10	10	17	57
of which Corporate (excluding Commercial real estate)	1,118	1,118	1,118	1,118	1,118
of which Retail (excluding Commercial real estate)	56	56	56	56	56
of which Commercial real estate (11)	34	34	34	34	34
of which stock of provisions for defaulted assets	13,219	16,305	18,952	17,706	21,386
of which Corporate (excluding Commercial real estate)	5,518	6,627	7,784	7,405	9,038
of which Retail (excluding commercial real estate)	7,141	9,043	10,457	9,577	11,477
of which Commercial real estate	250	280	310	330	410
Coverage ratio (%) (12)
Corporate (excluding Commercial real estate)	52.1%	47.8%	45.8%	48.0%	45.6%
Retail (excluding Commercial real estate)	61.2%	55.2%	51.7%	53.7%	49.8%
Commercial real estate	22.4%	23.3%	24.2%	25.0%	26.7%
Loss rates (%) (13)
Corporate (excluding Commercial real estate)	0.6%	0.5%	0.5%	0.8%	0.7%
Retail (excluding Commercial real estate)	1.0%	1.0%	0.8%	1.3%	1.0%
Commercial real estate		0.5%	0.5%	1.2%	1.2%
Funding cost (bps)	136			257	260

D. Other mitigating measures (see Mitigating measures worksheet for details), million EUR (14)

All effects as compared to regulatory aggregates as reported in Section	Baseline scenario		Adverse scenario
C	2011	2012	2011	2012
A) Use of provisions and/or other reserves (including release of
countercyclical provisions), capital ratio effect (6)
B) Divestments and other management actions taken by 30 April 2011,
RWA effect (+/-)
B1) Divestments and other business decisions taken by 30 April 2011,
capital ratio effect (+/-)
C) Other disinvestments and restructuring measures, including also
future mandatory restructuring not yet approved with the EU Commission
under the EU State Aid rules, RWA effect (+/-)
C1) Other disinvestments and restructuring measures, including also
future mandatory restructuring not yet approved with the EU Commission
under the EU State Aid rules, capital ratio effect (+/-)
D) Future planned issuances of common equity instruments (private
issuances), capital ratio effect
E) Future planned government subscriptions of capital instruments
(including hybrids), capital ratio effect
F) Other (existing and future) instruments recognised as appropriate
back-stop measures by national supervisory authorities, RWA effect (+/-
)
F1) Other (existing and future) instruments recognised as appropriate
back-stop measures by national supervisory authorities, capital ratio
effect (+/-)
Risk weighted assets after other mitigating measures (B+C+F)	386,205	394,318	418,651	445,529
Capital after other mitigating measures (A+B1+C1+D+E+F1)	30,341	32,921	28,374	29,221
Supervisory recognised capital ratio (%) (15)	7.9%	8.3%	6.8%	6.6%

Notes and definitions

(1) The stress test was carried using the EBA common methodology, which includes a static balance sheet assumption (see http://www.eba.europa.eu/EU-widestress-testing/2011.aspx for the details on the EBA methodology).

(2) All capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.

(3) Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.

(4) Regulatory transitional floors are applied where binding. RWA for credit risk have been calculated in accordance with the EBA methodology assuming an additional floor imposed at a level of RWA, before regulatory transitional floors, for December 2010 for both IRB and STA portfolios.

(5) Banks are required to provide explanations of what "Other operating income" and "Other income" constitutes for.

Composition of "Other operating income" and "Other income":

"Other operating income" stands for income in relation to pure leasing business.

"Other income" stands for share of profits in associates and joint ventures, impairment of tangible and intangible assets.

(6) If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported in Section D as other mitigating measures.

(7) Net profit includes profit attributable to minority interests.

(8) Deferred tax assets as referred to in paragraph 69 of BCBS publication dated December 2010 : "Basel 3 – a global regulatory framework for more resilient banks and banking systems".

(9) Stock of provisions includes collective and specific provisions as well as countercyclical provisions, in the jurisdictions, where required by the national legislation.

(10) Provisions for non-defaulted exposures to sovereigns and financial institutions have been computed taking into account benchmark risk parameters (PDs and LGDs) provided by the EBA and referring to external credit ratings and assuming hypothetical scenario of rating agency downgrades of sovereigns.

(11) For definition of commercial real estate please refer to footnote (5) in the worksheet "4 - EADs".

(12) Coverage ratio = stock of provisions on defaulted assets / stock of defaulted assets expressed in EAD for the specific portfolio.

(13) Loss rate = total impairment flow (specific and collective impairment flow) for a year / total EAD for the specific portfolio (including defaulted and non-defaulted assets but excluding securitisation and counterparty credit risk exposures).

(14) All elements are be reported net of tax effects.

(15) The supervisory recognised capital ratio computed on the basis of additional mitigating measures presented in this section. The ratio is based primarily on the EBA definition, but may include other mitigating measures not recognised by the EBA methodology as having impacts in the Core Tier 1 capital, but which are considered by the national supervisory authorities as appropriate mitigating measures for the stressed conditions. Where applicable, such measures are explained in the additional announcements issued by banks/national supervisory authorities. Details of all mitigating measures are presented in the worksheet "3 - Mitigating measures).

Results of the 2011 EBA EU-wide stress test: Composition of capital as of 31 December 2010

Name of the bank: SOCIETE GENERALE

		December 2010
Situation at December 2010	Million EUR	% RWA	References to COREP reporting
A) Common equity before deductions (Original own funds without hybrid instruments and			COREP CA 1.1 - hybrid instruments and government support measures other than
government support measures other than ordinary shares) (+)	31,327	9.1%	ordinary shares
Of which: (+) eligible capital and reserves	35,761	10.4%	COREP CA 1.1.1 + COREP line 1.1.2.1
Of which: (-) intangibles assets (including goodwill)	-9,837	-2.9%	Net amount included in T1 own funds (COREP line 1.1.5.1)
Of which: (-/+) adjustment to valuation differences in other AFS assets (1)	988	0.3%	Prudential filters for regulatory capital (COREP line 1.1.2.6.06)
B) Deductions from common equity (Elements deducted from original own funds) (-)	-3,503	-1.0%	COREP CA 1.3.T1* (negative amount)
Of which: (-) deductions of participations and subordinated claims	-1,182	-0.3%	Total of items as defined by Article 57 (l), (m), (n) (o) and (p) of Directive 2006/48/EC and deducted from original own funds (COREP lines from 1.3.1 to 1.3.5 included in line 1.3.T1*)
Of which: (-) securitisation exposures not included in RWA	-2,128	-0.6%	COREP line 1.3.7 included in line 1.3.T1*
Of which: (-) IRB provision shortfall and IRB equity expected loss amounts (before tax)	-193	-0.1%	As defined by Article 57 (q) of Directive 2006/48/EC (COREP line 1.3.8 included in 1.3.T1*)
C) Common equity (A+B)	27,824	8.1%
Of which: ordinary shares subscribed by government	0	0.0%	Paid up ordinary shares subscribed by government
D) Other Existing government support measures (+)	0	0.0%
E) Core Tier 1 including existing government support measures (C+D)	27,824	8.1%	Common equity + Existing government support measures included in T1 other than ordinary shares
Difference from benchmark capital threshold (CT1 5%)	10,631	3.1%	Core tier 1 including government support measures - (RWA*5%)
F) Hybrid instruments not subscribed by government	7,539	2.2%	Net amount included in T1 own funds (COREP line 1.1.4.1a + COREP lines from 1.1.2.201 to 1.1.2.205 + COREP line 1.1.5.2a (negative amount)) not subscribed by government
Tier 1 Capital (E+F) (Total original own funds for general solvency purposes)	35,363	10.3%	COREP CA 1.4 = COREP CA 1.1 + COREP CA 1.3.T1* (negative amount)
Tier 2 Capital (Total additional own funds for general solvency purposes)	8,988	2.6%	COREP CA 1.5
Tier 3 Capital (Total additional own funds specific to cover market risks)	0	0.0%	COREP CA 1.6
Total Capital (Total own funds for solvency purposes)	40,506	11.9%	COREP CA 1
Memorandum items
Amount of holdings, participations and subordinated claims in credit, financial and insurance institutions not deducted for the computation of core tier 1 but deducted for the computation of total own funds	5,027	1.5%	Total of items as defined by Article 57 (l), (m), (n) (o) and (p) of Directive 2006/48/EC not deducted for the computation of original own funds
Amount of securitisation exposures not included in RWA and not deducted for the computation of core tier 1 but deducted for the computation of total own funds	2,128	0.6%	Total of items as defined by Article 57 (r) of Directive 2006/48/EC not deducted for the computation of original own funds
Deferred tax assets (2)	4,819	1.4%	As referred to in paragraph 69 of BCBS publication dated December 2010 : "Basel 3 – a global regulatory framework for more resilient banks and banking systems"
Minority interests (excluding hybrid instruments) (2)	3,359	1.0%	Gross amount of minority interests as defined by Article 65 1. (a) of Directive 2006/48/EC
Valuation differences eligible as original own funds (-/+) (3)	- 58	0.0%	COREP line 1.1.2.6

Notes and definitions

(1) The amount is already included in the computation of the eligible capital and reserves and it is provided separately for information purposes.

(2) According to the Basel 3 framework specific rules apply for the treatment of these items under the Basel 3 framework, no full deduction is required for the computation of common equity.

(3) This item represents the impact in original own funds of valuation differences arising from the application of fair value measurement to certain financial instruments (AFS/FVO) and property assets after the application of prudential filters.

Results of the 2011 EBA EU-wide stress test: Overview of mitigating measures (1-2)

Name of the bank: SOCIETE GENERALE

Use of countercyclical provisions, divestments and other management actions

Please fill in the table using a separate row for each measure	Narrative description	Date of completion (actual or planned for future issuances)	Capital / P&L impact (in million EUR)	RWA impact (in million EUR)	Capital ratio impact (as of 31 December 2012) %
A) Use of provisions and/or other reserves (including release of countercyclical provisions), (3)
B) Divestments and other management actions taken by 30 April 2011
1)
2)
	C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules
1)
2)

Future capital raisings and other back stop measures

	Date of issuance			Loss absorbency	Flexibility of	Permanence		Conversion clause (where appropriate)
Please fill in the table using a separate row for each measure	(actual or planned for future	Amount	Maturity	in going concern	payments (capacity to	(Undated and without incentive to redeem)	Nature of conversion	Date of conversion	Triggers	Conversion in common equity
	issuances, dd/mm/yy)	(in million EUR)	(dated/ undated) (4)	(Yes/No)	(Yes/No)	(Yes/No)	(mandatory/ discretionary)	(at any time/from a specific date: dd/mm/yy)	(description of the triggers)	(Yes/No)
D) Future planned issuances of common equity instruments (private issuances)
E) Future planned government subscriptions of capital instruments (including hybrids)
1) Denomination of the instrument
2)
F) Other (existing and future) instruments recognised as back stop measures by national supervisory authorities (including hybrids)
1) Denomination of the instrument
2)

Notes and definitions

(1) The order of the measures follows the order of mitigating measures reported in the Section D of the worksheet "1 - Aggregate information".

(2) All elements are be reported net of tax effects.

(3) If under the national legislation, the release of countercyclical provisions and/or other similar reserves is allowed, this figure for 2010 could be included either in rows "Impairments on financial assets in the banking book" or "Other income" for 2010, whereas under the EU-wide stress test methodology such release for 2011-2012 should be reported in Section D of the worksheet "1- Aggregate information" as other mitigating measures and explained in this worksheet. (4) If dated please insert the maturity date (dd/mm/yy) otherwise specify undated.

Results of the 2011 EBA EU-wide stress test: Credit risk exposures (EAD - exposure at default), as of 31 December 2010, mln EUR, (1-5)

Name of the bank: SOCIETE GENERALE

All values in million EUR, or %

	Non-defaulted exposures
	Institutions	Corporate		Retail (excluding commercial real estate)						Commercial Real Estate	Defaulted exposures
		(excluding commercial real estate)		mortgages	of which Residential Loan to Value (LTV) ratio (%), (6)	of which Revolving	of which SME	of which other		Loan to Value (LTV) ratio (%) (6)	(excluding sovereign)	Total exposures (7)
Austria
Belgium
Bulgaria
Cyprus
Czech Republic	1,090	8,006	8,022	5,382		540	796	1,303	11		878	25,581
Denmark
Estonia
Finland
France	19,136	101,899	121,004	70,691		7,732	13,370	29,211	3,260		7,668	295,450
Germany	9,131	9,572	6,468	29		63	3,448	2,929	498		686	29,415
Greece	137	2,162	1,332	740		38	230	324	0		415	6,592
Hungary
Iceland
Ireland	892	1,921	0	0		0	0	0	0		0	4,675
Italy	1,862	6,452	5,662	0		825	1,108	3,729	299		1,348	20,891
Latvia
Liechtenstein
Lithuania
Luxembourg
Malta
Netherlands
Norway
Poland
Portugal	497	439	2	0		0	2	0	0		1	1,290
Romania
Slovakia
Slovenia
Spain	1,579	6,855	1	0		0	1	0	321		118	13,535
Sweden
United Kingdom	21,583	13,075	1,210	386		0	348	475	182		283	40,303
United States	26,831	35,714	153	153		0	0	0	172		1,565	105,201
Japan
Other non EEA non
Emerging countries	3,838	14,585	1,221	245		0	365	611	90		319	26,259
Asia	4,152	22,125	4,466	1,137		0	853	2,476	93		677	40,192
Middle and South America
Eastern Europe non EEA	1,595	11,308	8,849	2,769		301	132	5,648	270		1,160	27,020
Others	7,690	34,864	13,117	2,058		473	2,200	8,387	303		1,754	74,728
Total	100,013	268,976	171,508	83,591		9,972	22,758	55,187	5,500		16,871	711,132

Notes and definitions

(1) EAD - Exposure at Default or exposure value in the meaning of the CRD.

(2) The EAD reported here are based on the methodologies and portfolio breakdowns used in the 2011 EU-wide stress test, and hence may differ from the EAD reported by banks in their Pillar 3 disclosures, which can vary based on national regulation. For example, this would affect breakdown of EAD for real estate exposures and SME exposures.

(3) Breakdown by country and macro area (e.g. Asia) when EAD >=5%. In any case coverage 100% of total EAD should be ensured (if exact mapping of some exposures to geographies is not possible, they should be allocated to the group "others").

(4) The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings. See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm

(5) Residential real estate property which is or will be occupied or let by the owner, or the beneficial owner in the case of personal investment companies, and commercial real estate property, that is, offices and other commercial premises, which are recognised as eligible collateral in the meaning of the CRD, with the following criteria, which need to be met:

(a) the value of the property does not materially depend upon the credit quality of the obligor. This requirement does not preclude situations where purely macro economic factors affect both the value of the property and the performance of the borrower; and

(b) the risk of the borrower does not materially depend upon the performance of the underlying property or project, but rather on the underlying capacity of the borrower to repay the debt from other sources. As such, repayment of the facility does not materially depend on any cash flow generated by the underlying property serving as collateral.

(6) Loan to value ratio - ratio of EAD to the market value of real estate used as collateral for such exposures. Given the different methodologies applied to assessing the value, the bank is required to explain the computation of the ratio. In particular (a) whether collateral values is marked-to-market or any other valuation method is used, (b) whether the amount has been adjusted for principal repayments, and (c) how guarantees other than the underlying property are treated.

Definition of Loan to Value ratio used:

(7) Total exposures is the total EAD according to the CRD definition based on which the bank computes RWA for credit risk. Total exposures, in addition to the exposures broken down by regulatory portfolios in this table, include EAD for securitisation transactions, counterparty credit risk, sovereigns, guaranteed by sovereigns, public sector entities and central banks.

Results of the 2011 EBA EU-wide stress test: Exposures to sovereigns (central and local governments), as of 31 December 2010, mln EUR (1,2)

Name of the bank: SOCIETE GENERALE

All values in million EUR

Residual Maturity	Country/Region	GROSS DIRECT LONG EXPOSURES (accounting value gross of specific provisions)				NET DIRECT POSITIONS (gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK
			of which: loans and advances		of which: AFS banking book	of which: FVO (designated at fair value through profit&loss) banking book	of which: Trading book (3)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)
3M		3	0	0	0		0	0	0
1Y		269	3	263	260		0	0	0
2Y		36	0	0	0		0	0	-1
3Y	Austria	383	0	56	0		56	0	1
5Y		518	1	276	0		275	0 0	0 3
10Y		344 18	0 0	40 0	40 0		0 0	0	0
15Y		1,571	4	636	300	0	331	0	3
3M		11	0	11	0		11	14	0
1Y		199	7	113	106		0	0	0
2Y		703	0	582	0		566	0	0
3Y		105	0	10	10		0	0	2
5Y	Belgium	1,429	0	817	42		713	32	2
10Y		173	0	50	0		0	-88	-4
15Y		57	0	0	0		0	-49	0
		2,677	7	1,582	158	0	1,289	-91	1
3M		1	0	1	0		0	0	0
1Y		118	113	118	0		0	0	0
2Y		13	0	13	0		0	0	0
3Y	Bulgaria	1	0	1	0		0	0 0	1 0
5Y		7 7	0 0	7 7	0 0		0 0	0	0
10Y 15Y		0	0	0	0		0	0	0
		146	113	146	0	0	0	0	1
3M		0	0	0	0		0	0	0
1Y		0	0	0	0		0	0	0
2Y		1	0	1	0		1	0	0
3Y	Cyprus	0	0	0	0		0	0	0
5Y		0	0	0	0		0	0	0
10Y		1	0	1	0		1	0	0
15Y		0	0	0	0		0	0	0
		2	0	2	0	0	2	0	0
3M		392	0	392	186		206	0 0	0 0
1Y 2Y		1,008 708	278 0	986 707	372 486		336 221	0	0
3Y		202	0	202	199		3	0	-1
5Y	Czech Republic	681	0	681	595		17	3	1
10Y		844	0	839	578		140	2	0
15Y		260	0	260	215		16	0	0
		4,094	278	4,067	2,632	0	938	5	-1
3M		1	0	1	0		1	0	0
1Y		0	0	0	0		0	-1	0
2Y		39	0	39	0		39	0	0
3Y	Denmark	0	0	0	0		0	-2	0
5Y		0	0	0	0		0	-30	0
10Y		0 0	0 0	0 0	0 0		0 0	-5 0	0 0
15Y		40	0	40	0	0	40	-38	0
3M		0	0	0	0		0	0	0
1Y		0	0	0	0		0	0	0
2Y		0	0	0	0		0	0	0
3Y		0	0	0	0		0	0	0
5Y	Estonia	0	0	0	0		0	0	0
10Y		0	0	0	0		0	0	0
15Y		0	0	0	0		0	0	0
		0	0	0	0	0	0	0	0

Residual Maturity	Country/Region	GROSS DIRECT LONG EXPOSURES (accounting value gross of specific provisions)		(gross exposures (long) net of cash short position of sovereign debt to other counterparties only	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK
			of which: loans and advances		of which: AFS banking book	of which: FVO (designated at fair value through profit&loss) banking book	of which: Trading book (3)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)
3M		6	0	6	0		6	0	0
1Y		0	0	0	0		0	0	0
2Y		12	0	1	0		1	8	0
3Y	Finland	25	0	0	0		0	0	0
5Y		358	1	199	0		198	21	0
10Y		104 31	0 0	0 27	0 0		0 27	11 0	-1 0
15Y		536	1	233	0	0	232	40	0
3M		1,470	21	1,429	856		552	-18	0
1Y		3,809	1,737	3,050	758		552	-89	0
2Y		1,009	42	44	0		0	-4	0
3Y	France	2,762	807	2,304	350		1,138	-6	-1
5Y		5,234	2,383	3,643	170		1,090	-10	1
10Y		4,270	0	3,032	3,032		0	2	1
15Y		719	0	0	0		0	0	0
		19,272	4,989	13,501	5,166	0	3,333	-125	1
3M		91	0	68	0		68	-29 90	0 0
1Y 2Y		513 7,441	37 3	103 4,963	0 0		66 4,960	-119	0
3Y		1,131	38	38	0		0	-391	0
5Y	Germany	4,891	11	311	300		0	338	3
10Y		3,056	0	1,288	0		1,288	367	1
15Y		644	0	0	0		0	-509	0
		17,768	88	6,770	300	0	6,382	-252	4
3M		375	0	375	355		1	0	0
1Y		1,128	60	1,119	1,049		0	0	6
2Y		578	0	529	226		243	0	-16
3Y	Greece	132	0	78	78		0	0	4
5Y		356 241	117 0	337 209	45 0		0 0	39 -5	-21 24
10Y 15Y		27	0	4	0		4	-5	-8
		2,837	177	2,651	1,753	0	249	29	-12
3M		327	0	327	0		327	0	0
1Y		1	0	1	0		1	0	-1
2Y		0	0	0	0		0	10	-2
3Y	Hungary	1	0	0	0		0	-90	-1
5Y		19	0	19	13		7	11	-3
10Y		3	0	0	0		0	-96	0
15Y		0	0	0	0		0	0	0
		351	0	347	13	0	334	-166	-6
3M 1Y		0 0	0 0	0 0	0 0		0 0	0 0	0 0
2Y		0	0	0	0		0	0	0
3Y		0	0	0	0		0	0	0
5Y	Iceland	0	0	0	0		0	0	-7
10Y		0	0	0	0		0	0	0
15Y		0	0	0	0		0	0	0
		0	0	0	0	0	0	0	-8
3M		0	0	0	0		0	0	0
1Y		277	0	0	0		0	5	0
2Y		317	0	300	300		0	4	-1
3Y	Ireland	41	0	27	0		27	-13	4
5Y		153	0	115	2		113	-32 0	-2 0
10Y 15Y		189 3	0 0	0 0	0 0		0 0	0	0
		980	0	442	302	0	140	-37	1
3M		724	0	621	150		471	0	-1
1Y		1,243	40	273	150		72	-157	1
2Y		1,806	0	750	750		0	0	-20
3Y		1,458	0	735	615		56	-461	33
5Y	Italy	1,838	117	681	283		273	-16	-93
10Y		1,470	0	282	249		33	-34	31
15Y		277	0	0	0		0	0	37
		8,815	157	3,341	2,197	0	905	-668	-12

Residual Maturity	Country/Region	GROSS DIRECT LONG EXPOSURES (accounting value gross of specific provisions)		NET DIRECT POSITIONS (gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)				DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK
			of which: loans and advances		of which: AFS banking book	of which: FVO (designated at fair value through profit&loss) banking book	of which: Trading book (3)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)
3M		0	0	0	0		0	2	0
1Y		0	0	0	0		0	0	0
2Y		0	0	0	0		0	0	0
3Y	Latvia	0	0	0	0		0	0	0
5Y		0	0	0	0		0	0	0
10Y		0	0	0	0		0	0 0	0 0
15Y		0 0	0 0	0 0	0 0	0	0 0	2	0
3M		0	0	0	0		0	0	0
1Y		0	0	0	0		0	0	0
2Y		0	0	0	0		0	0	0
3Y	Liechtenstein	0	0	0	0		0	0	0
5Y		0	0	0	0		0	0	0
10Y		0	0	0	0		0	0	0
15Y		0	0	0	0		0	0	0
		0	0	0	0	0	0	0	0
3M		0	0	0	0		0	0 0	0 0
1Y 2Y		0 0	0 0	0 0	0 0		0 0	0	0
3Y		14	0	14	0		14	0	-1
5Y	Lithuania	0	0	0	0		0	0	0
10Y		0	0	0	0		0	0	0
15Y		0	0	0	0		0	0	0
		14	0	14	0	0	14	0	-1
3M		0	0	0	0		0	0	0
1Y		95	95	95	0		0	0	0
2Y		0	0	0	0		0	0	0
3Y	Luxembourg	0	0	0	0		0	0	0
5Y		0 0	0 0	0 0	0 0		0 0	0 0	0 0
10Y 15Y		0	0	0	0		0	0	0
		95	95	95	0	0	0	0	0
3M		0	0	0	0		0	0	0
1Y		0	0	0	0		0	0	0
2Y		0	0	0	0		0	0	0
3Y	Malta	0	0	0	0		0	0	0
5Y		0	0	0	0		0	0	0
10Y		0	0	0	0		0	0	0
15Y		0	0	0	0		0	0	0
		0	0	0	0	0	0	0	0
3M 1Y		2 208	0 111	0 185	0 0		0 75	0 -4	0 0
2Y		92	0	0	0		0	7	0
3Y		454	0	363	91		272	202	2
5Y	Netherlands	299	3	3	0		0	-21	-2
10Y		400	0	355	20		335	-110	-4
15Y		33	0	0	0		0	-136	0
		1,488	113	907	111	0	683	-62	-4
3M		0	0	0	0		0	0	0
1Y		0	0	0	0		0	0	0
2Y		0	0	0	0		0	0	0
3Y	Norway	0	0	0	0		0	0	0
5Y		0	0	0	0		0	0 0	0 0
10Y 15Y		0 0	0 0	0 0	0 0		0 0	0	0
		0	0	0	0	0	0	0	0
3M		1,044	0	1,044	19		1,025	3	0
1Y		682	357	651	24		269	0	0
2Y		152	0	151	76		74	0	0
3Y		91	0	89	89		0	0	-2
5Y	Poland	69	0	51	51		0	0	0
10Y		105	0	93	38		55	0	0
15Y		7	0	0	0		0	0	0
		2,150	357	2,079	298	0	1,424	3	-2

Residual Maturity	Country/Region	GROSS DIRECT LONG EXPOSURES (accounting value gross of specific provisions)		NET DIRECT POSITIONS (gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)				DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK
			of which: loans and advances		of which: AFS banking book	of which: FVO (designated at fair value through profit&loss) banking book	of which: Trading book (3)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)
3M		92	0	92	0		92	1	0
1Y		623	0	459	200		259	54	1
2Y	3Y Portugal	0	0	0	0		0	75	-2
5Y		65 23	0 0	16 0	0 0		6 0	140 -73	3 -29
10Y		96	0	63	0		63	-123	6
15Y		2	0	1	0		1	0	0
		902	0	631	200	0	421	73	-21
3M		251	0	251	251		0	0	0
1Y		2,743	2,463	2,743	280		0	0	0
2Y		86	11	86	72		3	0 0	-2 2
3Y 5Y	Romania	308 89	58 6	308 89	249 83		0 0	0	-4
10Y		0	0	0	0		0	0	0
15Y		0	0	0	0		0	0	0
		3,478	2,539	3,477	936	0	3	0	-3
3M		89	28	89	0		61	0	0
1Y		23	0	23	0		23	0	0
2Y		1 35	0 4	1 26	0 0		1 23	0 0	0 -1
3Y 5Y	Slovakia	203	95	192	52		45	87	0
10Y		10	0	5	5		0	0	0
15Y		13	0	13	0		13	0	0
		374	127	349	57	0	165	87	-1
3M		9	0	9	0		7	0	0
1Y		83	82	83	0		1	0 0	0 0
2Y 3Y		14 16	14 0	14 16	0 0		0 9	0	0
5Y	Slovenia	36	7	28	5		0	0	0
10Y		62	0	61	55		6	0	0
15Y		99	0	99	63		36	0	0
		319	103	309	123	0	58	0	-1
3M		20	0	20	3		17	0	0
1Y		1,396	7	1,029	560		370	0 0	0 -4
2Y 3Y		664 863	0 0	253 445	221 21		0 375	0	-1
5Y	Spain	592	0	276	97		0	0	-51
10Y		982	0	196	0		196	0	26
15Y		237	0	0	0		0	0	0
		4,755	7	2,220	902	0	958	0	-31
3M		0	0	0	0		0	-1 0	0 0
1Y 2Y		9 0	0 0	9 0	0 0		9 0	0	0
3Y		100	0	100	100		0	0	0
5Y	Sweden	0	0	0	0		0	0	0
10Y		52	0	52	0		52	0	0
15Y		0	0	0	0		0	0	0
		161	0	161	100	0	61	-1	0
3M		573	0	573	338		227	-24 0	0 0
1Y 2Y		405 28	10 0	390 28	85 0		295 20	0	1
3Y		98	0	98	57		37	0	1
5Y	United Kingdom	175	0	90	51		0	0	1
10Y		384	0	48	0		0	0	0
15Y		149	0	0	0		0	0	0
		1,813	10	1,226	530	0	580	-24	2
	TOTAL EEA 30	74,638	9,165	45,226	16,076	0	18,542	-1,225	-89

Residual Maturity	Country/Region	GROSS DIRECT LONG EXPOSURES (accounting value gross of specific provisions)		NET DIRECT POSITIONS (gross exposures (long) net of cash short position of sovereign debt to other counterparties only where there is maturity matching)				DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES IN THE TRADING BOOK
			of which: loans and advances		of which: AFS banking book	of which: FVO (designated at fair value through profit&loss) banking book	of which: Trading book (3)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)	Net position at fair values (Derivatives with positive fair value + Derivatives with negative fair value)
3M		72	0	39	39		0	0	0
1Y		592	0	201	0		201	0	0
2Y 3Y		1,482 772	0 0	805 57	1 1		804 56	0 0	0 0
5Y	United States	1,121	0	635	635		0	0	1
10Y		2,086	0	1,691	1,520		171	0	0
15Y		2,248	0	2,201	2,186		15	0	0
		8,373 81	0 0	5,628 81	4,381 81	0	1,247 0	0 0	2 0
3M 1Y		786	4	786	41		0	-14	0
2Y		87	0	87	87		0	0	-4
3Y	Japan	159	0	159	46		113	-173	-2
5Y		245	0	236	236		0	-442	13
10Y 15Y		906 0	0 0	897 0	773 0		124 0	-23 0	3 0
		2,263	4	2,246	1,264	0	237	-652	10
3M		240	0	240	28		212	-9	0
1Y		1,959	672	1,959	93		1,194	-93	0
2Y 3Y	Other non EEA non	91 422	3 91	71 422	56 305		12 26	2 1	-2 0
5Y	Emerging countries	551	131	551	170		250	-11	-1
10Y		286	0	183	183		0	-57	0
15Y		0	0	0	0		0	-7	0
		3,548	897	3,425	834	0	1,694	-174	-3
3M 1Y		157 402	0 257	157 396	35 144		122 0	9 7	0 -1
2Y		87	80	87	7		0	-3	3
3Y	Asia	15	0	15	15		0	0	-2
5Y		134	73	134	28		33	12	-4
10Y		7	0	5	4		1	0	-1
15Y		4 805	0 410	3 797	0 234	0	3 159	0 24	0 -5
3M		345	0	337	0		345	0	-1
1Y		145	98	145	0		47	0	3
2Y		103	103	103	0		0	0	-2
3Y 5Y	Middle and South America	233 157	233 155	233 155	0 0		0 0	0 3	4 1
10Y		3	0	0	0		0	0	-3
15Y		2	0	1	0		1	0	-2
		988	589	975	0	0	394	3	1
3M 1Y		828 842	154 742	828 842	617 100		56 0	0 1	0 0
2Y		49	12	49	37		0	0	0
3Y	Eastern Europe non	14	10	14	4		0	0	4
5Y	EEA	397	324	396	72		0	0	-2
10Y		3	0	0	0		0	0	-1
15Y		8 2,142	0 1,242	8 2,137	4 834	0	4 61	0 1	0 1
3M		1,679	108	1,665	1,572		0	0	1
1Y		2,031	1,664	2,031	367		0	-7	-1
2Y		232	145	232	87		0	0	-8
3Y	Others	1,832	1,638	1,832	194		0	0 0	11 0
5Y 10Y		1,143 33	1,065 0	1,143 33	78 33		0 0	0	-1
15Y		20	0	20	20		0	0	0
		6,971	4,619	6,956	2,352	0	0	-7	2
	TOTAL	99,729	16,925	67,391	25,975	0	22,334	-2,030	-83

Notes and definitions

(1) The allocation of countries and exposures to macro areas and emerging/non-emerging is according to the IMF WEO country groupings. See: http://www.imf.org/external/pubs/ft/weo/2010/01/weodata/groups.htm

(2) The exposures reported in this worksheet cover only exposures to central and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees (such exposures are however included in the total EAD reported in the worksheet "4 - EADs").

(3) According to the EBA methodologies, for the trading book assets banks have been allowed to offset only cash short positions having the same maturities (paragraph 202 of the Methodological note).