Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY REGULATORY CAPITAL

TABLE 4: TOTAL AMOUNT OF DEBT INSTRUMENTS ELIGIBLE FOR TIER 1 EQUITY (IN EURM)

Issue amount (in currency m)

Book value at 31.12.2019

Book value at 31.12.2018

Issuance Date

First call date

Yield before the call date and frequency

Yield after the call date and frequency Euribor 3 months + 8.901% annually Mid Swap Rate USD 5 years + 4.979% Mid Swap Rate EUR 5 years + 5.538% Mid Swap Rate USD 5 years + 4.067% Mid Swap Rate USD 5 years + 5.873% Mid Swap Rate USD 5 years + 6.238% Mid Swap Rate USD 5 years + 3,929% Mid Swap Rate USD 5 years + 4,302% Swap Offer Rate SGD 5

Currency

4-Sept. 09

EUR

1 000 M 4-Sept. 19

9.375% annually

-

1,000

18-Dec.13

USD

1 750 M 18-Déc. 23

7.875% annually

1,558

1,528

7-Apr.-14

EUR

1 000 M 7-Apr. 21

6.750% annually

1,000

1,000

25-Jun. 14

USD

1 500 M 27-Jan. 20

6.000% annually

-

1,310

29-Sept. 15

USD

1 250 M 29-Sep. 25

8.000% annually

1,113

1,092

13-Sept. 16

USD

1 500 M 13-Sep. 21

7.375% annually

1,335

1,310

6-Apr. 18

USD

1250M 6-Apr. 28

6.750% annually

1,113

1,092

4-Oct-18

USD

1250M 4-Oct. 23

7.375% annually

1,113

1,092

16-Apr. 19

SGD

750M 16-Apr. 24

6.125% annually

years + 4,207% 496 -

Mid Swap S/Q AUD 5 years + 4,036%

12-Sept. 19

AUD

700M 12-Sept. 24

4.875% annually

438

-

TOTAL

8,165

9,424

TABLE 5: CHANGES IN DEBT INSTRUMENTS ELIGIBLE FOR CAPITAL REQUIREMENTS

Prudential supervision valuation haircut

31.12.2018

Issues Redemptions

Others 31.12.2019

(In EURm)

Debt instruments eligible for Tier 1 Debt instruments eligible for Tier 2

9,424

934 185

(2,310)

-

117 105

8,165

13,389

(6)

(641)

13,032

TOTAL ELIGIBLE DEBT INSTRUMENTS

22,813

1,119

(2,316)

(641)

222

21,197

Solvency ratio The solvency ratio is set by comparing the Group’s equity (Common Equity Tier 1 (CET1), Tier 1 (T1) or Total Capital (TC)) with the sum of risk-weighted credit exposures and the capital requirement multiplied by 12.5 for market and operational risks. They are expressed as a percentage of the risk-weighted assets and according to the split of own funds i.e.: Common Equity Tier 1 (CET1), Tier 1 (T1) or Total Capital (TC). Every quarter, each ratio is calculated following the accounting closing and then compared to the supervisory requirements. The regulatory minimum requirement is set at 4.5% for CET1, 6% for T1 and 8% for TC. This minimum requirement remains stable over time. The minimum P2R requirement is set by the supervisor following the Supervisory Review and Evaluation Process (SREP). It has been standing at 1.75% since March 2019 .

In addition comes the overall buffer requirement which is the sum of : the average countercyclical buffer rate for each country, adjusted to p take into account the relevant credit risk exposures in these countries. The countercyclical buffer rate, in force as of 1 January 2020, is equal to 0.28%; the conservation buffer, in force as of 1 January 2016, that has been p standing at a maximum level of 2.50% since 1 January 2019; the Groupe's G-SIB buffer imposed by the Financial Stability Board p (FSB) is equal to 1%. Taking into account the combined regulatory buffers, the phased-in CET1 ratio level that would trigger the Maximum Distributable Amount mechanism would be 10.03% as of 1January 2020.

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