Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY REGULATORY CAPITAL

TABLE 6: BREAKDOWN OF MINIMUM PRUDENTIAL CAPITAL REQUIREMENT FOR SOCIETE GENERALE

01.01.2020

01.03.2019

01.01.2019

Minimum requirement for Pillar 1

4.50%

4.50%

4.50%

Minimum requirement for Pillar 2 (P2R)

1.75%

1.75%

1.50%

Minimum requirement for countercyclical buffer

0.28%

0.12%

0.12%

Minimum requirement for conservation buffer

2.50%

2.50%

2.50%

Minimum requirement for systemic buffer Minimum requirement for CET1 ratio

1.00%

1.00% 9.87%

1.00% 9.62%

10.03 %

TABLE 7: REGULATORY CAPITAL AND CRR/CRD4 SOLVENCY RATIOS

31.12.2019

31.12.2018

(In EURm)

Shareholders’ equity (IFRS), Group share

63,527

61,026

Deeply subordinated notes

(9,500)

(9,329)

Perpetual subordinated notes

(282)

(278)

Group consolidated shareholders’ equity net of deeply subordinated and perpetual subordinated notes

53,745

51,419

Non-controlling interests

3,928

3,600

Intangible assets

(2,214)

(2,095)

Goodwill

(4,302)

(4,643)

Dividends proposed (to the General Meeting) and interest expenses on deeply subordinated and perpetual subordinated notes

(1,971)

(1,871)

Deductions and regulatory adjustments

(5,356) 43,830

(5,256) 41,154

COMMON EQUITY TIER 1 CAPITAL

Deeply subordinated notes and preferred shares

8,165

9,424

Other additional Tier 1 capital

84

71

Additional Tier 1 deductions

(137)

(138)

TOTAL TIER 1 CAPITAL

51,942

50,511

13,032

13,389

Tier 2 instruments

Other Tier 2 capital

42

(63)

Tier 2 deductions

(1,915) 63,101 345,010

(1,781) 62,056 376,049

Total regulatory capital

TOTAL RISK-WEIGHTED ASSETS

Credit risk-weighted assets

282,536

302,727

Market risk-weighted assets

14,513

23,701

Operational risk-weighted assets Solvency ratios Common Equity Tier 1 ratio

47,961

49,621

12.7%

10.9%

Tier 1 ratio

15.1% 18.3%

13.4% 16.5%

Total capital ratio

After taking into account non-controlling interests and regulatory adjustments, CET1 regulatory capital was EUR 43.8 billion at 31 December 2019, vs. EUR 41.2 billion at 31 December 2018. The Additional Tier One deductions mainly concern authorisations to buy back own Additional Tier 1 capital instruments as well as subordinated bank and insurance loans. The table below shows the key factors in this change.

The solvency ratio as at 31 December 2019 stood at 12.7% in Common Equity Tier 1 (10.9% at 31 December 2018), and 15.1% in Tier 1 (13.4% at 31 December 2018) for a total ratio of 18.3% (16.5% at 31 December 2018). Group shareholders’ equity at 31 December 2019 totalled 63.5 billion EUR (compared to EUR 61.0 billion at 31 December 2018).

45

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020