Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY RATIO OF LARGE EXPOSURES

At the end of 2019, Societe Generale’s leverage ratio was 4.3% comprise the exemption relating to centralised exposures to the Caisse compared to 4.2% at the end of 2018. As at 31 December 2019, the des Dépôts et Consignations for regulated savings. exposures taken into account for the purposes of the leverage ratio

TABLE 13: LEVERAGE RATIO SUMMARY AND RECONCILIATION OF PRUDENTIAL BALANCE SHEET AND LEVERAGE EXPOSURE

31.12.2019

31.12.2018

(In EURm)

Tier 1 capital (1)

51,942

50,511

Total assets in prudential balance sheet (2)

1,203,797

1,174,873

Adjustments for fiduciary assets recognised on the balance sheet but excluded from the leverage ratio exposure

-

-

Adjustments for derivative financial instruments

(80,869)

(45,520)

Adjustments for securities financing transactions (3)

(3,037)

(11,146)

Off-balance sheet exposure (loan and guarantee commitments)

103,856

99,777

Technical and prudential adjustments (Tier 1 capital prudential deductions) Technical and prudential adjustments (Regulated Saving exempted)

(10,217)

(10,320)

(13,268)

-

Leverage ratio exposure

1,200,262

1,207,664

Leverage ratio

4.3%

4.2%

Capital overview is available in Table 7: Regulatory capital and CRR/CRD4 solvency ratios. (1) Reconciliation between the statutory balance sheet and the prudential balance sheet is available in Table 2. (2) Securities financing transactions: repurchase transactions, securities lending or borrowing transactions and other similar transactions. (3)

RATIO OF LARGE EXPOSURES 5.8

The CRR incorporates the provisions regulating large exposures. As such, the Societe Generale Group must not have any exposure on a single beneficiary that exceeds 25% of the Group’s capital. The eligible capital used to calculate the large exposure ratio is the total regulatory capital, with a limit on the amount of Tier 2 capital. Tier 2 capital cannot exceed one third of Tier 1 capital.

The final rules of the Basel Committee on large exposures will be transposed in Europe via CRR2. The main change compared with the current CRR is the calculation of the regulatory limit (25%), henceforth expressed as a proportion of Tier 1 (instead of total Tier 1 and additional Tier 2), as well as the introduction of a cross-specific limit on systemic institutions (15%).

FINANCIAL CONGLOMERATE RATIO 5.9

The Societe Generale Group, also identified as a “Financial conglomerate”, is subject to additional supervision by the French Prudential Supervisory and Resolution Authority ( Autorité de Contrôle Prudentiel et de Résolution – ACPR). As at 31 December 2019, the Societe Generale Group's financial conglomerate equity covered the solvency requirements for both banking and insurance activities.

As at 30 June 2019, the financial conglomerate ratio was 133%, consisting of a numerator (“Own funds of the Financial Conglomerate”) of EUR 66.7 billion, and a denominator (“Regulatory requirement of the Financial Conglomerate”) of EUR 50.3 billion. The financial conglomerate ratio as at 31 December 2018 has been corrected as follows: 135%, consisting of a numerator “Own funds of the Financial Conglomerate” of EUR 64.6 billion, and a denominator “Regulatory requirement of the Financial Conglomerate” of EUR 47.8 billion.

50

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |