Société Générale / Risk Report - Pillar III

5 CAPITAL MANAGEMENT AND ADEQUACY

APPENDIX: DETAILS OF OWN FUNDS AND CAPITAL ADEQUACY

Cross ref. Table 2

Cross Ref. Table 7b

Cross Ref. notes

(In EURm)

2019 (1)

2018 (2)

Additionnal Tier 1 (AT1) capital: Regulatory adjustments

(137)

(138)

43

of which direct and indirect holdings by an institution of own AT1 instruments (negative amount) of which direct and indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount)

(125)

(125)

37

(12)

(13)

1

40 44 45 58

10

Additionnal Tier 1 (AT1) capital Tier 1 capital (T1 = CET1 + AT1)

8,112

9,357

51,942 11,159

50,511 11,545

Tier 2 capital (T2): Instruments and provisions

of which capital instruments and the related share premium accounts of which amounts of qualifying amounts referred to in Article 484, paragraph 5) and the related share premium accounts subject to phase out from T2

12,808

13,111

46

11

5

224

278

47

of which qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties

42

87

48 50

7

of which credit risk adjustments

-

-

of which direct and indirect holdings by an institution of own T2 instruments and subordinated loans (negative amount) of which direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount)

(150)

(150)

52

(1,765) 11,159 63,101 345,010

(1,781) 11,545 62,056 376,049

1

55 58 59 60 61 62

Tier 2 capital (T2)

Total capital (TC = T1 + T2) Total risk weighted assets Ratio Common Equity Tier 1

12.7% 15.1% 18.3%

10.9% 13.4% 16.5%

Ratio Tier 1

Ratio Total capital 63 Since 1 January 2019, the Group has not applied any transitional arrangements resulting from the application of Chapter 1, Title 1, Part 10 of CRR (1) Ratio fully loaded as in 2019 (2)

The regulatory own funds items are used as a starting point to describe differences between balance sheet items used to calculate own funds and regulatory own funds. Notes Common Equity Tier 1 (CET1): Instruments and reserves: I 1. Difference due to deduction for holdings of own CET1 instruments; 2. Difference linked to a limited recognition of minority interests. Common Equity Tier 1: Regulatory adjustments II 3. Other comprehensive income from changes in the fair value through equity of financial assets are not deducted from regulatory own funds, except gains and losses on derivatives held as cash flow hedges; 4. The differences between the amounts of the balance sheet under the prudential scope and under regulatory capital are related to taxes deferred on OCA and DVA; 5. Goodwill and other intangible assets net of related deferred tax liabilities are fully deducted from regulatory own funds;

6. Gains or losses on liabilities valued at fair value and recognised in the income statement resulting from changes in own credit spread (OCA) as well as gains or losses resulting from changes in credit spread on own liability derivatives (DVA) are deducted from Common Equity Tier 1 instruments. Additional Tier 1 (AT1) capital: Instruments III 7. Differences between balance sheet items used to calculate own funds and regulatory own funds are referring to the translation differences associated with these instruments; 8. Minority interests recognised in Additional Tier 1 instruments receive the same accounting treatment as described in Note 2. Additional Tier 1 (AT1) capital: Regulatory adjustments IV 9. Discrepancy due to the exclusion of insurance subordinated loans in the consolidated balance sheet. Tier 2 (T2) capital: Instruments and provisions V 10. Difference due to instruments ineligible to a classification as regulatory own funds; 11. Minority interests recognised in Tier 2 instruments receive the same accounting treatment as described in Note 2.

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PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |