Société Générale / Risk report 2021 - Pillar 3 2020

5 CAPITAL MANAGEMENT AND ADEQUACY REGULATORY CAPITAL PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 52 Tier 2 capital Tier 2 capital includes: undated deeply subordinated notes (1) ; p dated subordinated notes; p any positive difference between the sum of value adjustments and p impairment losses on customer loans and receivables exposures managed under the IRB approach and expected losses, up to 0.6% of total credit RWA under the IRB approach; value adjustments for credit risk related to collective impairment p losses on customer loans and receivables exposures managed under the standardised approach, up to 1.25% of total credit RWA. Deductions of Tier 2 capital essentially apply to the following: Tier 2 hybrid treasury shares; p holding of Tier 2 hybrid shares issued by financial sector entities; p minority interests beyond the minimum capital requirement in the p entities concerned. All capital instruments and their features are detailed online ( www.societegenerale.com/en/measuring-our-performance/ information-and-publications/registration-documents ). TABLE 9: TOTAL AMOUNT OF DEBT INSTRUMENTS ELIGIBLE FOR TIER 1 EQUITY Issuance Date Currency Issue amount (in currency m) First call date Yield before the call date and frequency Yield after the call date and frequency Book value (EURm) at 31.12.2020 Book value (EURm) at 31.12.2019 18.12.2013 USD 1 750 M 18.12.2023 7.875% annually Mid Swap Rate USD 5 years + 4.979% 1,426 1,558 07.04.2014 EUR 1 000 M 07.04.2021 6.750% annually Mid Swap Rate EUR 5 years + 5.538% 1,000 1,000 29.09.2015 USD 1 250 M 29.09.2025 8.000% annually Mid Swap Rate USD 5 years + 5.873% 1,019 1,113 13.09.2016 USD 1 500 M 13.09.2021 7.375% annually Mid Swap Rate USD 5 years + 6.238% 1,222 1,335 06.04.2018 USD 1250 M 06.04.2028 6.750% annually Mid Swap Rate USD 5 years + 3.929% 1,019 1,113 04.10.2018 USD 1250 M 04.10.2023 7.375% annually Mid Swap Rate USD 5 years + 4.302% 1,019 1,113 16.04.2019 SGD 750 M 16.04.2024 6.125% annually Swap Offer Rate SGD 5 years + 4.207% 462 496 12.09.2019 AUD 700 M 12.09.2024 4.875% annually Mid Swap S/Q AUD 5 years + 4.036% 440 438 18.11.2020 USD 1 500 M 18.11.2030 5.375% annually 5y U.S. Treasury Rate + 4.514% 1,222 - TOTAL 8,830 8,165 TABLE 10: CHANGES IN DEBT INSTRUMENTS ELIGIBLE FOR SOLVENCY CAPITAL REQUIREMENTS (In EURm) 31.12.2019 Issues Redemptions Prudential supervision valuation haircut Others 31.12.2020 Debt instruments eligible for Tier 1 8,165 1,222 - - (557) 8,830 Debt instruments eligible for Tier 2 13,032 1,427 (266) (1,088) (518) 12,587 TOTAL ELIGIBLE DEBT INSTRUMENTS 21,197 2,649 (266) (1,088) (1,075) 21,417 Solvency ratios The solvency ratios are 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 RWA and according to the split of own funds i.e. : Common Equity Tier 1 (CET1), Tier 1 (T1) or Total Capital (TC). Each quarter, the ratios are calculated following the accounting closing and then compared to the supervisory requirements. The Pillar 1 regulatory minimum capital requirement is set at 4.5% for CET1, 6% for T1 and 8% for TC. This minimum remains stable over time. The minimum Pillar 2 requirement (P2R) is set by the supervisor following the Supervisory Review and Evaluation Process (SREP). It has been standing at 1.75% since 1 March 2019 . The undated deeply subordinated notes' remuneration will be paid from the distributable profits for the purposes of the consolidated prudential regulation. (1)