Société Générale / Risk report 2021 - Pillar 3 2020

5 CAPITAL MANAGEMENT AND ADEQUACY LEVERAGE RATIO | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 57 TABLE 17: CALCULATION OF THE TLAC RATIO (In EURm) 31.12.2020 Total of regulatory Own Funds 67,584 o.w. Common Equity Tier 1 Capital (CET1) 47,290 o.w. Additional Tier 1 Capital (AT1) 8,888 o.w. Tier 2 Capital (T2) 11,405 Prudential Adjustments 2,041 Total of eligible Own Funds 69,625 Senior Non-Preferred Debts > 1 year 31,017 Deductions of self-held SNP (60) Total of Own Funds and eligible junior debts 100,582 Risk-Weighted Assets 351,852 Leverage Exposure 1,178,543 TLAC ratio on Own Funds and eligible junior debts (% of RWA) 28.6% Senior Preferred Debts 8,289 Total of Own Funds and eligible debts (junior debts and senior preferred debts) 108,871 TLAC Ratio on Total of Own Funds and eligible debts (% of RWA) 30.9% TLAC Ratio on Total of Own Funds and eligible debts (% of Leverage Exposure) 9.2% As at 31 December 2020, the TLAC ratio on own funds and eligible junior debts was 28.6%. The ratio reached 30.9% with the option of Senior Preferred Debt limited to 2.5% of RWA. The TLAC ratio calculated as a percentage of the leverage exposure was 9.2%. LEVERAGE RATIO 5.7 The Group calulates its leverage effect according to the CRR leverage ratio rules, as amended by the Delegated Act of 10 October 2014 and manages it according to the changes brought by CRR2 applicable from June 2021 (except those regarding G-SIBs expected to be applicable from January 2023). Managing the leverage ratio means both calibrating the amount of Tier 1 capital (the numerator of the ratio) and controlling the Group’s leverage exposure (the denominator of the ratio) to achieve the target ratio levels that the Group sets for itself. To this end, the leverage exposure of the different businesses is under the Finance Division’s control. The Group aims to maintain a consolidated leverage ratio that is significantly higher than the 3.5% minimum set in the Basel Committee’s recommendations, transposed in Europe via CRR2, including a fraction of the systemic buffer which is applicable to the Group. As at 31 December 2020, the leverage ratio of Societe Generale stood at 4.8%, considering a Tier 1 capital amount of EUR 56.2 billion compared with a leverage exposure of EUR 1,179 billion (versus 4.5% as at 31 December 2019, with EUR 53.9 billion and EUR 1,200 billion respectively). Compared with 31 December 2019, the leverage exposure has decreased by EUR 22 billion. While the contribution to the leverage exposure of on-balance sheet exposures excluding derivatives and SFTs only increased by EUR 3 billion following the application of the prudential “quick fix” (a transitional provision giving the possibility to temporarily exclude from the leverage exposure some exposures - including cash and receivables - towards central banks denominated in euros), the exposures related to derivatives and SFTs decreased respectively by EUR 22 billion and by EUR 3 billion. The off-balance sheet exposure was almost stable over the year. The amounts mentioned in this paragraph can be found in table 18b, page 65 (section 5.10).