Société Générale / Risk report 2021 - Pillar 3 2020

5 CAPITAL MANAGEMENT AND ADEQUACY ADDITIONAL QUANTITATIVE INFORMATION ON OWN FUNDS AND CAPITAL ADEQUACY | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 63 (In EURm) 31.12.2020 Ref. Amount at disclosure 57 Total regulatory adjustments to Tier 2 (T2) capital (1,921) 58 Tier 2 (T2) capital 11,405 59 TOTAL CAPITAL (TC=T1+T2) 67,584 59a Risk weighted assets in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 ( i.e. CRR residual amounts) (529) of which: items not deducted from CET1 (Regulation (EU) No 575/2013 residual amounts) (items to be detailed line by line, e.g. Deferred tax assets that rely on future profitability net of related tax liability, indirect holdings of own CET1, etc.) - of which: items not deducted from AT1 (Regulation (EU) No 575/2013 residual amounts) (items to be detailed line by line, e.g. Reciprocal cross holdings in T2 instruments, direct holdings of non-significant investments in the capital of other financial sector entities, etc.) - Items not deducted from T2 items (Regulation (EU) No 575/2013 residual amounts) (items to be detailed line by line, e.g. Indirect holdings of own T2 instruments, indirect holdings of non-significant investments in the capital of other financial sector entities, etc.) - 60 TOTAL RISK-WEIGHTED ASSETS 351,852 CAPITAL RATIOS AND BUFFERS 61 Common Equity Tier 1 (as a percentage of risk exposure amount) 13.44% 62 Tier 1 (as a percentage of risk exposure amount) 15.97% 63 Total capital (as a percentage of risk exposure amount) 19.21% 64 Institution specific buffer requirement (CET1 requirement in accordance with article 92, paragraph 1 point a plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount) 9.02% 65 of which: capital conservation buffer requirement 2.50% 66 of which: countercyclical buffer requirement 0.04% 67 of which: systemic risk buffer requirement 0.00% 67a of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer 1.00% 68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 69 70 71 CAPITAL RATIOS AND BUFFERS 72 Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) 2,723 73 Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) 499 74 75 Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in Article 38, paragraph 3 are met) 2,702 APPLICABLE CAPS ON THE INCLUSION OF PROVISIONS IN TIER 2 76 Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap) - 77 Cap on inclusion of credit risk adjustments in T2 under standardised approach 95,421 78 Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the gap) 499 79 Cap for inclusion of credit risk adjustments in T2 under internal rating-based approach 182,108 CAPITAL INSTRUMENTS SUBJECT TO PHASE-OUT ARRANGEMENTS (ONLY APPLICABLE BETWEEN 1 JANUARY 2014 AND 1 JANUARY 2022) 80 Current cap on CET1 instruments subject to phase out arrangements - 81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) - 82 Current cap on AT1 instruments subject to phase out arrangements - 83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) - 84 Current cap on T2 instruments subject to phase out arrangements 149 85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) (115) December 2020 ratios take into account the IFRS 9 phasing (fully-loaded CET1 ratio of 13.2%, the phasing effect being +28 bps). December 2019 figures include the restatement (1) for 2019 dividend cancellation, in accordance with restrictions to the payment of dividends imposed by European Authorities.