Societe Generale : Pillar 3 report – 30.09.2021

A French corporation with share capital of EUR 1,009,897,137.75 Registered office: 29 boulevard Haussmann - 75009 PARIS 552 120 222 R.C.S. PARIS

RISK REPORT

PILLAR 3 30.09.2021

CONTENTS

1 KEY FIGURES	3
2 CAPITAL MANAGEMENT AND ADEQUACY	5
	2.1	Regulatory capital	5
	2.2	Risk-weighted assets and capital requirements	6
	2.3 TLAC ratio	7
	2.4	Leverage ratio	8
	2.5	Financial conglomerate ratio	8
	2.6	Additional quantitative information on own funds and capital adequacy	9
3	CREDIT RISK	10
	3.1	Quantitative information	10
	3.2	Additional quantitative information on credit risk	12
4	COUNTERPARTY CREDIT RISK	13
	4.1	Quantitative information	13
5	MARKET RISK	14
	5.1	Change in trading VaR	14
	5.2	Additional quantitative information on market risk	15
6	LIQUIDITY RISK	16
	6.1	Liquidity reserve	16
	6.2	Regulatory ratios	16
7 APPENDICES	19
	7.1	Index of the tables in the Risk Report	19

1 KEY FIGURES

The amounts forming the prudential solvency and leverage ratios which are featured hereinafter take into account the transitional arrangements relating to the introduction of the IFRS 9 standard, over the whole historical period considered.

TABLE 1: KEY METRICS (KM1)

(In
EURm)		30.09.2021	30.06.2021	31.03.2021	31.12.2020	30.09.2020
AVAILABLE OWN FUNDS (AMOUNTS)
1	Common Equity Tier 1 (CET1) capital	47,752	48,315	47,082	47,290	46,107
2	Tier 1 capital	55,620	57,258	55,318	56,179	54,024
3	Total capital	66,432	69,331	66,858	67,584	64,945
RISK-WEIGHTED ASSETS (RWA)
4	Total risk-weighted assets	363,508	361,488	353,063	351,852	351,864
CAPITAL RATIOS (AS A PERCENTAGE OF RWA)
5	Common Equity Tier 1 ratio (%)	13.14%	13.37%	13.34%	13.44%	13.10%
6	Tier 1 ratio (%)	15.30%	15.84%	15.67%	15.97%	15.35%
7	Total capital ratio (%)	18.28%	19.18%	18.94%	19.21%	18.46%
ADDITIONAL OWN FUNDS REQUIREMENTS TO ADDRESS RISKS OTHER THAN THE RISK OF EXCESSIVE LEVERAGE (AS A
PERCENTAGE OF RWA)
	Additional own funds requirements to address
EU 7a	risks other than the risk of excessive leverage (%)	1.75%	1.75%	1.75%	1.75%	1.75%
EU 7b	of which to be made up of CET1 capital (%)	0.98%	0.98%	0.98%	0.98%	0.98%
EU 7c	of which to be made up of Tier 1 capital (%)	1.31%	1.31%	1.31%	1.31%	1.31%
EU 7d	Total SREP own funds requirements (%)	9.75%	9.75%	9.75%	9.75%	9.75%
COMBINED BUFFER REQUIREMENT (AS A PERCENTAGE OF RWA)
8	Capital conservation buffer (%)	2.50%	2.50%	2.50%	2.50%	2.50%
	Conservation buffer due to macro-prudential or
	systemic risk identified at the level of a Member
EU 8a	State (%)	-	-	-	-	-
	Institution-specific countercyclical capital buffer
9	(%)	0.04%	0.04%	0.04%	0.04%	0.04%
EU 9a	Systemic risk buffer (%)	-	-	-	-	-
10	Global Systemically Important Institution buffer (%)	1.00%	1.00%	1.00%	1.00%	1.00%
EU 10a	Other Systemically Important Institution buffer	-	-	-	-	-
11	Combined buffer requirement (%)	3.54%	3.54%	3.54%	3.54%	3.54%
EU 11a	Overall capital requirements (%)	13.29%	13.29%	13.29%	13.29%	13.29%
	CET1 available after meeting the total SREP own
12	funds requirements (%)	7.65%	7.88%
LEVERAGE RATIO
13	Leverage ratio total exposure measure(1)	1,263,831	1,243,050	1,241,437	1,178,543	1,197,879
14	Leverage ratio	4.40%	4.61%	4.46%	4.77%	4.51%
ADDITIONAL OWN FUNDS REQUIREMENTS TO ADDRESS RISKS OF EXCESSIVE LEVERAGE (AS A PERCENTAGE OF TOTAL
EXPOSURE MEASURE)
	Additional own funds requirements to address the
EU 14a	risk of excessive leverage (%)	-	-
EU 14b	of which to be made up of CET1 capital (%)	-	-
EU 14c	Total SREP leverage ratio requirements (%)(2)	3.09%	3.09%
LEVERAGE RATIO BUFFER AND OVERALL LEVERAGE RATIO REQUIREMENT (AS A PERCENTAGE OF TOTAL EXPOSURE
MEASURE)
EU 14d	Leverage ratio buffer requirement (%)	-	-
EU 14e	Overall leverage ratio requirements (%)(2)	3.09%	3.09%
LIQUIDITY COVERAGE RATIO
	Total high-quality liquid assets (HQLA) (Weighted
15	value - average)	228,704	224,460	217,669	204,815	188,059
EU 16a	Cash outflows - Total weighted value	380,694	365,861	357,186	356,100	353,411
EU 16b	Cash inflows - Total weighted value	218,257	215,876	218,961	227,719	230,385
		3

16	Total net cash outflows (adjusted value)	162,438	149,984	138,226	128,381	123,026
17	Liquidity coverage ratio (%)	141.15%	151.41%	159.23%	160.14%	153.47%
NET STABLE FUNDING RATIO
18	Total available stable funding	598,266	597,160
19	Total required stable funding	567,222	555,238
20	NSFR ratio (%)	105.47%	107.55%

1. Over the whole historical period considered, the measurement of the leverage exposure has been taking into account the option to exempt temporarily some central bank exposures in accordance with the European regulation.
2. The leverage ratio requirement applicable to Societe Generale group is 3.09% (enhancement of the initial regulatory requirement of
   3% in relation to the abovementioned central bank exemption).

Besides, key figures relating to the TLAC (Total Loss Absorbing Capacity) ratio can be found in section 3 of Chapter 2 of this report. As at 30 September 2021, the Group presents a TLAC ratio of 29.7% of risk-weighted assets (RWA) with the option of Senior preferred debt limited to 2.5% of RWA (the ratio being 28.1% without this option) for a regulatory requirement of 19.5%, and of 8.5% of the leverage exposure for a regulatory requirement of 6%.

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2 CAPITAL MANAGEMENT AND ADEQUACY

2.1 REGULATORY CAPITAL

During the first nine months of 2021, Societe Generale issued an equivalent of EUR 1,972 million of subordinated Tier 2 bonds and USD 1,000 million (equivalent to EUR 864 million) of Additional Tier 1 bonds. In addition, during this period, the Group redeemed, at first call date, two Additional Tier 1 bonds (EUR 1,000 million launched in April 2014 and USD 1,500 million launched in September 2016), as well as five Tier 2 bonds (SGD 425 million implemented in May 2016, JPY 27,700 million implemented in June 2016, an issue with a residual amount of USD 247.8 million implemented in November 1986, an issue with a residual amount of EUR 61.9 million implemented in June 1985 and EUR 1,000 million implemented in September 2014).

TABLE 2: REGULATORY CAPITAL AND SOLVENCY RATIOS(1)

(In EURm)	30.09.2021	31.12.2020
Shareholders' equity (IFRS), Group share	63,639	61,684
Deeply subordinated notes	(7,820)	(8,830)
Perpetual subordinated notes	(0)	(264)
Group consolidated shareholders' equity net of deeply subordinated and
perpetual subordinated notes	55,819	52,590
Non-controlling interests	4,740	4,378
Intangible assets	(1,678)	(1,647)
Goodwill	(3,708)	(3,710)
Dividends proposed (to the General Meeting) and interest expenses on deeply
subordinated and perpetual subordinated notes	(1,135)	(557)
Deductions and regulatory adjustments	(6,285)	(3,764)
COMMON EQUITY TIER 1 CAPITAL	47,752	47,290
Deeply subordinated notes and preferred shares	7,820	8,830
Other additional Tier 1 capital	185	195
Additional Tier 1 deductions	(137)	(136)
TOTAL TIER 1 CAPITAL	55,620	56,179
Tier 2 instruments	12,049	12,587
Other Tier 2 capital	278	240
Tier 2 deductions	(1,516)	(1,422)
Total regulatory capital	66,432	67,584
TOTAL RISK-WEIGHTED ASSETS	363,508	351,852
Credit and counterparty credit risk-weighted assets	300,000	287,324
Market risk-weighted assets	14,276	15,340
Operational risk-weighted assets	49,232	49,188
Solvency ratios
Common Equity Tier 1 ratio	13.14%	13.44%
Tier 1 ratio	15.30%	15.97%
Total capital ratio		18.28%	19.21%

1. Ratios set in accordance with CRR2/CRD5 rules as published in June 2019, including Danish compromise for insurance, and taking into account the IFRS 9 phasing (fully-loaded CET1 ratio of 12.95% as at 30 September 2021, the phasing effect being +19 bps), with non-recognition of the positive quarterly net result (including minority participations) and associated calculation of the dividend pay-out estimation based on the underlying net result not taken into account.

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