Societe Generale : Pillar 3 report – 31.03.2022

A French corporation with share capital of EUR 1,046,405,540 Registered office: 29 boulevard Haussmann - 75009 PARIS 552 120 222 R.C.S. PARIS

RISK REPORT

PILLAR 3 31.03.2022

CONTENTS

1 KEY FIGURES	3
2 RISK FACTORS	5
3 CAPITAL MANAGEMENT AND ADEQUACY	6
3.1	Regulatory capital	6
3.2	Risk-weighted assets and capital requirements	7
3.3	Leverage ratio	8
3.4	Financial conglomerate ratio	9
3.5	Additional quantitative information on own funds and capital adequacy	10
4 CREDIT RISK	11
4.1	Quantitative information	11
4.2	Additional quantitative information on credit risk	13
5 COUNTERPARTY CREDIT RISK	14
5.1	Quantitative information	14
6 MARKET RISK	15
6.1	Change in trading VaR	15
6.2	Additional quantitative information on market risk	16
7 LIQUIDITY RISK	17
7.1	Liquidity reserve	17
7.2	Regulatory ratios	17
8 REMUNERATION	19
9 APPENDICES	20
9.1	Index of the tables in the Risk Report	20

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)		31.03.2022	31.12.2021	30.09.2021	30.06.2021	31.03.2021
AVAILABLE OWN FUNDS (AMOUNTS)
1	Common Equity Tier 1 (CET1) capital	48,211	49,835	47,752	48,315	47,082
2	Tier 1 capital	56,443	57,907	55,620	57,258	55,318
3	Total capital	66,990	68,487	66,432	69,331	66,858
RISK-WEIGHTED ASSETS (RWA)
4	Total risk-weighted assets	376,636	363,371	363,508	361,488	353,063
CAPITAL RATIOS (AS A PERCENTAGE OF RWA)
5	Common Equity Tier 1 ratio (%)	12.80%	13.71%	13.14%	13.37%	13.34%
6	Tier 1 ratio (%)	14.99%	15.94%	15.30%	15.84%	15.67%
7	Total capital ratio (%)	17.79%	18.85%	18.28%	19.18%	18.94%
ADDITIONAL OWN FUNDS REQUIREMENTS TO ADDRESS RISKS OTHER THAN THE RISK OF EXCESSIVE LEVERAGE (AS A
PERCENTAGE OF RWA)(1)
	Additional own funds requirements to address
	risks other than the risk of excessive leverage
EU 7a	(%)	2.12%	1.75%	1.75%	1.75%	1.75%
EU 7b	of which to be made up of CET1 capital (%)	1.19%	0.98%	0.98%	0.98%	0.98%
EU 7c	of which to be made up of Tier 1 capital (%)	1.59%	1.31%	1.31%	1.31%	1.31%
EU 7d	Total SREP own funds requirements (%)	10.12%	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 (%)	-	-	-	-	-
	Global Systemically Important Institution buffer
10	(%)	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 (%)	13.66%	13.29%	13.29%	13.29%	13.29%
	CET1 available after meeting the total SREP
12	own funds requirements (%)	7.11%	8.23%	7.65%	7.88%
LEVERAGE RATIO
13	Leverage ratio total exposure measure(2)	1,319,813	1,189,253	1,263,831	1,243,050	1,241,437
14	Leverage ratio	4.28%	4.87%	4.40%	4.61%	4.46%
ADDITIONAL OWN FUNDS REQUIREMENTS TO ADDRESS RISKS OF EXCESSIVE LEVERAGE (AS A PERCENTAGE OF TOTAL
EXPOSURE MEASURE)
	Additional own funds requirements to address
EU 14a	the risk of excessive leverage (%)	-	-	-	-
EU 14b	of which to be made up of CET1 capital (%)	-	-	-	-
EU 14c	Total SREP leverage ratio requirements (%)(3)	3.09%	3.09%	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 (%)(3)	3.09%	3.09%	3.09%	3.09%
LIQUIDITY COVERAGE RATIO
	Total high-quality liquid assets (HQLA) (Weighted
15	value - average)	235,333	229,464	228,704	224,460	217,669
		3

EU 16a	Cash outflows - Total weighted value	409,590	395,060	380,694	365,861	357,186
EU 16b	Cash inflows - Total weighted value	235,158	226,148	218,257	215,876	218,961
16	Total net cash outflows (adjusted value)	174,432	168,912	162,438	149,984	138,226
17	Liquidity coverage ratio (%)	134.72%	135.78%	141.15%	151.41%	159.23%
NET STABLE FUNDING RATIO
18	Total available stable funding	629,042	619,442	598,266	597,160
19	Total required stable funding	561,828	561,043	567,222	555,238
20	NSFR ratio (%)	111.96%	110.41%	105.47%	107.55%

(1) Since 1 March 2022, the own funds requirements applicable to Societe Generale group in relation to Pillar 2 have been standing at 2.12% (of which 1.19% in CET1), resulting in a total SREP own funds requirements of 10.12%.

(2) 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.

(3) 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).

TABLE 2: TLAC - KEY METRICS (KM2)

					TLAC
(In EURm)	31.03.2022		31.12.2021	30.09.2021	30.06.2021	31.03.2021
OWN FUNDS AND ELIGIBLE LIABILITIES, RATIOS AND COMPONENTS(1)
1	Own funds and eligible liabilities	114,436		113,098	107,817	110,318	108,915
2	Total RWA of the Group	376,636		363,371	363,508	361,488	353,063
	Own funds and eligible liabilities as a
3	percentage of RWA	30.38%		31.12%	29.66%	30.52%	30.85%
4	Total exposure measure of the Group	1,319,813		1,189,253	1,263,831	1,243,050	1,241,437
	Own funds and eligible liabilities as
5	percentage of the total exposure measure	8.67%		9.51%	8.53%	8.87%	8.77%
	Does the subordination exemption in Article
6a	72b(4) of the CRR apply? (5% exemption)	No		No	No	No	No
	Pro-memo item: Aggregate amount of permitted
	non-subordinated eligible liabilities instruments
	If the subordination discretion as per Article
6b	72b(3) CRR is applied (max 3.5% exemption)	7,114		6,921	5,571	5,910	7,300
	Pro-memo item: If a capped subordination
	exemption applies under Article 72b (3) CRR,
	the amount of funding issued that ranks pari
	passu with excluded liabilities and that is
	recognised under row 1, divided by funding
	issued that ranks pari passu with excluded
	Liabilities and that would be recognised under
6c	row 1 if no cap was applied (%)	100.00%		100.00%	100.00%	100.00%	100.00%

(1) With IFRS 9 phasing effect taken into account over the whole historical period considered.

As at 31 March 2022, the Group presents a TLAC ratio of 30.4% of risk-weighted assets (RWA) with the option of senior preferred debt limited to 2.5% of RWA (the ratio being 28.5% without this option) for a regulatory requirement of 21.5%, and of 8.7% of the leverage exposure for a regulatory requirement of 6.75%.

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2 RISK FACTORS

The Q1 2022 update of the risk factors is available in section 4.1, pages 30 and following, of the first amendment to the 2022 Universal registration document (www.societegenerale.com, section "Universal registration document (URD)").

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