Société Générale / Risk report 2021 - Pillar 3 2020

5 CAPITAL MANAGEMENT AND ADEQUACY LARGE EXPOSURES RATIO PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 58 TABLE 18: LEVERAGE RATIO SUMMARY AND TRANSITION FROM PRUDENTIAL BALANCE SHEET TO LEVERAGE EXPOSURE (1) (In EURm) 31.12.2020 31.12.2019 Tier 1 capital (2) 56,179 53,892 Total assets in prudential balance sheet (3) 1,309,372 1,203,797 Adjustments for fiduciary assets recognised on the balance sheet but excluded from the leverage ratio exposure - - Adjustments for derivative financial instruments (118,705) (80,869) Adjustments for securities financing transactions (4) 5,988 (3,037) Off-balance sheet exposure (loan and guarantee commitments) 104,034 103,856 Technical and prudential adjustments (Tier 1 capital prudential deductions) (6,866) (10,217) Technical and prudential adjustments (regulated saving exemption) (17,087) (13,268) Technical and prudential adjustments (central banks exemption) (98,192) - Leverage ratio exposure 1,178,543 1,200,262 Leverage ratio 4.8% 4.5% December 2020 ratio takes into account the IFRS 9 phasing (leverage ratio of 4.7% without phasing, the phasing effect being +8 bps). December 2019 figures include (1) the restatement for 2019 dividend cancellation, in accordance with restrictions to the payment of dividends imposed by European Authorities. The capital overview is available in Table 12. (2) The reconciliation between the consolidated balance sheet and the accounting balance sheet within the prudential scope is available in Table 7. (3) Securities financing transactions: repurchase transactions, securities lending or borrowing transactions and other similar transactions. (4) LARGE EXPOSURES RATIO 5.8 The CRR incorporates the provisions regulating large exposures. As such, Societe Generale must not have any exposure towards a single beneficiary which exceeds 25% of the Group’s capital. The eligible capital used to calculate the large exposure ratio is the total regulatory capital, with a limit on the amount of Tier 2 capital. The latter cannot exceed one third of Tier 1 capital. The final rules of the Basel Committee on large exposures have been transposed in Europe via CRR2, applicable from June 2021. The main changes compared with CRR reside in the calculation of the regulatory limit (25%), henceforth expressed as a proportion of Tier 1 (instead of cumulated Tier 1 and Tier 2), and in the introduction of a cross-specific limit on systemic institutions (15%). FINANCIAL CONGLOMERATE RATIO 5.9 The Societe Generale group, also identified as a “Financial conglomerate”, is subject to additional supervision from the ECB. As at 31 December 2020, Societe Generale's financial conglomerate equity covered the solvency requirements for both banking and insurance activities. The financial conglomerate ratio as at 30 June 2020 has been modified as follows: 143%, consisting of a numerator (“Own funds of the Financial Conglomerate”) of EUR 71.3 billion and a denominator (“Regulatory requirement of the Financial Conglomerate”) of EUR 50.0 billion. As at 31 December 2019, the financial conglomerate ratio stood at 145%, consisting of a numerator “Own funds of the Financial Conglomerate” of EUR 70.0 billion and of a denominator “Regulatory requirement of the Financial Conglomerate” of EUR 48.4 billion.