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 65 TABLE 18B: LEVERAGE RATIO - COMMON DISCLOSURE (LRCOM) (In EURm) 31.12.2020 31.12.2019 ON-BALANCE SHEET EXPOSURES (EXCLUDING DERIVATIVES AND SFTS) 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 969,181 867,660 2 (Asset amounts deducted in determining Tier 1 capital) (6,866) (10,217) 3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) 962,315 857,443 DERIVATIVE EXPOSURES 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 22,468 17,696 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) 67,603 86,463 EU-5a Exposure determined under Original Exposure Method - - 6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework - - 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) (18,273) (18,234) 8 (Exempted CCP leg of client-cleared trade exposures) (16,012) (13,712) 9 (Adjusted effective notional amount of written credit derivatives) 101,932 126,517 10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) (96,895) (116,140) 11 Total derivative exposures (sum of lines 4 to 10) 60,823 82,590 SECURITIES FINANCING TRANSACTION EXPOSURES 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 239,598 260,561 13 (Netted amounts of cash payables and cash receivables of gross SFT assets) (89,021) (108,670) 14 Counterparty credit risk exposure for SFT assets 16,073 17,750 EU-14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation (EU) No 575/2013 - - 15 Agent transaction exposures - - EU-15a (Exempted CCP leg of client-cleared SFT exposure) - - 16 Total securities financing transaction exposures (sum of lines 12 to 15a) 166,650 169,641 OTHER OFF-BALANCE SHEET EXPOSURES 17 Off-balance sheet exposures at gross notional amount 230,540 214,380 18 (Adjustments for conversion to credit equivalent amounts) (126,506) (110,524) 19 Other off-balance sheet exposures (sum of lines 17 to 18) 104,034 103,856 EXEMPTED EXPOSURES IN ACCORDANCE WITH CRR ARTICLE 429 (7) AND (14) (ON AND OFF-BALANCE SHEET) EU-19a (Exemption of intragroup exposures (solo basis) in accordance with Article 429 (7) of Regulation (EU) No 575/2013 (on and off-balance sheet)) - - EU-19b (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off-balance sheet)) (115,279) (13,268) CAPITAL AND TOTAL EXPOSURES 20 Tier 1 capital 56,179 53,892 21 Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b) 1,178,543 1,200,262 LEVERAGE RATIO 22 Leverage ratio 4.8% 4.5% 22a Leverage ratio (excluding the impact of any applicable temporary exemption of central bank exposures) 4.4% 4.5% CHOICE ON TRANSITIONAL ARRANGEMENTS AND AMOUNT OF DERECOGNISED FIDUCIARY ITEMS EU-23 Choice on transitional arrangements for the definition of the capital measure Definitive decision EU-24 Amount of derecognised fiduciary items in accordance with Article 429 (11) of Regulation (EU) NO 575/2013 -