PUBLISHING OF THE DATA AND INFORMATION OF THE BANK ON JUNE 3 th 218
Content: 1. Introduction... 3 2. Bank s Capital... 3 3. Regulatory capital requirements and leverage ratio... 6 4. Quantitative and Qualitative Information on Application of the Credit Risk Mitigation Techniques... 8 5. ANNEX... 13 September 218 2
1. Introduction Business name: Societe Generale Banka Srbija AD Beograd Business address: Bulevar Zorana Đinđića 5 A/B, 117 Belgrade, Republic of Serbia In accordance with the National Bank of Serbia s (hereinafter: NBS) Decision on Publication of Banks Data and Information ("Official Gazette RS", 13/216), Societe Generale Banka Srbija AD Beograd (hereinafter: Bank), is publishing data and information as of June 3 th 218. 2. Bank s Capital 2.1. Description of the basic characteristics of Bank's capital elements Total capital is sum of Common Equity Tier 1 Capital and supplementary capital, decreased for deductible items. Common Equity Tier 1 Capital is made form: share capital for ordinary shares, premium of the issue of ordinary shares, revaluation reserves, reserves from profit, regulatory adjustments of CET1 values, as well as intangible assets, deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated deferred tax liabilities, and needed reserves from earnings for estimated losses on balance sheet assets and off balance items as deductible items. Supplementary capital is made of subordinated capital which is included in accordance with the Decision on capital adequacy of bank in Bank s supplementary capital. 2.2. Description of limitations, regulatory adjustments and deductible items in Bank's capital calculation In accordance with the Decision on capital adequacy, as of 3 th June 218. the Bank reduced the Common Equity Tier 1 Capital for regulatory adjustments related to additional adjustments of the value of the Bank's assets, which is valued at fair value in accordance with paragraphs 315-318 of the Capital Adequacy of Bank in the amount of 47.218 thousand rsd. Bank was on 3.6.218. in accordance with the Decision on Capital Adequacy of the Bank, reduced the Common Equity Tier 1 Capital for the amount of intangible assets of 85,383 thousand. The Bank has started from September 3, 217. with the calculation of the coefficient of reduction of the required reserve for the estimated losses in accordance with Article 34.a. Decisions on the classification of balance sheet assets and off-balance sheet items and the calculation of coefficient of reduction of the required reserves is applied in accordance with the aforementioned item of the Decision. After applying the reduction coefficient as of June 3, 218. in the amount 1.15, the amount of the required reserves for estimated losses as deductible items from Common Equity Tier 1 Capital is. Total amount of the Bank's investment in financial sector entities in which the Bank doesn t have a significant investment as of June 3, 218, in accordance with the Decision on the Capital Adequacy of Bank. is 4,65 thousand rsd and therefore this amount is less than the prescribed limit of 1% of the Bank's adjusted Common Equity Tier 1 Capital, which is 3,393,628 thousand rsd, it does not represent a deductible item from the Bank s Common Equity Tier 1 Capital, but it is included in the calculation of the risky assets of the Bank and assigns risk weight in accordance with the Decision on the capital adequacy of the bank. September 218 3
Total amount of investments in the financial sector in which the Bank has a significant investment is 463,747 thousand rsd and the amount of total deferred tax assets depending on future profitability and arising from temporary differences equaling zero on June 3, 218. and they don t represent a deductible item from Common Equity Tier 1 Capital because they don t exceed the prescribed limit of 1% of the basic share capital of the Bank, which is 3,393,628 thousand rsd calculated in accordance with point 21. Paragraph 2 of the Decision on the capital adequacy of the bank. The Bank includes these investments in the calculation of risk assets of the Bank and assigns risk weight in accordance with the Decision on the capital adequacy of the bank. The sum of the total investments of the Bank in the financial sector in which the Bank has a significant investment and total deferred tax assets depending on future profitability and arising from temporary differences as of June 3, 218 are 463,747 thousand rsd and do not exceed the prescribed limit of 17.65% of the Common Equity Tier 1 Capital calculated in the amount of 5,97,91 thousand rsd in accordance with item 21.3 paragraph 3 of the Decision on the capital adequacy of the bank. Bank as of June 3, 218 did not have any investments in non-financial entities. 2.3. Review of capital elements and capital adequacy of the Bank Below is table which presents capital structure as of June 3 th, 218. I Capital management Value RSD 1. Tier 1 Capital (1.1.+1.2.) 33,936,276 1.1. Common Equity Tier 1 Capital - CET 1 33,936,276 Paid in amount of CET 1 instruments 23,723,21 Share premium from CET 1 Capital Instruments 1,253 Revaluation reserves and other unrealized gains 1,171,256 (-) Unrealized losses Other reserves 9,893,347 (-) Additional value adjustments -47,218 (-) Other intangible assets before reduction for deferred tax liabilities -85,383 ( -) Deferred tax assets depending on future profitability and not arising from temporary differences net of associated deferred tax liabilities (-) Amount of needed reserve for estimated under balance sheet assets and off-balance sheet items deducted from CET1 Capital 1.2. Additional Tier 1 Capital 2. Tier 2 Capital 3,67,98 Paid in amount of subordinated liabilities 3,67,98 3. Total Capital 37,544,257 Risk weighted assets for credit, counterparty and dilution risks and free deliveries 183,613,25 Risk weighted assets for settlement/delivery( except for free deliveries) Risk weighted assets for market risks 5,83,518 of which : Exposure to position risk for debt securities 1,74,663 of which: Exposure to foreign exchange risk 4,8,855 Risk weighted assets for operational risk 24,314,663 September 218 4
Risk weighted assets for credit valuation adjustment 84,55 Risk weighted assets related to exposure limit excesses in the trading book Total Risk-Weighted Assets 213,95,755 CET 1 CAPITAL ADEQUACY RATIO 15.93% T1 CAPITAL ADEQUACY RATIO 15.93% CAPITAL ADEQUACY RATIO 17.62% In accordance with the Decision on Capital Adequacy, the Bank is obliged to calculate the following ratios: Core Equity Tier 1 capital adequacy ratio which is the Common Equity Tier 1 capital of the bank expressed as a percentage of the total risk exposure amount Tier I capital adequacy ratio of a bank, that is equal to the ratio of the Tier I capital and risk weighted assets of the Bank The bank's total capital adequacy ratio, which is equal to the ratio of the total capital and risk weighted assets of the Bank Bank is obliged to maintain capital adequacy ratio at level defined by Decision on capital adequacy at the level of minimum 4.5% for CET 1 ratio, 6% for Tier 1 ratio and 8% for total capital adequacy ratio, increased for additional capital above prescribed minimal capital requirements determined by Supervisor, and to meet in any time Total supervisory capital requirement. The total requirement for capital represents the total supervisory requirement for capital, which is increased with the protective capital buffers of the Bank. Data and information about connecting the bank's capital position from the balance sheet with the capital position of the bank reports on capital drawn up in accordance with the decision governing the reporting of capital adequacy, as well as data and information about the differences between the positions of the balance sheet drawn up for the purpose of controlling bank group on a consolidated basis and the position of the consolidated balance sheet of the banking group drawn up in accordance with International Accounting Standards and International financial Reporting Standards, are given in Annex of this document. 2.4. Combined capital buffer The Bank is obliged to maintain capital adequacy ratios in a way that enables it to cover the requirements for a combined capital buffer. Combined capital buffers are additional Common Equity Tier 1 capital that the Bank is obliged to maintain above the prescribed regulatory minimum for the Common Equity Tier 1 capital ratio of 4.5%. Combined protective capital buffer which the Bank is obliged to maintain consists of following: - Capital conservation buffer equal to 2.5% of Banks risk-weighted assets; - Countercyclical buffer with a rate of % for exposures to the Republic of Serbia and with rates for other countries that can be downloaded from the ESRB site; - Systemic risk buffer in the amount of 3% of the total foreign exchange and foreign exchange indexed placements of the bank approved to the corporate and households in the Republic of Serbia. The requirement for the application of capital buffer is the amount of the participation of foreign exchange and foreign exchange indexed placements approved to the placements in the Republic of Serbia in the total placements of the Bank approved to the placements in the Republic of Serbia which must be higher than 1%; September 218 5
- Capital buffer for systemically important banks in the amount of 1% of the Bank's risky assets. According to the Decision on Establishing the List of systemically important banks in the Republic of Serbia and the capital buffer rates for those banks as of 8 th June 217, the Bank is classified as a systemic important bank with established rate of 1% of total risk weight assets. The National Bank of Serbia is obligated to review at least annually capital buffer for systemically important banks and the methodology for identification of systemically important banks. An overview of the capital buffers that the Bank is obliged to maintain as of June 3 th, 218 is in the table below: II Capital buffers - applyingto Bank CET 1 Capital Realized value in RSD % contribution related to total risk-weighted assets 1. Capital conservation buffer 5,327,394 2.5 2. Countercyclical capital buffer. 3. Systemic risk buffer 4,582,953 2.15 4. Systemically important bank buffer 2,13,958 1. Total: 12,41,35 5.65 Combined protective capital buffer as of June 3, 218. is 5,65% of total risk weighted assets of Bank. Data relating to the countercyclical buffer, which include the geographical distribution of exposures significant for the calculation of the countercyclical buffer and the total amount of the countercyclical buffer of the Bank's capital are given in the annex to this document. 3. Regulatory capital requirements and leverage ratio In accordance with the Decision on capital adequacy, the Bank calculates capital requirements for following risks: - Credit risk applying standardised approach - Foreign exchange risk applying standardised approach - Position risk based on debt securities - according to the Decision on capital adequacy - maturity method - Operational risk applying basic indicator approach - Risk of settlement/delivery - Counterparty risk applying method of current exposure - Risk for credit valuation adjustment - applying standardised method September 218 6
Structure of the capital requirements of the Bank prescribed by the Decision on capital adequacy as of 3 th June 218, in thousands RSD: Description CAPITAL REQUIREMENT FOR CREDIT RISK,CAPITAL REQUIRMENT FOR COUNTERPARTY RISK Amount in rsd Exposure to Central governments and central banks Exposure to Territorial autonomies and local government units 2.276 Exposure to Public administrative bodies 6163 Exposure to Multilateral development banks Exposure to International organizations Exposure to Banks 121.889 Exposure to Companies 5.875.784 Exposure to Retail 4.611.348 Exposure Secured by mortgages on immovable property 2.598.789 Exposures in default 341.12 Exposures Items associated with particular high risk 667.651 Exposures on Covered bonds Exposures on Claims on banks and companies with a short-term credit assessment Exposures on Units in open-ended investment funds Exposures on Equity 93.114 Exposures on Other items 352.97 Total capital requirement for Credit risk 14.689.41 of which: counterparty risk 15.435 Capital requirement for foreign exchange risk 32.78 Capital requirement for position risk of debt securities 85.973 Total capital requirement for Market risk 46.681 Capital requirement for operational risk 1.945.173 Capital requirement for credit value adjustment 6.764 TOTAL AMOUNT OF THE CAPITAL REQUIREMENTS 17.47.66 The Bank s leverage ratio on 3.6.218. is 9.8%, in accordance with the valid Decision on reporting of banks. On a consolidated basis, leverage ratio is 8.88%. September 218 7
4. Credit protection instruments and risk mitigation techniques The Bank uses credit protection instruments as one of the tools for credit risk mitigation. Credit protection is transferring of credit risk from beneficiary to service provider. Instruments of credit protection or collaterals are instrument of material and non-material protection. Instruments of material protection are instruments with whom Bank decreases credit risks to which it is exposed based on right to: - cash or realize transfer, takeover or keeping of assets or - decrease exposure for the amount of receivables from Bank, or to change exposure with amount of difference between this exposure and amount of receivables from the bank. Instrument of non-material credit protection are instrument with whom Bank decreases credit risk to which it is exposed through liability of third party to execute payment of certain amount to Bank in case of main debtors failure or existence of other contracted credit movement which relates to same debtor. Collateral management is performed in line with the Bank s Risk Management Strategy, Methodology of credit risk mitigation and other internal acts defining jurisdictions in the process of getting, monitoring and execution of collateral management. Bank policy in relation to mitigation of credit risks by credit protection instruments is based on following principles: 1) To secure extensive portfolio of liquid and reliable collaterals in order to mitigate credit risks to whom Bank is exposed in its business. Reliability and liquidity of material credit protection instruments request following conditions to be met: - Collateral is established based on valid legislation, to be completely documented, while contracted relation have to secure cashing, transfer, taking over or keeping the assets by which credit protection is being secured. - Realization of collateral is possible in reasonable period of time; - Value of collateral is stable during time; - Degree of correlation between value of credit protection instruments and credit worthiness of debtor is high. With establishing of non-material credit protection instruments, departments in charge secure: - That credit protection is direct; - That level of credit protection is clearly and undisputable defined; - That contracts based on which credit protection instruments are secured do not contain terms which enable to Credit protection provider to cancel, shorten, or increase the costs of protection in case of deterioration of credit quality of secured exposure or to influence on liability of provider to make appropriate payment - That collateral may be realized in accordance with appropriate regulation. 2) To diversify collaterals aimed at concentration risk management which may arise during their utilization. 3) To value collaterals by using discounts which depend on collateral types. This is necessary due to: a) Decreases of value due to depreciation of assets; b) Decreases of value because of short term sales; c) Limited marketability for some types of assets; d) Existence of fraud risks for some types of collaterals; e) Costs which arises during realization of assets; September 218 8
For different types of collaterals different discounts are overseen because of various risks associated. During decision making on approval of funds, Bank doesn t rely on collaterals as main source of repayment, but rather on assessment of client financial ability. Basic collateral types used by the Bank in credit risk mitigation are: - Guarantees; - Cash deposits; When acquiring credit protection instruments, Bank requires insurance to be established for pledged property. Insurance must be written with an insurance company approved by the Bank. In the case of housing loans, it is necessary to establish insurance of property which is subject of mortgage as well as life insurance for the borrower. Evaluation of fair value of collaterals is based on the value of collateral assessed at the moment of borrowing. The required fair value of collateral is determined in accordance with the business policy. Appraisal and monitoring of any type of surety are mandatory and it is performed in line with the Policy of credit risk mitigation by credit protection instruments. Appraisal is performed by an Independent Appraisal acceptable for the Bank. The appraisals are assessed by Risk Directorate on a yearly basis. The Bank monitors the market value of collaterals and if assess as necessary, requires additional collaterals in accordance with agreements. In calculation of capital requirements for credit risk, the Bank uses only those material and non-material credit protection instruments that fulfill criteria prescribed by Decision on Capital Adequacy related to the application of standardized approach. Regarding material credit protection instruments, the Bank used cash deposits, where risk weighted assets were adjusted for the effects of use of collaterals in the form of financial property by applying simple method in the manner prescribed by Decision on Capital Adequacy. Balance sheet netting and standardized netting agreements were not used as credit protection instruments. Providers of credit protection in the form of guarantees belong to asset class Banks (875 million dinars), asset class of Legal entities (1.79 million dinars) and asset class Sovereign and Central Banks (3.43 million dinars). Risk weight for guarantors that belong to asset class Sovereign and Central Banks is determined in line with Decision on Capital Adequacy prescribed by National Bank of Serbia and equaled to %. Risk weights for commitments covered by acceptable bank guarantees is determined in line with Decision on Capital Adequacy and in line with level of credit quality by country risk published by Moody s agency. Providers of material credit protection belong to asset class of Banks (5.19 million dinars), Legal entities (1.862 million dinars) and asset class of Private individuals (738 million dinars). Below is an overview of net exposure towards credit protection provider September 218 9
Asset class of credit protection provider Total exposure (in rsd) Non-material credit protection instruments Guarantees Credit Derivatives Sovereign and central banks 3.43.71 - Legal entities 1.78.91 - Banks 874.565 - Credit protection providers type Total exposure (in rsd) Material credit protection instruments Simple method Other material types of credit protection Banks 5.18.814 - Legal entities 1.861.95 - Private individuals 737.565-4.1. Presentation of market or credit risk concentrations within the credit risk mitigation techniques used The whole amount of exposure to the provider of credit protection from the class of Sovereign and central banks (3,43 million dinars) refers to the guarantees received from the Government of the Republic of Serbia. The amount of exposure to the provider of credit protection from the class of Legal entities (1,79 million dinars) relates to guarantees and other forms of pledge received from the international corporation whose credit rating is more favorable than the credit rating of the borrower. The amount of exposure to the provider of credit protection from the class of Banks (875 million dinars) refers to received bank guarantee from banks whose credit rating is more favorable than the credit rating of the borrower. Bearing in mind this structure of credit protection providers, as well as the relationship between the amounts of used credit protection to total balance sheet assets of the Bank the risk of concentration of credit risk within the used techniques to mitigate credit risk is acceptable. Market risk exposures within the used techniques to mitigate credit risk is considered acceptable given the fact that the instruments used denominated in the same currency as the Bank claims to which they refer. September 218 1
Below is an overview of net exposure secured by credit protection instruments as of 3 th June 218, in thousands of dinars Exposure class Balance/Off Balance Exposure secured with material instruments (in rsd) Exposure secured with non material instruments 1. SOVEREIGNS AND CENTRAL BANKS B 1. SOVEREIGNS AND CENTRAL BANKS O 2. TERRITORIAL AUTHONOMIES AND LOCAL AUTHORITIES B 2. TERRITORIAL AUTHONOMIES AND LOCAL AUTHORITIES O 3. INTERNATIONAL DEVELOPMENT BANKS B 3. INTERNATIONAL DEVELOPMENT BANKS O 6. BANKS B 6. BANKS O 7. LEGAL ENTITIES B 4,465,845 4,749,931 7. LEGAL ENTITIES O 1,351,597 1,25,997 8. PRIVATE INDIVIDUALS B 391,968 8. PRIVATE INDIVIDUALS O 192,634 12,61 9. MORTGAGE B 1,7,115 9. MORTGAGE O 254,74 1. DEFAULTS B 4,561 1. DEFAULTS O 1,277 11. EXPOSURES ITEMS ASSOCIATED WITH PARTICULAR HIGH RISK B 16,329 11. EXPOSURES ITEMS ASSOCIATED WITH PARTICULAR HIGH RISK O 14. OTHER EXPOSURES B 1,11 14. OTHER EXPOSURES O 21,252 September 218 11
Net exposure before and after applying of the protection instruments by credit quality level as of 3.6.218. Class of exposure State and Central Banks Territorial autonomies and local self- government Public agencies International Development Bank Banks Legal entities Private individuals Exposures secured with mortgage on real property Exposures in default Exposures Items associated with particular high risk Exposures on Equity Other exposures Protection instrument Net exposure Credit quality level before 83,996,989 with credit quality level after 87,427,6 with credit quality level before 979,755 without credit quality level after 979,755 without credit quality level before 178,774 without credit quality level after 178,774 without credit quality level before 5,93,381 without credit quality level after 5,93,381 without credit quality level before 8,49,353 without credit quality level after 8,923,918 without credit quality level before 28,21,817 with credit quality level after 28,21,817 with credit quality level before 223,412,713 without credit quality level after 213,33,245 without credit quality level before 234,45,875 not defined by Decision after 233,88,662 not defined by Decision before 71,179,81 not defined by Decision after 69,917,225 not defined by Decision before 11,86,411 not defined by Decision after 11,854,573 not defined by Decision before 1,444,89 not defined by Decision after 1,428,48 not defined by Decision before 468,38 not defined by Decision after 468,38 not defined by Decision before 126,422,577 without credit quality level after 134,18,645 without credit quality level September 218 12
Annex 1 5. ANNEX Data on Bank Capital form PI-KAP (RSD thousand) No Item Amount DCA reference* Common Equity Tier 1: elements 1 CET1 capital instruments and the related share premium accounts 23.724.274 1.1. 1.2. 2 3 of which: shares and other capital instruments which fulfill the requirements as laid out in Section 8 of the DCA of which: relevant share premium with the instruments referred to in item 1.1, i.e. the amount paid above par value of those instruments Profit from preceding years free of any future liabilities, to be allocated to CET 1 capital according to the decision of the bank s assembly 23.723.21 1.253 Profit of the current year or profit from the preceding year which the bank s assembly still has not decided to allocate in CET 1 capital which fulfill the requirements as laid out in Section 1, paras 2 and 3 on inclusion into CET 1 capital 1.465.49 4 Revaluation reserves and other unrealized losses 1.171.256 5 Reserves from profit and other bank reserves, except for reserves for general banking risks 6 Reserves for general banking risks 9.893.347 Section 7, 1) and Section 8 Section 7, 2) Section 1, paragraph 1 Section 1, paras 2 and 3 Section 7, 4) Section 7, 5) Section 7, paragraph 1, paragraph 6) 7 Non-controlling participations (minority interests) allowed in CET1** 8 Common Equity Tier 1 capital before regulatory adjustments and deductibles (sum of rows from 1 to 7) 34.788.877 Common Equity Tier 1 capital: regulatory adjustments and deductibles 9 Additional value adjustments (-) 1 Intangible assets, including goodwill (net of deferred tax liabilities) (-) 11 12 13 Deferred tax assets that rely on future profitability of the bank, excluding those arising from temporary differences (net of related deferred tax liability where the conditions referred to in Section 14, paragraph 1 of the DCA are met) Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value, including projected cash flows IRB Approach: Negative amount of difference resulting from the calculation in accordance with Section 134 of the DCA (-) -47.218-85.383 Section 12, paragraph 5 Section 13, 2) Section 13, 3) Section 12, 1) Section 13, 4) 14 Any increase in equity that results from securitization exposures (-) Section 11 15 Gains or losses on bank s liabilities valued at fair value resulting from changes in own credit standing Section 12, 2) September 218 13
16 Defined benefit pension fund assets on the balance sheet of the bank(-) 17 18 19 2 21 21.1. Direct, indirect and synthetic holdings by a bank of own Common Equity Tier 1 instruments, including own CET 1 instruments that a bank is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation (-) Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have a reciprocal cross holding with the bank, designed to inflate artificially the capital of the bank (-) Applicable amount of direct, indirect and synthetic holdings by the bank of the CET1 instruments of financial sector entities where the bank does not have a significant investment in those entities (-) Applicable amount of direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where the bank has a significant investment in those entities (-) Exposure amount of the following items which qualify for a risk weight of 1.25%, where the bank deducts that exposure amount from the amount of CET1 items as an alternative to applying a risk weight of 1.25% of which: holdings in entities outside the financial sector in the amount of over 1% of capital of those entities, i.e. holdings that allow exerting a significant impact on managing of a legal entity or on the business policy of that legal entity (-) 21.2. of which: securitization positions (-) 21.3. of which: free deliveries (-) 22 23 23.1. Deferred tax assets that rely on the bank s future profitability arising from temporary differences (amount above 1% of bank s CET1 capital referred to in Section 21, paragraph 2, reduced by the amount of related tax liabilities where the requirements referred to in Section 14, paragraph 1 of the DCA are met (-) Sum of deferred tax assets and holdings of financial sector entities where the bank has a significant investment referred to in Section 21, paragraph 1 of the DCA in such entities, which exceeds the threshold referred to in Section 21, paragraph 3 of the DCA (-) of which: Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where the bank has a significant investment in those entities 23.2. of which: Deferred tax assets arising from temporary differences 24 Losses for the current and previous years, and unrealized losses (-) 25 26 27 28 Any tax charge relating to CET1 elements foreseeable at the moment of its calculation, except where the bank suitably adjusts the amount of CET1 elements insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (-) Amount of items required to be deducted from the bank s Additional Tier 1 items that exceeds Additional Tier 1 capital of the bank (-) Amount of required reserve for estimated losses on balance-sheet assets and offbalance sheet items of the bank Total regulatory adjustments and deductibles from CET1 capital (sum of rows from 9 to 27) -852.61 Section 13, 5) Section 13, 6) Section 13, 7) Section 13, 8) Section 13, 9) Section 13, 11) Section 13, 11), indent one Section 13, 11), indent two Section 13, 11), indent three Section 21, 1) Section 21, paragraph 1 Section 21, 2) Section 21, 1) Section 13, 1) Section 13, 12) Section 13, 1) Section 13, 13) 29 Common Equity Tier 1 capital (difference between 8 and 28) 33.936.276 Additional Tier 1 capital: elements 3 Shares and other capital instruments which fulfill the requirements as laid out in Section 23 of the DCA and related share premium Section 22, s 1) and 2) September 218 14
31 Capital instruments issued by subsidiaries, which are recognized as Additional Tier 1 capital** 32 Additional Tier 1 capital before deductibles (3+31) Additional Tier 1 capital: deductibles 33 34 35 36 37 Direct, indirect and synthetic holdings by a bank of own Additional Tier 1 instruments, including the instruments that a bank is obliged to purchase as a result of existing contractual obligations (-) Direct, indirect and synthetic holdings by a bank of the Additional Tier 1 instruments of financial sector entities with which the bank has reciprocal cross holdings, designed to inflate artificially the capital of the bank (-) Applicable amount of direct, indirect and synthetic holdings by a bank of the Additional Tier 1 instruments of financial sector entities where the bank does not have a significant investment in those entities (-) Direct, indirect and synthetic holdings by a bank of the Additional Tier 1 instruments of financial sector entities where the bank has a significant investment in those entities, excluding underwriting positions held for five working days or fewer (-) Amount of items required to be deducted from Tier 2 items that exceed the Tier 2 capital of the bank (-) Section 26, 1) Section 26, 2) Section 26, 3) Section 26, 4) Section 26, 5) 38 Total deductibles from Additional Tier 1 capital (sum of rows from 33 to 37) 39 Additional Tier 1 capital (difference between 32 and 38) 4 Tier 1 capital (sum of rows 29 and 39) 33.936.276 Tier 2: elements 41 42 43 Shares and other Tier 2 capital instruments and subordinated liabilities which fulfill the requirements as laid out in Section 28 of the DCA and related share premium accounts related to instruments Capital instruments issued by subsidiaries, which are recognized as Tier 2 capital** Credit risk adjustments that meet the requirements for the inclusion in Tier 2 capital 3.67.98 Section 27, s 1) and 2) Section 27, s 3) and 4) 44 Tier 2 capital before deductibles (sum of rows from 41 to 43) 3.67.98 Tier 2 capital: deductibles 45 46 47 48 Direct, indirect and synthetic holdings by a bank of own Tier 2 instruments and subordinated liabilities, including instruments that the bank is obliged to purchase as a result of existing contractual obligations (-) Direct, indirect and synthetic holdings of the Tier 2 instruments and subordinated liabilities of financial sector entities with which the bank has reciprocal cross holdings, designed to inflate artificially the capital of the bank (-) Applicable amount of direct, indirect and synthetic holdings of the Tier 2 instruments and subordinated liabilities of financial sector entities where a bank does not have a significant investment in those entities (-) Direct, indirect and synthetic holdings by the bank of the Tier 2 instruments and subordinated liabilities of financial sector entities where the bank has a significant investment in those entities, excluding underwriting positions held for fewer than five working days (-) Section 3, 1) Section 3, 2) Section 3, 3) Section 3, 4) 49 Total deductibles from Tier 2 capital (sum of rows from 45 to 48) 5 Tier 2 capital (difference between 44 and 49) 3.67.98 September 218 15
51 Total capital (sum of rows 4 and 5) 52 Total risk-weighted assets Capital adequacy ratios and capital buffers 53 Common Equity Tier 1 capital ratio (%) 54 Tier 1 capital ratio (%) 55 Total capital ratio (%) 56 Total requirements for capital buffers (%)*** 57 Common Equity Tier 1 capital available for capital buffers coverage (%)**** 37.544.257 213.95.755 15.93% 15.93% 17.62% 5.65% 11.43% Section 3, paragraph 2, Section 3, 1) Section 3, 2) Section 3, 3) Section 433 * DCA - Decision on Capital Adequacy of Banks. ** To be completed by the ultimate parent company, obliged to calculate the banking group s capital based on the data from the consolidated financial statements, in accordance with the decision on consolidated supervision of a banking group. *** As a percentage of risk-weighted assets. **** Calculated as Common Equity Tier 1 capital of the bank (expressed as percentage of risk-weighted assets), less Common Equity Tier 1 capital of the bank used to maintain the Common Equity Tier 1 capital ratio referred to in Section 3, paragraph 3, item 1) of the DCA, the Tier 1 capital ratio referred to in Section 3, paragraph 3, item 2) of the DCA and the total capital ratio referred to in Section 3, paragraph 3, item 3) of the DCA. September 218 16
Annex 1 Data on Bank Capital consolidated form PI-KAP (RSD thousand) No Item Amount DCA reference* Common Equity Tier 1: elements 1 CET1 capital instruments and the related share premium accounts 23.724.274 1.1. of which: shares and other capital instruments which fulfill the requirements as laid out in Section 8 of the DCA 23.723.21 Section 7, paragraph 1, item 1) and Section 8 1.2. of which: relevant share premium with the instruments referred to in item 1.1, i.e. the amount paid above par value of those instruments 1.253 Section 7, paragraph 1, item 2) 2 3 Profit from preceding years free of any future liabilities, to be allocated to CET 1 capital according to the decision of the bank s assembly Profit of the current year or profit from the preceding year which the bank s assembly still has not decided to allocate in CET 1 capital which fulfill the requirements as laid out in Section 1, paras 2 and 3 on inclusion into CET 1 capital 11.151.189 4 Revaluation reserves and other unrealized losses 1.171.256 Section 1, paragraph 1 Section 1, paras 2 and 3 Section 7, paragraph 1, item 4) 5 Reserves from profit and other bank reserves, except for reserves for general banking risks 9.966.616 Section 7, paragraph 1, item 5) 6 Reserves for general banking risks Section 7, paragraph 1, paragraph 6) 7 Non-controlling participations (minority interests) allowed in CET1** 8 Common Equity Tier 1 capital before regulatory adjustments and deductibles (sum of rows from 1 to 7) Common Equity Tier 1 capital: regulatory adjustments and deductibles 34.862.146 9 Additional value adjustments (-) 1 Intangible assets, including goodwill (net of deferred tax liabilities) (-) 11 12 13 Deferred tax assets that rely on future profitability of the bank, excluding those arising from temporary differences (net of related deferred tax liability where the conditions referred to in Section 14, paragraph 1 of the DCA are met) Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value, including projected cash flows IRB Approach: Negative amount of difference resulting from the calculation in accordance with Section 134 of the DCA (-) -47.218-813.632 Section 12, paragraph 5 Section 13, paragraph 1, item 2) Section 13, paragraph 1, item 3) Section 12, paragraph 1, item 1) Section 13, paragraph 1, item 4) 14 Any increase in equity that results from securitization exposures (-) Section 11 15 Gains or losses on bank s liabilities valued at fair value resulting from changes in own credit standing Section 12, paragraph 1, item 2) 16 Defined benefit pension fund assets on the balance sheet of the bank(-) 17 Direct, indirect and synthetic holdings by a bank of own Common Equity Tier 1 instruments, including own CET 1 instruments that a bank is under an actual or contingent obligation to purchase by virtue of an existing contractual obligation (-) Section 13, paragraph 1, item 5) Section 13, paragraph 1, item 6) September 218 17
18 19 2 21 21.1. Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have a reciprocal cross holding with the bank, designed to inflate artificially the capital of the bank (-) Applicable amount of direct, indirect and synthetic holdings by the bank of the CET1 instruments of financial sector entities where the bank does not have a significant investment in those entities (-) Applicable amount of direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where the bank has a significant investment in those entities (-) Exposure amount of the following items which qualify for a risk weight of 1.25%, where the bank deducts that exposure amount from the amount of CET1 items as an alternative to applying a risk weight of 1.25% of which: holdings in entities outside the financial sector in the amount of over 1% of capital of those entities, i.e. holdings that allow exerting a significant impact on managing of a legal entity or on the business policy of that legal entity (-) Section 13, paragraph 1, item 7) Section 13, paragraph 1, item 8) Section 13, paragraph 1, item 9) Section 13, paragraph 1, item 11) Section 13, paragraph 1, item 11), indent one 21.2. of which: securitization positions (-) Section 13, paragraph 1, item 11), indent two 21.3. of which: free deliveries (-) Section 13, paragraph 1, item 11), indent three 22 23 23.1. Deferred tax assets that rely on the bank s future profitability arising from temporary differences (amount above 1% of bank s CET1 capital referred to in Section 21, paragraph 2, reduced by the amount of related tax liabilities where the requirements referred to in Section 14, paragraph 1 of the DCA are met (-) Sum of deferred tax assets and holdings of financial sector entities where the bank has a significant investment referred to in Section 21, paragraph 1 of the DCA in such entities, which exceeds the threshold referred to in Section 21, paragraph 3 of the DCA (-) of which: Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where the bank has a significant investment in those entities 23.2. of which: Deferred tax assets arising from temporary differences Section 21, paragraph 1, item 1) Section 21, paragraph 1 Section 21, paragraph 1, item 2) Section 21, paragraph 1, item 1) 24 Losses for the current and previous years, and unrealized losses (-) -22 25 26 Any tax charge relating to CET1 elements foreseeable at the moment of its calculation, except where the bank suitably adjusts the amount of CET1 elements insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (-) Amount of items required to be deducted from the bank s Additional Tier 1 items that exceeds Additional Tier 1 capital of the bank (-) Section 13, paragraph 1, item 1) Section 13, paragraph 1, item 12) Section 13, paragraph 1, item 1) 27 Amount of required reserve for estimated losses on balance-sheet assets and off-balance sheet items of the bank Section 13, paragraph 1, item 13) 28 Total regulatory adjustments and deductibles from CET1 capital (sum of rows from 9 to 27) -861.52 29 Common Equity Tier 1 capital (difference between 8 and 28) 34.1.94 Additional Tier 1 capital: elements 3 Shares and other capital instruments which fulfill the requirements as laid out in Section 23 of the DCA and related share premium Section 22, paragraph 1, items 1) and 2) 31 Capital instruments issued by subsidiaries, which are recognized as Additional Tier 1 capital** 32 Additional Tier 1 capital before deductibles (3+31) Additional Tier 1 capital: deductibles September 218 18
33 34 35 36 Direct, indirect and synthetic holdings by a bank of own Additional Tier 1 instruments, including the instruments that a bank is obliged to purchase as a result of existing contractual obligations (-) Direct, indirect and synthetic holdings by a bank of the Additional Tier 1 instruments of financial sector entities with which the bank has reciprocal cross holdings, designed to inflate artificially the capital of the bank (-) Applicable amount of direct, indirect and synthetic holdings by a bank of the Additional Tier 1 instruments of financial sector entities where the bank does not have a significant investment in those entities (-) Direct, indirect and synthetic holdings by a bank of the Additional Tier 1 instruments of financial sector entities where the bank has a significant investment in those entities, excluding underwriting positions held for five working days or fewer (-) Section 26, paragraph 1, item 1) Section 26, paragraph 1, item 2) Section 26, paragraph 1, item 3) Section 26, paragraph 1, item 4) 37 Amount of items required to be deducted from Tier 2 items that exceed the Tier 2 capital of the bank (-) Section 26, paragraph 1, item 5) 38 Total deductibles from Additional Tier 1 capital (sum of rows from 33 to 37) 39 Additional Tier 1 capital (difference between 32 and 38) 4 Tier 1 capital (sum of rows 29 and 39) 34.1.94 Tier 2: elements 41 42 43 Shares and other Tier 2 capital instruments and subordinated liabilities which fulfill the requirements as laid out in Section 28 of the DCA and related share premium accounts related to instruments 3.67.98 Capital instruments issued by subsidiaries, which are recognized as Tier 2 capital** Credit risk adjustments that meet the requirements for the inclusion in Tier 2 capital Section 27, paragraph 1, items 1) and 2) Section 27, paragraph 1, items 3) and 4) 44 Tier 2 capital before deductibles (sum of rows from 41 to 43) 3.67.98 Tier 2 capital: deductibles 45 46 47 48 Direct, indirect and synthetic holdings by a bank of own Tier 2 instruments and subordinated liabilities, including instruments that the bank is obliged to purchase as a result of existing contractual obligations (-) Direct, indirect and synthetic holdings of the Tier 2 instruments and subordinated liabilities of financial sector entities with which the bank has reciprocal cross holdings, designed to inflate artificially the capital of the bank (-) Applicable amount of direct, indirect and synthetic holdings of the Tier 2 instruments and subordinated liabilities of financial sector entities where a bank does not have a significant investment in those entities (-) Direct, indirect and synthetic holdings by the bank of the Tier 2 instruments and subordinated liabilities of financial sector entities where the bank has a significant investment in those entities, excluding underwriting positions held for fewer than five working days (-) Section 3, paragraph 1, item 1) Section 3, paragraph 1, item 2) Section 3, paragraph 1, item 3) Section 3, paragraph 1, item 4) 49 Total deductibles from Tier 2 capital (sum of rows from 45 to 48) 5 Tier 2 capital (difference between 44 and 49) 51 Total capital (sum of rows 4 and 5) 52 Total risk-weighted assets Capital adequacy ratios and capital buffers 3.67.98 37.69.74 22.374.41 Section 3, paragraph 2, September 218 19
53 Common Equity Tier 1 capital ratio (%) 15.43% Section 3, paragraph 1, item 1) 54 Tier 1 capital ratio (%) 55 Total capital ratio (%) 15.43% 17.7% Section 3, paragraph 1, item 2) Section 3, paragraph 1, item 3) 56 Total requirements for capital buffers (%)*** 57 5.76% Common Equity Tier 1 capital available for capital buffers coverage (%) **** 1.93% Section 433 * DCA - Decision on Capital Adequacy of Banks. ** To be completed by the ultimate parent company, obliged to calculate the banking group s capital based on the data from the consolidated financial statements, in accordance with the decision on consolidated supervision of a banking group. *** As a percentage of risk-weighted assets. **** Calculated as Common Equity Tier 1 capital of the bank (expressed as percentage of risk-weighted assets), less Common Equity Tier 1 capital of the bank used to maintain the Common Equity Tier 1 capital ratio referred to in Section 3, paragraph 3, item 1) of the DCA, the Tier 1 capital ratio referred to in Section 3, paragraph 3, item 2) of the DCA and the total capital ratio referred to in Section 3, paragraph 3, item 3) of the DCA. September 218 2
Annex 2 Data on Main Features of Financial Instruments included in Calculation of Bank`s Capital Share capital form PI-FIKAP No Instrument features Description 1. Issuer 1.1. Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) Regulatory treatment 2. Treatment in accordance with the Decision on Capital Adequacy of Banks Societe Generala Banka Srbija AD RSSGYBE8225 Common Equity Tier 1 instrument 3. Eligible at solo/(sub-)consolidated/ solo&(sub-) consolidated Solo 4. Instrument type Ordinary shares 5. Amount recognized in regulatory capital (in RSD thousand, as of most recent reporting date) 23.723.21 6. Nominal amount of instrument 23.723.21 6.1. Issue price 4.45 6.2. Redemption price 7. Accounting classification Shareholders equity 8. Original date of issuance First emission on 2.12.199. Last emission on 23.12.211 9. Perpetual or dated Perpetual 9.1. Original maturity date no maturity 1. Issuer call subject to prior supervisory approval No 1.1. Optional call date, contingent call dates and redemption amount 1.2. Subsequent call dates, if applicable Coupons / dividends Dividends 11. Fixed or floating dividend/coupon Floating 12. Coupon rate and any related index 13. Existence of a dividend stopper 14.1. Fully discretionary, partially discretionary or mandatory (in terms of timing) Partially discretionary 14.2. Fully discretionary, partially discretionary or mandatory (in terms of amount) Partially discretionary 15. Existence of step up or other incentive to redeem No 16. Non cumulative or cumulative dividende/coupon Noncumulative 17. Convertible or non-convertible Non-convertible 18. If convertible, conversion trigger(s) 19. If convertible, fully or partially 2. If convertible, conversion rate 21. If convertible, mandatory or optional conversion 22. If convertible, specify instrument type convertible into 23. If convertible, specify issuer of instrument it converts into 24. Write-down features No September 218 21
25. If write-down, write-down trigger(s) 26. If write-down, full or partial 27. If write-down, permanent or temporary 28. If temporary write-down, description of write-up mechanism 29. Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) Subordinated debt issued in the form of financial instrument 3. Non-compliant transitioned features 31. If yes, specify non-compliant features Subordinated liabilities No Instrument features Description 1. Issuer Societe Generale Paris 1.1. Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) Regulatory treatment 2. Treatment in accordance with the Decision on Capital Adequacy of Banks Tier 2 instrument 3. Eligible at solo/(sub-)consolidated/ solo&(sub-) consolidated Solo 4. Instrument type 5. Amount recognized in regulatory capital (in RSD thousand, as of most recent reporting date) Subordinated debt issued in the form of financial instrument 3.67.98 6. Nominal amount of instrument 8.855.7 6.1. Issue price 6.2. Redemption price 7. Accounting classification Liability amortized cost 8. Original date of issuance 19.12.27; 23.12.29. 9. Perpetual or dated Dated 9.1. Original maturity date 1. Issuer call subject to prior supervisory approval 1.1. Optional call date, contingent call dates and redemption amount 1.2. Subsequent call dates, if applicable Coupons / dividends 11. Fixed or floating dividend/coupon 12. Coupon rate and any related index 13. Existence of a dividend stopper 14.1. Fully discretionary, partially discretionary or mandatory (in terms of timing) 14.2. Fully discretionary, partially discretionary or mandatory (in terms of amount) 15. Existence of step up or other incentive to redeem 16. Non cumulative or cumulative dividende/coupon 19.12.212/annexed 19.1.219; 23.12.219/annexed 23.12.227. 17. Convertible or non-convertible Convertible September 218 22
18. If convertible, conversion trigger(s) Not defined by contract 19. If convertible, fully or partially Fully 2. If convertible, conversion rate Up to 1% 21. If convertible, mandatory or optional conversion Optional conversion 22. If convertible, specify instrument type convertible into 23. If convertible, specify issuer of instrument it converts into Common Equity Tier 1 instrument Societe Generale Srbija a.d. Beograd 24. Write-down features No 25. If write-down, write-down trigger(s) 26. If write-down, full or partial 27. If write-down, permanent or temporary 28. If temporary write-down, description of write-up mechanism 29. Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) Other 3. Non-compliant transitioned features 31. If yes, specify non-compliant features Annex 2 Data on Main Features of Financial Instruments which are included in Calculation of Bank`s Capital - consolidated form PI-FIKAP Share capital No Instrument features Description 1. Issuer 1.1. Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) Regulatory treatment 2. Treatment in accordance with the Decision on Capital Adequacy of Banks Societe Generala Banka Srbija AD RSSGYBE8225 Common Equity Tier 1 instrument 3. Eligible at solo/(sub-)consolidated/ solo&(sub-) consolidated Solo 4. Instrument type Ordinary shares 5. Amount recognized in regulatory capital (in RSD thousand, as of most recent reporting date) 23.723.21 6. Nominal amount of instrument 23.723.21 6.1. Issue price 4.45 6.2. Redemption price 7. Accounting classification Shareholders equity 8. Original date of issuance First emission on 2.12.199. Last emission on 23.12.211 9. Perpetual or dated Perpetual 9.1. Original maturity date no maturity 1. Issuer call subject to prior supervisory approval No September 218 23