Harmonised Transparency Template
2022 Version
France
Société Générale SCF
Reporting Date: 31/03/22
Cut-off Date: 31/03/22
Index
Worksheet A: HTT General
Worksheet B2: HTT Public Sector Assets
Worksheet C: HTT Harmonised Glossary
Worksheet E: Optional ECB-ECAIs data
A. Harmonised Transparency Template - General Information
HTT 2022
Reporting in Domestic Currency | EUR |
CONTENT OF TAB A
1. Basic Facts
2. Regulatory Summary
3. General Cover Pool / Covered Bond Information
4. References to Capital Requirements Regulation (CRR) 129(7)
5. References to Capital Requirements Regulation (CRR) 129(1)
6. Other relevant information
`
Field Number
1. Basic Facts
G.1.1.1
Country
G.1.1.2
Issuer Name
G.1.1.3
Link to Issuer's Website
G.1.1.4
Cut-off date
2. Regulatory Summary
G.2.1.1
G.2.1.2
UCITS Compliance (Y/N)CRR Compliance (Y/N)
France
Société Générale SCFhttp://www.societegenerale.com/fr/mesurer-notre-performance/investisseurs/investisseurs-dette
31/03/22
Y
G.2.1.3
LCR status
Yhttp://www.ecbc.eu/legislation/list
3. General Cover Pool / Covered Bond Information
1.General Information
Nominal (mn)
G.3.1.1
Total Cover Assets 16,969.1
G.3.1.2
Outstanding Covered Bonds 12,720.0
G.3.2.1
G.3.3.1
G.3.3.2
G.3.3.3
G.3.3.4
G.3.3.5
G.3.3.6
G.3.4.1
G.3.4.2
G.3.4.3
G.3.4.4
G.3.4.5
G.3.4.6
G.3.4.7
G.3.4.8
G.3.4.9
G.3.5.1
G.3.5.2
G.3.5.3
G.3.5.4
G.3.5.5
G.3.5.6
Legal / Regulatory | Actual | Minimum Committed | Purpose | |
"Legal" OC: As mentioned in SCF law. | ||||
5.0% | 31.2% | 7.5% | "Committed" OC is equal to Contractual OC in | |
order to reassure Rating Agencies. | ||||
Nominal (mn) | % Cover Pool | |||
16,690.7 | 98.4% | |||
278.5 | 1.6% | |||
Total | 16,969.1 | 100.0% | ||
4. Cover Pool Amortisation Profile | Contractual | Expected Upon Prepayments | % Total Contractual | % Total Expected Upon Prepayments |
Weighted Average Life (in years) | 6.4 | 6.3 | ||
Residual Life (mn) | ||||
By buckets: | ||||
0- 1Y | 1,833.6 | 1,855.9 | 11.0% | 11.1% |
1- 2Y | 1,717.6 | 1,734.7 | 10.3% | 10.4% |
2- 3Y | 1,610.5 | 1,622.9 | 9.6% | 9.7% |
3- 4Y | 1,507.6 | 1,515.8 | 9.0% | 9.1% |
4- 5Y | 1,424.8 | 1,429.1 | 8.5% | 8.6% |
5 - 10 Y | 5,005.2 | 4,994.4 | 30.0% | 29.9% |
10+ Y | 3,591.3 | 3,537.8 | 21.5% | 21.2% |
Total | 16,690.7 | 16,690.7 | 100.0% | 100.0% |
5. Maturity of Covered Bonds | Initial Maturity | Extended Maturity | % Total Initial Maturity | % Total Extended Maturity |
Weighted Average life (in years) | 5.7 | 6.6 | ||
Maturity (mn) | ||||
By buckets: | ||||
0- 1Y | 1,000.0 | 1,000.0 | 7.9% | 7.9% |
1- 2Y | 570.0 | 70.0 | 4.5% | 0.6% |
2- 3Y | 2,500.0 | 500.0 | 19.7% | 3.9% |
3- 4Y | 1,000.0 | 2,500.0 | 7.9% | 19.7% |
2. Over-collateralisation (OC)
OC (%)
3. Cover Pool Composition
Mortgages
Public Sector
Shipping Substitute Assets
Other
4- 5Y 5 - 10 Y 10+ Y
1,000.0 4,250.0 2,400.0 12,720.0
1,000.0 5,250.0 2,400.0 12,720.0
7.9% 7.9%
33.4% 41.3%
G.3.5.9
18.9% 18.9%
G.3.5.10
Total
100.0% 100.0%
6. Cover Assets - Currency
Nominal [before hedging] (mn)
Nominal [after hedging] (mn)
% Total [before]
% Total [after]
G.3.6.1
EUR
14,832.9
14,832.9
88.9% 88.9%
G.3.6.10
G.3.6.2
G.3.6.11
G.3.6.3
G.3.6.4
G.3.6.5
G.3.6.6
G.3.6.7
G.3.6.8
G.3.6.9
G.3.6.12
G.3.6.13
G.3.6.14
G.3.6.15
G.3.6.16
G.3.6.17
G.3.6.18
AUD BRL CAD CHF CZK DKK GBP HKD JPY KRW NOK PLN SEK SGD USD Other
1,857.7
1,857.7
11.1% 11.1%Total
16,690.7
16,690.7
100.0% 100.0%
7. Covered Bonds - Currency
Nominal [before hedging] (mn)
Nominal [after hedging] (mn)
% Total [before]
% Total [after]
G.3.7.1
EUR
12,720.0
12,720.0
100.0% 100.0%
G.3.7.10
G.3.7.2
G.3.7.11
G.3.7.3
G.3.7.4
G.3.7.5
G.3.7.6
G.3.7.7
G.3.7.8
G.3.7.9
G.3.7.12
G.3.7.13
G.3.7.14
G.3.7.15
G.3.7.16
G.3.7.17
G.3.7.18
AUD BRL CAD CHF CZK DKK GBP HKD JPY KRW NOK PLN SEK SGD USD Other
0.0
0.0
0.0% 0.0%Total
12,720.0
12,720.0
100.0% 100.0%
8. Covered Bonds - Breakdown by interest rate
Nominal [before hedging] (mn)
Nominal [after hedging] (mn)
% Total [before]
% Total [after]
G.3.8.1
Fixed coupon
G.3.8.2
Floating coupon
1,720.0
2,940.0
13.5% 23.1%
10,850.0
9,630.0 150.0 12,720.0
85.3% 75.7%
G.3.8.3
Other
150.0
1.2% 1.2%
9. Substitute Assets - Type
Nominal (mn)
G.3.8.4
TotalG.3.9.1
Cash
G.3.9.2 Exposures to/guaranteed by Supranational, Sovereign, Agency (SSA)G.3.9.3
G.3.9.4
Exposures to central banks Exposures to credit institutions
G.3.9.5
Other
OG.3.9.1
G.3.9.6
Total o/w EU gvts or quasi govts
OG.3.9.2 o/w third-party countries Credit Quality Step 1 (CQS1) gvts or quasi govts
OG.3.9.3 o/w third-party countries Credit Quality Step 2 (CQS2) gvts or quasi govts
OG.3.9.4
o/w EU central banks
12,720.0
100.0% 100.0% % Substitute Assets
10.5 3.8%
268.0 96.2%
278.5 100.0%
OG.3.9.5
OG.3.9.6
OG.3.9.7
o/w third-party countries Credit Quality Step 1 (CQS1) central banks o/w third-party countries Credit Quality Step 2 (CQS2) central banks
OG.3.9.8
o/w CQS1 credit institutions o/w CQS2 credit institutions
OG.3.9.9
OG.3.9.10
OG.3.9.11
OG.3.9.12
278.5
10. Substitute Assets - Country Domestic (Country of Issuer)
G.3.10.1
Nominal (mn)
100.0%
% Substitute Assets
278.5 100.0%
G.3.10.2
Eurozone
G.3.10.3
G.3.10.4
G.3.10.5
Rest of European Union (EU) European Economic Area (not member of EU)
Switzerland
G.3.10.6
Australia
G.3.10.10
G.3.10.7
G.3.10.11
G.3.10.8
G.3.10.9
G.3.10.12
G.3.10.13
Brazil Canada Japan Korea New Zealand Singapore
G.3.10.14
G.3.10.15
US Other
Total EU
278.5 100.0%
G.3.10.16
Total
278.5 100.0%
11. Liquid Assets
Nominal (mn)
% Cover Pool
% Covered Bonds
G.3.11.1
Substitute and other marketable assets
G.3.11.2
Central bank eligible assets
G.3.11.3
278.5 689.7
Other
G.3.11.4
1.6% 2.2%
4.1% 5.4%Total
968.1
12. Bond List
G.3.12.1
Bond list
13. Derivatives & Swaps
G.3.13.1
Derivatives in the register / cover pool [notional] (mn)
G.3.13.2
Type of interest rate swaps (intra-group, external or both)
G.3.13.3
Type of currency rate swaps (intra-group, external or both)
https://coveredbondlabel.com/issuer/15/
1,370.0 Intra-group Intra-group
5.7% 7.6%
14. Sustainable or other special purpose strategy - optional
G.3.14.1
Cover pool involved in a sustainable/special purpose strategy? (Y/N)
G.3.14.2
If yes to G.3.14.1 is there a commitment (1) or are already sustainable components present (2)?
G.3.14.3
G.3.14.4
specific criteria link to the committed objective criteria
4. References to Capital Requirements Regulation (CRR)
Row
Row
129(7)
The issuer believes that, at the time of its issuance and based on transparency data made publicly available by the issuer, these covered bonds would satisfy the eligibility criteria for Article 129(7) of the Capital Requirements Regulation (EU) 575/2013. It should be noted, however, that whether or not exposures in the form of covered bonds are eligible to preferential treatment under Regulation (EU) 575/2013 is ultimately a matter to be determined by a relevant investor institution and its relevant supervisory authority and the issuer does not accept any responsibility in this regard.
G.4.1.1 | Value of the cover pool outstanding covered bonds: | 38 |
G.4.1.2 | (i) Value of covered bonds: | 39 |
G.4.1.3 | (ii) Geographical distribution: | 48 for Public Sector Assets |
G.4.1.4 | (ii) Type of cover assets: | 52 |
G.4.1.5 | (ii) Loan size: | |
G.4.1.6 | (ii) Interest rate risk - cover pool: | 129 for Public Sector Assets |
G.4.1.7 | (ii) Currency risk - cover pool: | 111 |
G.4.1.8 | (ii) Interest rate risk - covered bond: | 163 |
G.4.1.9 | (ii) Currency risk - covered bond: | 137 |
G.4.1.10 | 17 for Harmonised Glossary | |
G.4.1.11 | 65 |
(i)
(Please refer to "Tab D. HTT Harmonised Glossary" for hedging strategy)
(iii)Maturity structure of cover assets:
18 for Public Sector Assets
(iii) Maturity structure of covered bonds: Percentage of loans more than ninety days past due:
88
(iv)
166 for Public Sector Assets
5. References to Capital Requirements Regulation (CRR)
129(1)
G.5.1.1
Exposure to credit institute credit quality step 1 & 2
268.0
6. Other relevant information
1. Optional information e.g. Rating triggers
Pour lire la suite de ce noodl, vous pouvez consulter la version originale ici.
Attachments
- Original Link
- Original Document
- Permalink
Disclaimer
Société Générale SA published this content on 29 April 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 April 2022 06:31:02 UTC.