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.