Societe Generale : SG SFH HTT Covered Bond Label Reporting 28-02-2022 (PDF)

Harmonised Transparency Template

2022 Version

FRANCE

Societe Generale SFH

Reporting Date: 28/02/2022

Cut-off Date: 28/02/2022

Index

Worksheet A: HTT General

Worksheet B1: HTT Mortgage Assets

Worksheet C: HTT Harmonised Glossary

Covered Bond Label Disclaimer

Worksheet E: Optional ECB-ECAIs data

3. General Cover Pool / Covered Bond Information

4. Cover Pool Amortisation Profile

Contractual (mn)

Expected Upon Prepayments (mn)

5. Maturity of Covered Bonds

Initial Maturity (mn)

Extended Maturity (mn)

A. Harmonised Transparency Template - General Information	HTT 2022
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
	Minimum Committed	Purpose
"Legal" OC: As mentioned in SFH law.
8.5%	"Committed" OC is equal to Contractual OC in
order to reassure Rating Agencies.
% Cover Pool
98.5%
0.0%
0.0%
1.5%
0.0%
100.0%
% Total Contractual	% Total Expected Upon Prepayments
7.5%	12.9%
6.9%	11.2%
8.0%	11.2%
7.3%	9.5%
7.0%	8.4%
29.6%	28.4%
33.7%	18.5%
100.0%	100.0%
% Total Initial Maturity	% Total Extended Maturity
7.9%	0.0%
8.5%	7.9%
8.7%	10.3%
8.6%	6.9%
9.7%	8.6%
42.3%	45.9%
14.5%	20.5%
100.0%	100.0%

Reporting in Domestic Currency

EUR

Field Number

1. Basic Facts

G.1.1.1

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)

G.2.1.3

1.General Information

G.3.3.3

G.3.3.4

Shipping Substitute Assets

G.3.3.5

G.3.3.6

G.3.4.1

Weighted Average life (in years)

Residual Life (mn)

By buckets:

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

Weighted Average life (in years)

Country

LCR status

Other

• 0 - 1 Y

• 1 - 2 Y

• 2 - 3 Y

• 3 - 4 Y

• 4 - 5 Y

• 5 - 10 Y

  10+ Y

Maturity (mn)

G.3.5.2

By buckets:

France

Société Générale SFHhttp://www.societegenerale.com/fr/mesurer-notre-performance/investisseurs/investisseurs-dette28/02/2022

Nominal (mn)

698.6

Total

47,883.5

8.03

5.82

Total

47,157.9 47,157.9

6.0 7.0

G.3.5.3

G.3.5.4

G.3.5.5

G.3.5.6

G.3.5.7

G.3.5.8

G.3.5.9

• 5 - 10 Y

• 0 - 1 Y

• 1 - 2 Y

• 2 - 3 Y

• 3 - 4 Y

• 4 - 5 Y

• 10+ Y

G.3.5.10

Total

41,390.0 41,390.0

6. Cover Assets - Currency	Nominal [before hedging] (mn)	Nominal [after hedging] (mn)	% Total [before]	% Total [after]
G.3.6.1	EUR	47,184.9	47,184.9	100.0%	100.0%
G.3.6.2	AUD	0.0%	0.0%
G.3.6.3	BRL	0.0%	0.0%
G.3.6.4	CAD	0.0%	0.0%
G.3.6.5	CHF	0.0%	0.0%
G.3.6.6	CZK	0.0%	0.0%
G.3.6.7	DKK	0.0%	0.0%
G.3.6.8	GBP	0.0%	0.0%
G.3.6.9	HKD	0.0%	0.0%
G.3.6.10	JPY	0.0%	0.0%
G.3.6.11	KRW	0.0%	0.0%
G.3.6.12	NOK	0.0%	0.0%
G.3.6.13	PLN	0.0%	0.0%
G.3.6.14	SEK	0.0%	0.0%
G.3.6.15	SGD	0.0%	0.0%
G.3.6.16	USD	0.0%	0.0%
G.3.6.17	Other	0.0%	0.0%
G.3.6.18	47,184.9	47,184.9	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	41,390.0	41,390.0	100.0%	100.0%
G.3.7.2	AUD	0.0%	0.0%
G.3.7.3	BRL	0.0%	0.0%
G.3.7.4	CAD	0.0%	0.0%
G.3.7.5	CHF	0.0%	0.0%
G.3.7.6	CZK	0.0%	0.0%
G.3.7.7	DKK	0.0%	0.0%
G.3.7.8	GBP	0.0%	0.0%
G.3.7.9	HKD	0.0%	0.0%
G.3.7.10	JPY	0.0%	0.0%
G.3.7.11	KRW	0.0%	0.0%
G.3.7.12	NOK	0.0%	0.0%
G.3.7.13	PLN	0.0%	0.0%
G.3.7.14	SEK	0.0%	0.0%
G.3.7.15	SGD	0.0%	0.0%
G.3.7.16	USD	0.0%	0.0%
G.3.7.17	Other	0.0%	0.0%
G.3.7.18	41,390.0	41,390.0	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	40,800.0	40,800.0	98.6%	98.6%
G.3.8.2	Floating coupon	590.0	590.0	1.4%	1.4%
G.3.8.3	Other	0.0	0.0	0.0%	0.0%
G.3.8.4	41,390.0	41,390.0	100.0%	100.0%
9. Substitute Assets - Type	Nominal (mn)	% Substitute Assets
G.3.9.1	Cash	63.6	9.1%
G.3.9.2	Exposures to/guaranteed by Supranational, Sovereign, Agency (SSA)	0.0%
G.3.9.3	Exposures to central banks	0.0%
G.3.9.4	Exposures to credit institutions	635.0	90.9%
G.3.9.5	Other	0.0%
G.3.9.6	698.6	100.0%

Total

Fixed coupon

Total

Total

10. Substitute Assets - Country

Nominal (mn)

% Substitute Assets

G.3.10.1

Domestic (Country of Issuer) 698.6 100.0%

G.3.10.2

Eurozone 0.0%

G.3.10.3

Rest of European Union (EU) 0.0%

G.3.10.4

European Economic Area (not member of EU) 0.0%

G.3.10.5

Switzerland 0.0%

G.3.10.6

Australia 0.0%

G.3.10.7

Brazil 0.0%

G.3.10.8

Canada 0.0%

G.3.10.9

Japan 0.0%

G.3.10.10

Korea 0.0%

G.3.10.11

New Zealand 0.0%

G.3.10.12

Singapore 0.0%

G.3.10.13

US 0.0%

G.3.10.14

Other 0.0%

G.3.10.15

Total EU 698.6

G.3.10.16

Total 698.6 100.0%

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

698.6 1,134.6

Other

G.3.11.4

1.5% 1.7%

2.4% 2.7%

0.0% 0.0%Total

1,833.2

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/83/

3.8% 4.4%

.0 No No

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) 648/2012. It should be noted, however, that

whether or not exposures in the form of covered bonds are eligible to preferential treatment under Regulation (EU) 648/2012 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

(Please refer to "Tab D. HTT Harmonised Glossary" for hedging strategy)

Value of the cover pool outstanding covered bonds:	38
(i) Value of covered bonds:	39
(ii) Geographical distribution:	43 for Mortgage Assets
(ii) Type of cover assets:	52
(ii) Loan size:	167 for Residential Mortgage Assets	442 for Commercial Mortgage Assets
(ii) Interest rate risk - cover pool:	130 for Mortgage Assets	163
(ii) Currency risk - cover pool:	111
(ii) Interest rate risk - covered bond:	163
(ii) Currency risk - covered bond:	137
17 for Harmonised Glossary
65
88
186 for Residential Mortgage Assets
635.0

(i)

G.4.1.2

G.4.1.3

G.4.1.4

G.4.1.5

G.4.1.6

G.4.1.7

G.4.1.8

G.4.1.9

G.4.1.10

G.4.1.11

(iii) Maturity structure of cover assets:

G.4.1.12

(iii) Maturity structure of covered bonds:

G.4.1.13

(iv) Percentage of loans more than ninety days past due:

5. References to Capital Requirements Regulation (CRR)

129(1)

G.5.1.1

Exposure to credit institute credit quality step 1 & 2

6. Other relevant information

1. Optional information e.g. Rating triggers

OG.6.1.1

NPV Test (passed/failed)

OG.6.1.2

Interest Covereage Test (passe/failed)

OG.6.1.3

Cash Manager

OG.6.1.4

OG.6.1.5

OG.6.1.6

Account Bank Stand-by Account Bank

Servicer

OG.6.1.7

OG.6.1.8

OG.6.1.9

Interest Rate Swap Provider Covered Bond Swap Provider

Paying Agent

OG.6.1.10

OG.6.1.11

OG.6.1.12

OG.6.1.13

OG.6.1.14

Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information

OG.6.1.15

OG.6.1.16

OG.6.1.17

OG.6.1.18

OG.6.1.19

OG.6.1.20

OG.6.1.21

OG.6.1.22

OG.6.1.23

OG.6.1.24

OG.6.1.25

OG.6.1.26

OG.6.1.27

OG.6.1.28

OG.6.1.29

OG.6.1.30

OG.6.1.31

OG.6.1.32

OG.6.1.33

OG.6.1.34

OG.6.1.35

OG.6.1.36

OG.6.1.37

OG.6.1.38

OG.6.1.39

OG.6.1.40

OG.6.1.41

OG.6.1.42

OG.6.1.43

OG.6.1.44

OG.6.1.45

Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information Other optional/relevant information