Harmonised Transparency Template

2022 Version

France

Société Générale SFH

Reporting Date: 30/06/22

Cut-off Date: 30/06/22

Index

Worksheet A: HTT General

Worksheet B1: HTT Mortgage 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

`

  1. References to Capital Requirements Regulation (CRR) 129(7)
  2. References to Capital Requirements Regulation (CRR) 129(1)
    6. Other relevant information

Field

1. Basic Facts

Number

G.1.1.1

Country

France

G.1.1.2

Issuer Name

Société Générale SFH

G.1.1.3

Link to Issuer's Website

http://www.societegenerale.com/fr/mesurer-notre-performance/investisseurs/investisseurs-dette

G.1.1.4

Cut-off date

30/06/22

2. Regulatory Summary

G.2.1.1

UCITS Compliance (Y/N)

Y

G.2.1.2

CRR Compliance (Y/N)

Y

G.2.1.3

LCR status

http://www.ecbc.eu/legislation/list

3. General Cover Pool / Covered Bond Information

1.General Information

Nominal (mn)

G.3.1.1

Total Cover Assets

53,713.7

G.3.1.2

Outstanding Covered Bonds

46,490.0

2. Over-collateralisation (OC)

Legal / Regulatory

Actual

Minimum Committed

Purpose

"Legal" OC: As mentioned in SFH law.

G.3.2.1

OC (%)

5.0%

14.0%

8.5%

"Committed" OC is equal to Contractual OC in

order to reassure Rating Agencies.

3. Cover Pool Composition

Nominal (mn)

% Cover Pool

G.3.3.1

Mortgages

52,999.9

98.7%

G.3.3.2

Public Sector

G.3.3.3

Shipping

G.3.3.4

Substitute Assets

713.8

1.3%

G.3.3.5

Other

G.3.3.6

Total

53,713.7

100.0%

4. Cover Pool Amortisation Profile

Contractual

Expected Upon Prepayments

% Total Contractual

% Total Expected Upon Prepayments

G.3.4.1

Weighted Average Life (in years)

7.9

5.7

Residual Life (mn)

By buckets:

G.3.4.2

0 - 1 Y

4,106.3

7,121.1

7.8%

13.4%

G.3.4.3

1 - 2 Y

4,083.0

6,423.5

7.7%

12.1%

G.3.4.4

2 - 3 Y

4,011.4

5,746.2

7.6%

10.8%

G.3.4.5

3 - 4 Y

3,868.6

5,076.6

7.3%

9.6%

G.3.4.6

4 - 5 Y

3,701.8

4,457.0

7.0%

8.4%

G.3.4.7

5 - 10 Y

15,680.7

14,878.7

29.6%

28.1%

G.3.4.8

10+ Y

17,516.9

9,265.6

33.1%

17.5%

G.3.4.9

Total

52,968.7

52,968.7

100.0%

100.0%

5. Maturity of Covered Bonds

Initial Maturity

Extended Maturity

% Total Initial Maturity

% Total Extended Maturity

G.3.5.1

Weighted Average life (in years)

6.3

7.3

Maturity (mn)

G.3.5.2

By buckets:

G.3.5.3

0 - 1 Y

2,750.0

0.0

5.9%

0.0%

G.3.5.4

1 - 2 Y

3,850.0

3,500.0

8.3%

7.5%

G.3.5.5

2 - 3 Y

3,540.0

3,100.0

7.6%

6.7%

G.3.5.6

3 - 4 Y

3,000.0

3,540.0

6.5%

7.6%

G.3.5.7

4 - 5 Y

3,750.0

3,000.0

8.1%

6.5%

G.3.5.8

5 - 10 Y

23,500.0

23,750.0

50.5%

51.1%

G.3.5.9

10+ Y

6,100.0

9,600.0

13.1%

20.6%

G.3.5.10

Total

46,490.0

46,490.0

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

52,999.9

52,999.9

100.0%

100.0%

G.3.6.2

AUD

G.3.6.3

BRL

G.3.6.4

CAD

G.3.6.5

CHF

G.3.6.6

CZK

G.3.6.7

DKK

G.3.6.8

GBP

G.3.6.9

HKD

G.3.6.10

JPY

G.3.6.11

KRW

G.3.6.12

NOK

G.3.6.13

PLN

G.3.6.14

SEK

G.3.6.15

SGD

G.3.6.16

USD

G.3.6.17

Other

G.3.6.18

Total

52,999.9

52,999.9

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

46,490.0

46,490.0

100.0%

100.0%

G.3.7.2

AUD

G.3.7.3

BRL

G.3.7.4

CAD

G.3.7.5

CHF

G.3.7.6

CZK

G.3.7.7

DKK

G.3.7.8

GBP

G.3.7.9

HKD

G.3.7.10

JPY

G.3.7.11

KRW

G.3.7.12

NOK

G.3.7.13

PLN

G.3.7.14

SEK

G.3.7.15

SGD

G.3.7.16

USD

G.3.7.17

Other

G.3.7.18

Total

46,490.0

46,490.0

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

45,900.0

45,900.0

98.7%

98.7%

G.3.8.2

Floating coupon

590.0

590.0

1.3%

1.3%

G.3.8.3

Other

0.0

0.0

0.0%

0.0%

G.3.8.4

Total

46,490.0

46,490.0

100.0%

100.0%

9. Substitute Assets - Type

Nominal (mn)

% Substitute Assets

G.3.9.1

Cash

55.8

7.8%

G.3.9.2

Exposures to/guaranteed by Supranational, Sovereign, Agency (SSA)

G.3.9.3

Exposures to central banks

G.3.9.4

Exposures to credit institutions

658.0

92.2%

G.3.9.5

Other

G.3.9.6

Total

713.8

100.0%

OG.3.9.1

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

OG.3.9.5

o/w third-party countries Credit Quality Step 1 (CQS1) central banks

OG.3.9.6

o/w third-party countries Credit Quality Step 2 (CQS2) central banks

OG.3.9.7

o/w CQS1 credit institutions

OG.3.9.8

o/w CQS2 credit institutions

713.8

100.0%

OG.3.9.9

OG.3.9.10

OG.3.9.11

OG.3.9.12

10. Substitute Assets - Country

Nominal (mn)

% Substitute Assets

G.3.10.1

Domestic (Country of Issuer)

713.8

100.0%

G.3.10.2

Eurozone

G.3.10.3

Rest of European Union (EU)

G.3.10.4

European Economic Area (not member of EU)

G.3.10.5

Switzerland

G.3.10.6

Australia

G.3.10.7

Brazil

G.3.10.8

Canada

G.3.10.9

Japan

G.3.10.10

Korea

G.3.10.11

New Zealand

G.3.10.12

Singapore

G.3.10.13

US

G.3.10.14

Other

G.3.10.15

Total EU

713.8

100.0%

G.3.10.16

Total

713.8

100.0%

11. Liquid Assets

Nominal (mn)

% Cover Pool

% Covered Bonds

G.3.11.1

Substitute and other marketable assets

713.8

1.3%

1.5%

G.3.11.2

Central bank eligible assets

1,241.0

2.3%

2.7%

G.3.11.3

Other

G.3.11.4

Total

1,954.8

3.6%

4.2%

12. Bond List

G.3.12.1

Bond list

https://coveredbondlabel.com/issuer/83/

13. Derivatives & Swaps

G.3.13.1

Derivatives in the register / cover pool [notional] (mn)

0.0

G.3.13.2

Type of interest rate swaps (intra-group, external or both)

Intra-group

G.3.13.3

Type of currency rate swaps (intra-group, external or both)

Intra-group

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

specific criteria

G.3.14.4

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

(i)

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:

43 for Mortgage Assets

G.4.1.4

(ii)

Type of cover assets:

52

G.4.1.5

(ii)

Loan size:

186 for Residential Mortgage Assets

461 for Commercial Mortgage Assets

G.4.1.6

(ii)

Interest rate risk - cover pool:

149 for Mortgage 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

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

17 for Harmonised Glossary

G.4.1.11

(iii)

Maturity structure of cover assets:

65

G.4.1.12

(iii)

Maturity structure of covered bonds:

88

G.4.1.13

(iv)

Percentage of loans more than ninety days past due:

179 for Mortgage Assets

5. References to Capital Requirements Regulation (CRR)

129(1)

G.5.1.1

Exposure to credit institute credit quality step 1 & 2

658.0

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

Account Bank

OG.6.1.5

Stand-by Account Bank

OG.6.1.6

Servicer

OG.6.1.7

Interest Rate Swap Provider

OG.6.1.8

Covered Bond Swap Provider

OG.6.1.9

Paying Agent

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 26 July 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 26 July 2022 13:18:06 UTC.