Harmonised Transparency Template

2023 Version

France

Société Générale SCF

Reporting Date: 29/02/24

Cut-off Date: 29/02/24

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 2023

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

Basel Compliance, subject to national jursdiction (Y/N)

G.2.1.2

CBD Compliance

G.2.1.3

CRR Compliance (Y/N)

France

Société Générale SCFhttp://www.societegenerale.com/fr/mesurer-notre-performance/investisseurs/investisseurs-dette

29/02/24

Y

OG.2.1.1

LCR status

Y 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 16,927.9

G.3.1.2

Outstanding Covered Bonds 12,650.0

2. Over-collateralisation (OC)

Statutory

Voluntary

Contractual

Purpose

G.3.2.1

OC (%)

5.0%

26.3%

7.5%

"Statutory" OC: As mentioned in SCF law. "Contractual" OC is the OC in order to reassure

Rating Agencies.

3. Cover Pool Composition

Nominal (mn)

% Cover Pool

G.3.3.1

Mortgages

G.3.3.2

Public Sector

G.3.3.3

16,608.1 98.1%

Shipping

G.3.3.4

Substitute Assets

319.8 1.9%

G.3.3.5

Other

G.3.3.6

Total

16,927.9 100.0%

% Total Contractual

% Total Expected Upon Prepayments

G.3.4.1

4. Cover Pool Amortisation Profile Weighted Average Life (in years)

Residual Life (mn)

By buckets:

Contractual 6.0

Expected Upon Prepayments 6.0

G.3.4.2

  • 0 - 1 Y

    1,868.2

    1,885.9

    11.2% 11.4%

    G.3.4.3

  • 1 - 2 Y

    1,826.2

    1,839.5

    11.0% 11.1%

    G.3.4.4

  • 2 - 3 Y

    1,734.1

    1,743.3

    10.4% 10.5%

    G.3.4.5

  • 3 - 4 Y

    1,561.0

    1,566.9

    9.4% 9.4%

    G.3.4.6

  • 4 - 5 Y

    1,436.8

    1,439.7

    8.7% 8.7%

    G.3.4.7

  • 5 - 10 Y

    5,054.5

    5,042.9

    30.4% 30.4%

    G.3.4.8

    10+ Y

3,127.3

3,089.9

18.8% 18.6%

G.3.4.9

Total

16,608.1

16,608.1

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)

Maturity (mn)

G.3.5.2

By buckets:

4.7 5.6

G.3.5.3

  • 0 - 1 Y

    2,500.0 0.0

    19.8% 0.0%

    G.3.5.4

  • 1 - 2 Y

    1,000.0

    2,500.0

    7.9% 19.8%

    G.3.5.5

  • 2 - 3 Y

    1,000.0

    1,000.0

    7.9% 7.9%

    G.3.5.6

  • 3 - 4 Y

    1,050.0

    1,000.0

    8.3% 7.9%

    G.3.5.7

  • 4 - 5 Y

    2,800.0

    1,350.0

    22.1% 10.7%

    G.3.5.8

  • 5 - 10 Y

    2,550.0

    4,550.0

    20.2% 36.0%

    G.3.5.9

    10+ Y

1,750.0

2,250.0

13.8% 17.8%

G.3.5.10

Total

12,650.0

12,650.0

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

14,858.4

14,858.4

89.5% 89.5%

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

G.3.6.19

AUD BRL CAD CHF CZK DKK GBP HKD ISK JPY KRW NOK PLN SEK SGD USD Other

1,749.7

1,749.7

10.5% 10.5%Total

16,608.1

16,608.1

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

12,650.0

12,650.0

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

G.3.7.19

AUD BRL CAD CHF CZK DKK GBP HKD ISK JPY KRW NOK PLN SEK SGD USD Other

0.0

0.0

0.0% 0.0%Total

12,650.0

12,650.0

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

650.0

500.0

5.1% 4.0%

11,850.0

12,000.0

93.7% 94.9%

G.3.8.3

Other

150.0

150.0 12,650.0

1.2% 1.2%

9. Substitute Assets - Type

Nominal (mn)

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

12,650.0

100.0% 100.0% % Substitute Assets

19.8 6.2%

300.0 93.8%

Other

OG.3.9.1

G.3.9.6

OG.3.9.2

Total o/w EU gvts or quasi govts 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

OG.3.9.5

OG.3.9.6

OG.3.9.7

OG.3.9.8

o/w EU central banks o/w third-party countries Credit Quality Step 1 (CQS1) central banks o/w third-party countries Credit Quality Step 2 (CQS2) central banks 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

319.8 100.0%

319.8 100.0%

10. Substitute Assets - Country Domestic (Country of Issuer)

G.3.10.1

Nominal (mn)

% Substitute Assets

319.8 100.0%

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

319.8 100.0%

G.3.10.16

Total

319.8 100.0%

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

Other

G.3.11.4

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)Total

G.3.14.1

G.3.14.2

14. Sustainable or other special purpose strategy - optional Cover pool involved in a sustainable/special purpose strategy? (Y/N) If yes to G.3.14.1 is there a commitment (1) or are already sustainable components present (2)?

319.8 718.8

1,038.6

https://coveredbondlabel.com/issuer/15/

300.0 Intra-group Intra-group

1.9% 2.5%

4.2% 5.7%

6.1% 8.2%

G.3.14.3

specific criteria link to the committed objective criteria

4. Compliance Art 14 CBD Check table

Row

Row

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

(a) Value of the cover pool total assets: 38

G.4.1.2

(a) Value of outstanding covered bonds: 39

G.4.1.3

(b) List of ISIN of issued covered bonds:

G.4.1.4

(c) Geographical distribution:

G.4.1.5

  • (c) Type of cover assets:

    G.4.1.6

    (c) Loan size:

    G.4.1.7

    (c) Valuation Method:

    G.4.1.8

  • (d) Interest rate risk - cover pool:

https://coveredbondlabel.com/issuer/14-sg-scf

52

HG.1.15

G.4.1.9

(d) Currency risk - cover pool: 111

G.4.1.10

(d) Interest rate risk - covered bond: 163

G.4.1.11

G.4.1.12

G.4.1.13

(d) Currency risk - covered bond: 137 (d) Liquidity Risk - primary assets cover pool:

(d) Credit Risk:

G.4.1.14

(d) Market Risk:

G.4.1.15

(d) Hedging Strategy

18 for Harmonised Glossary

G.4.1.16

(e) Maturity Structure - cover assets: 65

G.4.1.17

(e) Maturity Structure - covered bond: 88

G.4.1.18

(e) Overview maturity extension triggers:

G.4.1.19

(f) Levels of OC:

G.4.1.20

(g) Percentage of loans in default:

48 for Public Sector Assets

129 for Public Sector Assets

18 for Public Sector AssetsHG 1.7

44

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

G.5.1.2

Exposure to credit institute credit quality step 2

G.5.1.3

Exposure to credit institute credit quality step 3

319.8

6. Other relevant information

1. Optional information e.g. Rating triggers

B2. Harmonised Transparency Template - Public Sector Assets

HTT 2023

Reporting in Domestic Currency

EUR

Field Number

8. Public Sector Assets

PS.8.1.1

1. General Information Number of public sector exposures

1,345

Number of Exposures

% Public Sector Assets % No. of Exposures

PS.8.2.1

2. Size Information Average exposure size (000s)By buckets (mn):

PS.8.2.2

Nominal 12,348.0

> 0 - <= 0.5

PS.8.2.3

61.9

304

0.4% 22.6%

> 0.5 - <= 1

PS.8.2.4

133.7

181

0.8% 13.5%

> 1 - <= 5

PS.8.2.5

1,161.1

483

7.0% 35.9%

> 5 - <= 10

PS.8.2.6

> 10 - <= 50

PS.8.2.7

> 50 - <= 100

966.9

137

5.8% 10.2%

3,929.5

185

23.7% 13.8%

2,027.2

28

12.2% 2.1%

PS.8.2.8

> 100

8,327.8

27

50.1% 2.0%

PS.8.2.9

PS.8.2.10

PS.8.2.11

PS.8.2.12

PS.8.2.13

PS.8.2.14

PS.8.2.15

PS.8.2.16

PS.8.2.17

3. Breakdown by Asset Type

Nominal (mn)

PS.8.3.1

Total

16,608.1

1,345

100.0% 100.0% % Public Sector Assets

Loans

16,553.7 99.7%

PS.8.3.2

Bonds Other

54.4 0.3%

PS.8.3.3

0.0 0.0%

4. Breakdown by Geography

PS.8.3.4

Total

16,608.1 100.0% % Public Sector Assets

PS.8.4.1

European Union

85.7%

PS.8.4.2

Austria

0.1%

PS.8.4.3

Belgium

1.0%

PS.8.4.4

Bulgaria

0.0%

PS.8.4.5

Croatia

0.0%

PS.8.4.6

Cyprus

0.0%

PS.8.4.7

Czechia

0.0%

PS.8.4.8

Denmark

0.4%

PS.8.4.9

Estonia

0.0%

PS.8.4.10

Finland

0.0%

PS.8.4.11

France

81.7%

PS.8.4.12

Germany

1.9%

PS.8.4.13

Greece

0.0%

PS.8.4.14

Netherlands

0.0%

PS.8.4.15

Hungary

0.0%

PS.8.4.16

Ireland

0.0%

PS.8.4.17

Italy

0.0%

PS.8.4.18

Latvia

0.0%

PS.8.4.19

Lithuania

0.0%

PS.8.4.20

Luxembourg

0.0%

PS.8.4.21

Malta

0.0%

PS.8.4.22

Poland

0.0%

PS.8.4.23

Portugal

0.0%

PS.8.4.24

Romania

0.0%

PS.8.4.25

Slovakia

0.0%

PS.8.4.26

Slovenia

0.0%

PS.8.4.27

Spain

0.6%

PS.8.4.28

Sweden

0.0%

PS.8.4.29

European Economic Area (not member of EU)

0.0%

PS.8.4.30

Iceland

0.0%

PS.8.4.31

Liechtenstein

0.0%

PS.8.4.32

Norway

0.0%

PS.8.4.33

Other

14.3%

PS.8.4.34

Switzerland

0.0%

PS.8.4.35

United Kingdom

5.3%

PS.8.4.36

Australia

0.0%

PS.8.4.37

Brazil

0.0%

PS.8.4.38

Canada

0.0%

PS.8.4.39

Japan

0.0%

PS.8.4.40

Korea

4.1%

PS.8.4.41

New Zealand 0.0%

PS.8.4.42

Singapore 0.0%

PS.8.4.43

US 0.2%

PS.8.4.44

Other 4.7%

OPS.8.4.1

Supranational Institution 2.6%

OPS.8.4.2

Qatar 2.1%

OPS.8.4.3

OPS.8.4.4

OPS.8.4.5

OPS.8.4.6

OPS.8.4.7

OPS.8.4.8

OPS.8.4.9

OPS.8.4.10

5. Breakdown by regions of main country of origin

% Public Sector Assets

PS.8.5.1

Auvergne-Rhône-Alpes 9.0%

PS.8.5.2

Bourgogne-Franche-Comté 2.2%

PS.8.5.3

Bretagne 1.6%

PS.8.5.4

Centre-Val de Loire 3.0%

PS.8.5.5

Corse 0.3%

PS.8.5.6

DOM-TOM 0.1%

PS.8.5.7

Grand Est 5.3%

PS.8.5.8

Hauts-de-France 8.7%

PS.8.5.9

Ile-de-France 34.6%

PS.8.5.10

Normandie 3.1%

PS.8.5.11

Nouvelle-Aquitaine 8.2%

PS.8.5.12

Occitanie 10.3%

PS.8.5.13

Pays de la Loire 2.6%

PS.8.5.14

Provence-Alpes-Côte d'Azur 10.1%

PS.8.5.15

Exposure on sovereign 1.0%

PS.8.5.16

PS.8.5.17

PS.8.5.18

PS.8.5.19

PS.8.5.20

PS.8.5.21

PS.8.5.22

PS.8.5.23

PS.8.5.24

PS.8.5.25

6. Breakdown by Interest Rate

% Public Sector Assets

PS.8.6.1

Fixed rate 61.5%

PS.8.6.2

Floating rate 38.5%

PS.8.6.3

Other 0.0%

  • 7. Breakdown by Repayment Type

    % Public Sector Assets

  • PS.8.7.1

    Bullet / interest only 0.8%

    PS.8.7.2

    Amortising 99.2%

    PS.8.7.3

    Other 0.0%

  • 8. Breakdown by Type of Debtor

Nominal (mn)

% Public Sector Assets

PS.8.8.1

PS.8.8.2

PS.8.8.3

Sovereigns Regional/federal authorities Local/municipal authorities

497.2 3.0%

3,692.2 22.2%

5,203.8 31.3%

PS.8.8.4

Others

7,214.9 43.4%

PS.8.8.5

Total

16,608.1 100.0%

OPS.8.8.1

o/w Claim against supranational 426.0 2.6%

OPS.8.8.2

o/w Claim against sovereigns 455.4 2.7%

OPS.8.8.3

o/w Claim guaranteed by sovereigns 41.8 0.3%

OPS.8.8.4

OPS.8.8.5

OPS.8.8.6

OPS.8.8.7

o/w Claim against regional/federal authorities o/w Claim guaranteed by regional/federal authorities o/w Claim against local/municipal authorities o/w Claim guaranteed by local/municipal authorities

3,411.7 20.5%

280.5 1.7%

4,752.6 28.6%

451.2 2.7%

OPS.8.8.8

o/w Claim guaranteed by ECA 4,700.2 28.3%

OPS.8.8.9

o/w Claim against other direct public exposures 1,915.3 11.5%

OPS.8.8.10

o/w Claim against other indirect public exposures

173.4 1.0%

OPS.8.8.11

OPS.8.8.12

OPS.8.8.13

9. Non-Performing Loans

% Public Sector Assets

PS.8.9.1

% NPLs 0.0%

OPS.8.9.1

Defaulted Loans pursuant Art 178 CRR 0.0%

OPS.8.9.2

OPS.8.9.3

OPS.8.9.4

10. Concentration Risks

% Public Sector Assets

PS.8.10.1

10 largest exposures 37.0%

OPS.8.10.1

5 largest exposures 28.9%

OPS.8.10.2

OPS.8.10.3

OPS.8.10.4

OPS.8.10.5

OPS.8.10.6

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Société Générale SA published this content on 29 March 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 29 March 2024 14:11:02 UTC.