Societe Generale : Société Générale SFH - HTT Covered Bond Label Reporting 29-02-2024

Harmonised Transparency Template

2023 Version

France

Société Générale SFH

Reporting Date: 29/02/24

Cut-off Date: 29/02/24

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 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 SFHhttp://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 55,015.4

G.3.1.2

Outstanding Covered Bonds 44,990.0

2. Over-collateralisation (OC)

Statutory

Voluntary

Contractual

Purpose

G.3.2.1

OC (%)

5.0%

13.8%

8.5%

"Statutory" OC: As mentioned in SFH 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

53,988.0 98.1%

0.0 0.0%

Shipping

G.3.3.4

Substitute Assets

1,027.4 1.9%

G.3.3.5

Other

G.3.3.6

4. Cover Pool Amortisation Profile

% Total Contractual

% Total Expected Upon Prepayments

OG.3.3.6

Total o/w [If relevant, please specify]

G.3.4.1

Weighted Average Life (in years)

Residual Life (mn)

By buckets:

55,015.4 100.0%

Contractual 7.9

Expected Upon Prepayments 6.7

G.3.4.2

• 0 - 1 Y

  4,106.9

  5,527.5

  7.6% 10.2%

  G.3.4.3

• 1 - 2 Y

  4,139.7

  5,287.3

  7.7% 9.8%

  G.3.4.4

• 2 - 3 Y

  4,082.2

  4,972.5

  7.6% 9.2%

  G.3.4.5

• 3 - 4 Y

  3,953.2

  4,609.2

  7.3% 8.5%

  G.3.4.6

• 4 - 5 Y

  3,798.4

  4,243.5

  7.0% 7.9%

  G.3.4.7

• 5 - 10 Y

  16,145.1

  16,037.0

  29.9% 29.7%

  G.3.4.8

  10+ Y

17,728.4

13,277.0

32.9% 24.6%

G.3.4.9

Total

53,953.9

53,953.9

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:

5.5 6.5

G.3.5.3

• 0 - 1 Y

  3,600.0 750.0

  8.0% 1.7%

  G.3.5.4

• 1 - 2 Y

  4,290.0

  2,850.0

  9.5% 6.3%

  G.3.5.5

• 2 - 3 Y

  5,500.0

  4,290.0

  12.2% 9.5%

  G.3.5.6

• 3 - 4 Y

  2,750.0

  5,500.0

  6.1% 12.2%

  G.3.5.7

• 4 - 5 Y

  5,500.0

  2,750.0

  12.2% 6.1%

  G.3.5.8

• 5 - 10 Y

  19,500.0

  22,250.0

  43.3% 49.5%

  G.3.5.9

  10+ Y

3,850.0

6,600.0

8.6% 14.7%

G.3.5.10

Total

44,990.0

44,990.0

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

53,988.0

53,988.0

100.0% 100.0%

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

Total

53,988.0

53,988.0

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

44,990.0

44,990.0

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

Total

44,990.0

44,990.0

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

44,900.0

44,900.0

99.8%

99.8%

G.3.8.2

Floating coupon

90.0

90.0

0.2% 0.2%

G.3.8.3

Other

0.0 44,990.0

0.0 44,990.0

0.0% 0.0%

9. Substitute Assets - Type

Nominal (mn)

G.3.9.1

Total

Cash

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

100.0% 100.0% % Substitute Assets

262.4 25.5%

765.0 74.5%

G.3.9.5

Other

OG.3.9.1

G.3.9.6

Total 1,027.4 100.0% 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

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 1,027.4 100.0%

OG.3.9.9

OG.3.9.10

OG.3.9.11

OG.3.9.12

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

G.3.10.1

Nominal (mn)

% Substitute Assets

1,027.4 100.0%

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

1,027.4 100.0%

G.3.10.16

Total

1,027.4 100.0%

Nominal (mn)

% Cover Pool

% Covered Bonds

G.3.11.1

11. Liquid Assets Substitute and other marketable assets

G.3.11.2

Central bank eligible assets

G.3.11.3

1,027.4 2,650.1

Other

G.3.11.4

1.9% 2.3%

4.8% 5.9%Total

3,677.5

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/

0.0 Intra-group Intra-group

6.7% 8.2%

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.3.14.4

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

5. References to Capital Requirements Regulation (CRR)

129(1)

G.4.1.2

OG.4.1.1

G.4.1.3

OG.4.1.2

G.4.1.4

OG.4.1.3

G.4.1.10

G.4.1.11

G.4.1.12

G.4.1.5

G.4.1.13

G.4.1.14

G.4.1.15

G.4.1.16

G.4.1.17

G.4.1.18

G.4.1.19

G.4.1.20

G.4.1.6

G.4.1.7

G.4.1.8

G.4.1.9

G.5.1.1

G.5.1.2

Exposure to credit institute credit quality step 1

Exposure to credit institute credit quality step 2

• (e) Overview maturity extension triggers:

(a)	Value of the cover pool total assets:	38
(a)	Value of outstanding covered bonds:	39
(b)	List of ISIN of issued covered bonds:	Societe Generale SFH :: Covered Bond Label
(c) Geographical distribution:	43 for Mortgage Assets
(c) Type of cover assets:	52
(c) Loan size:	186 for Residential Mortgage Assets
(c) Valuation Method:	HG.1.15
(d) Interest rate risk - cover pool:	149 for Mortgage Assets
(d) Currency risk - cover pool:	111
(d) Interest rate risk - covered bond:	163
(d) Currency risk - covered bond:	137
(d)	Liquidity Risk - primary assets cover pool:
(d) Credit Risk:	215 LTV Residential Mortgage
(d) Market Risk:	230 Derivatives and Swaps
18 for Harmonised Glossary
65
88
HG 1.7
44
179 for Mortgage Assets
1,027.4

(d)

Hedging Strategy

• (e) Maturity Structure - cover assets:

• (e) Maturity Structure - covered bond:

  (f) Levels of OC:

  (g)Percentage of loans in default:

  G.5.1.3

  Exposure to credit institute credit quality step 3

  286 for Commercial Mortgage Assets

  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

B1. Harmonised Transparency Template - Mortgage Assets

HTT 2023

Reporting in Domestic Currency

EUR

Field Number

7. Mortgage Assets

1. Property Type Information

Nominal (mn)

% Total Mortgages

M.7.1.1

Residential

M.7.1.2

Commercial

M.7.1.3

53,988.0 100.0%

Other

M.7.1.4

Total

53,988.0 100.0%

4. Breakdown by Geography

M.7.2.1

M.7.3.1

M.7.4.1

2. General Information Number of mortgage loans

3. Concentration Risks 10 largest exposures

European Union

M.7.4.2

Austria

M.7.4.3

Belgium

M.7.4.4

Bulgaria

M.7.4.5

Croatia

M.7.4.6

Cyprus

M.7.4.7

Czechia

M.7.4.8

Denmark

M.7.4.9

Estonia

M.7.4.10

Finland

M.7.4.11

France

M.7.4.12

Germany

M.7.4.13

Greece

M.7.4.14

Netherlands

M.7.4.15

Hungary

M.7.4.16

Ireland

M.7.4.17

Italy

Latvia

M.7.4.19

Lithuania

M.7.4.20

Luxembourg

Residential Loans 420,677 % Residential Loans 0.01% % Residential Loans

Commercial Loans % Commercial Loans % Commercial Loans

Total Mortgages 420,677 % Total Mortgages 0.01% % Total Mortgages

100.0% 100.0%

100.0% 100.0%

Malta

Poland

M.7.4.23

Portugal

M.7.4.24

Romania

M.7.4.25

Slovakia

M.7.4.26

Slovenia

M.7.4.27

Spain

M.7.4.28

Sweden

M.7.4.29

European Economic Area (not member of EU)

M.7.4.30

0.0% 0.0%

Iceland

M.7.4.31

Liechtenstein

M.7.4.32

Norway

M.7.4.33

M.7.4.34

M.7.4.35

M.7.4.36

Other Switzerland United Kingdom

Australia

M.7.4.37

0.0% 0.0%

Brazil

M.7.4.38

Canada

M.7.4.39

Japan

M.7.4.40

M.7.4.41

M.7.4.42

M.7.4.43

Korea New Zealand Singapore

US

M.7.4.44

Other

5. Breakdown by regions of main country of origin

% Residential Loans

% Commercial Loans

% Total Mortgages

M.7.5.1

Auvergne-Rhône-Alpes

M.7.5.2

Bourgogne-Franche-Comté

M.7.5.3

Bretagne

M.7.5.4

Centre-Val de Loire

M.7.5.5

Corse

M.7.5.6

DOM-TOM

M.7.5.7

Grand Est

M.7.5.8

Hauts-de-France

M.7.5.9

Ile-de-France

M.7.5.10

Normandie

M.7.5.11

Nouvelle-Aquitaine

M.7.5.12

Occitanie

M.7.5.13

Pays de la Loire

M.7.5.14

Provence-Alpes-Côte d'Azur

11.2% 11.2%

1.3% 1.3%

2.6% 2.6%

2.1% 2.1%

0.6% 0.6%

0.3% 0.3%

3.4% 3.4%

10.2% 10.2%

35.5% 35.5%

4.5% 4.5%

7.1% 7.1%

7.4% 7.4%

3.5% 3.5%

10.3% 10.3%

M.7.5.15

M.7.5.17

M.7.5.18

M.7.5.21

M.7.5.22

M.7.5.23

M.7.5.24

M.7.5.25

M.7.5.26

M.7.5.27

M.7.5.28

M.7.5.29

M.7.5.30

M.7.5.31

M.7.5.32

M.7.5.33

M.7.5.34

M.7.5.35

M.7.5.36

M.7.5.37

M.7.5.38

M.7.5.39

M.7.5.40

M.7.5.41

M.7.5.42

M.7.5.43

M.7.5.44

M.7.5.45

M.7.5.46

M.7.5.47

M.7.5.48

M.7.5.49

M.7.5.50

6. Breakdown by Interest Rate

• % Residential Loans

  % Commercial Loans

  % Total Mortgages

• M.7.6.1

  Fixed rate

  M.7.6.2

  Floating rate

  99.6% 99.6%

  0.4% 0.4%

  M.7.6.3

  Other

  0.0% 0.0%

  7. Breakdown by Repayment Type

• % Residential Loans

  % Commercial Loans

  % Total Mortgages

• M.7.7.1

  Bullet / interest only

  0.0% 0.0%

  M.7.7.2

  Amortising

  100.0% 100.0%

  M.7.7.3

  Other

  0.0% 0.0%

• % Residential Loans

% Commercial Loans

% Total Mortgages

M.7.8.1

M.7.8.2

8. Loan Seasoning Up to 12months ≥ 12 - ≤ 24 months

2.1% 2.1%

10.1% 10.1%

M.7.8.5

≥ 24 - ≤ 36 months ≥ 36 - ≤ 60 months ≥ 60 months

17.8% 17.8%

31.8% 31.8%

38.1% 38.1%

9. Non-Performing Loans (NPLs)

% Residential Loans

% Commercial Loans

% Total Mortgages

M.7.9.1

% NPLs

M.7.9.2

Defaulted Loans pursuant Art 178 CRR

0.0% 0.0%

0.0% 0.0%

OM.7.9.1

OM.7.9.2

OM.7.9.3

7.A Residential Cover Pool

Number of Loans

% Residential Loans

% No. of Loans

M.7A.10.1

M.7A.10.2

M.7A.10.3

M.7A.10.4

M.7A.10.5

M.7A.10.6

M.7A.10.7

M.7A.10.8

M.7A.10.9

M.7A.10.10

M.7A.10.11

M.7A.10.12

M.7A.10.13

M.7A.10.14

M.7A.10.15

M.7A.10.16

M.7A.10.17

M.7A.10.18

M.7A.10.19

M.7A.10.20

M.7A.10.21

M.7A.10.22

M.7A.10.23

M.7A.10.24

M.7A.10.25

M.7A.10.26

10. Loan Size Information Average loan size (000s)

By buckets (mn):

• > 0 - <= 0.2

• > 0.2 - <= 0.4

• > 0.4 - <= 0.6

• > 0.6 - <= 0.8

  Nominal 128.3

  29,138.2

  335,260

  54.0% 79.7%

  20,621.9

  75,963

  38.2% 18.1%

  4,224.2

  9,448

  7.8% 2.2%

  3.7

  6

  0.0% 0.0%

• > 0.8 - <= 1

  0.0

  0

  0.0% 0.0%

  > 1

0.0

0

0.0% 0.0%Total

53,988.0

420,677

100.0% 100.0%

11. Loan to Value (LTV) Information - UNINDEXED

Number of Loans

% Residential Loans

% No. of Loans

Weighted Average LTV (%)

Nominal 66.4%

By LTV buckets (mn):

M.7A.11.2
M.7A.11.3
M.7A.11.4
M.7A.11.5
M.7A.11.6
M.7A.11.7
M.7A.11.8
M.7A.11.9
M.7A.11.10
OM.7A.11.1
OM.7A.11.2
OM.7A.11.3
OM.7A.11.4
OM.7A.11.5
OM.7A.11.6
OM.7A.11.7
OM.7A.11.8
OM.7A.11.9
12. Loan to Value (LTV) Information - INDEXED
M.7A.12.1	Weighted Average LTV (%)
By LTV buckets (mn):
M.7A.12.2	>0 - <=40 %
M.7A.12.3	>40 - <=50 %
M.7A.12.4	>50 - <=60 %
M.7A.12.5	>60 - <=70 %
M.7A.12.6	>70 - <=80 %
M.7A.12.7	>80 - <=90 %
M.7A.12.8	>90 - <=100 %
M.7A.12.9	>100%
M.7A.12.10
OM.7A.12.1
OM.7A.12.2
OM.7A.12.3
OM.7A.12.4
OM.7A.12.5
OM.7A.12.6
OM.7A.12.7
OM.7A.12.8
OM.7A.12.9
M.7A.13.1

13. Breakdown by type

Owner occupied

>0 - <=40 %

>40 - <=50 %

>50 - <=60 %

>60 - <=70 %

>70 - <=80 %

>80 - <=90 %

>90 - <=100 %

>100%

8,205.4	133,675	15.2%	31.8%
5,266.7	48,152	9.8%	11.4%
6,298.7	48,896	11.7%	11.6%
7,160.2	47,915	13.3%	11.4%
8,350.5	48,854	15.5%	11.6%
10,206.4	52,112	18.9%	12.4%
7,574.6	36,023	14.0%	8.6%
925.5	5,050	1.7%	1.2%
53,988.0	420,677	100.0%	100.0%
826.7	4,446	1.5%	1.1%
84.3	516	0.2%	0.1%
12.4	75	0.0%	0.0%
1.5	8	0.0%	0.0%
0.1	2	0.0%	0.0%
0.4	3	0.0%	0.0%
Nominal	Number of Loans	% Residential Loans	% No. of Loans
58.2%
12,478.1	177,677	23.1%	42.2%
7,155.3	56,691	13.3%	13.5%
7,838.0	51,986	14.5%	12.4%
8,376.2	47,925	15.5%	11.4%
7,862.3	40,169	14.6%	9.5%
6,067.9	27,959	11.2%	6.6%
4,210.2	18,270	7.8%	4.3%
0.0	0	0.0%	0.0%
Total	53,988.0	420,677	100.0%	100.0%
o/w >100 - <=110 %	0.0	0	0.0%	0.0%
o/w >110 - <=120 %	0.0	0	0.0%	0.0%
o/w >120 - <=130 %	0.0	0	0.0%	0.0%
o/w >130 - <=140 %	0.0	0	0.0%	0.0%
o/w >140 - <=150 %	0.0	0	0.0%	0.0%
o/w >150 %	0.0	0	0.0%	0.0%
% Residential Loans
76.9%

Total

o/w >100 - <=110 %

o/w >110 - <=120 %

o/w >120 - <=130 %

o/w >130 - <=140 %

o/w >140 - <=150 %

o/w >150 %