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 % |
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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 14:21:02 UTC.