Harmonised Transparency Template
2024 Version
France
Société Générale SCF
Reporting Date: 30/04/24
Cut-off Date: 30/04/24
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 2024 |
Reporting in Domestic Currency
CONTENT OF TAB A
1. Basic Facts
2. Regulatory Summary
3. General Cover Pool / Covered Bond Information
- References to Capital Requirements Regulation (CRR) 129(7)
-
References to Capital Requirements Regulation (CRR) 129(1)
6. Other relevant information
EUR
`
Field | 1. Basic Facts | ||||
Number | |||||
G.1.1.1 | Country | France | |||
G.1.1.2 | Issuer Name | Société Générale SCF | |||
G.1.1.3 | Labelled Cover Pool Name | Societe Generale SCF | |||
G.1.1.4 | Link to Issuer's Website | https://investors.societegenerale.com/fr/informations-financieres-et-extra-financiere/investisseurs-dette | |||
G.1.1.5 | Cut-off date | 30/04/24 | |||
2. Regulatory Summary | |||||
G.2.1.1 | Basel Compliance, subject to national jursdiction (Y/N) | Y | |||
G.2.1.2 | CBD Compliance | Y | |||
G.2.1.3 | CRR Compliance (Y/N) | Y | |||
OG.2.1.1 | 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 | 16,912.7 | |||
G.3.1.2 | Outstanding Covered Bonds | 12,650.0 | |||
2. Over-collateralisation (OC) | Statutory | Voluntary | Contractual | Purpose | |
"Statutory" OC: As mentioned in SCF law. | |||||
G.3.2.1 | OC (%) | 5.0% | 26.2% | 7.5% | "Contractual" OC is the OC in order to |
reassure Rating Agencies. | |||||
G.3.2.3 | Total OC (absolute value in mn) | 4,262.7 | |||
3. Cover Pool Composition | Nominal (mn) | % Cover Pool | |||
G.3.3.1 | Mortgages | ||||
G.3.3.2 | Public Sector | 16,585.2 | 98.1% | ||
G.3.3.3 | Shipping | ||||
G.3.3.4 | Substitute Assets | 327.5 | 1.9% | ||
G.3.3.5 | Other | ||||
G.3.3.6 | Total | 16,912.7 | 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) | 5.9 | 5.9 | ||
Residual Life (mn) | |||||
By buckets: | |||||
G.3.4.2 | 0 - 1 Y | 1,886.5 | 1,924.8 | 11.4% | 11.6% |
G.3.4.3 | 1 - 2 Y | 1,833.4 | 1,862.0 | 11.1% | 11.2% |
G.3.4.4 | 2 - 3 Y | 1,740.0 | 1,759.7 | 10.5% | 10.6% |
G.3.4.5 | 3 - 4 Y | 1,580.6 | 1,592.9 | 9.5% | 9.6% |
G.3.4.6 | 4 - 5 Y | 1,427.1 | 1,433.2 | 8.6% | 8.6% |
G.3.4.7 | 5 - 10 Y | 5,131.2 | 5,103.0 | 30.9% | 30.8% |
G.3.4.8 | 10+ Y | 2,986.4 | 2,909.6 | 18.0% | 17.5% |
G.3.4.9 | Total | 16,585.1 | 16,585.1 | 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) | 4.5 | 5.5 |
Maturity (mn) | |||||
G.3.5.2 | By buckets: | ||||
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 | 14,897.7 | 14,897.7 | 89.8% | 89.8% |
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 | ISK | ||||
G.3.6.11 | JPY | ||||
G.3.6.12 | KRW | ||||
G.3.6.13 | NOK | ||||
G.3.6.14 | PLN | ||||
G.3.6.15 | SEK | ||||
G.3.6.16 | SGD | ||||
G.3.6.17 | USD | 1,687.5 | 1,687.5 | 10.2% | 10.2% |
G.3.6.18 | Other | ||||
G.3.6.19 | Total | 16,585.1 | 16,585.1 | 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.3.7.2 | 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 | ISK | ||||
G.3.7.11 | JPY | ||||
G.3.7.12 | KRW | ||||
G.3.7.13 | NOK | ||||
G.3.7.14 | PLN | ||||
G.3.7.15 | SEK | ||||
G.3.7.16 | SGD | ||||
G.3.7.17 | USD | 0.0 | 0.0 | 0.0% | 0.0% |
G.3.7.18 | Other | ||||
G.3.7.19 | 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 | 650.0 | 500.0 | 5.1% | 4.0% |
G.3.8.2 | Floating coupon | 11,850.0 | 12,000.0 | 93.7% | 94.9% |
G.3.8.3 | Other | 150.0 | 150.0 | 1.2% | 1.2% |
G.3.8.4 | Total | 12,650.0 | 12,650.0 | 100.0% | 100.0% |
9. Substitute Assets - Type | Nominal (mn) | % Substitute Assets | |||
G.3.9.1 | Cash | 27.5 | 8.4% | ||
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 | 300.0 | 91.6% | |
G.3.9.5 | Other | |||
G.3.9.6 | Total | 327.5 | 100.0% | |
10. Substitute Assets - Country | Nominal (mn) | % Substitute Assets | ||
G.3.10.1 | Domestic (Country of Issuer) | 327.5 | 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 | 327.5 | 100.0% | |
G.3.10.16 | Total | 327.5 | 100.0% | |
11. Liquid Assets | Nominal (mn) | % Cover Pool | % Covered Bonds | |
G.3.11.1 | Substitute and other marketable assets | 327.5 | 1.9% | 2.6% |
G.3.11.2 | Central bank eligible assets | 745.1 | 4.4% | 5.9% |
G.3.11.3 | Other | |||
G.3.11.4 | Total | 1,072.6 | 6.3% | 8.5% |
12. Bond List | ||||
G.3.12.1 | Bond list | https://coveredbondlabel.com/issuer/15/ | ||
13. Derivatives & Swaps | ||||
G.3.13.1 | Derivatives in the register / cover pool [notional] (mn) | 300.0 | ||
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 | ||||
G.3.14.1 | Is sustainability based on sustainable assets not present in the cover | No | ||
pool? | ||||
G.3.14.2 | Who has provided Second Party Opinion | |||
G.3.14.3 | Further details on proceeds strategy | [link/glossary entry] | ||
G.3.14.4 | Is sustainability based on sustainable collateral assets present in the | No | ||
cover pool? | ||||
G.3.14.5 | If yes. Further details are available in Tab F | |||
G.3.14.6 | Is sustainability based on other criteria? | [Yes/No] | ||
G.3.14.7 | If yes, please provide frurther details | [link/glossary entry] | ||
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: | 39 | ||
G.4.1.2 | (a) | Value of outstanding covered bonds: | 40 | ||
G.4.1.3 | (b) | List of ISIN of issued covered bonds: | https://coveredbondlabel.com/issuer/14-sg-scf | ||
G.4.1.4 | (c) | Geographical distribution: | 48 for Public Sector Assets | ||
G.4.1.5 | (c) | Type of cover assets: | 55 | ||
G.4.1.6 | (c) | Loan size: | 18 for Public Sector Assets | ||
G.4.1.7 | (c) | Valuation Method: | HG.1.15 | ||
G.4.1.8 | (d) | Interest rate risk - cover pool: | 129 for Public Sector Assets | ||
G.4.1.9 | (d) | Currency risk - cover pool: | 114 | ||
G.4.1.10 | (d) | Interest rate risk - covered bond: | 166 | ||
G.4.1.11 | (d) | Currency risk - covered bond: | 140 | ||
G.4.1.12 | (d) | Liquidity Risk - primary assets cover pool: | |||
G.4.1.13 | (d) | Credit Risk: | 147 for Public Sector Asset - type of debtor | ||
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: | 68 | |
G.4.1.17 | (e) | Maturity Structure - covered bond: | 91 | |
G.4.1.18 | (e) | Overview maturity extension triggers: | HG 1.7 | |
G.4.1.19 | (f) | Levels of OC: | 44 | |
G.4.1.20 | (g) | Percentage of loans in default: | 166 for Public Sector Assets | |
OG.4.1.1 | ||||
OG.4.1.2 | ||||
OG.4.1.3 | ||||
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 | 327.5 | ||
G.5.1.3 | Exposure to credit institute credit quality step 3 | |||
OG.5.1.1 | ||||
OG.5.1.2 | ||||
OG.5.1.3 | ||||
OG.5.1.4 | ||||
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 |
B2. Harmonised Transparency Template - Public Sector Assets | HTT 2024 |
Reporting in Domestic Currency | |
CONTENT OF TAB B2 | |
8. Public Sector Assets | |
Field | 8. Public Sector Assets |
Number | |
1. General Information | |
PS.8.1.1 | Number of public sector exposures |
2. Size Information | |
PS.8.2.1 | Average exposure size (000s) |
By buckets (mn): | |
PS.8.2.2 | > 0 - <= 0.5 |
PS.8.2.3 | > 0.5 - <= 1 |
PS.8.2.4 | > 1 - <= 5 |
PS.8.2.5 | > 5 - <= 10 |
PS.8.2.6 | > 10 - <= 50 |
PS.8.2.7 | > 50 - <= 100 |
PS.8.2.8 | > 100 |
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 | Total |
3. Breakdown by Asset Type | |
PS.8.3.1 | Loans |
PS.8.3.2 | Bonds |
PS.8.3.3 | Other |
PS.8.3.4 | Total |
4. Breakdown by Geography | |
PS.8.4.1 | European Union |
PS.8.4.2 | Austria |
EUR
1,339 | |||
Nominal | Number of Exposures | % Public Sector Assets | % No. of Exposures |
12,386.2 | |||
61.1 | 306 | 0.4% | 22.9% |
137.1 | 185 | 0.8% | 13.8% |
1,161.0 | 479 | 7.0% | 35.8% |
978.2 | 136 | 5.9% | 10.2% |
3,785.4 | 178 | 22.8% | 13.3% |
1,892.3 | 27 | 11.4% | 2.0% |
8,569.9 | 28 | 51.7% | 2.1% |
16,585.1 | 1,339 | 100.0% | 100.0% |
Nominal (mn) | % Public Sector Assets | ||
16,530.7 | 99.7% | ||
54.4 | 0.3% | ||
0.0 | 0.0% | ||
16,585.1 | 100.0% |
- Public Sector Assets 85.8% 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 | 81.1% |
PS.8.4.12 | Germany | 1.8% |
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 | 1.3% |
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 | 14.2% |
PS.8.4.34 | Switzerland | 0.0% |
PS.8.4.35 | United Kingdom | 5.4% |
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 | 4.0% |
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 | 4.6% | ||
5. Breakdown by regions of main country of origin | % Public Sector Assets | |||
PS.8.5.1 | Auvergne-Rhône-Alpes | 8.9% | ||
PS.8.5.2 | Bourgogne-Franche-Comté | 2.1% | ||
PS.8.5.3 | Bretagne | 1.5% | ||
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 | 8.6% | ||
PS.8.5.9 | Ile-de-France | 35.3% | ||
PS.8.5.10 | Normandie | 3.0% | ||
PS.8.5.11 | Nouvelle-Aquitaine | 8.1% | ||
PS.8.5.12 | Occitanie | 10.2% | ||
PS.8.5.13 | Pays de la Loire | 2.6% | ||
PS.8.5.14 | Provence-Alpes-Côte d'Azur | 9.9% | ||
PS.8.5.15 | Exposure on sovereign | 1.0% | ||
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 | 0.7% | ||
PS.8.7.2 | Amortising | 99.3% | ||
PS.8.7.3 | Other | 0.0% | ||
8. Breakdown by Type of Debtor | Nominal (mn) | % Public Sector Assets | ||
PS.8.8.1 | Sovereigns | 483.0 | 2.9% | |
PS.8.8.2 | Regional/federal authorities | 3,625.4 | 21.9% | |
PS.8.8.3 | Local/municipal authorities | 5,110.2 | 30.8% | |
PS.8.8.4 | Others | 7,366.6 | 44.4% | |
PS.8.8.5 | Total | 16,585.1 | 100.0% | |
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 | 37.4% |
C. Harmonised Transparency Template - Glossary | HTT 2024 |
The definitions below reflect the national specificities |
Field Number | 1. Glossary - Standard Harmonised Items |
Definition
Legal "Coverage ratio" :
This ratio is calculated by dividing the total assets amount (including accrued interests, substitute assets, and other assets as prepayments and net accrued incomes | ||
on derivatives) by the amount of privileged debts, accrued interests included (covered bonds, sums due on derivatives and collateral management fees). | ||
When the eligible assets are transfered into the cover pool using guaranteed loans, the amount of the guaranteed loans, in the assets amount is replaced by the | ||
amount of the eligible assets pledged as collateral. | ||
HG.1.1 | OC Calculation: Statutory | Following amendments to the French covered bond legal framework for sociétés de credit foncier (SCF), and sociétés de financement de l'habitat (SFH) that came |
into force on 28 May 2014 (published in JO nº0123 of 28 May 201), | ||
a cap on intragroup exposure has been set at 25% of non-privileged resources and the legal minimum collateralisation raised to 105%, from 102%, on a nominal basis. | ||
The legislation requires that the coverage ratio is calculated a posteriori on the basis of the audited accounting figures twice a year : as of December 31st and June | ||
30th and on unaudited accounting figures as of March 31st | ||
and September 30th. These ratios are audited and available within a period of three months following the calculation date. | ||
As a consequence, the current ratio is provisionnal /unaudited when the report is published. | ||
HG.1.2 | OC Calculation: Contractual | "Contractual" OCis the OC in order to reassure Rating Agencies. |
HG.1.3 | OC Calculation: Voluntary | Voluntary Overcollateralisation is the difference (if positive) between the actual overcollateralisation provided by an Issuer and the higher of the contractual and |
statutory overcollateralisation. | ||
HG.1.4 | Interest Rate Types | Interest Rate Types in the cover-pool of SG SCF are mainly Fixed interest rates, and also Floating interest rates. |
Interest Rate Types of the Covered Bonds of SG SCF are mainly Fixed coupon, and also Floating coupon mainly based on EIBEUR3M. | ||
Contractual maturities : | ||
Contractual maturities are calculated assuming a zero prepayment scenario on the cover pool assets. | ||
Regarding covered bonds and substitute assets, contractual maturity is calculated according to the legal final maturity. | ||
HG.1.5 | Residual Life Buckets of Cover assets [i.e. how is the contractual and/or expected residual life defined? | |
What assumptions eg, in terms of prepayments? etc.] | Expected maturities : | |
Expected WAL and maturities of the cover pool assets are calculated assuming an average percentage of prepayment rate observed over the last year. | ||
The substitute assets being actually composed of cash and term deposits to financial institutions, their expected maturity is assumed to be equal to their contractual | ||
one. | ||
Maturity Buckets of Covered Bonds [i.e. how is the contractual and/or expected maturity defined? What | Contractual maturities and "Expected maturities" : see above. | |
HG.1.6 | maturity structure (hard bullet, soft bullet, conditional pass through)? Under what | Maturity structure is Hard Bullet for initial Covered Bonds. |
conditions/circumstances? Etc.] | Maturity structure has been Soft Bullet for Covered Bonds emission since 2015. | |
HG.1.7 | Maturity Extention Triggers | https://investors.societegenerale.com/fr/informations-financieres-et-extra-financiere/investisseurs-dette |
HG.1.8 | LTVs: Definition | N/A for Public Sector Assets |
HG.1.9 | LTVs: Calculation of property/shipping value | N/A for Public Sector Assets |
HG.1.10 | LTVs: Applied property/shipping valuation techniques, including whether use of index, Automated | N/A for Public Sector Assets |
Valuation Model (AVM) or on-site audits | ||
HG.1.11 | LTVs: Frequency and time of last valuation | N/A for Public Sector Assets |
HG.1.12 | Explain how mortgage types are defined whether for residential housing, multi-family housing, commercial | N/A for Public Sector Assets |
real estate, etc. Same for shipping where relecvant | ||
Interest rate risk : | ||
Société Générale SCF has a strict policy of neutralising interest rate risks. With this aim in mind, entering into ad hoc hedging swaps establishes a fixed margin on | ||
issuance, and any change in interest rates subsequently has a parallel effect on Société Générale SCF's assets and liabilities. | ||
The structural interest rate risk is measured with the help of "gaps" calculated based on the "Liability-Asset" situations of Societe Generale SCF with production | ||
HG.1.13 | Hedging Strategy (please explain how you address interest rate and currency risk) | halted, detailed over the next 15 years with monthly gaps over the first six months and then annual gaps over the following years. |
Currency risk : | ||
For USD issues, Societe Generale SCF has eliminated the exchange rate risk by implementing EUR/USD financial hedging swaps. | ||
As a result, Société Générale SCF is not exposed to foreign exchange risk through its issues. | ||
HG.1.14 | Non-performing loans | There are no non-performing loans in the cover-pool of SG SCF. |
HG.1.15 | Valuation Method | NA |
2. Glossary - ESG items (optional) | Definition | |
HG.2.1 | Sustainability - strategy pursued in the cover pool | |
HG.2.2 | Subsidised Housing (definitions of affordable, social housing) | |
HG.2.3 | New Property and Existing Property |
3. Reason for No Data | Value | |
HG.3.1 | Not applicable for the jurisdiction | ND1 |
HG.3.2 | Not relevant for the issuer and/or CB programme at the present time | ND2 |
HG.3.3 | Not available at the present time | ND3 |
4. Glossary - Extra national and/or Issuer Items | Definition | |
Covered bond issuer ratings : | ||
The rating agencies' methodologies usually take the senior unsecured rating of a covered bond issuer's parent company as a starting point for their assessment of the | ||
credit risk of covered bonds. | ||
HG.4.1 | Other definitions deemed relevant | However, instead of refering to the parent company rating, some rating agencies may issue a "covered bond issuer rating" which is an assessment of the credit |
quality of a CB issuer's credit quality on an unsecured basis. | ||
Generally, a "covered bond issuer rating" is the same as the senior unsecured rating of the CB issuer's parent company although it may be different in some specific | ||
cases. | ||
If no "CB issuer rating" has been granted to the CB issuer, "NA" is indicated. | ||
Core Tier 1 ratio (%) : | ||
OHG.4.1 | Core Tier 1 is the Common Equity Tier 1 ratio - CET1 calculated for Bale 2.5. | |
Covered bonds : | ||
Nominal amount of covered bonds (accrued interests excluded) in euro equivalent after taking into account the cross currency swaps. | ||
Guaranteed loans : | ||
OHG.4.2 | The eligible assets, fully composed by public sector exposures, are transfered into the cover pool using guaranteed loans (i.e. collateral directive framework). | |
The outstanding amount of the eligible assets pledged as collateral of the loans are indicated instead of the amount of the guaranteed loans. | ||
The nominal outstanding amount of the eligible assets is booked in Off-Balance Sheet as guarantee received. | ||
Substitute assets : | ||
Are reported the amount of substitute assets (accrued interests excluded) as defined by the French Law (Articles L515-17 and R515-7 of Code Monétaire et | ||
OHG.4.3 | Financier). | |
For SG SCF the subtitute assets are composed of cash and deposits to its parent company. | ||
The outstanding amount is booked in Assets - Balance Sheet as amounts due from credit institution. | ||
These substitute assets are included in the calculation of the legal coverage ratio but not taken into account in the nominal rating agencies overcollateralisation ratio. | ||
Accounting assets not included in the cover pool : | ||
OHG.4.4 | Are not included in the cover pool the guaranteed loans (replaced by the eligible assets pledged as collateral) and the prepayments and accrued income on | |
derivatives. | ||
"Of which eligible to central bank repo-operations" : | ||
The outstanding amount of eligible assets including replacement assets shall be filled in. | ||
OHG.4.5 | If the eligible assets are transferred into the cover pool using guaranteed loans (i.e. collateral directive framework) or mortgage promissory notes, the outstanding | |
amount of the eligible assets pledged as collateral of the notes or loans should be indicated instead of the amount of the guaranteed loans. | ||
The eligibility criteria to central bank repo-operations include the exceptional measures accepted by the ECB in February 2012 and presently in use with the Banque | ||
de France. |
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Société Générale SA published this content on 31 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 31 May 2024 08:15:10 UTC.