Société Générale / Risk Report - Pillar III

7 SECURITISATION

SOCIETE GENERALE’S SECURITISATION b ACTIVITIES

SOCIETE GENERALE AS SPONSOR The Societe Generale group carries out transactions on behalf of its customers or investors. As at 31 December 2019, there were two consolidated multi-seller vehicles in operation (Barton and Antalis), structured by the Group on behalf of clients. This ABCP (Asset-Backed Commercial Paper) activity funds the working capital requirements of some of the Group’s customers by backing short-term financing with traditional assets such as trade receivables or consumer loans. Total assets held by these vehicles and financed through the issuance of commercial paper amounted to EUR 14.2 billion as at 31 December 2019 (EUR 14.6 billion as at 31 December 2018). As part of the implementation of the new IFRS 10 standard on 1 January 2014, Societe Generale has consolidated these two vehicles, Barton and Antalis, from this date onwards. The default risk on the assets held by these vehicles is borne by the transferors of the underlying receivables or by external investors. Societe Generale bears part of the risk through the liquidity lines in the

amount of EUR 20.2 billion as at 31 December 2019 (EUR 21.8 billion as at 31 December 2018). ABCP activity remained solid in 2019, with newly securitised outstanding predominantly comprising trade receivables, leasing or consumer loans. SOCIETE GENERALE AS INVESTOR Societe Generale also acts as a market-maker for securitised assets, resulting in securitisation positions in the Group’s trading book. As of 31 December 2011, CRD3 requires the same prudential treatment regardless of prudential classification. The following tables show the securitisation exposures retained or purchased by the Group by type of underlying assets, by region, by type of tranche, separately for the banking book and trading book. These tables only present the exposures with an impact on the Group’s regulatory capital.

TABLE 75: AMOUNTS OF SECURITISED EXPOSURES BY TYPE OF UNDERLYING ASSETS

31.12.2019

Banking Book

Trading Book

Traditional transactions

Synthethic transactions

Traditional transactions

Synthethic transactions

(In EURm)

Underlying assets

Originator

Sponsor Originator

Sponsor Originator

Sponsor Originator

Sponsor

-

236

-

-

-

-

-

-

Residential mortgages

-

7

-

-

-

-

-

-

Commercial mortgages

Credit card receivables

-

2,065

-

-

-

-

-

-

Leasing

-

1,417

-

-

-

-

-

-

Loans to corporates and SMEs

-

2,165

11,826

-

-

-

-

-

Consumer loans

-

7,268

-

-

-

-

-

-

Trade receivables

-

7,012

-

-

-

-

-

-

Other assets

-

1,082

-

-

-

-

-

-

Covered bonds

- -

- -

- -

- -

- -

- -

- -

- -

Other liabilites

TOTAL

-

21,252

11,826

-

-

-

-

-

152

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |