Société Générale / Risk Report - Pillar III

7 SECURITISATION

SOCIETE GENERALE’S SECURITISATION b ACTIVITIES

TABLE 81: QUALITY OF SECURITISATION POSITIONS RETAINED OR PURCHASED BY TYPE OF UNDERLYING ASSETS IN THE BANKING BOOK

31.12.2019

(In EURm)

Nominal

Exposure At Default (EAD)

Highest- ranking tranche

Highest- ranking tranche

Mezzanine tranche

Initial loss tranche

Mezzanine tranche

Initial loss tranche

Underlying assets

Residential mortgages

214

23

-

214

23

-

7

-

-

7

-

-

Commercial mortgages

Credit card receivables

2,056

9

-

2,063

9

-

1,418

-

-

1,418

-

-

Leasing

Loans to corporates and SMEs

13,128

361

503

12,808

361

503

Consumer loans

7,276

-

-

7,276

-

-

Trade receivables

7,012

-

-

7,012

-

-

Other assets

1,082

-

-

1,086

-

-

Covered bonds

- -

- -

- -

- -

- -

- -

Other liabilites

TOTAL

32,192

392

503

31,884

392

503

31.12.2018

(In EURm)

Nominal

Exposure At Default (EAD)

Highest- ranking tranche

Highest- ranking tranche

Mezzanine tranche

Initial loss tranche

Mezzanine tranche

Initial loss tranche

Underlying assets

Residential mortgages

248

23

- - - - - - - - -

497

46

- - - - - - - - -

Commercial mortgages

7

-

7

-

Credit card receivables

2,050 2,399 2,256 8,031 6,791 1,295

33 20

2,050 2,399 1,994 8,031 6,791 1,295

33 20

Leasing

Loans to corporates and SMEs

-

74

-

74

Consumer loans

70

63

Trade receivables

- - - -

- - - -

Other assets

Covered bonds

- -

- -

Other liabilites

TOTAL

23,077

146

74

23,062

162

74

In the banking book, senior tranches made up 97% of securitisation positions retained or purchased as at 31 December 2019, mainly composed of consumer loans and trade receivables.

156

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |