Société Générale / Risk Report - Pillar III

7 SECURITISATION

SOCIETE GENERALE’S SECURITISATION b ACTIVITIES

TABLE 82: QUALITY OF SECURITISATION POSITIONS RETAINED OR PURCHASED BY TYPE OF UNDERLYING ASSETS IN THE TRADING BOOK

31.12.2019

(In EURm)

Net long positions

Net short positions

Highest-ranking tranche

Mezzanine tranche

Initial loss tranche

Highest-ranking tranche

Tranche mezzanine

Initial loss tranche

Underlying assets

26

60

-

-

-

-

Residential mortgages

Commercial mortgages

23

43

-

108

21

-

Credit card receivables

-

9

-

-

-

-

Leasing

1

6

-

-

-

-

Loans to corporates and SMEs

51

123

-

-

-

-

Consumer loans

-

-

-

-

-

-

Trade receivables

-

20

-

-

-

-

Other assets

-

-

-

-

-

-

Covered bonds

64

90

- -

- -

- -

- -

Other liabilites

-

-

TOTAL

165

351

-

108

21

-

31.12.2018

(In EURm)

Net long positions

Net short positions

Highest-ranking tranche

Mezzanine tranche

Initial loss tranche

Highest-ranking tranche

Tranche mezzanine

Initial loss tranche

Underlying assets

Residential mortgages

30

16 16

- - - - - - - - - -

-

-

- - - - - - - - - -

Commercial mortgages

9 7 4

6

74

Credit card receivables

6

- - - - - - - -

- - - - - - - -

Leasing

-

Loans to corporates and SMEs

30

32

Consumer loans

-

- - -

Trade receivables

5

Other assets

-

Covered bonds

53

22

Other liabilites

-

-

TOTAL

138

92

-

6

74

-

Positions in the securitisation trading book are exclusively high ranking and mezzanine tranches. This applies to long and short positions.

157

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