Société Générale / Risk Report - Pillar III

7 SECURITISATION

PRUDENTIAL TREATMENT OF SECURITISATION POSITIONS

TABLE 86: SECURITISATION EXPOSURES DEDUCTED FROMOWN FUNDS BY TYPE OF UNDERLYING ASSETS

31.12.2019

31.12.2018

31.12.2019

31.12.2018

(In EURm)

Underlying assets

Banking Book

Trading Book

-

-

9

9

Residential mortgages

Commercial mortgages

-

-

-

-

Credit card receivables

-

-

-

-

Leasing

-

-

-

Loans to corporates and SMEs

7

-

-

-

Consumer loans

9

5

-

-

Trade receivables

-

-

-

-

Other assets

-

-

-

-

Covered bonds

- -

- -

- -

1

Other liabilites

-

TOTAL

16

5

9

10

TABLE 87: REGULATORY CAPITAL REQUIREMENTS RELATING TO SECURITISATIONS RETAINED OR PURCHASED IN THE TRADING BOOK

31.12.2019

31.12.2018

Total risk- weighted positions

Total risk- weighted positions

Net long positions

Net short positions

Capital requirements

Net long positions

Net short positions

Capital requirements

(In EURm)

Securitisation

516

129

277

22

230

80

71

5.7

Re-securitisation

-

-

-

-

-

-

-

-

Positions deducted from capital

-

-

-

9

-

-

-

9.9

TOTAL

516

129

277

31

230

80

71

15.5

TABLE 88: RE-SECURITISATION POSITIONS RETAINED OR PURCHASED

31.12.2019

31.12.2018

Banking Book

Trading Book

Banking Book

Trading Book

Before hedging/ insurances

After hedging/ insurances

Before hedging/ insurances

After hedging/ insurances

Before hedging/ insurances

After hedging/ insurances

Before hedging/ insurances

After hedging/ insurances

(In EURm)

Re-securitisation

0

0

0

0

0

0

0

0

All re-securitisation positions have reached maturity. There were no financial guarantors on these exposures.

161

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020