Société Générale / Risk report 2021 - Pillar 3 2020

8 SECURITISATION SOCIETE GENERALE’S SECURITISATION ACTIVITIES | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 165 TABLE 83: QUALITY OF SECURITISATION POSITIONS RETAINED OR PURCHASED BY TYPE OF UNDERLYING ASSETS IN THE BANKING BOOK (In EURm) 31.12.2020 Underlying assets Nominal Exposure At Default (EAD) Highest- ranking tranche Mezzanine tranche Initial loss tranche Highest- ranking tranche Mezzanine tranche Initial loss tranche Residential mortgages 158 23 - 158 23 - Commercial mortgages 84 - - 85 - - Credit card receivables 2,294 8 - 2,294 8 - Leasing 1,396 - - 1,396 - - Loans to corporates and SMEs 13,719 - 579 12,041 - 579 Consumer loans 13,295 - - 13,295 - - Trade receivables 6,845 - - 6,941 - - Other assets 998 - - 1,002 - - Covered bonds - - - - - - Other liabilites - - - - - - TOTAL 38,790 31 579 37,212 31 579 (In EURm) 31.12.2019 Underlying assets Nominal Exposure At Default (EAD) Highest- ranking tranche Mezzanine tranche Initial loss tranche Highest- ranking tranche Mezzanine tranche Initial loss tranche Residential mortgages 214 23 - 214 23 - Commercial mortgages 7 - - 7 - - Credit card receivables 2,056 9 - 2,063 9 - Leasing 1,418 - - 1,418 - - 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 In the banking book, senior tranches made up 98% of securitisation positions retained or purchased as at 31 December 2020 and were mainly composed of consumer and corporate loans.