Synthetic risk transfer plumps SocGen’s capital buffer

Risk transfer and CET1 relief smooth out add-on for model risk at the French bank

Societe Generale ended 2020 with a stronger core solvency ratio than it started the year with, with a little help from a synthetic securitisation in the fourth quarter that reduced the capital charges linked to a series of loan portfolios.

The French bank reported a Common Equity Tier 1 (CET1) capital ratio of 13.4% at end-2020, up from 12.7% a year prior and 13.1% at end-September. The synthetic securitisation added 14 basis points to the ratio over Q4, about half the amount added from

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