Société Générale / Risk Report - Pillar III

8 MARKET RISK

MARKET RISK MAIN MEASURES

(brokerage fees, custody fees, etc.), as well as provisions and parameter adjustments made for market risk; in the second case (backtesting against “hypothetical P&L”), the p daily P&L (1) includes only the change in book value related to changes in market parameters and excludes all other factors.

In 2019, daily losses on market activities were observed on 22 occasions (2) , and one backtesting breach occurred, on 8 February, against hypothetical P&L, explained by losses on equity activities in Europe following a significant increase in the volatility of the Eurostoxx and on interest rate activities in Europe to a lesser extent.

TABLE 89: REGULATORY TEN-DAY 99%VAR AND ONE-DAY 99%VAR

31.12.2019

31.12.2018

VaR (10 days, 99%) (1)

VaR (1 day, 99%) (1) VaR (10 days, 99%) (1)

VaR (1 day, 99%) (1)

(In EURm)

Period start

49

16

54

17

Maximum value

113

36

86

27

Average value

71

23

56

18

40 85

13 27

33 59

10 19

Minimum value

Period end

Over the scope for which capital requirements are assessed by internal model. (1)

BREAKDOWN OF THE DAILY P&L (3) OF MARKET ACTIVITIES (2019, IN EURM)

100

80

60

40

20

Number of trading days

0

> 60

0 > < 10

-10 > < 0

20 > < 30

30 > < 40

40 > < 50

50 > < 60

10 > < 20

“Hypothetical P&L” by agreement hereinafter. (1) Based on actual P&L. (2) Actual P&L. (3)

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PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |