Société Générale / Risk Report - Pillar III

8 MARKET RISK

MARKET RISK MAIN MEASURES

TRADING VAR (ONE-DAY, 99%), DAILY ACTUAL P&L (1) AND DAILY HYPOTHETICAL P&L (2) OF THE TRADING PORTFOLIO (2019, IN EURM)

80

60

40

20

0

-20

-40

-60

jan-19

aug-19

jul.-19

jun.-19

feb.-19

mar.-19

oct.-19

apr.-19

may-19

nov.-19

dec.-19

sept.-19

Var

Real P&L

Hypothetical P&L

BREAKDOWN BY RISK FACTOR OF TRADING VAR (ONE-DAY, 99%) – CHANGES IN QUARTERLY AVERAGE OVER THE 2018-2019 PERIOD (IN EURM)

28

23

22

21

18

18

17

15

8

16

10

7

4

6

5

8

15

10

12

11

12

13

11

11

17

19

14

14

13

15

15

12

3 2

3 2

4 3

4 2

4 2

3 2

3 2

2 3

-18

-18

-18

-19

-21

-21

-21

-24

Q1 18

Q2 18

Q3 18

Q4 18

Q1 19

Q2 19

Q3 19

Q4 19

TOTAL

Netting

Commodities

Forex

Equity

Rates

Credit

VaR was riskier in 2019 (EUR 23 million vs. EUR 18 million in 2018) with an upward trend over the whole year. This gradual increase comes from the natural renewal of the scenarios used in the VaR computation

window, in particular those added during the summer, applying market rebound shocks (i.e. price increases and fall in volatility) and

sharp rates hikes on long termmaturities.

Daily profit or loss used for the VaR backtesting against actual P&L, as defined in the “99% Value-at-Risk (VaR)” (1) Daily profit or loss used for the VaR backtesting against hypothetical P&L, as defined in the “99% Value-at-Risk (VaR)” (2)

169

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020