Société Générale / Risk Report - Pillar III

8 MARKET RISK

RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS

Quantitative information TABLE 92: MARKET RISK CAPITAL REQUIREMENTS AND RWA BY RISK FACTOR

Risk-weighted assets

Capital requirement

Change

Change

31.12.2019 31.12.2018

31.12.2019 31.12.2018

(In EURm)

VaR

3,881

3,365

516

310

269

41

Stressed VaR

6,678

11,771

(5,093)

534

942

(408)

Incremental Risk Charge (IRC)

1,361

3,322

(1,961)

109

266

(157)

Correlation portfolio (CRM) Total market risk assessed by internal model

1,220

2,799

(1,579)

98

224

(126)

13,140

21,257

(8,117)

1,051

1,701

(650)

Specific risk related to securitisation positions in the trading portfolio

277

71

206

22

6

16

Risk assessed for currency positions

865

1,790

(925)

69

143

(74)

Risks assessed for interest rates (excl. securitisation)

231

413

(182)

18

33

(15)

Risk assessed for ownership positions

-

136

(136)

-

11

(11)

Risk assessed for commodities Total market risk assessed by Standardised approach

0

34

(34)

0

3

(3)

1,373

2,444

(1,071)

110

196

(86)

TOTAL

14,513

23,701

(9,188)

1,161

1,897

(736)

Ninety-one per cent of Societe Generale’s capital requirements related to market risk are determined using an internal model approach. The Standardised approach is mainly used for the positions presenting a foreign exchange risk, which are not part of the trading book, as well as for the Group’s subsidiaries that do not have access to the core IT tools developed internally, and for subsidiaries for which the Group is awaiting approval from the supervisor to use the internal models. The main entities concerned are Societe Generale International Limited, and some International Retail Banking and Financial Services entities such as Rosbank, SG Maroc, Crédit du Nord, BRD, SG Brésil, etc. The

decrease in capital requirements related to market risk is mainly due

to:

a fall in SVaR mainly due to a higher levels of compensation between p equity and fixed income positions compared to end 2018; a drop un RWA for IRC resulting from less exposure on the scope p covered by IRC; a reduction in RWA for CRM as a consequence of methodological p improvements made in the last quarter.

TABLE 93: CAPITAL REQUIREMENTS AND RWA BY TYPE OF MARKET RISK

Risk-weighted assets

Capital requirement

31.12.2019

31.12.2018

31.12.2019

31.12.2018

(In EURm)

Risk assessed for currency positions

1,173

2,820

94

226

Risk assessed for credit (excl. deductions)

4,768

8,373

381

670

Risk assessed for commodities

792

272

63

22

Risk assessed for ownership positions

3,904 3,876

5,454 6,782

312 310

436 543

Risk assessed for interest rates

TOTAL

14,513

23,701

1,161

1,897

175

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