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
| SOCIETE GENERALE GROUP | PILLAR 3 - 2020
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