Société Générale / Risk Report - Pillar III

8 MARKET RISK MARKET RISK RWA AND CAPITAL REQUIREMENTS – ADDITIONAL QUANTITATIVE INFORMATION

MARKET RISK RWA AND CAPITAL 8.6 REQUIREMENTS – ADDITIONAL QUANTITATIVE INFORMATION

TABLE 94: MARKET RISK UNDER STANDARDISED APPROACH (MR1)

31.12.2019 31.12.2018 31.12.2019

31.12.2018

Risk-weighted assets

Risk-weighted assets

Capital requirement

Capital requirement

(In EURm)

Products

1,096

2,373

88

190

Interest rate risk (general and specific)

231

413

18

33

Equity risk (general and specific)

-

136

-

11

Foreign exchange risk

865

1,790

69

143

Commodity risk

-

34 71

-

3 6

Options

277

22

Simplified approach

-

-

-

-

Delta-plus method

-

-

-

-

Scenario approach

-

-

-

-

Securitisation (specific risk)

277

71

22

6

TOTAL

1,373

2,444

110

196

Outright products refer to positions in products that are not optional.

TABLE 95: MARKET RISK UNDER INTERNAL MODEL APPROACH (MR2-A)

31.12.2019

31.12.2018

31.12.2019 Capital requirement

31.12.2018 Capital requirement

Risk-weighted assets

Risk-weighted assets

(In EURm)

1 VaR (higher of values a and b)

3,881 1,058

3,365

310

269

(a) Previous day's VaR (Article 365(1) (VaRt-1))

732

85

59

Average of the daily VaR (Article 365(1)) on each of the preceding sixty business days (VaRavg) x multiplication factor ((mc) in accordance with Article 366)

(b)

3,881 6,678 2,864

3,365

310 534 229

269 942 295

2 SVaR (higher of values a and b) (a) Latest SVaR (Article 365(2) (sVaRt-1))

11,771

3,693

(b) Average of the SVaR (Article 365(2) during the preceding sixty business days (sVaRavg) x multiplication factor (ms) (Article 366) 3 Incremental risk charge - IRC (higher of values a and b)

6,678 1,361

11,771 3,322

534 109

942 266

Most recent IRC value (incremental default and migration risks section 3 calculated in accordance with Section 3 articles 370/371)

(a)

1,039 1,361

3,322 2,230

83

266 178

(b) Average of the IRC number over the preceding 12 weeks

109

Comprehensive Risk Measure – CRM (higher of values a, b and c)

4

1,220

2,799 98

224

(a) Most recent risk number for the correlation trading portfolio (article 377) (b) Average of the risk number for the correlation trading portfolio over the preceding 12-weeks (c) 8% of the own funds requirement in SA on most recent risk number for the correlation trading portfolio (Article 338(4))

1,191

1,852 95

148

1,220

2,799 98

224

993

2,761

79

221

5 TOTAL

13,140

21,257 1,051

1,701

176

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |