Société Générale / Risk Report - Pillar III

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

TABLE 96: INTERNAL MODEL VALUES IN TRADING PORTFOLIOS (MR3)

31.12.2019

31.12.2018

(In EURm)

VaR (10 days, 99%) (1) Period start

49

54

Maximum value

113

86

Average value

71

56

Minimum value

40

33

Period end

85

59

Stressed VaR (10 days, 99%) (1) Period start

108

65

Maximum value

213

395

Average value

119

128

Minimum value

49

50

Period end

112

156

Incremental Risk Charge (99.9%) Period start

317

263

Maximum value

352

316

Average value

192

211

Minimum value

58

116

Period end

83

266

Comprehensive Risk capital charge (99.9%) Period start

164

213

Maximum value

211

310

Average value

144

237

Minimum value

73

165

95 79

221 221

Period end

Floor (standardised measurement method)

On the perimeter for which the capital requirements are assessed by internal model. (1)

177

| SOCIETE GENERALE GROUP | PILLAR 3 - 2020