Société Générale / Risk Report - Pillar III

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

TABLE 97: ANNUAL RWA FLOWSTATEMENTS OF MARKET RISK EXPOSURES UNDER IMA (INTERNAL MODEL APPROACH) (MR2-B)

Total RWA 21,257 11,658

Total capital requirements

VaR SVaR IRC CRM Other

(In EURm

RWA at end of previous reporting period (31.12.2018)

3,365 11,771

3,322

2,799

- - - - - - - - - - - -

1,701

Regulatory adjustment

2,633

8,078 3,693

947

933 768

-

RWA at end of day previous quarter

732

3,322

1,852

9,599

Movement in risk levels

518 (5,089)

(1,961)

(1,579)

(8,112)

(649)

Model updates/changes Methodology and policy Acquisitions and disposals Foreign exchange movements

- - -

- - -

- - - - -

- - - - -

- - -

- - -

(2)

(3)

(4)

(0)

Other

-

-

-

-

RWA at end of day quarter Regulatory adjustment

1,058 2,823 3,881

1,400 5,278 6,678

1,039

1,191

4,688 8,452

375 676

322

29

RWA at end of reporting period (31.12.2019)

1,361

1,220

13,140

1,051

Methodology and policy: methodology changes to the calculations p driven by regulatory policy changes; Acquisitions and disposals: modifications due to acquisition or p disposal of business/product lines or entities; Foreign exchange movements: changes arising from foreign p currency translation movements.

Effects are defined as follows: Regulatory adjustment: difference between RWA used for the p purpose of regulatory RWA calculation on the one hand and RWA of the last day or of the last week of the period on the other hand; Movement in risk levels: changes due to position changes; p Model updates/changes: significant updates to the model to reflect p recent experience ( e.g. recalibration), as well as significant changes in model scope;

TABLE 98: QUARTERLY RWA FLOWSTATEMENTS OF MARKET RISK EXPOSURES UNDER IMA (INTERNAL MODEL APPROACH) (MR2-B)

Exigences en fonds propres

Total RWA

VaR SVaR

IRC

CRM Autre

(In EURm)

RWA at end of previous reporting period (30.09.2019)

3,166 1,942 1,224

6,087 3,481 2,606

2,807

2,002

- - - - - - - - -

14,063

1,125

Regulatory adjustment

704

733

6,861 7,202 (918)

549 576 (73)

RWA at end of day previous quarter

2,103

1,269 (782)

Movement in risk levels

716

594

(1,447)

Model updates/changes Methodology and policy Acquisitions and disposals Foreign exchange movements

- - -

- - -

- - - - -

- - - - -

- - -

- - -

(2)

(3)

(4)

(0)

Other

-

-

-

-

RWA at end of day quarter Regulatory adjustment

1,058 2,823 3,881

1,400 5,278 6,678

1,039

1,191

4,688 8,452

375 676

322

29

RWA at end of reporting period (31.12.2019)

1,361

1,220

-

13,140

1,051

178

PILLAR 3 - 2020 | SOCIETE GENERALE GROUP |