Société Générale / Risk report 2021 - Pillar 3 2020

Market risk RWA at end 2020 EUR 15.3 bn (Amount at end 2019: EUR 14.5bn) Annual average VaR (1 day, 99%) - 2020 EUR 33 m (Annual average VaR 2019: EUR 23m) Share of RWA calculated via the internal model 89 % Market risk is the risk of loss of value on financial instruments arising from changes in market parameters, the volatility of these parameters and the correlations between them. These parameters include, but are not limited to, exchange rates, interest rates, the price of securities (equities or bonds), commodities, derivatives and other assets. IN BRIEF 9 171 | SOCIETE GENERALE GROUP | PILLAR 3 - 2021 MARKET RISK