Société Générale / Risk report 2021 - Pillar 3 2020

1 GROUP CONCISE RISK STATEMENT MARKET RISK PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 8 MARKET RISK 1.4 Market risk-weighted exposures are determined primarily through internal models (89% of the total at the end of 2020). These risk-weighted exposures amounted to EUR 15.3 billion at the end of 2020, or 4% of the Group's total RWAs, up (+5.7%) compared with the end of 2019 (EUR 14.5 billion). significantly increased at the end of the first quarter and in the second quarter, mainly in the interest rate and credit scopes, the equities scope – and in particular the exotic products activities – presenting the main factor of volatility), IRC (increasing due in particular to debt instruments on several categories of issuers) and RWAs calculated using the standardised approach, as a consequence of new The annual increase in capital requirements for market risk is securitisation positions and an increase in the rate component. explained in particular by a diffuse and moderate increase in VaR, which at the end of the year almost returned to its level prior to the financial crisis triggered by the Covid-19 pandemic (after having (See details in Chapter 9 “Market risk”.) DISTRIBUTION OF MARKET RISK RWA BY RISK FACTOR AT 31.12.2020 MARKET RISK RWA AT 31.12.2020: EUR 15.3BN VS. EUR 14.5BN AT 31.12.2019 TABLE 3: MARKET RISK - VAR AND SVAR (In EURm) 2020 2019 VaR (1 day, 99%) average value 33 23 SVaR (1 day, 99%) average value 50 38