Société Générale / Risk report 2021 - Pillar 3 2020

9 MARKET RISK RISK-WEIGHTED ASSETS AND CAPITAL REQUIREMENTS PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 182 TABLE 94: MARKET RISK CAPITAL REQUIREMENTS AND RWA BY RISK FACTOR Risk-weighted assets Capital requirement (In EURm) 31.12.2020 31.12.2019 Change 31.12.2020 31.12.2019 Change VaR 4,117 3,881 236 329 310 19 Stressed VaR 6,671 6,678 (7) 534 534 (1) Incremental Risk Charge (IRC) 1,758 1,361 398 141 109 32 Correlation portfolio (CRM) 1,066 1,220 (154) 85 98 (12) Total market risk assessed by internal model 13,612 13,140 472 1,089 1,051 38 Specific risk related to securitisation positions in the trading portfolio 534 277 257 43 22 21 Risk assessed for currency positions 219 865 (646) 17 69 (52) Risks assessed for interest rates (excl. securitisation) 975 231 745 78 18 60 Risk assessed for ownership positions - - - - - - Risk assessed for commodities 0 0 0 0 0 0 Total market risk assessed by standard approach 1,728 1,373 355 138 110 28 TOTAL 15,340 14,513 827 1,227 1,161 66 TABLE 95: MARKET RISK CAPITAL REQUIREMENTS AND RWA BY TYPE OF RISK Risk-weighted assets Capital requirement 31.12.2020 31.12.2019 31.12.2020 31.12.2019 Risk assessed for currency positions 462 1,173 37 94 Risk assessed for credit (excl. deductions) 5,943 4,768 475 381 Risk assessed for commodities 43 792 3 63 Risk assessed for ownership positions 4,133 3,904 331 312 Risk assessed for interest rates 4,760 3,876 381 310 TOTAL 15,340 14,513 1,227 1,161