Société Générale / Risk report 2021 - Pillar 3 2020

9 MARKET RISK ADDITIONAL QUANTITATIVE INFORMATION ON MARKET RISK PILLAR 3 - 2021 | SOCIETE GENERALE GROUP | 184 ADDITIONAL QUANTITATIVE INFORMATION 9.6 ONMARKET RISK TABLE 96: MARKET RISK UNDER STANDARDISED APPROACH (MR1) (In EURm) 31.12.2020 31.12.2019 31.12.2020 31.12.2019 Risk-weighted assets Risk-weighted assets Capital requirement Capital requirement Products 1,194 1,096 96 88 Interest rate risk (general and specific) 975 231 78 18 Equity risk (general and specific) - - - - Foreign exchange risk 219 865 17 69 Commodity risk 0 0 0 0 Options 534 277 43 22 Simplified approach - - - - Delta-plus method - - - - Scenario approach - - - - Securitisation (specific risk) 534 277 43 22 TOTAL 1,728 1,373 138 110 Outright products refer to positions in products that are not optional. TABLE 97: MARKET RISK UNDER INTERNAL MODEL APPROACH (MR2-A) (In EURm) 31.12.2020 31.12.2019 31.12.2020 31.12.2019 Risk-weighted assets Risk-weighted assets Capital requirement Capital requirement 1 VaR (higher of values a and b) 4,117 3,881 329 310 (a) Previous day's VaR (Article 365(1) (VaRt-1)) 79 85 (b) Average of the daily VaR (Article 365(1)) on each of the preceding sixty business days (VaRavg) x multiplication factor ((mc) in accordance with Article 366) 329 310 2 SVaR (higher of values a and b) 6,671 6,678 534 534 (a) Latest SVaR (Article 365(2) (SVaRt-1)) 252 229 (b) Average of the SVaR (Article 365(2) during the preceding sixty business days (SVaRavg) x multiplication factor (ms) (Article 366) 534 534 3 Incremental risk charge - IRC (higher of values a and b) 1,758 1,361 141 109 (a) Most recent IRC value (incremental default and migration risks section 3 calculated in accordance with Section 3 articles 370/371) 112 83 (b) Average of the IRC number over the preceding 12 weeks 141 109 4 Comprehensive Risk Measure – CRM (higher of values a, b and c) 1,066 1,220 85 98 (a) Most recent risk number for the correlation trading portfolio (article 377) 70 95 (b) Average of the risk number for the correlation trading portfolio over the preceding 12-weeks 85 98 (c) 8% of the own funds requirement in SA on most recent risk number for the correlation trading portfolio (Article 338(4)) 75 79 5 TOTAL 13,612 13,140 1,089 1,051