SocGen’s trading VAR unmoved by wild markets
Though market RWAs soared, VAR dipped 7% quarter-on-quarter
Through whipsawing markets in the first quarter, Societe Generale kept a tight leash on its trading value-at-risk.
The French bank disclosed market RWAs, used to set capital requirements, of €19.5 billion ($21.4 billion), the most since Q4 2018. However, average daily VAR – a key input to RWA calculation – averaged €26 million, down 7% on the prior quarter.
Increases to credit, rates and foreign exchange VAR were offset by a big rise in diversification benefits. The equity component of VAR
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