Large Bank Examination Workshop February 2026

Capital Planning Capital Planning Employing Scenarios / Stress-Testing

Current Balance Sheet

Growth Projections

Adjustment for Scenarios Adjustments for Corrective Actions

Allocation to Details

Detailed Scenarios

Risk, Performance and Capital Projections

Communications and Reporting

• Variables • Variable Forecasts • Models • Rule Changes

• ALLL • Valuation • Gaps, duration, convexity • Liquidity gaps • Allocations, NII, NIM • Transfer price • Hedge effectiveness • Credit risk Economic Capital • Market risk VaR • Operational risk VaR

• Liquidity • Capital • P&L • Balance Sheet • Credit, Market & Operational Risks • Governance • ICAAP by Scenario

• Sequences • Correlations

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Pillar 2, Principle 1 – The ICAAP • “Banks should have a process for assessing their overall capital adequacy in relation to their risk profile and a strategy for maintaining their capital levels” • Board and senior management oversight • Sound capital assessment  Policies and procedures … to measure … all material risks  Process to relate capital to level of risk • Comprehensive assessment of all risks

• Monitoring and reporting • Internal control review

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