Large Bank Examination Workshop February 2026

Capital Planning Process Key Components Consistent Definitions

Flexible Definition of Scenarios • Independent of models, tools and applications • Applicable across risk, finance and treasury aspects • Multiple, concurrent scenarios & combinations Multiple Stress Testing Approaches • Model based and deterministic stress tests • Stress testing of multiple variables including:  Macroeconomic  Idiosyncratic  Categorical, etc. Multiple Shock Specification Methods • Absolute values, percentages, standard deviations or log standard deviations • Curve shocks • Time reference shocks

• Centralized scenario definition process Flexible Scenario Management • Scenario definitions as a combination of shocks • Scenarios over time and across multiple baseline runs Impact Assessment of Scenarios • Assessments on multiple measures including:  P&L, NII,  Provisions, Liq Gaps  Capital • Individual Entity and Group-Consolidated3

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Capital Planning Process

(Concurrent) Execution

Reporting

Variables

Forecasts / Shocks

Scenarios

Baseline Output

Housing Price Index Unemployment Rate

Economic Downturn

Unemployment Rate +3.2% +4.1% +5.2% +2%

With Baseline Figures

Balance Sheet

- Plan - Stress - RWA - NII, NFI - ALL Stress Output

S1

Capital

Regional Recession

Leverage Ratio

Inflation Rate

NFI, NII, ALL

-4.2 sd - 7.4 sd

- 5.1 sd - 5.4 sd

LTV Ratio

S2

Rating Downgrade

With Stress Figures

Credit Rating

S1 S2 S4 S3

Balance Sheet

- Plan - Stress - RWA - NII, NFI - ALL

S3

GDP Growth

GDP Growth Rate

Capital

-1.2

+2.4

+0.8

-1.5

Index of Industrial Production

NFI, NII, ALL

S4

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