Proposed Supervisory Review and Evaluation Process (SREP)

Background and methodology,BaFin and the Bundesbank established an SREP quantification working group in 2012, which has
developed a new approach for assessing an institution’s ICAAP. This approach integrates quantitative
and qualitative methods to better assess the reliability and appropriateness of an institution’s ICAAP.

Under the new SREP approach, the assessment would take place on a risk-by-risk basis (including
also organisational shortcomings). The sum of the adjusted risk amounts (without any inter-risk
diversification effects) is compared to the adjusted risk bearing capacity. If the risk bearing capacity is
lower than the sum of the risk amounts, this is considered as a capital deficit and will lead to
corresponding supervisory actions and, if necessary, additional pillar 1 capital add-ons.