VKF_FRAE_2017

CONVENIENCE TRANSLATION OF PUBLICLY ANNOUNCED UNCONSOLIDATED FINANCIAL STATEMENTS ORIGINALLY ISSUEDIN TURKISH, SEE NOTE I. OF SECTION THREE TÜRKİYE VAKIFLAR BANKASI TÜRK ANONİM ORTAKLIĞI EXPLANATIONS AND NOTES RELATED TO THE UNCONSOLIDATED FINANCIAL STATEMENTS FOR THE YEAR ENDED DECEMBER 31, 2017 (Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated.) PART III: FINANCIAL HIGHLIGHTS AND RISK MANAGEMENT 214 VakıfBank Annual Report 2017 Counterparty credit risk (CCR) approach analysis Current Period Replacement cost Potential future exposure EEPE (Effective Expected Positive Exposure) Alpha used for Computing regulatory exposure at default Exposure at default post CRM RWA 1 Standardized Approach - CCR (for derivatives) 2,150,962 593,723 1.4 2,744,685 1,535,780 2 Internal Model Method (for repo transactions, securities or commodity lending or borrowing transactions, long settlement transactions and securities financing transactions) - - - - 3 Simple Approach for credit risk mitigation (for repo transactions, securities or commodity lending or borrowing transactions, long settlement transactions and securities financing transactions) - - 568,751 141,930 4 Comprehensive Approach for credit risk mitigation (for repo transactions, securities or commodity lending or borrowing transactions, long settlement transactions and securities financing transactions) - - 5 Value-at-Risk (VaR) for repo transactions, securities or commodity lending or borrowing transactions, long settlement transactions and securities financing transactions - - 6 Total - - 7 Standardized Approach - CCR (for derivatives) 1,677,710 Prior Period Replacement cost Potential future exposure EEPE (Effective Expected Positive Exposure) Alpha used for Computing regulatory exposure at default Exposure at default post CRM RWA 1 Standardized Approach - CCR (for derivatives) 1,598,350 623,720 1.4 2,222,070 1,094,707 2 Internal Model Method (for repo transactions, securities or commodity lending or borrowing transactions, long ettlement transactions and securities financing transactions) - - - - 3 Simple Approach for credit risk mitigation (for repo transactions, securities or commodity lending or borrowing transactions, long settlement transactions and securities financing transactions) - - - - 4 Comprehensive Approach for credit risk mitigation (for repo transactions, securities or commodity lending or borrowing transactions, long settlement transactions and securities financing transactions) 769,248 183,239 5 Value-at-Risk (VaR) for repo transactions, securities or commodity lending or borrowing transactions, long settlement transactions and securities financing transactions - - 6 Total - - 7 Standardized Approach - CCR (for derivatives) 1,277,946 Capital requirement for credit valuation adjustment (CVA) Current Period EAD post CRM RWA Total portfolios subject to the Advanced CVA capital obligation - - 1 (i) VaR component (including the 3x multiplier) - 2 (ii) Stressed VaR component (including the 3x multiplier) - 3 All portfolios subject to the Standardized CVA capital obligation 2,744,685 1,154,771 4 Total subject to the CVA capital obligation 2,744,685 1,154,771 Prior Period EAD post CRM RWA Total portfolios subject to the Advanced CVA capital obligation - - 1 (i) VaR component (including the 3x multiplier) - 2 (ii) Stressed VaR component (including the 3x multiplier) - 3 All portfolios subject to the Standardized CVA capital obligation 2,222,070 845,628 4 Total subject to the CVA capital obligation 2,222,070 845,628