VKF_FRAE_2017

CONVENIENCE TRANSLATION OF PUBLICLY ANNOUNCED CONSOLIDATED FINANCIAL STATEMENTS ORIGINALLY ISSUED IN TURKISH, SEE IN NOTE I. OF SECTION THREE TÜRKİYE VAKIFLAR BANKASI TÜRK ANONİM ORTAKLIĞI AND ITS FINANCIAL SUBSIDIARIES EXPLANATIONS AND NOTES RELATED TO THE CONSOLIDATED 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 352 VakıfBank Annual Report 2017 Prior Period Replacement cost Potential future exposure EEPE Alpha used for computing regulatory exposure at default Exposure at default post CRM RWA 1 Fair Value Method (for derivatives) 1,598,356 627,528 1.4 2,225,884 1,095,500 2 Standardized Approach (for derivatives) - - - - 3 Internal Model Method (for derivatives, Repo Transactions, Marketable Securities or EMTIA lending or borrowing transactions, transactions with a long settlement time, Marketable Security transactions with credit) - - - - 4 Simple Approach for credit risk mitigation (for derivatives, Repo Transactions, Marketable Securities or EMTIA lending or borrowing transactions, transactions with a long settlement time, Marketable Security transactions with credit) 769,791 183,644 5 Comprehensive Approach for credit risk mitigation (for derivatives, Repo Transactions, Marketable Securities or EMTIA lending or borrowing transactions, transactions with a long settlement time, Marketable Security transactions with credit) - - 6 VaR for for derivatives, Repo Transactions, Marketable Securities or EMTIA lending or borrowing transactions, transactions with a long settlement time, Marketable Security transactions with credit - - 7 Total 1,279,144 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 3xmultiplier) - 2 (ii) Stressed VaR component (including the 3xmultiplier) - 3 All portfolios subject to the Standardized CVA capital obligation 2,750,005 1,154,133 4 Total subject to the CVA capital obligation 2,750,005 1,154,133 Prior Period EAD post CRM RWA Total portfolios subject to the Advanced CVA capital obligation - - 1 (i) VaR component (including the 3xmultiplier) - 2 (ii) Stressed VaR component (including the 3xmultiplier) - 3 All portfolios subject to the Standardized CVA capital obligation 2,219,529 844,350 4 Total subject to the CVA capital obligation 2,219,529 844,350