1. Role of Treasury in Future Banking Impact of Financial Market Crises and Banking Regulation on Bank’s Treasury

2. Equity capital – Quantitative Increase (Basel 2 / 3) Banks will have to reach 13 – 15% equity level * * Finance Trainer guess Minimum Basel II Minimum (Common Equity) 2% Additional Tier 1 2% Tier 2 4% Basel III Minimum Tier 1 (Common Equity) 4.5% Fixer Buffer 2,5% (Common Equity) Additional Tier 1 1.5% Tier 2 2% Buffer Variable Buffer (Common Equity) 8 % 10,5% 13 % Stress test result

3. Liquidity Management - Normal and Stress Case Balance = (assets – liabilities aggregated) stress case – bank’s individual scenarios Operational liquidity BALANCE today Principles of Basel 3 / EBA (CEBS) / CRD IV: 1 month minimum liquidity in stress case → sufficient Liquidity buffer (reserves) are necessary 12 months Structural liquidity > 20 years Balance = (assets – liabilities aggregated) normal case without new deals 1 2 Liquidity reserves 3 Balance = (assets – liabilities aggregated) incl. new business assumptions Secured liquidity mapping is the basis for managing liquidity risk Security > Profit

4. Basel 3 increases equity requirement for: Open risk Specific risk Replacement risk Treasury in (Basel 2/3) Regulation Environment Basel 3 Total bank management Earnings Risk Optimal RORAC R e g u l a t i o n f r a m e w o r k Customer business Treasury business → Risk → ALM → Sales → Trading  Finance Trainer 2010 Interest Credit FX Liquidity TRANSFER RATES Basel 3

5. Overview: Changes in Treasury business TODAYBasel 3 / CRD IV General risk StandardTerm Bank MethodNo change Internal Model10 D VaR 99% x F (3-4)10 D VaR x F + 10 D Stress VaR x Factor Specific risk StandardReferred to Rating 4% shares cancelled  8%; Sec./Resec Internal ModelIncluded in general risk add. Incremental Risk (99,9%/1 year); Sec./Resec. according to table Replacement risk OTC/SFT* Term band methode.g. interest 1% p.a. add. Bond Equivalent (Credit Value Adjustment) Mark to Market approachMTM + Add On add. Bond Equivalent (Credit Value Adjustment) Expected positive Exposure (EPE) VaR 10 D (99%) Stress VaR 10 D (99%) add. Bond Equivalent (Credit Value Adjustment) * Security Financing Transaction (e.g. Repos)

6. Consequences for Treasury Business → Trading Big Trading Books less attractive Higher spreads / more documentation → Assets and Liabilities Management Relocation of main Treasury activities to ALM Conservative Banking Book positions Professional Banking Book management needed → Sales More expensive instruments Replacement risk becomes very important → Risk More complex calculations More limits / more work Capital Requirements Liquidity Requirements (LCR & NSFR) CVA (Credit Value Adjustment) EAD (Exposure at Default) Internal model approach (IMA) Incremental Risk Charge (IRC) Stress VaR Central Clearing Party (CCP) Higher Basis Risks Financial Transaction Tax

7. ACI Adjustments (Exams Update) ACI Dealing Certificate will change:  A new topic basket “Asset & Liability Management” will be added to the Dealing Certificate syllabus  The existing topic basket “Principles of Risk” will be revamped  The existing topic basket “Model Code” will be adapted to the newly written Model Code  The new syllabus will become effective on 1 August 2013 ACI Model Code Examination will be available again The ACI Diploma will be restructured (see graphic next page).Candidates will have to pass two mandatory units plus one elective unit in order to be eligible for the ACI Diploma ACI Operations Certificate - The new FX Best Practices Operations of the Model Code will be integrated

8. The New ACI Diploma Structure

9. Copyright: All rights reserved. The copyrights and rights of use regarding the content of this presentation remain with Finance Trainer International Ges.m.b.H. Neither this presen- tation nor any of the presented ideas and/or solutions may be used, published, repro- duced, stored in a retrieval system, transmitted to third parties in any form or by any means, electronics, mechanical, photocopying, recording or otherwise without the prior permission of Finance Trainer International Ges.m.b.H. All calculations were undertaken to the best of our knowledge. Errors and misprints excepted. Prices are subject to alteration without notice.