ECB Bank Merger Approval Simulator & Capital Assessment Workbench

Supervisory Parameters

Preset Scenario

Pillar 2 Requirement (P2R Add-on) 1.75%

ECB SREP specific risk add-on imposed on combined entity RWA.

Macro Credit Stress Haircut 0.00%

Asset quality degradation impact on CET1 capital under adverse downturn.

Restructuring & Synergy Impact +0.20%

Cost synergies net of initial integration restructuring capital drain.

G-SIB / Cross-Border Buffer 0.50%

Additional systemic risk buffer for combined pan-European cross-border scale.

MREL Resolution Minimum 27.00%

Single Resolution Board (SRB) required loss-absorption capacity ratio.

Combined Entity Baseline Assets €1,390 Bn UniCredit (€860Bn) + Commerzbank (€530Bn)

Combined CET1 Ratio 15.48% Req: 12.75% (Pass)

Combined NPL Ratio 2.55% Max Ceiling: 5.00% (Pass)

Liquidity (LCR) 157.8% SSM Floor: 110.0% (Pass)

MREL Buffer 31.19% Target: 27.00% (Pass)

Values in % of Risk-Weighted Assets (RWA)

Supervisory Pillar	Standalone Acquirer (UniCredit)	Standalone Target (Commerzbank)	Combined Entity (Simulated)	ECB Threshold	Status

Automated Compliance Audit Trail

Bank Merger Approval Simulator & Capital Assessment Workbench