Revisions to Standard Disclosure Templates and Tables for Revised Pillar 3 Framework

Banking Policy Department
Our Ref: B1/15C
B9/151C
21 March 2019
The Chief Executive
All locally incorporated authorized institutions Dear Sir/Madam, Revisions to standard disclosure templates and tables I am writing to inform you that, following consultation with the two industry Associations, the Monetary Authority is issuing a set of revised standard disclosure templates and tables (with accompanying revised explanatory notes) to reflect a few regulatory updates 1 . Pursuant to section 6(1)(ab) of the Banking (Disclosure) Rules (“BDR”), the templates and tables are to be used by locally incorporated authorized institutions (“AIs”) for making disclosures under the BDR. In summary, the revised templates and tables have incorporated:
(a) revisions to credit risk disclosures (in Template CR1 and Table CRB) to reflect the regulatory treatment of expected credit loss accounting provisions specified in the document Technical Amendment – Pillar 3 disclosure requirements: regulatory treatment of accounting provisions2 issued by the Basel Committee on Banking Supervision in August 2018; and (b) revisions to disclosures associated with the new standards introduced under the Banking (Capital) (Amendment) Rules 2018 (“BCAR”), viz., the Internal Assessment Approach under the securitization framework (in Table SECA, Template SEC3 and Template SEC4); the deduction treatment of non-capital LAC liabilities (in Template CC1) and the capital requirement of sovereign concentration risk (in Template OV1). We have also taken this opportunity to update the names of the relevant banking 1 For ease of reference, the revisions to the relevant tables and templates are highlighted in the complete set of disclosure templates and tables enclosed. 2 Please see https://www.bis.org/bcbs/publ/d446.htm.

2 return and guidance quoted in the explanatory notes of Template IRRBB1, which prescribes some required disclosures of an AI’s interest rate risk in the banking book (“IRRBB”). The above revisions, apart from those in relation to sovereign concentration risk and IRRBB, will apply to disclosures pertaining to the financial year of an AI starting on or after 1 January 2019. For sovereign concentration risk, the revision will first apply to the quarterly Template OV1 as of 30 September 2019 (i.e. after the related provisions in the BCAR take effect on 1 July 2019). For IRRBB, Template IRRBB1 will first apply for any annual reporting period of an AI ending on or after 30 June 2019. The standard disclosure templates and tables (both English and Chinese versions) can be accessed through the “Key Functions – Banking Stability – Implementation of International Standards – Disclosure” icons on the HKMA’s public website (http://www.hkma.gov.hk) or through the Supervisory Communication Website (http://www.stet.iclnet.hk). Should you have any questions regarding the revisions to the standard disclosure templates and tables, please contact Miss Theresa Kwan at tyykwan@hkma.gov.hk or Mr Lai-chun So at lcso@hkma.gov.hk. Yours faithfully, Daryl Ho Executive Director (Banking Policy) Encl cc: The Chairperson, The Hong Kong Association of Banks The Chairman, The DTC Association FSTB (Attn: Ms Eureka Cheung)

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Enclosure 1 - Standard Disclosure Templates and Tables for Revised Pillar 3 Framework – Phase I (with Explanatory Notes)

Summary of disclosure templates and tables

Disclosure requirement	Tables and templates*▲	Applicability	Format	Frequency of disclosure
			Fixed	Flexible	Quarterly	Semi-	Annual
						annual
Part II : Linkages between	Template LI1: Differences between accounting and regulatory scopes of	All		(			(
financial statements and	consolidation and mapping of financial statement categories with regulatory
regulatory exposures	risk categories
	Template LI2: Main sources of differences between regulatory exposure	All		(			(
	amounts and carrying values in financial statements
	Table LIA: Explanations of differences between accounting and regulatory	All		(			(
	exposure amounts
	Table CRB: Additional disclosure related to credit quality of exposures	All		(			(
	Table CRD: Qualitative disclosures on use of ECAI ratings under STC	STC		(			(
	approach
	Template CR5: Credit risk exposures by asset classes and by risk weights –	STC; BSC	(			(
	for STC approach or BSC approach
	Table CRE: Qualitative disclosures related to internal models for measuring	IRB		(			(
	credit risk under IRB approach
	Template CR7: Effects on RWA of recognized credit derivative contracts used	IRB	(			(
	as recognized credit risk mitigation – for IRB approach
	Template CR8: RWA flow statements of credit risk exposures under IRB	IRB	(		(
	approach
	Template CR10: Specialized lending under supervisory slotting criteria	IRB		(		(
	approach and equities under simple risk-weight method – for IRB approach
Part IV : Counterparty Credit	Table CCRA: Qualitative disclosures related to counterparty credit risk	All		(			(
risk	(including those arising from clearing through CCPs)
	Template CCR3: Counterparty default risk exposures (other than those to	STC; BSC	(			(
	CCPs) by asset classes and by risk weights – for STC approach or BSC
	approach
	Template CCR4: Counterparty default risk exposures (other than those to	IRB	(			(
	CCPs) by portfolio and PD range – for IRB approach
	Template CCR5: Composition of collateral for counterparty default risk	All		( (fixed		(
	exposures (including those for contracts or transactions cleared through			columns,
	CCPs)			flexible rows)
	Template CCR6: Credit-related derivatives contracts	All		(		(
	Template CCR7: RWA flow statements of default risk exposures under IMM(CCR)	IMM(CCR)	(		(
	approach
Part V : Securitization	Table SECA: Qualitative disclosures related to securitization exposures	All		(			(
exposures
	Template MR4: Comparison of VaR estimates with gains or losses	IMM		(		(

• The orange-shaded rows are tables (primarily for qualitative disclosure) and the unshaded rows are templates (for quantitative disclosure supplemented with accompanying narrative).
  ▲ For ease of reference, the titles of tables and templates that have been revised are highlighted. Those highlighted in green contain revisions to incorporate changes on expected credit loss accounting provisions specified in the document Technical Amendment – Pillar 3 disclosure requirements: regulatory treatment of accounting provisions issued by the Basel Committee on Banking Supervision in August 2018. Those highlighted in blue contain revisions to incorporate changes on securitization framework introduced in Banking (Capital) (Amendment) Rules 2018.

Part I: Overview of risk management and RWA

Table OVA: Overview of risk management
Purpose:	To provide a description of risk management objectives and policies and how the Board of Directors and
	senior management assess and manage risks, enabling users to gain a clear understanding of the risk
	tolerance and appetite in relation to the main activities and all significant risks.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16B

An AI should describe its risk management objectives and policies, in particular:
(a)	how the business model determines and interacts with the overall risk profile (e.g. the key risks related to the business model and
	how each of these risks is reflected and described in the risk disclosures); and
	how the risk profile of the AI interacts with the risk tolerance approved by the Board.
(b)	the risk governance structure:
	the responsibilities attributed throughout the AI (e.g. oversight and delegation of authority; breakdown of responsibilities by
	type of risk, business unit, etc.); and
	the relationships between the structures involved in risk management processes (e.g. Board of Directors, senior management,
	separate risk committees, risk management function, compliance function, internal audit function).
(c)	the channels to communicate, decline and enforce the risk culture within the AI (e.g. code of conduct; manuals containing operating
	limits or procedures to treat violations or breaches of risk limits; procedures to raise and share risk issues between business
	lines and risk functions).
(d)	the scope and main features of risk measurement systems.
(e)	a description of the process of risk information reporting provided to the Board and senior management, in particular the scope and
	main content of reporting on risk exposure.
(f)	qualitative information on stress testing (e.g. portfolios subject to stress testing, scenarios adopted and methodologies used, and
	use of stress testing in risk management).
(g)	the strategies and processes to manage, hedge and mitigate risks that arise from the AI’s business model; and
	the processes for monitoring the continuing effectiveness of hedges and mitigants for those risks.
Template OV1: Overview of RWA (superseded by revised version issued under Phase II)
Purpose:	To provide an overview of capital requirements in terms of a detailed breakdowns of RWAs for various
	risks.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	RWA and capital requirements under the Pillar 1 framework.
Frequency:	Quarterly.
Format:	Fixed.
Accompanying narrative:	An AI should explain the drivers behind differences in reporting periods T and T-1 where these
	differences are material. The AI should also explain the adjustments made if capital requirements in
	column (c) do not correspond to 8% of RWA in column (a). If an AI uses the internal models method under
	the market-based approach to calculate its equity exposures in the banking book pursuant to the BCR, it
	should provide a description of its internal models used in an accompanying narrative.
Corresponding BDR section:	16C

		(a)	(b)	(c)
		RWA	Minimum capital
			requirements
		T	T-1	T
1	Credit risk for non-securitization exposures
2	Of which STC approach
2a	Of which BSC approach
3	Of which IRB approach
4	Counterparty credit risk
5	Of which SA-CCR
5a	Of which CEM
6	Of which IMM(CCR) approach
7	Equity exposures in banking book under the market-based approach
8	CIS exposures – LTA
9	CIS exposures – MBA
10	CIS exposures – FBA
11	Settlement risk
12	Securitization exposures in banking book[1]
13	Of which IRB(S) approach – ratings-based method
14	Of which IRB(S) approach – supervisory formula method
15	Of which STC(S) approach
16	Market risk
17	Of which STM approach
18	Of which IMM approach
19	Operational risk
20	Of which BIA approach
21	Of which STO approach
21a	Of which ASA approach
22	Of which AMA approach	N/A	N/A	N/A
23	Amounts below the thresholds for deduction (subject to 250% RW)
24	Capital floor adjustment
24a	Deduction to RWA
24b	Of which portion of regulatory reserve for general banking risks and
	collective provisions which is not included in Tier 2 Capital
24c	Of which portion of cumulative fair value gains arising from the revaluation
	of land and buildings which is not included in Tier 2 Capital
25	Total
N/A: Not applicable in the case of Hong Kong

Explanatory Note
Columns
(a)	RWA (T): RWA referred to in the BCR and as reported in accordance with the subsequent parts of this document. Where the output
	of a calculation approach is a capital charge instead of a RWA (e.g. the approaches for market risk and operational risk), an AI
	should calculate the RWA by multiplying capital charge by 12.5.
(b)	RWA (T-1): RWA as reported in the previous reporting period (i.e. at the end of the previous quarter) of this template.
(c)	Minimum capital requirement (T): Pillar 1 capital requirements, which in general are calculated as 8% of the RWA but may differ
	if a capital floor is applicable or adjustments (such as scaling factors) are applied in accordance with the BCR, as of the
	reporting date. Any such adjustments, if applicable, should be applied to all the applicable rows in column (c). For example,
	an AI using the IRB approach for credit risk is required to apply a scaling factor of 1.06 as specified in section 224 of BCR to
	column (c) of all the items the credit risk requirement of which are calculated in accordance with Part 6 of the BCR (i.e. RWA x
	8% x 1.06).
Rows
1	Credit risk for non-securitization exposures: RWA and capital requirements according to the credit risk framework reported in
	Part III of this document. The amounts exclude all positions subject to capital requirements relating to counterparty credit
	risk, equity exposures (unless otherwise required), and CIS, settlement risk and securitization regulatory framework (e.g.
	securitization exposures in the banking book), which should be reported respectively in rows 4, 7-10, 11 and 23 respectively.
2	Of which STC approach: RWA and capital requirements calculated using the STC approach under the BCR. For an interim or annual
	reporting period, the value in [OV1: 2/a] should be equal to the value in [CR4 (STC): 15/e].
2a	Of which BSC approach: RWA and capital requirements calculated using the BSC approach under the BCR. For an interim or annual
	reporting period, the value in [OV1: 2a/a] should be equal to the value in [CR4 (BSC): 10/e].
3	Of which IRB approach: RWA and capital requirements calculated using the IRB calculation approaches under the BCR, excluding
	equity exposures in the banking book under market-based approaches (reported in row 7 unless otherwise required), exposures to
	counterparty credit risk (reported in rows 4-6) and settlement risk (reported in row 11).
4	Counterparty credit risk: RWA and capital requirements for counterparty credit risk (including exposures to CCPs) calculated in
	accordance with the BCR, as reported in Part IV of this document. The value in [OV1:4/a] is equal to the sum of values in
	[CCR1:6/f], [CCR2:4/b], [CCR8:1/b] and [CCR8:11/b].
5	Of which SA-CCR: RWA calculated based on the amount of default risk exposures calculated under the SA-CCR, and the capital
	requirement calculated based on the RWA.
5a	Of which CEM: RWA calculated based on the amount of default risk exposures calculated under the CEM, and the capital requirement
	calculated based on the RWA.
6	Of which IMM(CCR) approach: RWA calculated based on the amount of default risk exposures calculated under the IMM(CCR) approach,
	and the capital requirement calculated based on the RWA. The value in [OV1:6/a] is equal to the value in [CCR7:9/a].
7	Equity exposures in the banking book under the market-based approach: The amounts correspond to RWA and capital requirements
	where the AI applies the market-based approach (either simple risk-weight method or internal models method) specified in the
	BCR. Where the regulatory treatment of equities is in accordance with the simple risk-weight method (under the market-based
	approach), the corresponding RWA are included in template CR10 and in this row. The value in [OV1:7/a] is equal to the sum of
	values in [CR10: total/e for equity exposures under the simple risk-weight method] and the RWA corresponding to the internal
	models method for equity exposures in the banking book.
	To avoid doubt:
	Where the regulatory treatment of equities in the banking book is in accordance with the PD/LGD approach, the corresponding RWA
	and capital requirements are reported in template CR6 (portfolio Equity PD/LGD) and included in row 3 of this template.
	Row 7 is not applicable to equity exposures that are subject to the STC approach or the BSC approach. The corresponding RWA
	calculated under the STC or BSC approach is reported in template CR4 and included in row 2 (for STC approach) or row 2a (for BSC
	approach), as the case requires, of this template.
8	CIS exposures – LTA: RWA and capital requirements calculated using the LTA under the to-be-amended BCR.[2]
9	CIS exposures – MBA: RWA and capital requirements calculated using the MBA under the to-be-amended BCR.2
10	CIS exposures – FBA: RWA and capital requirements calculated using the FBA under the to-be-amended BCR.2
11	Settlement risk: RWA and capital requirements of the following items:
	Transactions in relation to cash items that remain outstanding for 5 or more business days after the settlement date, calculated
	in accordance with the risk-weight allocated to these transactions as specified in the BCR; and
	Transactions entered into on a non-delivery-versus-payment basis that failed to deliver as specified in the BCR.
12	Securitization exposures in banking book: The amounts correspond to capital requirements applicable to the securitization
	exposures in the banking book (Part V of this document). The RWA should be derived from the capital requirement, meaning that
	they do not necessarily systematically correspond to the RWA reported in templates SEC3 and SEC4, which are before application
	of the cap.
13	Of which IRB(S) approach – ratings-based method: RWA and capital requirements calculated using the ratings-based method under
	the IRB(S) approach under the BCR.
14	Of which IRB(S) approach – supervisory formula method: RWA and capital requirements calculated using the supervisory formula
	method under the IRB(S) approach, which is available under the BCR to AIs that have obtained prior approval from the MA to use
	such approach.
15	Of which STC(S) approach: RWA and capital requirements calculated using the STC(S) approach under the BCR.
16	Market risk: The amounts correspond to the capital requirements in the market risk framework (Part VI of this document), which
	also includes capital charges for securitization exposures booked in the trading book but excludes the counterparty credit risk
	capital charges associated with covered positions (reported in Part IV of this document and row 4 of this template).
17	Of which STM approach: RWA and capital requirements calculated using the STM approach under the BCR. The value in [OV1:17/a] is
	equal to the value in [MR1:9/a].
18	Of which IMM approach: RWA and capital requirements calculated using the IMM approach under the BCR. The value in [OV1:18/a] is
	equal to the value in [MR2:8/f].
19	Operational risk: The amounts correspond to capital requirements in the operational risk framework specified in the BCR.
20	Of which BIA approach: RWA and capital requirements calculated using the BIA approach under the BCR.
21	Of which STO approach: RWA and capital requirements calculated using the STO approach, which is available under the BCR for AIs
	that have obtained prior approval from the MA to use such approach.
21a	Of which ASA approach: RWA and capital requirements calculated using the ASA approach, which is available under the BCR for AIs
	that have obtained prior approval from the MA to use such approach.
22	This row is not applicable in the case of Hong Kong where the AMA is not implemented. AIs may report “Not applicable” or “N/A”
	in this row.
23	Amounts below the thresholds for deduction (subject to 250% RW): The amounts correspond to items subject to a 250% risk-weight
	pursuant to the BCR.
24	Capital floor adjustment: The impact of any Pillar 1 capital floor adjustment on total RWA and total capital requirements
	determined according to the BCR so that the total amount in row 25 below reflects the total RWA and total capital requirements,
	including such an adjustment. The AI should not report Pillar 2 adjustments applied to it in this row. Where the capital floor
	or adjustments are applied at a more granular level (e.g. at risk category level), the AI should reflect them in the capital
	requirements reported for the risk category.
24a	Deduction to RWA: This is the sum of values in rows 24b and 24c.
24b	Of which portion of regulatory reserve for general banking risks and collective provisions which is not included in Tier 2
	Capital: This row is only applicable for an AI using the STC, BSC or STC(S)[3] approach for calculating credit risk for all or
	part of its exposures. It refers to and has the same calculation basis as the amount reported in item 2.12(i), Division A, Part
	I of CAR return MA(BS)3.
24c	Of which portion of cumulative fair value gains arising from the revaluation of land and buildings which is noted included in
	Tier 2 Capital: It refers to and has the same calculation basis as the amount reported in item 2.12(ii), Division A, Part I of
	CAR return MA(BS)3.
25	Total: This is equal to the sum of values in rows 1, 4, 7, 8, 9, 10, 11, 12, 16, 19, 23 and 24, minus the deduction value in row
	24a.

Part II: Linkages between financial statements and regulatory exposures

Template LI1: Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories
Purpose:	To provide information on assets and liabilities to enable users to identify the differences between the scope of accounting consolidation and the scope of regulatory
	consolidation, with a breakdown into regulatory risk categories of every item of the assets and liabilities reported in financial statements based on the scope of
	accounting consolidation.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Carrying values (corresponding to the values reported in financial statements).
Frequency:	Annual.
Format:	Flexible, but the rows should align with the presentation of the AI’s financial statements.
Accompanying narrative:	As set out in table LIA. An AI should provide qualitative explanation on items that are subject to regulatory capital charges in more than one risk category.
Corresponding BDR section:	16D

	(a)	(b)	(c)
Columns
(a) and (b)	Carrying values as reported in published financial statements / under scope of regulatory consolidation: If an AI’s scope of accounting consolidation and its scope of regulatory consolidation are
	exactly the same, columns (a) and (b) should be merged and this fact should be clearly disclosed.
(c) to (f)	Carrying values of items: The breakdown of regulatory categories in columns (c) to (f) corresponds to the breakdown prescribed in the rest of this document:-
	column (c) corresponds to the carrying values of items (other than OBS items) reported in Part III;
	column (d) corresponds to the carrying values of items (other than OBS items) reported in Part IV;
	column (e) corresponds to the carrying values of items in the banking book (other than OBS items) reported in Part V; and
	column (f) corresponds to the carrying values of items (other than OBS items) reported in Part VI.
	Where a single item attracts capital charges according to the risk frameworks for more than one risk category, it should be reported in all the relevant columns of risk categories. An example
	could be where assets/liabilities arising from derivative contracts held in the regulatory trading book are related to both column (d) (subject to capital charge for default risk exposure) and
	column (f) (subject to capital charge for market risk exposure) calculation thus the sum of the values in column (c) to (g) may not equal the value in column (b). Similarly, where the amount
	subject to such double counting (i.e. disclosed in two or more different columns) results in a material variance between the value in column (b) and the sum of values in columns (c) to (g), an AI
	should provide the reasons in the accompanying narrative.
(g)	Carrying values of items not subject to capital requirements or subject to deduction from capital: Column (g) includes amounts not subject to capital requirements according to the BCR or subject
	to deductions from regulatory capital. Elements which are deducted from the AI’s regulatory capital (e.g. goodwill, intangible assets, deferred tax assets) are to be included in column (g),
	taking into consideration the different thresholds that apply where relevant.
Rows
All	The rows should strictly follow the balance sheet presentation used by the AI in its year-end financial statements.

Template LI2: Main sources of differences between regulatory exposure amounts and carrying values in financial statements
Purpose:	To provide information on the main sources of differences between the carrying values in financial statements and the exposure amounts used for the calculation of
	regulatory capital in respect of the assets and liabilities based on the scope of regulatory consolidation.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Carrying values (that correspond to values reported in financial statements but according to the scope of regulatory consolidation (rows 1 to 3) and amounts considered
	for regulatory exposure purposes (row N)).
Frequency:	Annual.
Format:	Flexible.
Accompanying narrative:	As set out in table LIA.
Corresponding BDR section:	16E

		(a)	(b)
Columns
(a)	Total: the values reported in column (a) may not necessarily equal the sum of values in columns (b) to (e), as some items may be subject to regulatory capital charges in more than one risk category,
	and other items not subject to capital requirements or subject to deduction from capital may be also included in values reported in this column.
	The following linkage holds:- values in column (a) in LI2 = Values in column (b) in LI1 minus values in column (g) in LI1
(b)	Items subject to credit risk framework: the exposures reported in Part III of this document.
(c)	Items subject to securitization framework: the exposures reported in Part V of this document.
(d)	Items subject to counterparty credit risk framework: the exposures reported in Part IV of this document.
(e)	Items subject to market risk framework: the exposures reported in Part VI of this document.
Rows
1	Asset carrying value amount under scope of regulatory consolidation (as per template LI1): the value reported in columns (b) to (e) of this row should correspond to the values reported in columns
	(c) to (f) of row ‘total assets’, of template LI1.
2	Liabilities carrying value amount under regulatory scope of consolidation (as per template LI1): the value reported in columns (b) to (e) of this row should correspond to the values reported in
	columns (c) to (f) of row ‘total liabilities’, of template LI1.
3	Total net amount under regulatory scope of consolidation: all values in this row are derived from the subtraction of the respective values in row 1 and row 2.
4	Off-balance sheet amounts: these include original exposures of OBS items, prior to the application of CCFs in column (a), and the amounts subject to the respective regulatory frameworks, after
	application of the CCFs where relevant, in columns (b) to (e).
5 to	Row headings shown in rows 5 to N-1 in above are provided for illustrative purposes only and should be adapted by the AI to describe the most meaningful drivers for differences between its financial
N-1	statement carrying values and the exposure amounts considered for regulatory purposes.
N	Exposure amounts considered for regulatory purposes: the row designates the aggregate amount considered as a ‘starting point’ of the RWA calculation (post CCF and CRM) for each of the risk
	categories. This should correspond either to the exposure amount applied in the STC approach, in the BSC approach or to the EAD in the IRB approach under the credit risk framework; the exposure
	amount of any securitization exposure under the securitization framework; the default risk exposure or EAD under the counterparty credit risk framework; and the fair value (with necessary
	adjustments) of any market risk exposure under the market risk framework.
Table LIA: Explanations of differences between accounting and regulatory exposure amounts
Purpose:	To provide qualitative explanations on the differences observed between accounting carrying values (as
	defined in template LI1) and amounts considered for regulatory capital purposes (as defined in template
	LI2) under each risk framework.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16F

An AI should explain the sources of differences from financial statements amounts to regulatory exposure amounts, as displayed in
templates LI1 and LI2. In particular, the AI should:
(a)	explain the derivation of any material differences between the amounts in columns (a) and (b) in template LI1.
(b)	explain the main drivers for the differences between accounting values and amounts considered for regulatory purposes shown in
	template LI2.
(c)	describe its systems and controls to ensure that the valuation estimates are prudent and reliable for the purposes of implementing
	the guidance on prudent valuation. The AI should provide a description of the following:
	Valuation methodologies, including a description of the extent of use of marking-to-market methodology and of a marking-to-model
	methodology;
	Independent price verification process; and
	Procedures for considering valuation adjustments or reserves, including a description of the process and the methodology for
	valuing trading positions by type of instrument.
Part III: Credit risk for non-securitization exposures

Unless the context otherwise requires, the scope of this section includes an AI’s credit risk for non-securitization exposures subject to capital requirements under Part 4, 5 or 6 of the BCR, and excludes:

all securitization exposures subject to capital requirements under Part 7 of the BCR; and

all exposures in the banking book and trading book that are subject to a counterparty credit risk capital charge under Part 6A of the BCR (including the CVA capital charges and charges applied to exposures to CCPs).

For the purpose of Part III of this document, any reference to exposures related to “credit risk” is refering to the same scope as described above (i.e. credit risk for non-securitization exposures excluding counterparty credit risk) unless otherwise specified.

I. General information about credit risk

Table CRA: General information about credit risk
Purpose:	To describe the main characteristics and elements of credit risk management, including the business model,
	credit risk profile, organisation and functions involved in credit risk management, and risk management
	reporting.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16G

An AI should disclose its risk management objectives and policies for credit risk, particularly focusing on:
(a)	how the business model translates into the components of its credit risk profile;
(b)	criteria and approach used for defining credit risk management policy and setting credit risk limits;
(c)	structure and organization of the credit risk management and control function;
(d)	relationships between the credit risk management, risk control, compliance and internal audit functions; and
(e)	scope and main content of the reporting on credit risk exposure and on the credit risk management function to the senior management
	and to the board of directors.
Template CR1: Credit quality of exposures
Purpose:	To provide an overview of the credit quality of on- and off-balance sheet exposures.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Carrying amounts that correspond to the values reported in financial statements but according to the scope
	of regulatory consolidation for capital adequacy purposes.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	If an AI uses a definition of “default” that is different to “past due for more than 90 days”, it should
	explain its definition in an accompanying narrative. See explanatory note to column (a) for the specific
	requirements.
Corresponding BDR section:	16H

		(a)	(b)	(c)	(d)	(e)
Columns
(a) and	Gross carrying amounts: these represent the items that give rise to on- or off-balance sheet credit exposures that are subject
(b)	to capital requirements under the BCR. The gross carrying amount is the accounting value before any allowance / impairments,
	gross of any CCF or CRM but after any write-offs. Write-offs for the purpose of this template are related to a direct
	reduction of the carrying amount when an AI has no reasonable expectations for its recovery.
(a)	Defaulted exposures: for AIs using the STC or BSC approach, the meaning of “default” should correspond to the secured and
	unsecured portions of claims “past due for more than 90 days” (or any more stringent definition adopted by the AI, in which
	case the definition of default should be provided in the accompanying narrative of this template and consistently applied
	throughout all templates where the “default” concept is used). AIs using the IRB approach should use the definition of
	“default” under section 149 of the BCR for exposures under that approach.
(b)	Non-defaulted exposures: any exposure that does not meet the above definition of defaulted exposures.
(c)	Allowances / impairments: the total amount of impairments, made via an allowance against impaired and not impaired exposures
	according to the applicable accounting standards for the preparation of the AI’s financial statement. “Impaired exposures” are
	those that are considered “credit-impaired” in the meaning of HKFRS 9 / IFRS 9 Appendix A.
(d) to (f)	An AI should fill in column (d) to (f) in accordance with the categorisation of accounting provisions distinguishing those
	meeting the conditions to be categorised as collective provisions and those that are categorised as specific provisions. This
	categorisation must be consistent with information provided in Table CRB.
(g)	Net values: total gross carrying value less allowances / impairments, which is equal to the sum of values in columns (a) and
	(b) minus the value in column (c).
Rows
1	Loans: the value in [CR1:1/g] is equal to the sum of values in [CR3:1/a] and [CR3:1/b1].
2	Debt securities: the value in [CR1:2/g] is equal to the sum of values in [CR3:2/a] and [CR3:2/b1].
3	Off-balance sheet exposures: this row includes all items that give rise to off-balance sheet credit exposures. For example,
	guarantees and irrevocable loan commitments provided by an AI should be reported according to the following criteria:
	guarantees given by the AI – the maximum amount, gross of any CCF or CRM, that the AI would have to pay if the guarantee were
	called;
	irrevocable loan commitments – total amount, gross of any CCF or CRM, that the AI has committed to lend; revocable loan
	commitments should be excluded.
4	Total: this is the sum of values in rows 1, 2 and 3. The value in [CR1:4/a] is also equal to that in [CR2:6/a] if the AI has
	no off-balance sheet exposures.

Template CR2: Changes in defaulted loans and debt securities
Purpose:	To provide information on the changes in defaulted loans and debt securities, including any changes in the
	amount of defaulted exposures, movements between non-defaulted and defaulted exposures, and reductions in
	the defaulted exposures due to write-offs.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Carrying amounts that correspond to the values reported in financial statements but according to the scope
	of regulatory consolidation for capital adequacy purposes.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	An AI should explain the drivers of any material changes in the amounts of defaulted exposures in the
	current reporting period and any material movement between defaulted and non-defaulted exposures.
Corresponding BDR section:	16I

		(a)
		Amount
1	Defaulted loans and debt securities at end of the previous reporting period
2	Loans and debt securities that have defaulted since the last reporting period
3	Returned to non-defaulted status
4	Amounts written off
5	Other changes
6	Defaulted loans and debt securities at end of the current reporting period

Explanatory Note
Rows
1	Defaulted loans and debt securities at end of the previous reporting period: the scope of loans and debt securities reported in
	this template should be the same as that in template CR1 (rows 1 to 2 therein). The amount should be reported net of
	write-offs, gross of any CCF or CRM and gross of allowances and provisions, as of the end of the last reporting period.
2	Loans and debt securities that have defaulted since the last reporting period: loans and debt securities that the AI classifies
	as defaulted during the current reporting period.
3	Returned to non-defaulted status: loans and debt securities that the AI re-classifies into non-default status in the current
	reporting period. This item, which has the effect of reducing the relevant exposure amount, should be reported as a negative
	figure.
4	Amounts written off: carrying amounts that have been totally or partially written off. This item has the effect of reducing the
	relevant exposure amount thus should be reported as a negative figure.
5	Other changes: any balancing items that are necessary to enable reconciliation between row 1 and row 6. An AI should disclose
	details of these balancing items in the accompanying narrative if they are material in nature. This item should be reported as
	a negative figure if it has the effect of reducing the relevant exposure amount.
6	Defaulted loans and debt securities at end of the current reporting period: the sum of values in rows 1 to 5, which is also
	equal to the value in [CR1: 4/a] if the AI has no off-balance sheet exposures.

Table CRB: Additional disclosure related to credit quality of exposures
Purpose:	To provide additional qualitative and quantitative information on the credit quality of exposures to
	supplement the quantitative information provided under templates CR1 and CR2.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative information and quantitative information (i.e. carrying amounts that correspond to the values
	reported in financial statements but according to the scope of regulatory consolidation for capital
	adequacy purposes).
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16J

An AI should disclose the following information:
Qualitative disclosures
(a)	The scope and definitions of “past due” and “impaired” exposures used according to the applicable accounting standards and the
	differences, if any, between the definitions of past due exposures and defaulted exposures for accounting purposes and those for
	regulatory purposes;
(b)	The extent of exposures which are past due for more than 90 days but are not impaired and the justifications for these exposures
	not being classified as impaired;
(c)	A description of methods adopted for determining accounting provisions for credit losses. In addition, an AI that has adopted an
	expected credit loss (“ECL”) accounting model must provide information on the rationale for categorisation of ECL accounting
	provisions in collective and specific categories for exposures calculated under the STC approach;
(d)	The AI’s own definition of a restructured exposure;
Quantitative disclosures
(e)	Breakdown of exposures by geographical areas, industry and residual maturity. Any segment which constitutes not less than 10% of
	the AI’s total RWA for credit risk (after taking into account any recognized CRM) is deemed significant and should be separately
	disclosed. Non-significant exposures may be disclosed on an aggregated basis under the category “other”;
(f)	Amounts of impaired exposures (according to the definitions in use under the applicable accounting standards) and related
	allowances and write-offs, broken down by geographical areas and industries;
(g)	Aging analysis of accounting past due exposures; and
(h)	Breakdown of restructured exposures, between impaired and not impaired exposures.

II. Credit risk mitigation

Table CRC: Qualitative disclosures related to credit risk mitigation
Purpose:	To provide qualitative information on the policies and processes relating to the use of CRM.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16K

An AI should disclose the following information:
(a)	Description of policies and procedures for netting of on- and off-balance sheet exposures;
	An indication of the extent to which the AI makes use of netting of on- and off-balance sheet exposures;
(b)	Description of policies and processes for the revaluation and management of collateral; and
(c)	Information about market or credit risk concentrations under each form of CRM used by the AI (i.e. by type of guarantor, collateral
	and credit protection seller).

Template CR3: Overview of recognized credit risk mitigation
Purpose:	To disclose the extent of credit risk exposures covered by different types of recognized CRM.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Carrying amounts that correspond to the values reported in financial statements but according to the scope
	of regulatory consolidation. An AI should include recognized CRM (i.e. collateral, guarantees and credit
	derivative contracts) used to reduce its capital requirements and disclose all secured exposures that fall
	under the category of “loans” and “debt securities” (after any applicable haircuts and anticipated costs to
	realize the collateral), irrespective of whether the STC, BSC or IRB approach is used for RWA calculation.
Frequency:	Semi-annual.
Format:	Fixed. Where an AI is unable to categorize its exposures secured by recognized collateral, recognized
	guarantees or recognized credit derivative contracts into “loans” and “debt securities”, it may either (i)
	merge two corresponding cells, or (ii) divide the amount by the pro-rata weight of gross carrying amounts.
	In such case the AI should explain which method has been used. Where an exposure benefits from multiple
	forms of recognized CRM, the exposure value should be allocated to each form by order of priority based on
	the forms of recognized CRM which the AI would apply in the event of loss.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements. An AI may disclose any
	over-collateralisation of exposures using the accompanying narrative.
Corresponding BDR section:	16L

		(a)	(b1)	(b)	(d)	(f)
		Exposures unsecured:	Exposures to be	Exposures secured by	Exposures secured by	Exposures secured by
		carrying amount	secured	recognized collateral	recognized	recognized credit
					guarantees	derivative contracts
1	Loans
2	Debt securities
3	Total
4	Of which defaulted

Explanatory Note
Columns
(a)	Exposures unsecured: carrying amount: the carrying amount of exposures (net of allowances / impairments) that do not benefit
	from any recognized CRM.
(b1)	Exposures to be secured: the carrying amount of exposures which have at least one recognized CRM (collateral, financial
	guarantees, credit derivative contracts) associated with them. The allocation of the carrying amount of multi-secured exposures
	to different forms of recognized CRM in columns (b), (d) and (f) is made by order of priority, starting with the form of
	recognized CRM expected to be called first in the event of loss, and within the limits of the carrying amount of the secured
	exposures.
(b)	Exposures secured by recognized collateral: the carrying amount of exposures (net of allowances / impairments) secured by
	recognized collateral. In case an exposure is secured by recognized collateral and other form(s) of recognized CRM, the
	carrying amount of the exposures secured by recognized collateral is the remaining share of the exposure secured by such
	collateral after consideration of the shares of the exposure already secured by other forms of recognized CRM expected to be
	called beforehand in the event of a loss, but not taking into account any over-collateralisation.
(d)	Exposures secured by recognized guarantees: the carrying amount of exposures (net of allowances / impairments) secured by
	recognized guarantees. In case an exposure is secured by recognized guarantees and other form(s) of recognized CRM, the
	carrying amount of the exposure secured by recognized guarantees is the remaining share of the exposure secured by such
	guarantees after consideration of the shares of the exposure already secured by other forms of recognized CRM expected to be
	called beforehand in the event of a loss, but not taking into account any over-collateralisation.
(f)	Exposures secured by recognized credit derivative contracts: the carrying amount of exposures (net of allowance / impairments)
	secured by recognized credit derivative contracts. In case an exposure is secured by recognized credit derivative contracts and
	other form(s) of recognized CRM, the carrying amount of the exposure secured by recognized credit derivative contracts is the
	remaining share of the exposure secured by such credit derivative contracts after consideration of the shares of the exposure
	already secured by other forms of recognized CRM expected to be called beforehand in the event of a loss, but not taking into
	account any over-collateralisation.
Rows
1	Loans: the scope of loans reported in this row should be the same as that used in template CR1 (i.e. row 1 therein).
2	Debt securities: the scope of debt securities reported in this row should be the same as that used in template CR1 (i.e. row 2
	therein).
3	Total: this row reports the sum of values in rows 1 and 2.
4	Of which defaulted: the portion of the amount in row 3 which has been defaulted. The definition of “default” used in this row
	should be the same as that used in template CR1.
III. Credit risk under standardized (credit risk) approach

Table CRD: Qualitative disclosures on use of ECAI ratings under STC approach
Purpose:	To provide information on the process adopted for using ECAI ratings and the extent to which the ratings
	are used for RWA calculation.
Scope of application:	The table is mandatory for AIs incorporated in Hong Kong that use the STC approach for calculating all or
	part of their credit risk capital requirement. AIs that use the BSC approach are not subject to the
	disclosure requirements of this table. For IRB AIs with exposures subject to the STC approach, such
	exposures should also be reported using this table. However, an AI may choose not to disclose the
	information required in this table provided that the following conditions are met:
	the exposure amounts and RWA calculated under the STC approach are negligible;
	the AI has clearly stated this fact in the disclosure statement; and
	the AI has explained in a narrative commentary why it considers the information not to be meaningful to
	information users, including a description of the portfolios concerned and the aggregate total RWAs these
	portfolios represent.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16M

For portfolios that are risk-weighted under the STC approach, an AI should disclose the following information:
(a)	Names of the ECAIs used by the AI, and the reasons for any changes over the current reporting period;
(b)	The exposure classes for which each ECAI is used; and
(c)	Description of the process used to transfer the ECAI issuer rating to ECAI issue specific rating onto comparable assets in the
	banking book.
Template CR4: Credit risk exposures and effects of recognized credit risk mitigation – for STC approach or BSC approach
Purpose:	To illustrate the effect of any recognized CRM (including recognized collateral under both comprehensive and simple approaches) on the calculation of capital
	requirements. RWA density provides a synthetic metric on riskiness of each portfolio.
Scope of application:	The template, which comprises a STC version and a BSC version, is mandatory for AIs incorporated in Hong Kong that have credit risk exposures subject to the STC
	approach or the BSC approach. The STC version of this template is to be completed by AIs that use the STC approach and the BSC version by AIs that use the BSC
	approach. IRB AIs with exposures subject to the STC approach should report such exposures in the STC version. However, an AI may choose not to disclose the
	information required in this template provided that the following conditions are met:
	the exposure amounts and RWA calculated are negligible;
	the AI has clearly stated this fact in the disclosure statement; and
	the AI has explained in a narrative commentary why it considers the information not to be meaningful to information users, including a description of the portfolios
	concerned and the aggregate total of RWAs from such exposures.
Content:	Credit risk exposure amounts for the purpose of capital adequacy.
Frequency:	Semi-annual.
Format:	Fixed. The columns are fixed and the rows in the STC version and the BSC version of this template reflect respectively the classification of exposures as defined under
	the BCR, where applicable.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16N

Version for AIs using STC approach (“STC version”)

		(a)	(b)	(c)	(d)	(e)	(f)
		Exposures pre-CCF and pre-CRM	Exposures post-CCF and post-CRM	RWA and RWA density
	Exposure classes	On-balance sheet amount	Off-balance sheet amount	On-balance sheet amount	Off-balance sheet amount	RWA	RWA density
1	Sovereign exposures
2	PSE exposures
2a	Of which: domestic PSEs
2b	Of which: foreign PSEs
3	Multilateral development bank exposures
4	Bank exposures
5	Securities firm exposures
6	Corporate exposures
7	CIS exposures
8	Cash items
9	Exposures in respect of failed delivery on
	transactions entered into on a basis other than
	a delivery-versus-payment basis
10	Regulatory retail exposures
11	Residential mortgage loans
12	Other exposures which are not past due exposures
13	Past due exposures
14	Significant exposures to commercial entities
15	Total

Version for AIs using BSC approach (“BSC version”)

		(a)	(b)	(c)	(d)	(e)	(f)
		Exposures pre-CCF and pre-CRM	Exposures post-CCF and post-CRM	RWA and RWA density
	Exposure classes	On-balance sheet amount	Off-balance sheet amount	On-balance sheet amount	Off-balance sheet amount	RWA	RWA density
1	Sovereign exposures
2	PSE exposures
3	Multilateral development bank exposures
4	Bank exposures
5	Cash items
6	Exposures in respect of failed delivery on
	transactions entered into on a basis other than
	a delivery-versus-payment basis
7	Residential mortgage loans
8	Other exposures
9	Significant exposures to commercial entities
10	Total

Explanatory Note
Columns
(a)	Exposures pre-CCF and pre-CRM – On-Balance sheet amount: the on-balance sheet exposure amount (net of allowances / impairments and write-offs) under the regulatory scope of consolidation
	gross of the effect of recognized CRM.
(b)	Exposures pre-CCF and pre-CRM – Off-Balance sheet amount: the off-balance sheet exposure amount, gross of CCF and the effect of recognized CRM under the regulatory scope of consolidation.
(c)	Exposure post-CCF and post-CRM – On-Balance sheet amount: the on-balance sheet exposure amount to which the capital requirements are applied. It is a net credit equivalent amount, after the
	effects of recognized CRM.
(d)	Exposure post-CCF and post-CRM – Off-Balance sheet amount: the off-balance sheet exposure amount to which the capital requirements are applied. It is a net credit equivalent amount, after
	the effects of recognized CRM and CCF.
(e)	RWA: for AIs using the STC approach, the value in [CR4(STC): 15/e] is equal to the value in [OV1: 2/a]; for AIs using the BSC approach, the value in [CR4(BSC): 10/e] is equal to the value in
	[OV1: 2a/a].
(f)	RWA density: this is derived from total RWA in column (e) divided by exposures post-CCF and post-CRM (i.e. the sum of values in columns (c) and (d)). The resultant ratio should be expressed
	in percentage.
Rows
All	The rows and their respective definitions are aligned with the classification of exposures used in Division 2, Part 4 (for STC approach) or Division 2, Part 5 (for BSC approach) of the BCR.
	For clarity, all CIS exposures under the new standard on bank’s equity investment in funds should, upon its implementation, be excluded from this template.
15 (STC) / 10	Total: for AIs using the STC approach, the sum of values in [CR4(STC):15/c] and [CR4(STC):15/d] is equal to the value in [CR5(STC):15/j]; for AIs using the BSC approach, the sum of values in
(BSC)	[CR4(BSC):10/c] and [CR4(BSC):10/d] is equal to the value in [CR5(BSC):10/j].
Template CR5: Credit risk exposures by asset classes and by risk weights – for STC approach or BSC approach
Purpose:	To present a breakdown of credit risk exposures by asset classes and by risk weights (corresponding to the classification of exposures according to the approaches
	used).
Scope of application:	The template, which comprises a STC version and a BSC version, is mandatory for AIs incorporated in Hong Kong that have credit risk exposures subject to the STC
	approach or the BSC approach. The STC version of this template is to be completed by AIs that use the STC approach and the BSC version by AIs that use the BSC
	approach. IRB AIs with exposures subject to the STC approach should report such exposures in the STC version. However, an AI may choose not to disclose the
	information required in this template provided that the following conditions are met:
	the credit exposure amounts and RWA calculated are negligible;
	the AI has clearly stated this fact in the disclosure statement; and
	the AI has explained in a narrative commentary why it considers the information not to be meaningful to information users, including a description of the exposures
	included in the respective portfolios and the aggregate total RWAs from such exposures.
Content:	Credit risk exposure amounts for the purpose of capital adequacy, after taking into account CCFs and the effect of recognized CRM.
Frequency:	Semi-annual.
Format:	Fixed. The columns are fixed and the rows in the STC version and the BSC version of this template reflect respectively the exposure classes as defined under the BCR.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16O

Version for AIs using STC approach (“STC version”)

Rows
All	The rows and their respective definitions are aligned with the classification of exposures used in Division 2, Part 4 (for STC approach) or Division 2, Part 5 (for BSC approach) of the BCR.
	For clarity, all CIS exposures under the new standard on bank’s equity investment in funds should, upon its implementation, be excluded from this template.
15 (STC) / 10	Total: for AIs using the STC approach, the value in [CR5(STC):15/j] is equal to the sum of values in [CR4(STC):15/c] and [CR4(STC):15/d]; for AIs using the BSC approach, the value in
(BSC)	[CR5(BSC):10/j] is equal to the sum of values in [CR4(BSC):10/c] and [CR4(BSC):10/d].
IV. Credit risk under internal ratings-based approach

Table CRE: Qualitative disclosures related to internal models for measuring credit risk under IRB approach
Purpose:	To provide additional information on the internal models used to calculate RWA for credit risk, describing
	the main characteristics of the models used at the group-wide level and the scope of models.
Scope of application:	The table is mandatory for AIs incorporated in Hong Kong that use the IRB calculation approaches for some
	or all of their exposures. An AI should provide meaningful information to users on their use of internal
	models. The AI should describe the main characteristics of the models used at the group-wide level
	(according to the scope of regulatory consolidation) and explain in a narrative commentary how the scope of
	models described is determined. The commentary should include the percentage of RWAs covered by the models
	for each of the AI’s regulatory portfolios.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible. The commentary should include the percentage of RWAs covered by the models for each of the AI’s
	regulatory portfolios.
Corresponding BDR section:	16P

An AI should provide the following information on its use of the internal models:
(a)	Internal model development, controls and changes;
	Role of the functions involved in the development, approval and subsequent changes of the credit risk models;
(b)	Relationships between risk management function and internal audit function;
	Procedure to ensure the independence of the function in charge of the review of the models from the functions responsible for the
	development of the models;
(c)	Scope and main content of the reporting related to credit risk models;
(d)	Scope of approach approved by the MA pursuant to the BCR for an AI to calculate its credit risk for non-securitization exposures
	using the IRB approach, with a breakdown between the FIRB approach and the AIRB approach, if applicable. In particular, the AI
	should include a description of the nature of the exposures (except for those exempted under the BCR) which are subject to the
	separately disclosed IRB calculation approach.
(e)	For each of the portfolios, the AI should indicate the portion of EAD within the group (in percentage of total EAD) covered by
	the STC approach (if any), FIRB, AIRB and other IRB calculation approaches, as well as the portion of portfolios that are
	involved in a roll-out plan.
(f)	The number of key models used with respect to each portfolio;
	A brief discussion of the main differences among the models within the same portfolios;
(g)	Description of the main characteristics of the approved models:
	definitions, methods and data for estimation and validation of PD (e.g. how PDs are estimated for low default portfolios; if
	there are regulatory floors, the drivers for differences observed between PD and actual default rates at least for the last three
	reporting periods);
	LGD (e.g. methods to calculate downturn LGD; how LGDs are estimated for low default portfolio; the time lapse between the default
	event and the closure of the exposure), where applicable; and
	credit conversion factors, including assumptions employed in the derivation of these variables, where applicable.

Template CR6: Credit risk exposures by portfolio and PD ranges – for IRB approach
Purpose:	To provide the main parameters of internal models used for the calculation of credit risk capital requirements under the IRB approach, for the purpose of enhancing the
	transparency of RWA calculations and the reliability of regulatory measures.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IRB calculation approaches for some or all of their exposures.
Content:	Columns (a) and (b) are based on accounting carrying amounts and columns (c) to (l) regulatory amounts. All values are based on the regulatory scope of consolidation
	for capital adequacy purposes.
Frequency:	Semi-annual.
Format:	Fixed. Where an AI makes use of the FIRB approach, AIRB approach, retail IRB approach and/or the PD/LGD approach for equity exposures under the IRB approach, it should
	disclose the IRB calculation approaches in separate templates. For each IRB calculation approach used, an AI should disclose the portfolio types subject to the IRB
	calculation approaches by major IRB class and/or subclass (which are in line with the classification used in the BCR) as follows:- (i) Sovereign; (ii) Bank; (iii)
	Corporate – specialized lending (other than HVCRE) – FIRB/AIRB; (iv) Corporate – small-and-medium sized corporates; (v) Corporate – HVCRE – FIRB/AIRB; (vi) Corporate –
	other (including purchased corporate receivables); (vii) Equity – PD/LGD approach; (viii) Retail – QRRE; (ix) Retail – Residential mortgage exposures (including both to
	individuals and to property-holding shell companies); (x) Retail – small business retail exposures; and (xi) Other retail exposures to individuals. Divide the table
	into various sections, one section for each type of the IRB classes / subclasses according to (i) to (xi) aforementioned.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material changes in the current reporting period and the key drivers of such changes.
Corresponding BDR section:	16Q

Columns
PD scale	PD scale should not be changed. An AI should map the PD scale it uses in the calculations of RWA into the PD scale provided in the template.
(a)	Original on-balance sheet gross exposure: the amount of the on-balance sheet exposure gross of accounting provisions (before taking into account the effect of recognized CRM).
(b)	Off-balance sheet exposure pre-CCF: the exposure value determined under Part 6 of the BCR, as the case requires, without taking into account credit valuation adjustments and provisions, CCFs
	and the effect of recognized CRM.
(c)	Average CCF: this is derived from dividing the EAD post-CCF by the EAD pre-CCF determined in accordance with the BCR for off-balance sheet exposure.
(d)	EAD post-CRM and post-CCF: the amount determined under the BCR and relevant to the capital requirements calculation.
(e)	Average PD: the weighted average of obligor grade PD included in the same row, using the EAD of each obligor as the weight.
(f)	Number of obligors: the number of individual included in the same row. Approximation (round number) of obligor number is acceptable for disclosure purpose.
(g)	Average LGD: the weighted average of obligor grade LGD within the same PD band (or the same portfolio(s) for rows ‘sub-total’ and ‘total’ as appropriate), using the EAD of each obligor as the
	weight. The LGD should be net of any recognized CRM effect.
(h)	Average maturity: the weighted average of obligor maturity within the same PD band (or the same portfolio(s) for rows ‘sub-total’ and ‘total’ as appropriate), presented in years, using the EAD
	of each obligor as the weight. This parameter needs to be filled in only when it is used for calculating RWA.
(i)	RWA: the RWA calculated in accordance with Part 6 of the BCR.
(j)	RWA density: this is derived from total RWA in column (i) divided by EAD post-CCF and post-CRM in column (d). The resultant ratio should be expressed in percentage.
(k)	EL: the expected losses are calculated in accordance with the requirements under Division 11, Part 6 of the BCR.
(l)	Provisions: the eligible provisions as defined under Division 1, Part 6 of the BCR.
Template CR7: Effects on RWA of recognized credit derivative contracts used as recognized credit risk mitigation – for IRB approach
Purpose:	To disclose the effect of recognized credit derivative contracts on the calculation of credit risk capital
	requirements under the IRB approach. The hypothetical RWA before taking into account the mitigation effect
	of recognized credit derivative contracts (column (a) below) is disclosed to evaluate the impact of
	recognized credit derivative contracts on RWA. This is irrespective of the extent that recognized CRM are
	taken into account in calculating the RWA.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IRB calculation approaches for
	some or all of their exposures.
Content:	RWA.
Frequency:	Semi-annual.
Format:	Fixed. Columns are fixed and the IRB class and subclass breakdown in the rows should follow the
	classification of exposures specified in Table 16, section 142 of the BCR.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain the effect on RWA of recognized
	credit derivative contracts used as credit risk mitigation.
Corresponding BDR section:	16R

	(a)	(b)
	Pre-credit	Actual RWA
	derivatives RWA
1	Corporate – Specialized lending under supervisory slotting criteria approach (project
	finance)
2	Corporate – Specialized lending under supervisory slotting criteria approach (object
	finance)
3	Corporate – Specialized lending under supervisory slotting criteria approach
	(commodities finance)
4	Corporate – Specialized lending under supervisory slotting criteria approach
	(income-producing real estate)
5	Corporate – Specialized lending (high-volatility commercial real estate)
6	Corporate – Small-and-medium sized corporates
7	Corporate – Other corporates
8	Sovereigns
9	Sovereign foreign public sector entities
10	Multilateral development banks
11	Bank exposures – Banks
12	Bank exposures – Securities firms
13	Bank exposures – Public sector entities (excluding sovereign foreign public sector
	entities)
14	Retail – Small business retail exposures
15	Retail – Residential mortgages to individuals
16	Retail – Residential mortgages to property-holding shell companies
17	Retail – Qualifying revolving retail exposures (QRRE)
18	Retail – Other retail exposures to individuals
19	Equity – Equity exposures under market-based approach (simple risk-weight method)
20	Equity – Equity exposures under market-based approach (internal models method)
21	Equity – Equity exposures under PD/LGD approach (publicly traded equity exposures held
	for long-term investment)
22	Equity – Equity exposures under PD/LGD approach (privately owned equity exposures held
	for long-term investment)
23	Equity – Equity exposures under PD/LGD approach (other publicly traded equity
	exposures)
24	Equity – Equity exposures under PD/LGD approach (other equity exposures)
25	Equity – Equity exposures associated with equity investments in funds (CIS exposures)
26	Other – Cash items
27	Other – Other items
28	Total (under the IRB calculation approaches)

Explanatory Note
Columns
(a)	Pre-credit derivatives RWA: the hypothetical RWA calculated assuming the absence of recognition of any recognized credit
	derivative contracts as CRM.
(b)	Actual RWA: RWA calculated taking into account the CRM effect of the recognized credit derivative contracts in accordance with
	Division 10, Part 6 of the BCR. If an AI does not consider the CRM effect of recognized credit derivative contracts in its RWA
	calculation of an exposure, or if certain exposures cannot recognize any CRM effect from credit derivative contracts, the AI
	should report identical amounts in both columns for these exposures.

Template CR8: RWA flow statements of credit risk exposures under IRB approach
Purpose:	To present a flow statement explaining variations in the RWA for credit risk determined under the IRB
	approach.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IRB calculation approaches for
	some or all of their exposures.
Content:	RWA. Changes in RWA in the current reporting period for each of the key drivers should be based on an AI’s
	reasonable estimation of the figures.
Frequency:	Quarterly.
Format:	Fixed. Columns and rows 1 and 9 should not be altered. An AI should add additional rows between rows 7
	and 8 to disclose additional elements, if any, that contribute materially to RWA variations.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material change in the
	current reporting period and the key drivers of such changes.
Corresponding BDR section:	16S

		(a)
		Amount
1	RWA as at end of previous reporting period
2	Asset size
3	Asset quality
4	Model updates
5	Methodology and policy
6	Acquisitions and disposals
7	Foreign exchange movements
8	Other
9	RWA as at end of reporting period

Explanatory Note
Rows
1	RWA as at end of previous reporting period: this row equals the value in [CR8: 9/a] of the last reporting period.
2	Asset size: the variation in RWA due to the organic changes in book size and composition (including origination of new
	businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities.
3	Asset quality: the variation in the assessed quality of the AI’s assets due to changes in borrower risk, such as rating grade
	migration or similar effects.
4	Model updates: the variation in RWA arising from model implementation, changes in model scope, and any material changes intended
	to address model weaknesses.
5	Methodology and policy: the variation in RWA due to methodological changes in calculations driven by regulatory policy changes,
	such as new regulations.
6	Acquisitions and disposals: the variation in RWA arising from changes in book sizes due to acquisitions and disposal of
	entities.
7	Foreign exchange movements: the variation in RWA driven by foreign exchange rate movements.
8	Other: this category captures variation in RWA that cannot be attributed to any category above. An AI should add additional
	rows between rows 7 and 8 (to be named 7a, 7b and so on) to disclose other material drivers of RWA movements in the current
	reporting period.
9	RWA as at end of reporting period: the sum of rows 1 to 8 (including any additional row(s) inserted by the AI).

Template CR9: Back-testing of PD per portfolio – for IRB approach
Purpose:	To provide back-testing data to validate the reliability of PD calculations, including a comparison of the
	PD used to calculate capital requirements with the effective default rates of obligors under the IRB
	approach.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use AIRB and/or FIRB approaches for credit
	risk. Where an AI makes use of an FIRB approach for certain exposures and an AIRB approach for others, it
	should disclose two separate sets of portfolio breakdown in separate templates.
	An AI should provide meaningful information to users on the back-testing of its internal model, or a
	combination of models, which are used to rate and assign a PD to the borrower. A minimum 5-year-average
	annual default rate is required, in order to compare the PD with a more stable default rate. An AI may use
	a longer historical period that is consistent with its actual risk management practices. The disclosed
	template should include the key models used at the group-wide level (according to the scope of regulatory
	consolidation) and explain in a narrative commentary how the scope of models described was determined. The
	commentary should include the percentage of RWAs covered by the models whose back-testing results are shown
	here for each of the AI’s regulatory portfolios.
Content:	Modelling parameters used in the capital calculation under the IRB approach.
Frequency:	Annual. Where the back-testing reference period does not coincide with the annual reporting period but on
	another time interval (e.g. a 12-month interval), the term “year” used in this template means “over the
	period used for the back-testing of a model”, so that an AI could still disclose values that actually
	correspond to the performance of the models. The AI should disclose the time horizon (observation period)
	it uses for the back-testing.
Format:	Flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements. The AI may wish to supplement the template
	with a disclosure of the exposure amount and the number of obligors whose defaulted exposures have been
	cured in the year.
Corresponding BDR section:	16T

(a)
Columns
(a)	Portfolio X: the breakdown by portfolios should follow the major IRB class and/or subclass (which are in line with the
	classification used in the BCR), as follows:- (i) Sovereign; (ii) Bank; (iii) Corporate – specialized lending (other than HVCRE);
	(iv) Corporate – small-and-medium sized corporates; (v) Corporate – HVCRE*; (vi) Corporate – other (including purchased corporate
	receivables); (vii) Equity – PD/LGD approach; (viii) Retail – QRRE; (ix) Retail – Residential mortgage exposures (including both
	to individuals and to property-holding shell companies); (x) Retail – small business retail exposures; and (xi) Other retail
	exposures to individuals. (* Only for those IRB exposures subject to the FIRB or AIRB approach.)
(b)	PD Range: the upper and lower bound of the PD assigned at the beginning of the period for obligors of the respective portfolios.
(c)	External rating equivalent: one column should be filled in for each ECAI or credit rating agency authorized for prudential
	purposes in Hong Kong or other jurisdictions where the AI operates. This may not be applicable to a retail portfolio for which
	external rating is not available. If there are more than one applicable ECAIs or credit rating agencies, add column (c)(i),
	(c)(ii) and so on for disclosure.
(d)	Weighted average PD: the estimated PDs assigned at the beginning of the period for obligors by the internal model authorized under
	the IRB approach. The PD values are EAD-weighted and the “weight” is the EAD at the beginning of the period that are not in
	default.
(e)	Arithmetic average PD by obligors: the simple average of PD at the beginning of the period, calculated by aggregating the values
	of obligors’ PD within range which is then divided by the total number of obligors within the range.
(f)	Number of obligors: two sets of information are required: (i) the number of obligors at the beginning of the year; and (ii) the
	number of obligors at the end of the year subject to reporting. The ‘Beginning of the year’ sub-column includes non-default
	obligors at the beginning of the year for disclosure. The ‘End of the year’ sub-column includes all the non-default accounts
	related to obligors already included in the ‘Beginning of the year’ sub-column plus all the new obligors acquired during the year.
(g)	Defaulted obligors in the year: the number of defaulted obligors during the year, which includes: (i) obligors not in default at
	the beginning of the year who went into default during the year; and (ii) new obligors acquired – through origination or purchase
	of loans, debt securities or off-balance sheet commitments - during the year not in default who went into default during the year.
	Obligors under (ii) are also separately disclosed in column (h).
(h)	Of which: new defaulted obligors in the year: the number of obligors having defaulted during the last 12-month period that were
	not funded at the end of the previous financial year.
(i)	Average historical annual default rate: a minimum of 5-year average of the annual default rate is required. The annual default
	rate is calculated by dividing the number of obligors at the beginning of each year that are defaulted during that year, by the
	total number of obligors held at the beginning of the year. An AI may use a longer historical period (i.e. longer than 5 years)
	that is consistent with the AI’s actual risk management practices for calculating the average historical annual default rate
	figure.
Rows
An AI is expected not to aggregate obligor grades for the purposes of disclosure except in a manner which represents a breakdown of
obligor grades, under the IRB approach used by the AI, which provides for a consistent and logical differentiation of the credit risk
exposures. To achieve this, a breakdown by obligor grades together with the corresponding PD ranges may be disclosed for each
regulatory portfolio.
Template CR10: Specialized lending under supervisory slotting criteria approach and equities under simple risk-weight method – for IRB approach
Purpose:	To provide quantitative information in respect of specialized lending under the supervisory slotting criteria approach and equity exposures under the simple risk-weight
	method.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use one of the following approaches: (I) supervisory slotting criteria approach – HVCRE; (II)
	supervisory slotting criteria approach – other than HVCRE; and (III) simple risk-weight method.
Content:	Carrying values, exposure amounts and RWA.
Frequency:	Semi-annual.
Format:	Flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16U

I. Specialized Lending under supervisory slotting criteria approach – HVCRE

		(a)	(b)	(c)	(d)	(e)	(f)
Supervisory Rating	Remaining Maturity	On-balance sheet	Off-balance sheet	SRW	EAD amount	RWA	Expected loss
Grade		exposure amount	exposure amount				amount
Strong^	Less than 2.5 years			70%
Strong	Equal to or more than 2.5 years			95%
Good^	Less than 2.5 years			95%
Good	Equal to or more than 2.5 years			120%
Satisfactory

II. Specialized Lending under supervisory slotting criteria approach – Other than HVCRE

		(a)	(b)	(c)	(d)(i)	(d)(ii)	(d)(iii)

III. Equity exposures under the simple risk-weight method

	(a)	(b)	(c)	(d)	(e)
Categories	On-balance sheet	Off-balance sheet	SRW	EAD amount	RWA
	exposure amount	exposure amount
Publicly traded equity exposures			300%
All other equity exposures			400%
Total
Columns
(a)	On-balance sheet exposure amount: the carrying value of exposure (net of allowances and write-offs) under the regulatory scope of consolidation.
(b)	Off-balance sheet exposure amount: the carrying value of exposure before applying the CCF and the effect of any recognized CRM.
(c)	SRW: the supervisory risk-weights assigned in accordance with Division 5 (for specialized lending under supervisory slotting criteria approach) and Division 7 (for equity exposures under the simple
	risk-weight method), Part 6 of the BCR. The risk-weights in the tables should not be altered.
(d)	EAD amount: the amount relevant for the capital requirement’s calculation with the effects of CRM and CCF already taken into account. For specialized lending other than HVCRE, an AI should further
	breakdown the exposure amount into categories: (d)(i) PF – Project finance; (d)(ii) OF – Object finance; (d)(iii) CF – Commodities finance; and (d)(iv) IPRE – Income-producing real estate. Column
	(d)(v) is the sum of values reported in columns (d)(i) to (d)(iv).
(e)	RWA: for specialized lending other than HVCRE, this column equals the product of the values in column (c) and column (d)(v); for specialized lending – HVCRE and equity exposures under the simple
	risk-weight method, this column equals the product of values in column (c) and column (d).
(f)	Expected loss amount: for specialized lending only, the amount of expected losses are calculated according to Division 11, Part 6 of the BCR.
Part IV: Counterparty Credit risk

Unless the context otherwise requires, the scope of the counterparty credit risk section (Part IV of this document) includes all exposures in the banking book and trading book that are subject to a counterparty credit risk capital charge under Part 6A of the BCR (including the CVA capital charges and charges applied to exposures to CCPs).

Table CCRA: Qualitative disclosures related to counterparty credit risk (including those arising from clearing through CCPs)
Purpose:	To describe the counterparty credit risk management objectives and policies, including, but not limited to,
	those related to the setting of operating limits, use of guarantees and other forms of CRM, anticipated
	impacts of own credit rating downgrading.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16V

An AI should disclose:
(a)	its risk management objectives and policies related to counterparty credit risk;
(b)	the method it uses to set operating limits defined in terms of internal capital for counterparty credit risk exposures and for
	credit exposures to CCPs;
(c)	its policies relating to guarantees and other forms of CRM and assessments concerning counterparty credit risk, including credit
	exposures to CCPs;
(d)	its policies with respect to general wrong-way risk (being the risk that arises when the PD of counterparties is positively
	correlated with general market risk factors) and specific wrong-way risk (as defined under Part 6A of the BCR) exposures;
(e)	the impact in terms of the amount of collateral that the AI would be required to provide given a credit rating downgrade.

Template CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by approaches
Purpose:	To provide a comprehensive breakdown of default risk exposures (other than those to CCPs), RWAs, and, where
	applicable, main parameters under the approaches used to calculate default risk exposures in respect of
	derivative contracts and SFTs.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Default risk exposures (other than those to CCPs), RWA and parameters used to calculate the AI’s default
	risk exposures in respect of derivative contracts and SFTs.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material changes in
	relation to its RWA in the current reporting period and the key drivers of such changes.
Corresponding BDR section:	16W

		(a)	(b)	(c)	(d)	(e)	(f)
		Replacement cost	PFE	Effective	Alpha (α) used for	Default risk	RWA
		(RC)		EPE	computing default	exposure after
					risk exposure	CRM
1
Columns
(a)	Replacement Cost (RC): for the standardized approach for measuring counterparty credit risk exposure (SA-CCR), means the RC
	calculated under the SA-CCR in accordance with Part 6A of the BCR. For the CEM:
	(before SA-CCR comes into effect) means the current exposure as defined in the BCR;
	(after SA-CCR comes into effect) means the RC calculated under the CEM to be prescribed under the BCR.
(b)	PFE: For SA-CCR, means the PFE calculated under the SA-CCR in accordance with Part 6A of the BCR. For CEM:
	(before SA-CCR comes into effect) means the ‘potential exposure’ as defined in the BCR;
	(after SA-CCR comes into effect) means the PFE calculated under the CEM to be prescribed under the BCR.
(c)	Effective EPE: this has the meaning given to it by the BCR.
(d)	Alpha (α) used for computing default risk exposure: under the CEM, SA-CCR or IMM(CCR) approach, as the case may be, means the
	alpha applicable to the AI as specified in the BCR.
(e)	Default risk exposure after CRM: the default risk exposure or outstanding default risk exposure, as the case may be, as defined
	under the BCR. In the case of CEM (i.e. row 1a) or for any SFTs that are not subject to recognized netting (i.e. rows 3 and 4),
	the amount disclosed should be the amount calculated after taking into account any recognized collateral. In the case of
	recognized collateral, recognized guarantees and recognized credit derivative contracts where the CRM effect is considered in the
	risk-weight function, the post-CRM default risk exposure reported in column (e) is equal to the pre-CRM default risk exposure
	given that the related CRM effect is not reflected in the EAD of eligible IRB exposures.
(f)	RWA: the product of the default risk exposure after CRM and the risk weight applicable to the counterparty concerned.
Rows
1	SA-CCR (for derivative contracts): the default risk exposures under the SA-CCR after the approach becomes effective. Before the
	SA-CCR takes effect, this row is not applicable.
1a	CEM: after the SA-CCR is effective, for an AI that uses the BSC approach for calculating credit risk and is qualified for using
	the modified CEM to calculate default risk exposure, the AI should report the relevant figures under column (a) to (f) where
	applicable. Before the SA-CCR takes effect, an AI should report in this row relevant information corresponding to the CEM. The
	value in [CCR1: 1a/f] should be equal to the value in [OV1: 7a/a].
2	IMM(CCR) approach: this has the meaning given to it by the BCR. The value in [CCR1: 2/f] should be equal to the value in [OV1:
	8/a].
3	Simple Approach (for SFTs): the default risk exposures after CRM and RWAs in respect of SFTs by the following AIs:-
	AIs that do not use the IMM(CCR) approach to calculate their default risk exposures in respect of SFTs;
	AIs that use the simple approach set out in Part 4 of the BCR, or the treatments for recognized collateral set out in Part 5 of
	the BCR, to take into account the recognized collateral received under SFTs.
4	Comprehensive Approach (for SFTs): the default risk exposures after CRM and RWAs in respect of SFTs by the following AIs:-
	AIs that do not use the IMM(CCR) approach to calculate their default risk exposures in respect of SFTs;
	AIs that use the comprehensive approach set out in Part 4 of the BCR to take into account the recognized collateral received under
	SFTs and/or use the method (other than a VaR model as discussed below) provided for under the BCR to take into account recognized
	netting for repo-style transactions.
5	VaR (for SFTs): this row is for AIs that have obtained the MA’s approval for using a VaR model to calculate the default risk
	exposure of their nettable repo-style transactions to disclose the default risk exposure so calculated and the associated RWA.
6	Total: this row reports the sum of values in rows 1 to 5.
Template CCR2: CVA capital charge
Purpose:	To provide information on portfolios subject to the CVA capital charge and the CVA calculations based on
	standardized CVA method and advanced CVA method.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong with exposures subject to CVA capital charges.
Content:	Risk-weighted assets and corresponding exposures at default.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements.
Corresponding BDR section:	16X

		(a)	(b)
		EAD post CRM	RWA
	Netting sets for which CVA capital charge is calculated by the advanced CVA method
1	(i) VaR (after application of multiplication factor if applicable)
2	(ii) Stressed VaR (after application of multiplication factor if applicable)
3	Netting sets for which CVA capital charge is calculated by the standardized CVA
	method
4	Total

Explanatory Note
Columns
(a)	EAD post CRM: this column refers to the outstanding default risk exposure, or default risk exposure, of the netting sets
	calculated in accordance with the BCR. In the case of CEM or for any SFT within a netting set that are not subject to a
	recognized netting, the amount reported should be the amount calculated after taking into account any recognized collateral.
(b)	RWA: this column refers to the CVA risk-weighted amount.
Rows
	Netting sets for which CVA capital charge is calculated by the advanced CVA method: the relevant amounts of the netting sets
	subject to the advanced CVA method according to Part 6A of the BCR.
1	VaR (after application of multiplication factor if applicable): the product of the VaR determined in accordance with Part 6A of
	the BCR and 12.5.
2	Stressed VaR (after application of multiplication factor if applicable): the product of the stressed VaR determined in accordance
	with Part 6A of the BCR and 12.5.
3	Netting sets for which CVA capital charge is calculated by the standardized CVA method: the relevant amounts of the netting sets
	subject to the standardized CVA method according to Part 6A of the BCR.
4	Total: for each of columns (a) and (b), this is equal to the sum of values in row 1 and row 4 of the columns concerned.
Template CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and by risk weights – for STC approach or BSC approach
Purpose:	To present a breakdown of default risk exposures, other than those to CCPs, in respect of derivative contracts and SFTs that are subject to the STC approach or BSC
	approach, by asset classes and risk-weights (the latter representing the riskiness attributed to the exposure according to the respective approaches), irrespective of
	the approach used to determine the amount of default risk exposures.
Scope of application:	The template, which comprises a STC version and a BSC version, is mandatory for AIs incorporated in Hong Kong that have counterparty default risk exposures subject to
	the STC approach or the BSC approach. The STC version of this template is to be completed by AIs that use the STC approach and the BSC version by AIs that use the BSC
	approach. IRB AIs with exposures subject to the STC approach should report such exposures in the STC version. However, an AI may choose not to disclose the
	information required in this template provided that the following conditions are met:
	the default risk exposure amounts and RWA for default risk exposure calculated under the STC or BSC approach, where applicable, are negligible;
	the AI has clearly stated this fact in the disclosure statement; and
	the AI has explained in a narrative commentary why it considers the information not to be meaningful to information users, including a description of the exposures
	included in the respective portfolios and the aggregate total RWAs from such exposures.
Content:	Default risk exposure amounts.
Frequency:	Semi-annual.
Format:	Fixed. The columns are fixed and the rows in the STC version and the BSC version of this template reflect respectively the classification of exposures as defined under
	the BCR, where applicable.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16Y

Version for AIs using the STC approach (“STC version”)

Column
(i)	It is the sum of values in columns (a) to (h).
Rows
All	The rows and their respective definitions are aligned with the exposure class used in Division 2, Part 4 (for the STC approach) or Division 2, Part 5 (for the BSC approach) of the BCR.

Template CCR4: Counterparty default risk exposures (other than those to CCPs) by portfolio and PD range – for IRB approach
Purpose:	To provide all the relevant parameters used for the calculation of counterparty default risk capital requirements for IRB exposures (other than those to CCPs).
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IRB approach for some or all of their exposures, irrespective of the approach used to determine
	their default risk exposure amounts.
	An AI should include the key models used at the group-wide level (according to the scope of regulatory consolidation) and explain in a narrative commentary how the
	scope of models described was determined. The commentary should include the percentage of RWAs covered by the models for each of the regulatory portfolios.
Content:	RWA and parameters used in RWA calculations for exposures to counterparty default risk (excluding CVA charges or exposures cleared through a CCP) and where the IRB
	approach is used for credit risk calculation. All disclosures are based on the regulatory scope of consolidation for capital adequacy purposes.
Frequency:	Semi-annual.
Format:	Fixed. Where an AI makes use of both the FIRB and AIRB approaches for credit risk, it should disclose the two approaches in separate templates. For each IRB
	calculation approach used, the AI should disclose the portfolio types subject to the IRB calculation approaches by major IRB class (which are in line with the
	classification used in the BCR) as follows:- (i) Sovereign; (ii) Bank; (iii) Corporate; and (iv) Retail. Divide the table into various sections, one section for each
	of the IRB classes according to (i) to (iv) aforementioned.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material changes in the current reporting period and the key drivers of such changes.
Corresponding BDR section:	16Z

| | |(a) |(b) |(c) |(d) |(e) |(f) |

Explanatory Note
Columns
PD scale	PD scale should not be changed. An AI should map the PD scale it uses in the calculations of RWA into the PD scale provided in the template.
(a)	EAD post-CRM: the amount relevant to the capital requirements calculation using the applicable approach for counterparty credit risk, after the effect of recognized CRM but gross of accounting
	provisions.
(b)	Average PD: the weighted average of obligor grade PD included in the same row, using the EAD of each obligor as the weight.
(c)	Number of obligors: the number of individual PDs included in the same row. Approximation (round number) of obligor numbers is acceptable for disclosure purpose.
(d)	Average LGD: the weighted average of obligor grade LGD within the same PD band (or the same portfolio(s) for rows ‘sub-total’ and ‘total’ as appropriate), using the EAD of each obligor as the
	weight. The LGD should be net of any effect of recognized CRM.
(e)	Average maturity: the weighted average of obligor maturity within the same PD band (or the same portfolio(s) for rows ‘sub-total’ and ‘total’ as appropriate), presented in years, using the EAD
	of each obligor as the weight. This parameter needs to be filled in only when it is used for the RWA calculation.
(f)	RWA: the RWA calculated in accordance with Part 6 of the BCR.
(g)	RWA density: this is derived from total RWA in column (f) divided by EAD post-CRM in column (a). The resultant ratio should be expressed in percentage.
Template CCR5: Composition of collateral for counterparty default risk exposures (including those for contracts or transactions cleared
through CCPs)
Purpose:	To provide a breakdown of all types of collateral posted or recognized collateral received to support or
	reduce the exposures to counterparty default risk exposures in respect of derivative contracts or SFTs
	entered into, including contracts or transactions cleared through a CCP.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Carrying values of collateral posted and recognized collateral received in the context of derivative
	contracts or SFTs, irrespective of whether the contracts or transactions are cleared through a CCP and
	whether the collateral is posted to a CCP.
Frequency:	Semi-annual.
Format:	Flexible. The columns are fixed but the rows are flexible where the categories of collateral which may be
	recognized are those specified under Division 5 of Part 4, Division 5 of Part 5, or Division 10 of Part 6,
	of the BCR, as the case requires.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZA

	(a)	(b)	(c)	(d)	(e)	(f)
	Derivative contracts	SFTs[5]
	Fair value of recognized	Fair value of posted collateral	Fair value of	Fair value of
	collateral received		recognized	posted
			collateral	collateral
			received
	Segregated	Unsegregated	Segregated	Unsegregated
Cash - domestic currency[6]
Cash - other currencies
Domestic sovereign debt
Other sovereign debt
Government agency debt
Corporate bonds
Equity securities
Other collateral
…
Total

Explanatory Note
Columns
(a), (b) and	Fair value of recognized collateral received: the disclosed fair value of recognized collateral received should be after any
(e)	haircut (if applicable), meaning the value of recognized collateral received will be reduced after haircut (i.e. C(1-Hs)).
(c), (d) and	Fair value of posted collateral: the disclosed fair value of collateral posted should be after any haircut (if applicable),
(f)	meaning the value of collateral posted (which is an exposure) will be increased after haircut (i.e. E(1+Hs)).
(a) & (c)	Segregated: this refers to collateral which is held in a bankruptcy remote manner.
(b) & (d)	Unsegregated: this refers to collateral which is not held in a bankruptcy remote manner.

Template CCR6: Credit-related derivatives contracts
Purpose:	To disclose the amount of credit-related derivative contracts, broken down into credit protection bought
	and credit protection sold.[7]
Scope of application:	This template is mandatory for all AIs incorporated in Hong Kong.
Content:	Notional amounts (before any netting) and fair values of credit-related derivative contracts
Frequency:	Semi-annual.
Format:	Flexible. The columns are fixed but the rows (other than the “Total notional amounts” and those related to
	fair values) are flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZB

	(a)	(b)
	Protection bought	Protection sold
Notional amounts
Single-name credit default swaps
Index credit default swaps
Total return swaps
Credit-related options
Other credit-related derivative contracts
Total notional amounts
Fair values
Positive fair value (asset)
Negative fair value (liability)

Template CCR7: RWA flow statements of default risk exposures under IMM(CCR) approach
Purpose:	To present a flow statement explaining variations in RWA for default risk exposures determined under the
	IMM(CCR) approach.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IMM(CCR) approach for measuring
	default risk exposures, irrespective of the credit risk approach used to compute the RWAs of the default
	risk exposures.
Content:	RWA of default risk exposure (i.e. credit risk disclosed in template CR8 excluded). Changes in RWA in the
	current reporting period for each of the key drivers should be based on an AI’s reasonable estimation of
	the figures.
Frequency:	Quarterly.
Format:	Fixed. Columns and rows 1 and 9 should not be altered. An AI should add additional rows between rows 7
	and 8 to disclose additional elements, if any, that contribute significantly to RWA variations.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material change in the
	current reporting period and the key drivers of such changes.
Corresponding BDR section:	16ZC

		(a)
		Amount
1	RWA as at end of previous reporting period
2	Asset size
3	Credit quality of counterparties
4	Model updates
5	Methodology and policy
6	Acquisitions and disposals
7	Foreign exchange movements
8	Other
9	RWA as at end of reporting period

Explanatory Note
Rows
1	RWA as at end of previous reporting period: this row equals the value in [CCR7: 9/a] of the last reporting period, which is also
	equal to the value in [OV1: 8/b].
2	Asset size: the variation in RWA due to the organic changes in book size and composition (including origination of new
	businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities.
3	Credit quality of counterparties: the variation in RWA due to the changes in the assessed credit quality of the AI’s
	counterparties, whatever credit risk calculation approach the AI uses. This row also includes potential changes due to internal
	models used under the IRB approach.
4	Model updates: the variation in RWA arising from model implementation, changes in model scope, or any material changes intended
	to address model weaknesses, in respect of the model used for the IMM(CCR) approach.
5	Methodology and policy: the variation in RWA due to methodological changes in calculations driven by regulatory policy changes,
	such as new regulations, in respect of the use of the IMM(CCR) approach.
6	Acquisitions and disposals: the variation in RWA arising from changes in book sizes due to acquisitions and disposal of
	entities.
7	Foreign exchange movements: the variation in RWA driven by foreign exchange rate movements.
8	Other: this category captures changes in RWA that cannot be attributed to any category above. An AI should add additional rows
	between rows 7 and 8 (to be named 7a, 7b and so on) to disclose any other material drivers of RWA movements in the current
	reporting period.
9	RWA as at end of reporting period: the sum of rows 1 to 8 (including any additional row(s) inserted by the AI), which is also
	equal to the value in [OV1: 8/a].

Template CCR8: Exposures to CCPs
Purpose:	To provide a comprehensive breakdown of exposures to both qualifying and non-qualifying CCPs and the
	respective RWAs, covering all types of credit risk exposures (including default risk exposures to the CCPs,
	credit risk exposures arising from initial margins posted, and default fund contributions made, to the
	CCPs).
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.[8]
Content:	Exposures to CCPs after recognized CRM, and RWA corresponding to the exposures to central counterparties.
Frequency:	Semi-annual.
Format:	Fixed. An AI should provide a breakdown of exposures to both qualifying and non-qualifying CCPs.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZD

		(a)	(b)
		Exposure after CRM	RWA
1	Exposures of the AI as clearing member or client to qualifying CCPs (total)
2	Default risk exposures to qualifying CCPs (excluding items disclosed in rows 7
	to 10), of which:
3	(i) OTC derivative transactions
4	(ii) Exchange-traded derivative contracts
5	(iii) Securities financing transactions
6	(iv) Netting sets subject to valid cross-product netting agreements
7	Segregated initial margin
8	Unsegregated initial margin
9	Funded default fund contributions
10	Unfunded default fund contributions
11	Exposures of the AI as clearing member or client to non-qualifying CCPs (total)
12	Default risk exposures to non-qualifying CCPs (excluding items disclosed in
	rows 17 to 20), of which:
13	(i) OTC derivative transactions
14	(ii) Exchange-traded derivative contracts
15	(iii) Securities financing transactions
16	(iv) Netting sets subject to valid cross-product netting agreements
17	Segregated initial margin
18	Unsegregated initial margin
19	Funded default fund contributions
20	Unfunded default fund contributions

Explanatory Note
Columns
(a)	Exposure after CRM:
	For rows 2 to 6 and 12 to 16, the amount should be the “outstanding default risk exposure” or “default risk exposure”, as
	the case may be, as defined under the BCR, for the derivative contracts or SFTs calculated in accordance with the BCR. For
	(i) CEM and (ii) any SFTs that are not subject to recognized netting and for which the default risk exposure is not
	calculated by using the IMM(CCR) approach, the amount disclosed should be the amount calculated after taking into account
	any recognized collateral.
	For rows 7 to 10 and 17 to 20, the amount should be the amount of the initial margin posted or the amount of default fund
	contribution made or committed by the AI.
(b)	RWA: the RWA calculated in accordance with Division 4, Part 6A of the BCR.
Rows
1 & 11	Exposures of the AI as clearing member or client to qualifying CCPs / non-qualifying CCPs (total): for column (b), the value
	in row 1 should equal the sum of values in rows 2, 8, 9 and 10; the value in row 11 should equal the sum of values in rows
	12, 18, 19 and 20. Column (a) should be left blank.
2 & 12	Default risk exposures to qualifying CCPs / non-qualifying CCPs (excluding items disclosed in rows 7 to 10 / rows 17 to 20):
	the default risk exposures disclosed should include all exposures that are, or regarded as, default risk exposures to
	qualifying CCPs or to non-qualifying CCPs in accordance with the requirements set out in Division 4, Part 6A of the BCR.
	The values in row 2 should equal the sum of values in rows 3 to 6; the value in row 12 should equal the sum of values in
	rows 13 to 16.
3 & 13	(i) OTC derivative transactions: this has the meaning given to it by the BCR.
4 & 14	(ii) Exchange-traded derivative contracts: a derivative contract other than an OTC derivative transaction.
5 & 15	(iii) Securities financing transactions: this has the meaning given to it by the BCR.
6 & 16	(iv) Netting sets subject to valid cross-product netting agreements: netting set as defined by the BCR where the netting
	could be done according to a valid cross-product netting agreement.
7 & 17	Segregated initial margin: the initial margin held in a bankruptcy remote manner. For the purposes of this template,
	initial margin does not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP
	uses initial margin to mutualise losses among the clearing members, such margin will be treated as a default fund exposure).
8 & 18	Unsegregated initial margin: it means the initial margin not held in a bankruptcy remote manner. Similar to the above, for
	the purposes of this template, initial margin does not include contributions to a CCP for mutualised loss-sharing
	arrangements.
9 & 19	Funded default fund contributions: the meaning of this term should be in line with that of “default fund contribution” under
	the BCR and the usage of “funded default fund contribution” in Division 4, Part 6A of the BCR.
10 & 20	Unfunded default fund contributions: the meaning of this term should be in line with that of “default fund contribution”
	under the BCR and the usage of “unfunded default fund contribution” in Division 4, Part 6A of the BCR.

Part V: Securitization exposures

Unless the context otherwise requires, the scope of the securitization section is as follows:

Table SECA and templates SEC1 and SEC2 cover all securitization exposures as defined under the BCR.

Templates SEC3 and SEC4 cover banking book securitization exposures subject to capital requirements according to the securitization framework under Part 7 of the BCR, and exclude securitization positions in the trading book under Part 8 of the BCR which are reported in Part VI of this document (i.e. Market risk section).

An AI should disclose securitization exposures arising from eligible securitization transactions in template SEC3. Conversely, securitization exposures are reported in templates SEC1, SEC2 and SEC4 according to their respective disclosure requirements, irrespective of whether the exposures arise from an eligible securitization transaction or a non-eligible securitization transaction.

Table SECA: Qualitative disclosures related to securitization exposures
Purpose:	To provide qualitative information on the strategy and risk management with respect to securitization
	activities.
Scope of application:	The table is mandatory for AIs incorporated in Hong Kong with securitization exposures.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16ZE

An AI should describe its risk management objectives and policies for securitization transactions and main features of these activities
according to the framework below (if the AI holds securitization positions that are reflected in both the regulatory banking book and
the regulatory trading book, it should describe each of the following points by distinguishing activities in each of the regulatory
books):
(a)	Its objectives in relation to securitization transactions, including the extent to which these transactions transfer credit risk
	of the underlying securitized exposures away from the AI to other entities, the type of risks assumed and the types of risks
	retained.
(b)	A list of:
	SPEs where the AI acts as sponsor (as defined in the BCR §227(1)), indicating whether the AI consolidates the SPEs into its
	scope of regulatory consolidation;
	affiliated entities (i) that the AI manages or advises and (ii) that invest either in the securitization exposures that the AI
	has securitized or in SPEs that the AI sponsors; and
	entities to which the AI provides implicit support and the associated capital impact for each of them.
(c)	Summary of the AI’s accounting policies for securitization transactions. Where relevant, the AI should distinguish
	securitization exposures from re-securitization exposures.
(d)	If applicable, the names of ECAIs used for securitizations and the types of securitization exposure for which each ECAI is used.
(e)	If applicable, describe the process for implementing internal assessment approach (“IAA”) under the BCR. The description should
	include:
	structure of the internal assessment process and relation between internal assessment and external ratings, including
	information on ECAIs as referenced in item (d) above of this table;
	control mechanisms for the internal assessment process including discussion of independence, accountability, and internal
	assessment process review; and
	the exposure type to which the internal assessment process is applied; and stress factors used for determining credit
	enhancement levels, by exposure type.
(f)	A description of the use of internal assessment, other than for IAA capital purposes, by the AI.
I. Quantitative disclosure – description of securitization exposures

Template SEC1: Securitization exposures in banking book
Purpose:	To present a breakdown of securitization exposures in the banking book (regardless of whether the exposures arising from eligible securitization transactions or
	non-eligible securitization transactions).
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong with securitization exposures in the banking book.
Content:	Carrying values. For the purpose of this template, securitization exposures are those defined under the BCR, including those arising from non-eligible securitization
	transactions.
Frequency:	Semi-annual.
Format:	Flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16ZF

		(a)	(b)	(c)
Columns
(a) to (c)	Acting as originator (excluding sponsor): the securitization positions reported under these columns are the positions retained by an AI in a capacity that directly or indirectly originates
	the underlying exposures in the transaction, including exposures arise from an eligible securitization transaction or a non-eligible securitization transaction.
(d) to (f)	Acting as sponsor: the securitization positions reported under these columns are those arising from the activities of an AI as a sponsor, for example, exposures to commercial paper conduits
	to which the AI provides programme-wide enhancements, liquidity and other facilities. Where the AI acts as both originator and sponsor, it should avoid double-counting for the purpose of
	disclosure. In this regard, the AI should merge the two columns into one as “Acting as originator / sponsor” in its presentation.
(g) to (i)	Acting as investor: these columns represent the investment positions an AI purchased in third-party deals.
(a), (d) & (g)	Traditional: this captures any traditional securitization transaction as defined under Part 7 of the BCR.
(b), (e) & (h)	Synthetic: this captures any synthetic securitization transaction as defined under Part 7 of the BCR. If an AI has purchased protection it should report the net exposure amounts to which
	it is exposed under columns originator/sponsor (i.e. the amount that is not secured). If the AI has sold protection, the exposure amount of the credit protection should be reported in the
	“investor” column.
Rows
All	An AI may modify the breakdown of exposures in the rows if another breakdown would be more appropriate to reflect its transactions, except that the rows regarding re-securitization
	exposures (i.e. rows 5 and 11 in the above table) are fixed, meaning that all re-securitization exposures that fall under the definition in the BCR should be reported in these rows but not
	in other rows, which contain only securitization exposures other than re-securitization exposures.
Template SEC2: Securitization exposures in trading book
Purpose:	To present a breakdown of securitization exposures in the trading book (regardless of whether the exposures arising from eligible securitization transactions or
	non-eligible securitization transactions).
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong with securitization exposures in the trading book.
Content:	Carrying values. For the purpose of this template, securitization exposures are those defined under the BCR, including those arising from non-eligible securitization
	transactions.
Frequency:	Semi-annual.
Format:	Flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16ZG

		(a)	(b)	(c)
Columns
(a) to (c)	Acting as originator (excluding sponsor): the securitization positions reported under these columns are the positions retained by an AI in a capacity that directly or indirectly originates
	the underlying exposures in the transaction, including exposures arise from an eligible securitization transaction or a non-eligible securitization transaction.
(d) to (f)	Acting as sponsor: the securitization positions reported under these columns are those arising from the activities of an AI as a sponsor, for example, exposures to commercial paper conduits
	to which the AI provides programme-wide enhancements, liquidity and other facilities. Where the AI acts as both originator and sponsor, it should avoid double-counting for the purpose of
	disclosure. In this regard, the AI should merge the two columns into one as “Acting as originator/ sponsor” in its presentation.
(g) to (i)	Acting as investor: these columns represent the investment positions an AI purchased in third-party deals.
(a), (d) & (g)	Traditional: this captures any traditional securitization transaction as defined under Part 7 of the BCR.
(b), (e) & (h)	Synthetic: this captures any synthetic securitization transaction as defined under Part 7 of the BCR. If an AI has purchased protection it should report the net exposure amounts to which
	it is exposed under columns originator/sponsor (i.e. the amount that is not secured). If the AI has sold protection, the exposure amount of the credit protection should be reported in the
	“investor” column.
Rows
All	An AI may modify the breakdown of exposures in the rows if another breakdown would be more appropriate to reflect its transactions, except that the rows regarding re-securitization
	exposures (i.e. rows 5 and 11 in the above table) are fixed, meaning that all re-securitization exposures that fall under the definition in the BCR should be reported in these rows but not
	in other rows, which contain only securitization exposures other than re-securitization exposures.

II. Quantitative disclosure – calculation of capital requirements

Template SEC3: Securitization exposures in banking book and associated capital requirements – where AI acts as originator[9]
Purpose:	To present securitization exposures in the banking book where an AI acts as an originating institution of eligible securitization transactions and the associated
	capital requirements.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong with securitization exposures and acting as originator.
Content:	Exposure values, RWAs and capital charges. This template only contains securitization exposures arising from eligible securitization transactions.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16ZH

		(a)	(b)	(c)	(d)
Columns
(a) to (e)	Exposure values (by RW bands): the exposure values subject to the securitization framework, allocated in accordance with the applicable risk-weights of the exposures.
(f) to (i)	Exposure values (by regulatory approach): the exposure values subject to the securitization framework, allocated in accordance with the applicable regulatory approaches, namely the
	SEC-IRBA, SEC-ERBA (including those exposures that the AI uses IAA to determine the risk-weights), SEC-SA and SEC-FBA.
(j) to (m)	RWAs (by regulatory approach): the RWAs (to be calculated before application of the regulatory maximum or cap as explain below) subject to the securitization framework, allocated in
	accordance with the allocation method of exposure values as in columns (f) to (i).
(n) to (q)	Capital charges after cap: the capital charges (after application of the regulatory maximum or cap pursuant to Part 7 of the BCR, as the case may require) as determined according to the
	securitization framework, allocated in accordance with the allocation method of RWAs as in columns (j) to (m).[10]
Template SEC4: Securitization exposures in banking book and associated capital requirements – where AI acts as investor
Purpose:	To present securitization exposures in the banking book where an AI acts as an investing institution of securitization transactions and the associated capital
	requirements.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong with securitization exposures and acting as investor.
Content:	Exposure values, RWAs and capital charges.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such
	movements.
Corresponding BDR section:	16ZI

		(a)	(b)	(c)	(d)
Columns
(a) to (e)	Exposure values (by RW bands): the exposure values subject to the securitization framework, allocated in accordance with the applicable risk-weights of the exposures.
(f) to (i)	Exposure values (by regulatory approach): the exposure values subject to the securitization framework, allocated in accordance with the applicable regulatory approaches, namely the
	SEC-IRBA, SEC-ERBA (including those exposures that the AI uses IAA to determine the risk-weights), SEC-SA and SEC-FBA.
(j) to (m)	RWAs (by regulatory approach): the RWAs (to be calculated before application of the regulatory maximum or cap as explain below) subject to the securitization framework, allocated in
	accordance with the allocation method of exposure values as in columns (f) to (i).
(n) to (q)	Capital charges after cap: the capital charges (after application of the regulatory maximum or cap pursuant to Part 7 of the BCR, as the case may require) as determined according to the
	securitization framework, allocated in accordance with the allocation method of RWAs as in columns (j) to (m).[11]
Part VI: Market risk

Unless the context otherwise requires, the market risk section includes exposures booked in the trading book and banking book that are subject to a market risk capital charge. It also includes capital requirements for securitization positions held in the trading book. However, it excludes the counterparty credit risk capital charges that apply to the same exposures, which are reported in Part IV – Counterparty credit risk.

Table MRA: Qualitative disclosures related to market risk
Purpose:	To provide a description of the risk management objectives and policies concerning market risk.
Scope of application:	The table is mandatory for AIs incorporated in Hong Kong that are subject to market risk capital
	requirements in Part 8 of the BCR (other than those exempted under section 22 of the BCR).
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16ZJ

An AI should describe its risk management objectives and policies for market risk according to the framework below (the granularity of
the information should support the provision of meaningful information to users):
(a)	Strategies and processes of the AI, this should include an explanation of management’s strategic objectives in undertaking
	trading activities, as well as the processes implemented to identify, measure, monitor and control the AI’s market risks,
	including policies for hedging risk and strategies/processes for monitoring the continuing effectiveness of hedges.
(b)	Structure and organisation of the market risk management function: description of the market risk governance structure
	established to implement the strategies and processes of the AI discussed in row (a) above, and describing the relationships and
	the communication mechanisms between the different parties involved in market risk management.
(c)	Scope and nature of risk reporting and/or measurement systems. In particular, the AI should describe:
	its risk analysis and risk management systems;
	how the items in (a) are commensurate with the nature and volume of transactions;
	how reporting and measurement systems provide an overall understanding of all the risks associated with the AI’s market risk
	activities, including at least on a day-to-day basis the risks resulting from trading book positions;
	its organisational and internal control procedures;
	its communication mechanisms between the different parties involved in risk management (management body, senior management,
	business lines and central risk management function); and
	how often the reporting and/or measurement systems are regularly updated and assessed.

Table MRB: Additional qualitative disclosures for AI using IMM approach
Purpose:	To provide the scope, the main characteristics and the key modelling choices of the different models (e.g.
	VaR, stressed VaR, IRC, CRC) adopted in respect of the different models used for calculating market risk
	capital requirements.
Scope of application:	The table is mandatory for AIs incorporated in Hong Kong that use the IMM approach for calculating their
	market risk capital requirements.
	To provide meaningful information to users on its use of the IMM approach, an AI should describe the main
	characteristics of the models used at the group-wide level (according to the scope of regulatory
	consolidation) and explain to what extent they represent all the models used at the group-wide level. The
	commentary should include the percentage of capital requirements covered by the models described for each
	of the regulatory models (e.g. VaR, stressed VaR, IRC, CRC).
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16ZK

For VaR models and stressed VaR models, an AI should provide the following information:
(a)	Description of activities and risks covered by the VaR models and stressed VaR models. Where applicable, the AI should also
	describe the main activities and risks not included in VaR/stressed VaR regulatory calculations (due to lack of historical data
	or model constraints) and treated under other model risk measures (as may be allowed by the MA).
(b)	Specification of which entities in the group use the models or if a single model (VaR/stressed VaR) is used for all entities
	with market risk exposure.
(c)	General description of the models (VaR/stressed VaR).
(d)	Discussion on the main differences, if any, between the model used for management purposes and the model used for regulatory
	purposes (10 days-99%), for VaR and stressed VaR models.
(e)	For VaR model, the AI should specify:
(e)(i)	Data updating frequency;
(e)(ii)	Length of the data period that is used to calibrate the model. Describe the weighting scheme that is used (if any);
(e)(iii)	How the 10-day holding period is determined, e.g. whether the AI scales up a one-day VaR by the square root of 10, or it
	directly models the 10-day VaR;
(e)(iv)	Aggregation approach (method for aggregating the specific and general risk, i.e. whether the AI calculates the specific charge
	as a standalone charge by using a different method than the one used to calculate the general risk, or it uses a single model
	that diversifies general and specific risk;
(e)(v)	Valuation approach (full revaluation or use of approximations); and
(e)(vi)	Description of whether, when simulating potential movements in risk factors, absolute or relative returns (or mixed approach)
	are used (i.e. proportional change in prices or rates or absolute change in prices or rates).
(f)	For stressed VaR model, the AI should specify:
(f)(i)	How the 10-day holding period is determined, e.g. whether the AI scales up a one-day VaR by the square root of 10, or it
	directly models the 10-day VaR. If the approach is the same as that for the VaR models, the AI may confirm this fact and refer
	to disclosure in (e)(iii) above;
(f)(ii)	The stress period chosen by the AI and the rational for this choice; and
(f)(iii)	Valuation approach (full revaluation or use of approximations).
(g)	Description of the modelling parameters applied to stressed VaR, including the main scenario that the AI developed to capture
	the characteristics of the portfolios to which the VaR and stressed VaR models apply at the group-wide level.
(h)	Description of the approach used for back-testing / validating the accuracy and internal consistency of data and parameters used
	for the internal models and modelling processes.

An AI using internal models to measure the risk for the IRC should provide the following information:
(a)	General description of the methodology;
(a)(i)	Information about the overall modelling approach (notably use of spread-based models or transition matrix- based models);
(a)(ii)	Information on the calibration of the transition matrix; and
(a)(iii)	Information about correlation assumptions.
(b)	Approach used to determine liquidity horizons.
(c)	Methodology used to achieve a capital assessment that is consistent with the required soundness standard (in accordance with
	Schedule 3 of the BCR).
(d)	Approach used in the validation of the models. In particular, a general description of the process developed to ensure that the
	internal models have been adequately validated by suitable parties (i.e. independent and qualified to ensure that the models are
	conceptually sound and capture all material risks, including specific criteria related to incremental default and migration
	risk) should be provided. The AI should also explain how the validation process is implemented, when the models are initially
	developed as well as when any significant changes are made to the models, and how it ensures a periodic validation to capture
	any significant structural changes in the market or in the composition of the portfolios covered by the models.

An AI using internal models to measure the risk for the CRC should provide the following information:
(a)	General description of the methodology:
(a)(i)	Information about the overall modelling approach (notably choice of model correlation between default / migrations and spread:
	(i) separate but correlated stochastic processes driving migration / default and spread movement; (ii) spread changes driving
	migration / default; or (iii) default / migrations driving spread changes);
(a)(ii)	Information used to calibrate the parameters of the base correlation: LGD pricing of the tranches (constant or stochastic); and
(a)(iii)	Information on the choice as to whether to age positions (profits and losses based on the simulated market movement in the model
	calculated based on the time to expiry of each position at the end of the one-year capital horizon or using their time to expiry
	at the calculation date).
(b)	Approach used to determine liquidity horizons.
(c)	Methodology used to achieve a capital assessment that is consistent with the required soundness standard.
(d)	Approach used in the validation of the models.

Template MR1: Market risk under STM approach
Purpose:	To disclose the components of the market risk capital requirements calculated using the standardized
	(market risk) approach (STM approach).
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the STM approach for calculating their
	market risk capital requirements for all or part of their market risk exposures. However, an AI may choose
	not to disclose the information required in this template provided that the following conditions are met:
	the exposure amounts and RWA calculated under the STM approach are negligible;
	the AI has clearly stated this fact in the disclosure statement; and
	the AI has explained in a narrative commentary why it considers the information not to be meaningful to
	information users, including a description of the portfolios concerned and the aggregate total of RWAs from
	such exposures.
Content:	RWA.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZL

		(a)
		RWA
	Outright product exposures
1	Interest rate exposures (general and specific risk)
2	Equity exposures (general and specific risk)
3	Foreign exchange (including gold) exposures
4	Commodity exposures
	Option exposures
5	Simplified approach
6	Delta-plus approach
7	Other approach
8	Securitization exposures
9	Total

Explanatory Note
Column
(a)	RWA: for consistency throughout this document RWAs instead of capital requirements are disclosed. An AI should derive the
	market risk RWAs by multiplying the market risk capital requirements by 12.5.
Rows
1	Interest rate exposures (general and specific risk): the RWA in relation to market risk capital charge calculated in accordance
	with Division 3, Part 8 of the BCR. However, an AI should exclude from this row those positions arising from securitization
	exposures (including re-securitization exposures), whose RWA should be included in row 8 of this template.
2	Equity exposures (general and specific risk): the RWA in relation to market risk capital charge calculated in accordance with
	Division 4, Part 8 of the BCR.
3	Foreign exchange (including gold) exposures: the RWA in relation to market risk capital charge calculated in accordance with
	Division 5, Part 8 of the BCR.
4	Commodity exposures: the RWA in relation to market risk capital charge calculated in accordance with Division 6, Part 8 of the
	BCR.
5	Simplified approach: the RWA in relation to market risk capital charge calculated in accordance with Division 8, Part 8 of the
	BCR.
6	Delta-plus approach: the RWA in relation to market risk capital charge calculated in accordance with Division 9, Part 8 of the
	BCR.
7	Other approach: the RWA in relation to market risk capital charge calculated in accordance with any other approach (e.g.
	scenario approach) which has been approved by the MA pursuant to Part 8 of the BCR.
8	Securitization exposures: the RWA in relation to market risk capital charge arising from securitization exposures (including
	re-securitization exposures) calculated in accordance with Part 8 of the BCR.
9	Total: the sum of values in rows 1 to 8, which is also equal to the value in [OV1: 21/a].

Template MR2: RWA flow statements of market risk exposures under IMM approach
Purpose:	To present a flow statement explaining variations in the RWA for market risk determined under the IMM
	approach.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IMM approach for calculating their
	market risk capital requirements.
Content:	RWA for market risk exposures under the IMM approach. Changes in RWA in the current reporting period for
	each of the key drivers should be based on an AI’s reasonable estimation of the figures.
Frequency:	Quarterly.
Format:	Fixed. Columns and rows 1 and 8 should not be altered. An AI should add additional rows between rows 7
	and 8 to disclose additional elements, if any, that contribute materially to RWA variations.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZM

		(a)	(b)	(c)	(d)	(e)	(f)
		VaR	Stressed VaR	IRC	CRC	Other	Total RWA
1	RWA as at end of previous reporting
	period
2	Movement in risk levels
3	Model updates/changes
4	Methodology and policy
5	Acquisitions and disposals
6	Foreign exchange movements
7	Other
8	RWA as at end of reporting period

Explanatory Note
Columns
(a)	VaR: report in this column the movements of RWA that are attributed to VaR. The period-end RWA is derived from multiplying the
	corresponding capital requirement reflecting the regulatory VaR (10 days 99%), as well as any additional capital charge related to
	VaR model at the MA’s discretion, by 12.5.
(b)	Stressed VaR: report in this column the movements of RWA that are attributed to stressed VaR. The period-end RWA is derived from
	multiplying the corresponding capital requirement reflecting the regulatory stressed VaR (10 days 99%), as well as any additional
	capital charge related to stressed VaR at the MA’s discretion, by 12.5.
(c)	IRC: report in this column the movements of RWA that are attributed to IRC. The period-end RWA is derived from multiplying the
	corresponding capital requirement as used for computing the incremental risk charge, as well as any additional capital charge at
	the MA’s discretion, by 12.5.
(d)	CRC: report in this column the movements of RWA that are attributed to CRC. The period-end RWA is derived from multiplying the
	corresponding capital requirement as used for computing the comprehensive risk charge, as well as any additional capital charge at
	the MA’s discretion, by 12.5.
(e)	Other: this column captures any changes that could not be reflected in columns (a) to (d).
(f)	Total RWA: the sum of values in columns (a) to (e) where the value in [MR2: 8/f] is also equal to the value in [OV1: 22/a]. The
	period-end RWA of this column is derived from multiplying the total capital charge for market risk on the basis of the IMM
	approach by 12.5.
Rows
1	RWA as at end of previous reporting period: this row equals row 8 of this template of the last reporting period; moreover, the
	value in [MR2:1/f] is equal to the value in [OV1: 22/b].
	If values in this row are calculated on the basis of average figures of the last 60 trading days before the period end, two
	additional reconciling rows may be added between rows 1 and 2 (namely rows 1a and 1b) so that the starting values of the flow
	statement could be reconciled from the basis of average figures to the basis of period-end figure, as shown below:
	1
	RWA as at end of previous reporting period
	To report 60-day average value
	1a
	Regulatory adjustment
	To report the variance (Δ) between 60-day average value and period-end value
	1b
	RWA as at day-end of previous reporting period
	To report period-end value
	The two additional reconciling rows 1a and 1b are not necessary if the beginning RWA values (which could be tied with the value in
	[OV1:22/b]) in row 1 are already calculated on the basis of period-end figure.
2	Movement in risk levels: the changes due to changes in the market risk position of an AI, e.g. arising from purchase, acquisition
	or disposal of exposures subject to the market risk capital framework (except for those arising from acquisition or disposal of
	business / product lines or entities which should be reported in row 5 of the template).
3	Model updates/changes: the change in RWA arising from any material updates to the model to reflect recent experience (e.g.
	recalibration), as well as material changes in model scope; if more than one model update has taken place, the AI may insert
	additional rows (to be named 3a, 3b and so on) for disclosing changes resulted from these updates.
4	Methodology and policy: the change in RWA arising from any methodological changes in calculations driven by regulatory policy
	changes, such as new regulations, in respect of the use of the IMM approach.
5	Acquisitions and disposals: the change in RWA arising from changes in book sizes due to acquisition or disposal of
	business/product lines or entities.
6	Foreign exchange movements: the changes in RWA driven by foreign exchange rate movements.
7	Other: this category should be used to capture changes in RWA that cannot be attributed to any other category above. An AI should
	add additional rows between rows 6 and 7 (to be named 6a, 6b and so on) to disclose any other material drivers of RWA movements in
	the current reporting period.
8	RWA as at end of reporting period: this row equals the sum of values in rows 1 to 7 (including any additional row(s) inserted by
	the AI); moreover, the total sum reported in [MR2:8/f] is equal to the value in [OV1:22/a].
	If values in this row are calculated on the basis of average figures of the last 60 trading days before the period end, two
	additional reconciling rows may be added between rows 7 and 8 (namely rows 7a and 7b) so that the ending values of the flow
	statement could be reconciled from the basis of period-end figure to the basis of average figures, as shown below:
	7a
	RWA as at day-end of reporting period
	To report period-end value
	7b
	Regulatory adjustment
	To report the variance (Δ) between period-end value and 60-day average value
	8
	RWA as at end of reporting period
	To report 60-day average value
	The two additional reconciling rows 7a and 7b are not necessary if the ending RWA values (which could be tied with the value in
	[OV1:22/a]) in row 8 are already calculated on the basis of period-end figure.

Template MR3: IMM approach values for market risk exposures
Purpose:	To disclose the values (maximum, minimum, average and period ending for the reporting period) resulting
	from the different types of models used for computing the regulatory market risk capital requirement at the
	group-wide level, before any additional capital charge is applied by the MA.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IMM approach for calculating their
	market risk capital requirements.
Content:	Outputs of internal models for computing market risk capital charge at the group-wide level according to
	the regulatory scope of consolidation.
Frequency:	Semi-annual.
Format:	Fixed.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the
	current reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZN

	(a)
	Value
VaR (10 days – one-tailed 99% confidence interval)
1	Maximum Value
2	Average Value
3	Minimum Value
4	Period End
Stressed VaR (10 days – one-tailed 99% confidence interval)
5	Maximum Value
6	Average Value
7	Minimum Value
8	Period End
Incremental risk charge (IRC) (99.9% confidence interval)
9	Maximum Value
10	Average Value
11	Minimum Value
12	Period End
Comprehensive risk charge (CRC) (99.9% confidence interval)
13	Maximum Value
14	Average Value
15	Minimum Value
16	Period End
17	Floor

Explanatory Note
Rows
1-4	VaR: the amounts reported in these rows do not include the multiplication factor (mc), any additional capital charge as a
	result of imposition of a plus factor due to back-testing exceptions, or any additional plus factor assigned by the MA. An AI
	may add additional rows or columns (e.g. column (b)), where necessary, to separately disclose the parameters for general market
	risk and specific risk.
5-8	Stressed VaR: the amounts reported in these rows do not include the multiplication factor (ms), any additional capital charge
	as a result of imposition of a plus factor due to back-testing exceptions, or any additional plus factor assigned by the MA.
	An AI may add additional rows or columns (e.g. column (b)), where necessary, to separately disclose the parameters for general
	market risk and specific risk.
9-12	Incremental risk charge (IRC): the amounts reported in these rows do not include the scaling factor (Si) or any additional
	capital charge imposed by the MA.
13-16	Comprehensive risk charge (CRC): the amounts reported in these rows do not include the scaling factor (Sc) or any additional
	capital charge imposed by the MA, and should be un-floored figures.
17	Floor: the 8% of the market risk capital charge for specific risk calculated under the STM approach in accordance with Part 8
	of the BCR.

Template MR4: Comparison of VaR estimates with gains or losses
Purpose:	To present a comparison of the results of estimates from the key VaR model for calculating market risk
	capital requirements with both hypothetical and actual trading outcomes, to highlight the frequency and the
	extent of the back-testing exceptions, and to give an analysis of the main outliers in back-tested results.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong that use the IMM approach for calculating their
	market risk capital requirements.
	An AI should provide meaningful information to users on the back-testing of its internal models, include
	the key models used at the group-wide level (according to the scope of regulatory consolidation) and
	explain in a narrative commentary to what extent this description represents the models used at the
	group-wide level. The commentary should include the percentage of capital requirements covered by the
	models whose back-testing results are shown here for each of the regulatory models (e.g. VaR, stressed VaR,
	IRC, CRC).
Content:	VaR model outcomes.
Frequency:	Semi-annual.
Format:	Flexible.
Accompanying narrative:	An AI should present an analysis of “outliers” (back-testing exception) in back-tested results, specifying
	the dates and the corresponding excess (VaR-P&L). The analysis should at least specify the key drivers of
	the exceptions.
	The AI should disclose similar comparisons for actual profit and loss (actual P&L) as well as hypothetical
	P&L. In particular, the AI should disclose a comparison between the daily VaR measures and the trading
	outcomes corresponding to hypothetical changes in the portfolio's values (based on a comparison between the
	portfolio's end- of-day value and, assuming unchanged positions, its value at the end of the subsequent
	day), as well as a comparison between the daily VaR measure and the trading outcomes corresponding to
	actual changes in the portfolio's values (based on a comparison between the portfolio's end-of-day value
	and its actual value at the end of the subsequent day).
	For actual P&L, the AI should provide information about actual gains/losses, especially clarify whether
	they include reserves, and if not, how reserves are integrated into the back-test process; the AI should
	also clarify whether actual P&L includes commissions and fees or not.
Corresponding BDR section:	16ZO

[pic]

Explanatory Note
Daily VaR: this reflects the risk measures (used for regulatory purposes) calibrated to a one-day holding period to compare with the 99%
of confidence level with its trading outcomes.
Actual gain/loss: this is based on actual changes in portfolio values that have occurred.
Hypothetical gain/loss: this is based on hypothetical changes in portfolio values that would occur if end-of-day positions remain
unchanged.

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[1] Of note, after entering into force of the revised securitization framework in January 2018, the following replacements in row 13, 14 and 15 should be made: (i) IRB(S) rating based method should be replaced by Securitization Internal Ratings-Based Approach (SEC-IRBA); (ii) IRB(S) supervisory formula method should be replaced by Securitization External Ratings-Based Approach (SEC-ERBA); and (iii) STC(S) should be replaced by Securitization Standardized Approach (SEC-SA). A new row following row 15 (say, row 15a) may be added to cater for Securitization Fall-back Approach (SEC-FBA) where this is applicable. (* all names and applicable approaches subject to the final amendments to the BCR) [2] Before the approaches come into operation, rows 8, 9 and 10 could be merged to report the RWA and capital requirement for total collective investment scheme exposures. [3] The reference to the STC(S) approach should be replaced by the relevant approaches when the revised securitization framework is implemented.

[4] Before the new standard on banks’ equity investment in funds is effective, an AI’s CIS exposures may be reportedV®° n p Vmnrstuvwyzj k l n o p q ñ ò ó õ ö ÷ ø R S X Y Z \ ] ^ _ õêÖêÒêÒÈ»®È»®ÒȤȮ»®È»®ÈÒ˜‰z˜‰zÒ˜‰z˜‰zÒ˜z˜‰z˜‰zÒhd;¸CJ^JmHnHtH u[pic] jPðhd;¸CJ^JnH tH hd;¸CJ^JnH tH hÅc>^JnH tH hd;¸^JmHnHtH u[pic] jPðhd;¸^JnH t within the category of ‘Other exposures’ of the template. [5] For “Collateral used in SFTs” reported in columns (e) and (f), the collateral used is defined as referring to both legs of the transaction. For example, an AI transfers securities to a third party, which in turn posts collateral to the AI. The AI should report both legs of the transaction in the template; on one hand the collateral received is reported in column (e), on the other hand the collateral posted by the AI is reported in column (f). [6] “Domestic currency” refers to the AI’s reporting currency (not the currency / currencies in which the derivative contract or SFT is denominated). [7] Before amendments to the BCR to implement SA-CCR take effect, the term “credit-related derivative contract” should refer to “credit derivative contract” for disclosure purpose using this template. [8] The template will only take effect when the final standard on capital requirements for bank exposures to central counterparties becomes effective. [9] For clarity, “originator” has the meaning given by Part 7 of the BCR, which includes a person who serves as a sponsor of an ABCP programme or a programme with similar features. [10] Capital charges after cap in columns (n) to (q) will refer to capital charges after application of the caps on risk-weights for senior exposures and maximum capital charge under Part 7 of the BCR. [11] Capital charges after cap in columns (n) to (q) will refer to capital charges after application of the caps on risk-weights for senior exposures and maximum capital charge under Part 7 of the BCR.

---

Enclosure 2 - Standard Disclosure Templates and Tables for Revised Pillar 3 Framework – Phase II – Consolidated and Enhanced Framework (with Explanatory Notes)

Summary of disclosure templates and tables [Note 1]

Disclosure requirement	Tables and templates^*	Applicability [L/O]	Format		Frequency of disclosure
Fixed	Flexible	Quarterly	Semi-annual	Annual
Part I : Key prudential ratios, overview of risk management and RWA	Template KM1: Key prudential ratios	L	🗸		🗸
Template OV1: Overview of RWA	L	🗸		🗸
Part II : Linkages between financial statements and regulatory exposures	Template PV1: Prudent valuation adjustments	L	🗸				🗸
Part IIA : Composition of regulatory capital	Template CC1: Composition of regulatory capital	L	🗸			🗸
Template CC2: Reconciliation of regulatory capital to balance sheet	L		🗸		🗸
Table CCA: Main features of regulatory capital instruments	L		🗸		🗸
Part IIB : Macroprudential supervisory measures	Template GSIB1: G-SIB indicators	L [G-SIBs, or AIs falling within BDR §16FF(1)]		🗸			🗸
Template CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer	L		🗸		🗸
Part IIC : Leverage ratio	Template LR1: Summary comparison of accounting assets against leverage ratio exposure measure	L	🗸			🗸
Template LR2: Leverage ratio	L	🗸		🗸
Part IID : Liquidity	Table LIQA: Liquidity risk management	L & O		🗸			🗸
Template LIQ1: Liquidity Coverage Ratio – for category 1 institution	L & O [designated as category 1 institution]	🗸		🗸
Template LIQ2: Net Stable Funding Ratio – for category 1 institution	L & O [designated as category 1 institution]	🗸			🗸
Part VII : Interest rate risk in banking book[Note 2]	Table IRRBB: Interest rate exposures in banking book (related to financial year end before 30 June 2019)	L		🗸			🗸
Table IRRBBA: Interest rate risk in banking book – risk management objectives and policies	L		🗸			🗸
Template IRRBB1: Quantitative information on interest rate risk in banking book	L	🗸				🗸
Part VIII : Remuneration	Table REMA: Remuneration policy	L		🗸			🗸
Template REM1: Remuneration awarded during financial year	L		🗸			🗸
Template REM2: Special payments	L		🗸			🗸
Template REM3: Deferred remuneration	L		🗸			🗸
* The above templates and tables will take effect from the first interim disclosure (including quarterly disclosure for the second quarter ending on the same date as the first interim reporting period) of any financial year starting on or after 1 January 2018, except for Part VII: Interest rate risk in banking book. The shaded rows are tables (primarily for qualitative disclosure) and the unshaded rows are templates (for quantitative disclosure supplemented with accompanying narrative). ‘L’ denotes applicable to locally incorporated AIs; ‘O’ denotes applicable to overseas incorporated AIs. ^ For ease of reference, the titles of templates that have been revised are highlighted. Those highlighted in pink contain revisions to reflect changes of capital requirements introduced in the Banking (Capital) (Amendment) Rules 2018, viz., to incorporate changes on securitization framework and the capital requirement of sovereign concentration risk (Template OV1), and to incorporate changes on the deduction treatment of non-capital LAC liabilities (Template CC1). For Template IRRBB1, which is highlighted in yellow, certain descriptions are refined to reflect the latest terminologies.

[Note 1] This summary of disclosure templates and tables should be read in conjunction with that published alongside the Phase I templates and tables on 30 March 2017. (http://www.hkma.gov.hk/media/eng/doc/key-functions/banking-stability/disclosure/20170330e1.pdf)

[Note 2] An AI should use Table IRRBB to report its interest rate exposures in banking book related to a financial year ended before 30 June 2019. For interest rate risk in banking book for a financial year ended on or after 30 June 2019, an AI should use Table IRRBBA and Template IRRBB1 instead for disclosure purpose.

Part I: Key prudential ratios, overview of risk management and RWA

Template KM1: Key prudential ratios
Purpose:	To provide an overview of an AI’s key prudential ratios.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Key prudential ratios related to regulatory capital and buffers, leverage ratio and liquidity standards. An AI should disclose each ratio’s value using the corresponding specifications pursuant to the Banking (Capital) Rules (“BCR”) and Banking (Liquidity) Rules (“BLR”), for the current reporting period (designated as T in the template below) as well as the four previous quarterly reporting periods (designated as T-1 to T-4 respectively). As Hong Kong does not provide any transitional arrangements for implementation of expected credit loss provisioning under HKFRS 9, information disclosed in this template is based on a “fully-loaded” basis.
Frequency:	Quarterly.
Format:	Fixed. If an AI wishes to add rows to provide additional regulatory or financial ratios, it should provide definitions for these ratios and a full explanation of how the ratios are calculated (including the scope of consolidation and the regulatory capital used if relevant). The additional ratios should not replace the prudential ratios on this template.
Accompanying narrative:	An AI should explain the key drivers (e.g. whether the changes are due to changes in the regulatory framework, group structure or business model) behind any material changes across reporting periods for each ratio’s value in a narrative commentary.
Corresponding BDR section:	16AB

		(a)	(b)	(c)	(d)	(e)
		T	T-1	T-2	T-3	T-4
	Regulatory capital (amount)
1	Common Equity Tier 1 (CET1)
2	Tier 1
3	Total capital
	RWA (amount)
4	Total RWA
	Risk-based regulatory capital ratios (as a percentage of RWA)
5	CET1 ratio (%)
6	Tier 1 ratio (%)
7	Total capital ratio (%)
	Additional CET1 buffer requirements (as a percentage of RWA)
8	Capital conservation buffer requirement (%)
9	Countercyclical capital buffer requirement (%)
10	Higher loss absorbency requirements (%) (applicable only to G-SIBs or D-SIBs)
11	Total AI-specific CET1 buffer requirements (%)
12	CET1 available after meeting the AI’s minimum capital requirements (%)
	Basel III leverage ratio
13	Total leverage ratio (LR) exposure measure
14	LR (%)
	Liquidity Coverage Ratio (LCR) / Liquidity Maintenance Ratio (LMR)
	Applicable to category 1 institution only:
15	Total high quality liquid assets (HQLA)
16	Total net cash outflows
17	LCR (%)
	Applicable to category 2 institution only:
17a	LMR (%)
	Net Stable Funding Ratio (NSFR) / Core Funding Ratio (CFR)
	Applicable to category 1 institution only:
18	Total available stable funding
19	Total required stable funding
20	NSFR (%)
	Applicable to category 2A institution only:
20a	CFR (%)

Explanatory Note
Rows
1	Common Equity Tier 1 (CET1):for an interim or annual reporting period, the value in [KM1:1/a] should be equal to the value in [CC1:29/a].
2	Tier 1: for an interim or annual reporting period, the value in [KM1:2/a] should be equal to the value in [CC1:45/a].
3	Total capital: for an interim or annual reporting period, the value in [KM1:3/a] should be equal to the value in [CC1:59/a].
4	Total RWA: for an interim or annual reporting period, the value in [KM1:4/a] should be equal to the value in [CC1:60/a].
5	CET1 ratio (%): for an interim or annual reporting period, the value in [KM1:5/a] should be equal to the value in [CC1:61/a].
6	Tier 1 ratio (%): for an interim or annual reporting period, the value in [KM1:6/a] should be equal to the value in [CC1:62/a].
7	Total capital ratio (%): for an interim or annual reporting period, the value in [KM1:7/a] should be equal to the value in [CC1:63/a].
8	Capital conservation buffer requirement (%): for an interim or annual reporting period, the value in [KM1:8/a] should be equal to the value in [CC1:65/a].
9	Countercyclical capital buffer requirement (%): for an interim or annual reporting period, the value in [KM1:9/a] should be equal to the value in [CC1:66/a].
10	Higher loss absorbency requirements (%) (applicable only to G-SIBs or D-SIBs): for an interim or annual reporting period, the value in [KM1:10/a] should be equal to the value in [CC1:67/a].
11	Total AI-specific buffer requirements (%): this is equal to the sum of values in rows 8, 9 and 10.
12	CET1 available after meeting the AI’s minimum capital requirements (%): it may not necessarily refer to the difference between CET1 ratio (row 5) and the 4.5% minimum CET1 requirement under BCR §3B as an AI may have used CET1 capital to meet its minimum Tier 1 and/or total capital requirements. For an interim or annual reporting period, the value in [KM1:12/a] should be equal to the value in [CC1:68/a].
13	Total leverage ratio (LR) exposure measure: according to the specifications set out in Templates LR1 and LR2. The value in [KM1:13/a] should be equal to the value in [LR2:21/a].
14	LR (%): it is derived from the value reported in row 2 divided by the value reported in row 13, expressed as a percentage. The value in [KM1:14/a] should be equal to the value in [LR2:22/a].
15	Total HQLA: an AI designated as a category 1 institution should disclose the total adjusted value according to the specifications set out in Template LIQ1. Data should be presented as simple averages of daily observations over all working days of the quarter. The value in [KM1:15/a] should be equal to the value in [LIQ1:21/b].
16	Total net cash outflows: an AI designated as a category 1 institution should disclose the total adjusted value according to the specifications set out in Template LIQ1. Data should be presented as simple averages of daily observations over all working days of the quarter. The value in [KM1:16/a] should be equal to the value in [LIQ1:22/b].
17	LCR (%): the value in [KM1:17/a] should be equal to the value in [LIQ1:23/b].
17a	LMR (%): an AI that is a category 2 institution should disclose in this row the arithmetic mean of the average LMRs of the 3 calendar months within the quarter. The average LMR of each calendar month should be the figure reported in its Return of Liquidity Position (MA(BS)1E) submitted for the reporting month.
18	Total available stable funding: the value in [KM1:18/a] should be equal to the value in [LIQ2:14/e].
19	Total required stable funding: the value in [KM1:19/a] should be equal to the value in [LIQ2:33/e].
20	NSFR (%): the value in [KM1:20/a] should be equal to the value in [LIQ2:34/e].
20a	CFR (%): an AI designated as a category 2A institution should disclose in this row the arithmetic mean of the average CFRs of the 3 calendar months within the quarter. The average CFR of each calendar month should be the figure reported in its Return of Stable Funding Position (MA(BS)26) submitted for the reporting month.

Template OV1: Overview of RWA
Purpose:	To provide an overview of capital requirements in terms of a detailed breakdowns of RWAs for various risks.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	RWA and capital requirements under the Pillar 1 framework.
Frequency:	Quarterly.
Format:	Fixed.
Accompanying narrative:	An AI should explain the drivers behind differences in reporting periods T and T-1 where these differences are material. The AI should also explain the adjustments made if capital requirements in column (c) do not correspond to 8% of RWA in column (a). If an AI uses the internal models method to calculate its equity exposures in the banking book pursuant to the BCR, it should provide a description of its internal models used in an accompanying narrative.
Corresponding BDR section:	16C

		(a)	(b)	(c)
		RWA		Minimum capital requirements
	T	T-1	T
1	Credit risk for non-securitization exposures
2	Of which STC approach
2a	Of which BSC approach
3	Of which foundation IRB approach
4	Of which supervisory slotting criteria approach
5	Of which advanced IRB approach
6	Counterparty default risk and default fund contributions
7	Of which SA-CCR*
7a	Of which CEM
8	Of which IMM(CCR) approach
9	Of which others
10	CVA risk
11	Equity positions in banking book under the simple risk-weight method and internal models method
12	Collective investment scheme (“CIS”) exposures – LTA*
13	CIS exposures – MBA*
14	CIS exposures – FBA*
14a	CIS exposures – combination of approaches*
15	Settlement risk
16	Securitization exposures in banking book
17	Of which SEC-IRBA
18	Of which SEC-ERBA (including IAA)
19	Of which SEC-SA
19a	Of which SEC-FBA
20	Market risk
21	Of which STM approach
22	Of which IMM approach
23	Capital charge for switch between exposures in trading book and banking book (not applicable before the revised market risk framework takes effect)*
24	Operational risk
24a	Sovereign concentration risk*
25	Amounts below the thresholds for deduction (subject to 250% RW)
26	Capital floor adjustment
26a	Deduction to RWA
26b	Of which portion of regulatory reserve for general banking risks and collective provisions which is not included in Tier 2 Capital
26c	Of which portion of cumulative fair value gains arising from the revaluation of land and buildings which is not included in Tier 2 Capital
27	Total
Point to note: 1. Items marked with an asterisk () will be applicable only after their respective policy frameworks take effect. Until then, “Not applicable” should be reported in the rows.*

Explanatory Note
Columns
(a)	RWA (T):RWA referred to in the BCR and as reported in accordance with the subsequent parts of this document. Where the output of a calculation approach is a capital charge instead of a RWA (e.g. the approaches for market risk and operational risk), an AI should calculate the RWA by multiplying capital charge by 12.5.
(b)	RWA (T-1):RWA as reported in the previous reporting period (i.e. at the end of the previous quarter) of this template.
(c)	Minimum capital requirements (T): Pillar 1 capital requirements, which in general are calculated as 8% of the RWA but may differ if a capital floor is applicable or adjustments (such as scaling factors) are applied in accordance with the BCR, as of the reporting date. Any such adjustments, if applicable, should be applied to all the applicable rows in column (c). For example, an AI using the IRB approach for credit risk is required to apply a scaling factor of 1.06 as specified in section 224 of the BCR to column (c) of all the items the credit risk requirement of which are calculated in accordance with Part 6 of the BCR (i.e. RWA x 8% x 1.06).
Rows
1	Credit risk for non-securitization exposures: RWA and capital requirements according to the credit risk framework reported in Part III of this document. The amounts exclude all positions subject to capital requirements relating to counterparty default risk and default fund contributions, CVA risk, equity exposures (unless otherwise required), CIS exposures (exclusion of CIS exposures from this row only when the new CIS framework takes effect), settlement risk, securitization framework (e.g. securitization exposures in the banking book), and amount below the deduction threshold and subject to a 250% risk-weight.
2	Of which STC approach: RWA and capital requirements calculated using the STC approach under the BCR. For an interim or annual reporting period, the value in [OV1: 2/a] should be equal to the value in [CR4 (STC): 15/e].
2a	Of which BSC approach: RWA and capital requirements calculated using the BSC approach under the BCR. For an interim or annual reporting period, the value in [OV1: 2a/a] should be equal to the value in [CR4 (BSC): 10/e].
3	Of which foundation IRB approach: RWA and capital requirements for AIs using the foundation IRB approach to calculate their credit risk under the BCR, excluding specialized lending calculated using the supervisory slotting criteria approach (reported in row 4) and equity positions in banking book under the simple risk-weight method and internal models method (reported in row 11), but including equity exposures under the PD/LGD approach, retail exposures under the retail IRB approach and other exposures under the specific risk-weight approach.
4	Of which supervisory slotting criteria approach: RWA and capital requirements of specialized lending calculated using the supervisory slotting criteria approach under the BCR.
5	Of which advanced IRB approach: RWA and capital requirements for AIs using the advanced IRB approach to calculate their credit risk under the BCR, excluding specialized lending calculated using the supervisory slotting criteria approach (reported in row 4) and equity positions in banking book under the simple risk-weight method and internal models method (reported in row 11), but including equity exposures under the PD/LGD approach, retail exposures under the retail IRB approach and other exposures under the specific risk-weight approach.
6	Counterparty default risk and default fund contributions: RWA and capital requirements for counterparty default risk (including such a risk to CCPs) and default fund contributions, calculated in accordance with the BCR as reported in Part IV of this document. The RWA and capital requirements for CVA should be reported in row 10 and must not be included in this row and rows 7 to 9 below. The value in [OV1:6/a] is equal to the sum of values in [CCR1:6/f], [CCR8:1/b] and [CCR8:11/b].
7	*Of which SA-CCR: RWA calculated based on the amount of default risk exposures calculated under the SA-CCR. This row is not applicable before the SA-CCR takes effect.
7a	Of which CEM: RWA calculated based on the amount of default risk exposures calculated under the CEM, and the capital requirement calculated based on the RWA. The value in [OV1:7a/a] is equal to the value in [CCR1:1a/f].
8	Of which IMM(CCR) approach: RWA calculated based on the amount of default risk exposures calculated under the IMM(CCR) approach, and the capital requirement calculated based on the RWA. The value in [OV1:8/a] is equal to the value in [CCR1:2/f] and the value in [CCR7:9/a].
9	Of which others: RWA and capital requirements for the following items calculated in accordance with the BCR by using methods other than those falling under rows 7 to 8 above as reported in Part IV of this document: 1. counterparty default risk (including such a risk to CCPs) in respect of securities financing transactions; and 2. default fund contributions.
10	CVA risk: capital requirements for CVA calculated in accordance with the BCR and the corresponding RWA for CVA, as reported in Part IV of this document. The value in [OV1:10/a] is equal to the value in [CCR2:4/b].
11	Equity positions in banking book under the simple risk-weight method and internal models method: The amounts correspond to the RWA and capital requirements where the AI applies the simple risk-weight method and internal models method specified in the BCR. Where the regulatory treatment of equities is in accordance with the simple risk-weight method, the corresponding RWA are included in Template CR10 and in this row. The value in [OV1:11/a] is equal to the sum of values in [CR10: total/e for equity exposures under the simple risk-weight method] and the RWA corresponding to the internal models method for equity exposures in the banking book. To avoid doubt, row 11 is not applicable to equity exposures that are subject to the STC approach or the BSC approach. The corresponding RWA calculated under the STC or BSC approach is reported in Template CR4 and included in row 2 (for STC approach) or row 2a (for BSC approach), as the case requires, of this template.
12	*Collective investment scheme (“CIS”) exposures – LTA: This row is not applicable before the new CIS framework takes effect.
13	*CIS exposures – MBA: This row is not applicable before the new CIS framework takes effect.
14	*CIS exposures – FBA: This row is not applicable before the new CIS framework takes effect.
14a	*CIS exposures – combination of approaches: This row is not applicable before the new CIS framework takes effect.
15	Settlement risk: RWA and capital requirements for the exposures arising from the following items: 1. Transactions in securities (other than repo-style transactions), foreign exchange, and commodities that are entered into on a delivery-versus-payment basis and remain outstanding for 5 or more business days after the settlement date, calculated in accordance with the risk-weight allocated to the exposures as specified in the BCR; and 2. Transactions in securities (other than repo-style transactions), foreign exchange, and commodities that are entered into on a non-delivery-versus-payment basis and remain unsettled after the settlement date, calculated in accordance with the risk-weight allocated to the exposures as specified in the BCR.
16	Securitization exposures in banking book: The amounts correspond to capital requirements applicable to the securitization exposures in the banking book (Part V of this document). The RWA should be derived from the capital requirements (including the impact of the cap specified in the BCR), meaning that they do not necessarily systematically correspond to the RWA reported in Templates SEC3 and SEC4, which are before the application of the cap.
17	Of which SEC-IRBA: RWA and capital requirements calculated using the SEC-IRBA under the BCR.
18	Of which SEC-ERBA (including IAA): RWA and capital requirements calculated using the SEC-ERBA (including those exposures that the AI uses IAA to determine the risk-weights) under the BCR.
19	Of which SEC-SA: RWA and capital requirements calculated using the SEC-SA under the BCR.
19a	Of which SEC-FBA: RWA and capital requirements calculated using the SEC-FBA under the BCR.
20	Market risk: The amounts correspond to the RWA and capital requirements in the market risk framework (Part VI of this document), which also includes capital charges for securitization exposures booked in the trading book but excludes the capital charges for counterparty default risk, default fund contributions and CVA risk associated with covered positions (reported in Part IV of this document and in rows 6 and 10 of this template). An AI should derive the market risk RWAs by multiplying the market risk capital requirements by 12.5.
21	Of which STM approach: RWA and capital requirements calculated using the STM approach under the BCR, including capital charges for securitization exposures booked in the trading book. The value in [OV1:21/a] is equal to the value in [MR1:9/a].
22	Of which IMM approach: RWA and capital requirements calculated using the IMM approach under the BCR. The value in [OV1:22/a] is equal to the value in [MR2:8/f].
23	*Capital charge for switch between exposures in trading book and banking book (not applicable before the revised market risk framework takes effect): This row is not applicable before the revised market risk framework takes effect.
24	Operational risk: The amounts correspond to capital requirements in the operational risk framework specified in the BCR.
24a	*Sovereign concentration risk: The amounts correspond to capital requirements in the sovereign concentration risk framework specified in the BCR.
25	Amounts below the thresholds for deduction (subject to 250% RW): The amounts correspond to items subject to a 250% risk-weight pursuant to the BCR.
26	Capital floor adjustment: The impact of any Pillar 1 capital floor adjustment on total RWA and total capital requirements determined according to the BCR so that the total amount in row 27 below reflects the total RWA and total capital requirements, including such an adjustment. An AI should not report Pillar 2 adjustments applied to it in this row. Where the capital floor or adjustments are applied at a more granular level (e.g. at risk category level), the AI should reflect them in the capital requirements reported for the risk category.
26a	Deduction to RWA: This is the sum of values in rows 26b and 26c.
26b	Of which portion of regulatory reserve for general banking risks and collective provisions which is not included in Tier 2 Capital: This row is only applicable for an AI using the STC, BSC, SEC-SA, SEC-ERBA or SEC-FBA approach for calculating credit risk for all or part of its exposures. It refers to and has the same calculation basis as the amount reported in item 2.12(i), Division A, Part I of CAR return MA(BS)3.
26c	Of which portion of cumulative fair value gains arising from the revaluation of land and buildings which is not included in Tier 2 Capital: It refers to and has the same calculation basis as the amount reported in item 2.12(ii), Division A, Part I of CAR return MA(BS)3.
27	Total: This is equal to the sum of values in rows 1, 6, 10, 11, [12, 13, 14, 14a], 15, 16, 20, [23], 24, [24a], 25 and 26, minus the deduction value in row 26a. [ ] only applicable when relevant policy frameworks take effect.

Part II: Linkages between financial statements and regulatory exposures

Template PV1: Prudent valuation adjustments
Purpose:	To provide a detailed breakdown of the constituent elements of valuation adjustment.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Valuation adjustments for all assets measured at fair value (marked to market or marked to model), including non-derivative and derivative instruments, that an AI has actually considered and made for the purpose of BCR §4A.
Frequency:	Annual.
Format:	Fixed. For rows that are not applicable, “0” should be reported. An AI should explain the reason why such rows are not applicable in the accompanying narrative.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any material movements in the current reporting period and the key drivers of such movements. In particular, an AI should provide details on “other adjustments” in row 11, where material, together with the definitions of those adjustment that are not listed in the Basel framework. The AI should also explain the types of financial instruments with the highest amounts of valuation adjustment recorded.
Corresponding BDR section:	16FA

		(a)	(b)	(c)	(d)	(e)	(f)	(g)	(h)
		Equity	Interest rates	FX	Credit	Commodities	Total	Of which: In the trading book	Of which: In the banking book
1	Close-out uncertainty, of which:
2	Mid-market value
3	Close-out costs
4	Concentration
5	Early termination
6	Model risk
7	Operational risks
8	Investing and funding costs
9	Unearned credit spreads
10	Future administrative costs
11	Other adjustments
12	Total adjustments

Explanatory Note
Rows
1	Close-out uncertainty, of which: valuation adjustments that reflect close-out uncertainty which include but not limited to the items reported in rows 2 to 4 below.
2	Mid-market value: valuation adjustment required to reflect an appropriate level of prudence given the range of plausible mid values that could be derived from available market data either for the instrument price or price of equivalent instrument or for each valuation input used in the relevant valuation model when this input has been calibrated from prices of instruments.
3	Close-out costs: valuation adjustment to take into account the valuation uncertainty where the position level resulted from the valuations may not reflect the exit price for such position or portfolio (for example, where such valuations are calibrated to a mid-market price).
4	Concentration: valuation adjustment required (over and above market price and close-out costs) to reach a prudent exit price for positions that are larger in terms of size as compared with the positions used for calculating the valuation (i.e. cases where the aggregate position held by an AI is larger than the normal traded volume or size of positions that formed the basis of observable quotes or trades that are applied to calibrate the price or inputs used by core valuation model).
5	Early termination:valuation adjustment to reflect potential losses which may arise from contractual or non-contractual early terminations of customer trades in the valuation.
6	Model risk:valuation adjustment to take into account valuation model risk which may arise due to: (i) the potential existence of a range of different models or model calibrations used by Pillar 3 data users; (ii) the lack of a firm exit price for the specific product being valued; (iii) the use of an incorrect valuation methodology; (iv) the risk of using unobservable and incorrect calibration parameters; or (v) the fact that certain market or product factors are not captured by the core valuation model.
7	Operational risks: valuation adjustment to take into account potential losses that may arise from operational risks related to the valuation processes.
8	Investing and funding costs: valuation adjustment to reflect the valuation uncertainty in the funding costs which other Pillar 3 data users may factor into a position or portfolio’s exit price, including funding valuation adjustments on derivatives exposures.
9	Unearned credit spreads: valuation adjustment to take into account the valuation uncertainty in the adjustment in order to reflect the current value of expected losses due to counterparty default on derivative positions, including the valuation uncertainty on CVAs.
10	Future administrative costs: valuation adjustment to take into account the administrative costs and future hedging costs over the expected life of the exposures for which a direct exit price is not applied for the close-out costs. Operational costs arising from hedging, administration and settlement of contracts in the portfolio should be included in the valuation adjustment for these future administrative costs that are incurred by the portfolio or position but are not reflected in the core valuation model or prices that are used to calibrate inputs for that model.
11	Other adjustments:valuation adjustment to take into account other factors that will influence the exit price but are not included in any of the categories listed in rows 1 to 10 above. AIs should disclose these factors in the narrative commentary to support the disclosure in this template.
12	Total adjustments: the value in [PV1:12/f] should be equal to the value in [CC1:7/a].

Part IIA: Composition of regulatory capital

Template CC1: Composition of regulatory capital
Purpose:	To provide a breakdown of the constituent elements of Total capital.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Breakdown of regulatory capital according to the scope of regulatory consolidation. Where an AI has a reporting date for disclosure (e.g. end-April, end-October) that does not fall on the same position date for the Return on Capital Adequacy Ratio (MA(BS)3) (i.e. end-March, end-June, end-September, end-December), the AI should disclose this template based on its own reporting date. In such circumstance, the calculation basis of values disclosed in this template should, however, follow the same calculation basis used for the return.
Frequency:	Semi-annual.
Format:	Fixed. AIs are not permitted to add, delete or change the definitions of any rows of this reporting template.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such change.
Corresponding BDR section:	16FB

		(a)	(b)
		Amount	Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation
	CET1 capital: instruments and reserves
1	Directly issued qualifying CET1 capital instruments plus any related share premium		[e]
2	Retained earnings
3	Disclosed reserves
4	Directly issued capital subject to phase-out arrangements from CET1 (only applicable to non-joint stock companies)	Not applicable	Not applicable
5	Minority interests arising from CET1 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in CET1 capital of the consolidation group)
6	CET1 capital before regulatory deductions
	CET1 capital: regulatory deductions
7	Valuation adjustments
8	Goodwill (net of associated deferred tax liabilities)		[a] - [c]
9	Other intangible assets (net of associated deferred tax liabilities)		[b] - [d]
10	Deferred tax assets (net of associated deferred tax liabilities)
11	Cash flow hedge reserve
12	Excess of total EL amount over total eligible provisions under the IRB approach
13	Credit-enhancing interest-only strip, and any gain-on-sale and other increase in the CET1 capital arising from securitization transactions
14	Gains and losses due to changes in own credit risk on fair valued liabilities
15	Defined benefit pension fund net assets (net of associated deferred tax liabilities)
16	Investments in own CET1 capital instruments (if not already netted off paid-in capital on reported balance sheet)
17	Reciprocal cross-holdings in CET1 capital instruments
18	Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold)
19	Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold)
20	Mortgage servicing rights (net of associated deferred tax liabilities)	Not applicable	Not applicable
21	Deferred tax assets arising from temporary differences (net of associated deferred tax liabilities)	Not applicable	Not applicable
22	Amount exceeding the 15% threshold	Not applicable	Not applicable
23	of which: significant investments in the ordinary share of financial sector entities	Not applicable	Not applicable
24	of which: mortgage servicing rights	Not applicable	Not applicable
25	of which: deferred tax assets arising from temporary differences	Not applicable	Not applicable
26	National specific regulatory adjustments applied to CET1 capital
26a	Cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment properties)
26b	Regulatory reserve for general banking risks
26c	Securitization exposures specified in a notice given by the MA
26d	Cumulative losses below depreciated cost arising from the institution's holdings of land and buildings
26e	Capital shortfall of regulated non-bank subsidiaries
26f	Capital investment in a connected company which is a commercial entity (amount above 15% of the reporting institution's capital base)
27	Regulatory deductions applied to CET1 capital due to insufficient AT1 capital and Tier 2 capital to cover deductions
28	Total regulatory deductions to CET1 capital
29	CET1 capital
	AT1 capital: instruments
30	Qualifying AT1 capital instruments plus any related share premium		[f]
31	of which: classified as equity under applicable accounting standards
32	of which: classified as liabilities under applicable accounting standards
33	Capital instruments subject to phase-out arrangements from AT1 capital
34	AT1 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in AT1 capital of the consolidation group)
35	of which: AT1 capital instruments issued by subsidiaries subject to phase-out arrangements
36	AT1 capital before regulatory deductions
	AT1 capital: regulatory deductions
37	Investments in own AT1 capital instruments
38	Reciprocal cross-holdings in AT1 capital instruments
39	Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold)
40	Significant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation
41	National specific regulatory adjustments applied to AT1 capital
42	Regulatory deductions applied to AT1 capital due to insufficient Tier 2 capital to cover deductions
43	Total regulatory deductions to AT1 capital
44	AT1 capital
45	Tier 1 capital (T1 = CET1 + AT1)
	Tier 2 capital: instruments and provisions
46	Qualifying Tier 2 capital instruments plus any related share premium
47	Capital instruments subject to phase-out arrangements from Tier 2 capital
48	Tier 2 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in Tier 2 capital of the consolidation group)
49	of which: capital instruments issued by subsidiaries subject to phase-out arrangements
50	Collective provisions and regulatory reserve for general banking risks eligible for inclusion in Tier 2 capital
51	Tier 2 capital before regulatory deductions
	Tier 2 capital: regulatory deductions
52	Investments in own Tier 2 capital instruments
53	Reciprocal cross-holdings in Tier 2 capital instruments and non-capital LAC liabilities
54	Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold and, where applicable, 5% threshold)
54a	Insignificant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of regulatory consolidation (amount formerly designated for the 5% threshold but no longer meets the conditions) (for institutions defined as “section 2 institution” under §2(1) of Schedule 4F to BCR only)
55	Significant LAC investments in Tier 2 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation (net of eligible short positions)
55a	Significant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of regulatory consolidation (net of eligible short positions)
56	National specific regulatory adjustments applied to Tier 2 capital
56a	Add back of cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment properties) eligible for inclusion in Tier 2 capital
56b	Regulatory deductions applied to Tier 2 capital to cover the required deductions falling within §48(1)(g) of BCR
57	Total regulatory adjustments to Tier 2 capital
58	Tier 2 capital (T2)
59	Total regulatory capital (TC = T1 + T2)
60	Total RWA
	Capital ratios (as a percentage of RWA)
61	CET1 capital ratio
62	Tier 1 capital ratio
63	Total capital ratio
64	Institution-specific buffer requirement (capital conservation buffer plus countercyclical capital buffer plus higher loss absorbency requirements)
65	of which: capital conservation buffer requirement
66	of which: bank specific countercyclical capital buffer requirement
67	of which: higher loss absorbency requirement
68	CET1 (as a percentage of RWA) available after meeting minimum capital requirements
	National minima (if different from Basel 3 minimum)
69	National CET1 minimum ratio	Not applicable	Not applicable
70	National Tier 1 minimum ratio	Not applicable	Not applicable
71	National Total capital minimum ratio	Not applicable	Not applicable
	Amounts below the thresholds for deduction (before risk weighting)
72	Insignificant LAC investments in CET1, AT1 and Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial sector entities that are outside the scope of regulatory consolidation
73	Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation
74	Mortgage servicing rights (net of associated deferred tax liabilities)	Not applicable	Not applicable
75	Deferred tax assets arising from temporary differences (net of associated deferred tax liabilities)	Not applicable	Not applicable
	Applicable caps on the inclusion of provisions in Tier 2 capital
76	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the BSC approach, or the STC approach and SEC-ERBA, SEC-SA and SEC-FBA (prior to application of cap)
77	Cap on inclusion of provisions in Tier 2 under the BSC approach, or the STC approach, and SEC-ERBA, SEC-SA and SEC-FBA
78	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the IRB approach and SEC-IRBA (prior to application of cap)
79	Cap for inclusion of provisions in Tier 2 under the IRB approach and SEC-IRBA
	Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022)
80	Current cap on CET1 capital instruments subject to phase-out arrangements	Not applicable	Not applicable
81	Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)	Not applicable	Not applicable
82	Current cap on AT1 capital instruments subject to phase-out arrangements
83	Amount excluded from AT1 capital due to cap (excess over cap after redemptions and maturities)
84	Current cap on Tier 2 capital instruments subject to phase-out arrangements
85	Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities)

Points to note: 1. Rows with item titles in italics are rows that will be deleted after all the ineligible capital instruments have been fully phased out (i.e. from 1 January 2022 onwards). 2. Shaded rows with borders indicate the following: - a row shaded dark grey introduces a new section which provides details of a certain component of regulatory capital; - a row shaded light grey, with no thick border, represents the sum of cells in the relevant section above it; - a row shaded light grey, with a thick border, indicates a key component of regulatory capital and the regulatory capital ratios; - a row shaded yellow represents an item that is not applicable to Hong Kong. 1. The reconciliation requirements included in Template CC2 result in the decomposition of certain regulatory adjustments. For example, the disclosure template above includes the adjustment “Goodwill net of associated deferred tax liabilities”. The reconciliation requirements will lead to the disclosure of both the goodwill component and the related tax liability component of this regulatory adjustment. 2. Elements where a more conservative definition has been applied in the BCR relative to that set out in Basel III capital standards are disclosed below in Notes to the Template.

Notes to the Template

	Description	Hong Kong basis	Basel III basis
9	Other intangible assets (net of associated deferred tax liabilities)
Explanation As set out in paragraph 87 of the Basel III text issued by the Basel Committee (December 2010), mortgage servicing rights (“MSRs”) may be given limited recognition in CET1 capital (and hence be excluded from deduction from CET1 capital up to the specified threshold). In Hong Kong, an AI is required to follow the accounting treatment of including MSRs as part of intangible assets reported in the AI's financial statements and to deduct MSRs in full from CET1 capital. Therefore, the amount to be deducted as reported in row 9 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 9 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of MSRs to be deducted to the extent not in excess of the 10% threshold set for MSRs and the aggregate 15% threshold set for MSRs, DTAs arising from temporary differences and significant investments in CET1 capital instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures to connected companies) under Basel III.
10	Deferred tax assets (net of associated deferred tax liabilities)
Explanation As set out in paragraphs 69 and 87 of the Basel III text issued by the Basel Committee (December 2010), DTAs of the bank to be realized are to be deducted, whereas DTAs which relate to temporary differences may be given limited recognition in CET1 capital (and hence be excluded from deduction from CET1 capital up to the specified threshold). In Hong Kong, an AI is required to deduct all DTAs in full, irrespective of their origin, from CET1 capital. Therefore, the amount to be deducted as reported in row 10 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 10 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of DTAs to be deducted which relate to temporary differences to the extent not in excess of the 10% threshold set for DTAs arising from temporary differences and the aggregate 15% threshold set for MSRs, DTAs arising from temporary differences and significant investments in CET1 capital instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures to connected companies) under Basel III.
18	Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold)
Explanation For the purpose of determining the total amount of insignificant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 18 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 18 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.
19	Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold)
Explanation For the purpose of determining the total amount of significant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 19 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 19 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.
39	Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold)
Explanation The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in AT1 capital instruments may be smaller. Therefore, the amount to be deducted as reported in row 39 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 39 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.
54	Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold and, where applicable, 5% threshold)
Explanation The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in Tier 2 capital instruments and non-capital LAC liabilities may be smaller. Therefore, the amount to be deducted as reported in row 54 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 54 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.
Remarks: The amount of the 10% threshold and 5% threshold mentioned above is calculated based on the amount of CET1 capital determined in accordance with the deduction methods set out in BCR Schedule 4F. The 15% threshold is referring to paragraph 88 of the Basel III text issued by the Basel Committee (December 2010) and has no effect to the Hong Kong regime.

Explanatory Note
Columns
(a)	All amounts should be reported in Hong Kong dollars unless the AI uses another currency consistently for disclosure purposes.
(b)	An AI is required to complete column (b) to show the source of every major input, which is to be cross-referenced to the corresponding rows in Template CC2. This is Step 3 as required under the three-step approach to reconciliation as explained and illustrated in paragraphs 23–6 and 44–5 (Annex 2) of BCBS’s document Composition of capital disclosure requirements dated June 2012.
Rows
1	Instruments that meet all the qualifying criteria for CET1 capital as set out in BCR Schedule 4A issued by an AI. This should be equal to the sum of ordinary shares (and any related share premium) and other capital instruments (in the case of non-joint stock companies) which meet the qualifying criteria. This item should be net of treasury stock and other investments in own shares to the extent that such investments are already derecognized on the balance sheet under the relevant accounting standards. Other paid-in capital elements should be excluded. All minority interests should be excluded.
2	Retained earnings, prior to all regulatory deductions, in accordance with BCR §38(1)(c). For interim disclosure, this row should report for the reporting period an AI’s profit or loss as published in its interim financial statements (and therefore subject to internal review); and for annual disclosure, the audited profit or loss as published in its annual financial statements. Dividends should be removed in accordance with the applicable accounting standards, i.e. they should be excluded from this row when they are removed from the balance sheet of the AI.
3	Disclosed reserves (including accumulated other comprehensive income), prior to all regulatory adjustments.
4	Directly issued capital instruments subject to phase-out arrangements from CET1. This row is only applicable to non-joint stock companies which are not relevant in the case of Hong Kong.
5	Minority interests arising from CET1 capital instruments issued by consolidated bank subsidiaries and held by third parties. Only the amount that is eligible for inclusion in the CET1 capital of the consolidation group should be reported here, as determined by the application of BCR Schedule 4D.
6	Sum of values in rows 1 to 5.
7	Prudential valuation adjustments according to the requirements of BCR §43(1)(g) and paragraph 4.5 of the Supervisory Policy Manual module CA-S-10 “Financial Instrument Fair Value Practices”.
8	Goodwill net of associated deferred tax liabilities, as referred to in BCR §43(1)(a).
9	Other intangible assets (referred to in BCR §43(1)(b)) including mortgage servicing rights (“MSRs”), net of associated deferred tax liabilities.
10	Deferred tax assets (“DTAs”) (referred to in BCR §43(1)(d)) including those arising from temporary differences, net of associated deferred tax liabilities.
11	Cumulative cash flow hedge reserve that relate to the hedging of financial instruments that are not fair valued on the balance sheet (including projected cash flows) described in BCR §38(2)(a).
12	Excess of total EL amount over total eligible provisions under the IRB approach as described in BCR §43(1)(i).
13	Credit-enhancing interest-only strip, and any gain-on-sale and other increase in the CET1 capital arising from securitization transactions in which the AI is the originating institution as referred to in BCR §43(1)(e).
14	Gains and losses due to changes in own credit risk on fair valued liabilities, as described in BCR §38(2)(b), and debit valuation adjustments in respect of derivative contracts as referred to in BCR §43(1)(h).
15	Net assets of defined benefit pension fund or plan, net of associated deferred tax liabilities, as referred to in BCR §43(1)(c).
16	Investments in own CET1 capital instruments, as referred to in BCR §43(1)(l).
17	Reciprocal cross-holdings in CET1 capital instruments, as referred to in BCR §43(1)(m).
18	Amount of insignificant LAC investments in CET1 capital instruments issued by financial sector entities outside the scope of regulatory consolidation that is in excess of the 10% threshold according to BCR Schedule 4F after taking into account any amount of loans, facilities or other credit exposures that is required (i) by BCR §46(2) to be aggregated with this item for the purpose of determining the excess amount, and (ii) by BCR §43(1)(o) to be deducted from CET1 capital.
19	Amount of significant LAC investments in CET1 capital instruments issued by financial sector entities outside the scope of regulatory consolidation that is in excess of the 10% threshold according to BCR Schedule 4G, after taking into account any amount of loans, facilities or other credit exposures that is required (i) by BCR §46(2) to be aggregated with this item for the purpose of determining the excess amount, and (ii) by BCR §43(1)(p) to be deducted from CET1 capital.
20	This row is not applicable in the case of Hong Kong given that any amount of MSRs on an AI’s balance sheet will be included in row 9 (other intangible assets) and fully deducted in accordance with BCR §43(1)(b).
21	This row is not applicable in the case of Hong Kong given that any amount of DTA arising from temporary difference on an AI’s balance sheet will be included in row 10 (deferred tax assets) and fully deducted in accordance with BCR §43(1)(d).
22	This row is irrelevant as the “15% threshold” is not applicable to Hong Kong since MSRs and DTAs are required to be fully deducted under the BCR.
23	This row is irrelevant as the “15% threshold” is not applicable to Hong Kong since MSRs and DTAs are required to be fully deducted under the BCR.
24	This row is irrelevant as the “15% threshold” is not applicable to Hong Kong since MSRs and DTAs are required to be fully deducted under the BCR.
25	This row is irrelevant as the “15% threshold” is not applicable to Hong Kong since MSRs and DTAs are required to be fully deducted under the BCR.
26	Specific regulatory adjustments that the MA requires AIs to apply to CET1 capital in addition to the adjustments required under Basel III, calculated as the sum of values in rows 26a to 26f and any other additional rows inserted between rows 26 and 27, if applicable.
26a	Cumulative fair value gains arising from revaluation of land and buildings (covering both own-use and investment properties) as set out in BCR §38(2)(c) and (d).
26b	Regulatory reserve for general banking risks as referred to in BCR §38(2)(e).
26c	Any securitization exposures specified in a notice given by the MA pursuant to BCR §43(1)(f).
26d	Cumulative losses below depreciated cost arising from the institution’s holdings of land and buildings as referred to in BCR §43(1)(j).
26e	Capital shortfall of regulated non-bank subsidiaries as specified in BCR §43(1)(k).
26f	Amount of the sum of any capital investment in commercial connected entities that is in excess of 15% of the capital base of the AI (as reported in its capital adequacy return as at the immediately preceding calendar quarter end date according to BCR §43(1)(n)), taking into account any amount of loans, facilities or other credit exposures that is required by BCR §46(1) to be aggregated with this item for the purpose of determining the excess amount subject to deduction.
27	Regulatory deductions applied to CET1 capital due to insufficient AT1 capital being available to cover deductions, as required under BCR §43(1)(r). If the value reported in row 43 exceeds that in row 36, the excess is to be reported here.
28	Total regulatory deductions to CET1 capital, calculated as the sum of values in rows 7 to 19, rows 26 and 27.
29	CET1 capital, calculated as the difference of values in row 6 and row 28.
30	Instruments issued by an AI that meet all the qualifying criteria for AT1 capital as set out in BCR Schedule 4B, and any related share premium as referred to in BCR §39(1)(b). All instruments issued by subsidiaries of the consolidation group should be excluded from this row. This row may however include AT1 capital instruments issued by an SPV of the institution only if it meets the requirements set out in BCR §39(3) and Schedule 4B.
31	The amount of instruments in row 30 classified as equity under applicable accounting standards.
32	The amount of instruments in row 30 classified as liabilities under applicable accounting standards.
33	Capital instruments subject to phase-out arrangements from AT1 capital in accordance with the requirements of BCR Schedule 4H.
34	Applicable amount of capital instruments issued by consolidated bank subsidiaries and held by third parties allowed to be recognized in consolidated AT1 capital in accordance with BCR Schedule 4D.
35	The amount reported in row 34 that relates to instruments subject to phase-out arrangements from AT1 capital in accordance with BCR Schedule 4H.
36	The sum of values in rows 30, 33 and 34.
37	Investments in own AT1 capital instruments, as referred to in BCR §47(1)(a).
38	Reciprocal cross-holdings in AT1 capital instruments, as referred to in BCR §47(1)(b).
39	Amount of insignificant LAC investments in AT1 capital instruments issued by financial sector entities outside the scope of regulatory consolidation that is in excess of the 10% threshold according to BCR Schedule 4F, and is required to be deducted from AT1 capital in accordance with BCR §47(1)(c).
40	Amount of significant LAC investments in AT1 capital instruments issued by financial sector entities outside the scope of regulatory consolidation that is required to be deducted from AT1 capital in accordance with BCR §47(1)(d).
41	Specific regulatory deductions that the MA requires AIs to apply to AT1 capital in addition to the adjustments required under Basel III, calculated as the sum of values in any other additional rows inserted between rows 41 and 42, if applicable.
42	Regulatory deductions applied to AT1 capital due to insufficient Tier 2 capital being available to cover deductions, as required under BCR §47(1)(g). If the value reported in row 57 exceeds that in row 51, the excess is to be reported here.
43	The sum of values in rows 37 to 40, 41 (if applicable) and 42.
44	AT1 capital, calculated as the difference of values in row 36 and row 43. If the amount reported in row 43 exceeds that in row 36, include the excess amount in row 27 and report zero here.
45	Tier 1 capital, calculated as the sum of values in row 29 and row 44.
46	Instruments issued by an AI that meet all the qualifying criteria for Tier 2 capital as set out in BCR Schedule 4C and any related share premium as referred to in BCR §40(1)(b). All instruments issued by subsidiaries of the consolidation group should be excluded from this row. This row may however include Tier 2 capital instruments issued by an SPV of the institution only if it meets the requirements set out in BCR §40(3) and Schedule 4C.
47	Capital instruments subject to phase-out arrangements from Tier 2 capital in accordance with the requirements of BCR Schedule 4H.
48	Applicable amount of capital instruments issued by consolidated bank subsidiaries and held by third parties allowed to be recognized in consolidated Tier 2 capital in accordance with BCR Schedule 4D.
49	The amount reported in row 48 that relates to capital instruments subject to phase-out arrangements from Tier 2 capital in accordance with the requirements of BCR Schedule 4H.
50	The aggregate amount of the AI’s regulatory reserve for general banking risks and collective provisions related to the BSC approach or the STC approach, and SEC-ERBA, SEC-SA and SEC-FBA, surplus provisions for exposures calculated by using the IRB approach, and the portion of the institution’s total regulatory reserve for general banking risks and collective provisions apportioned to the SEC-IRBA approach, allowed to be included in Tier 2 capital, calculated in accordance with BCR §42.
51	The sum of values in rows 46 to 48 and 50.
52	Investments in own Tier 2 capital instruments, as referred to in BCR §48(1)(a).
53	Reciprocal cross-holdings in Tier 2 capital instruments and non-capital LAC liabilities, as referred to in BCR §48(1)(b).
54	Amount of insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial sector entities outside the scope of regulatory consolidation (net of eligible short positions) that is in excess of the 10% threshold and, where applicable, the gross long positions of non-capital LAC liabilities of such entities that is in excess of the 5% threshold according to BCR Schedule 4F, and is required to be deducted from Tier 2 capital in accordance with BCR §48(1)(c).
54a	Amount of insignificant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of regulatory consolidation, formerly designated for the 5% threshold but no longer meeting the conditions for designation under BCR Schedule 4F, measured on a gross long basis. This row is applicable to “section 2 institutions” (as defined in §2 of Schedule 4F) only, where the amounts designated to this threshold may not subsequently be moved to the 10% threshold. This row does not apply to “section 3 institutions” (as defined in §3 of Schedule 4F), to which these conditions on the use of the 5% threshold do not apply.
55	Amount of significant LAC investments in Tier 2 capital instruments issued by financial sector entities outside the scope of regulatory consolidation (net of eligible short positions) that is required to be deducted from Tier 2 capital in accordance with BCR §48(1)(d).
55a	Amount of significant LAC investments in non-capital LAC liabilities of financial sector entities outside the scope of regulatory consolidation (net of eligible short positions) that is required to be deducted from Tier 2 capital in accordance with BCR §48(1)(d).
56	Specific regulatory adjustments that the MA requires AIs to apply to Tier 2 capital in addition to the minimum adjustments required under Basel III, calculated as the sum of values in any additional rows inserted between rows 56 and 57, if applicable.
56a	The portion (i.e. 45%) of the property revaluation reserve that is permitted to be included / added back as Tier 2 capital under BCR §40(1)(d). This item has the effect of reducing the total regulatory deductions to Tier 2 capital and must be reported as a negative figure.
56b	For institutions that maintain any non-capital LAC debt resources, the amount by which the total amount of the AI’s holdings of non-capital LAC liabilities falling within BCR §48(1)(g) exceeds the institution’s non-capital LAC debt resources or, for institutions that do not maintain any non-capital LAC debt resources, the total amount of the institution’s holdings of non-capital LAC liabilities falling within BCR §48(1)(g).
57	The sum of values in rows 52 to 56b.
58	Tier 2 capital, calculated as the difference of values in row 51 and row 57. If the amount reported in row 57 exceeds that in row 51, include the excess amount in row 42 and report zero here.
59	Total capital, calculated as the sum of values in row 45 and row 58.
60	Total RWA of the AI.
61	CET1 capital ratio (as a percentage of RWA), calculated as the quotient of value in row 29 to value in row 60, expressed as a percentage.
62	Tier 1 capital ratio (as a percentage of RWA), calculated as the quotient of value in row 45 to value in row 60, expressed as a percentage.
63	Total capital ratio (as a percentage of RWA), calculated as the quotient of value in row 59 to value in row 60, expressed as a percentage.
64	Institution-specific buffer requirement (i.e. capital conservation buffer (“CB”), any countercyclical capital buffer (“CCyB”) and any higher loss absorbency (“HLA”) requirements, all expressed as a percentage of RWA), to be calculated in accordance with the level specified in BCR §3M for CB requirement, plus the institution-specific CCyB requirement and the institution-specific HLA requirement.
65	The amount in row 64 (expressed as a percentage of RWA) that relates to the CB requirement (i.e. to report the level specified in BCR §3M).
66	The amount in row 64 (expressed as a percentage of RWA) that relates to the institution-specific CCyB requirement, which is equal to the value reported in cell N+2/d of Template CCyB1.
67	The amount in row 64 (expressed as a percentage of RWA) relates to any HLA requirements, if applicable. An AI should report the HLA requirement applicable to it as a G-SIB or a D-SIB, whichever is higher.
68	CET1 (as a percentage of risk-weighted assets) available after meeting the AI’s minimum capital requirements, calculated as the CET1 capital ratio (row 61) less the sum of ratios of (i) the 4.5% minimum CET1 requirement under BCR §3B; and (ii) any other CET1 capital required to meet the minimum Tier 1 and Total capital requirements under BCR §43(1)(r) and §47(1)(g). For example, suppose an AI has 100 RWA, 10 CET1 capital, 1.5 AT1 capital and no Tier 2 capital. Since it does not have any Tier 2 capital, it will have to earmark its CET1 capital to meet the 8% minimum capital requirement. The net CET1 capital left to meet other requirements (which could include Pillar 2 or buffers requirements) will be 10 – 4.5 – 2 = 3.5.
69	This row is not applicable in the case of Hong Kong where the CET1 capital ratio is as defined under Basel III.
70	This row is not applicable in the case of Hong Kong where the Tier 1 capital ratio is as defined under Basel III.
71	This row is not applicable in the case of Hong Kong where the Total capital ratio is as defined under Basel III.
72	Insignificant LAC investments in CET1, AT1, Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial sector entities outside the regulatory scope of consolidation, to the extent that such holdings are not reported in row 18, row 39 and row 54.
73	Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the regulatory scope of consolidation, to the extent that such holdings are not reported in row 19 and row 23.
74	This row is not applicable in the case of Hong Kong, as MSRs are fully deducted. Please refer to row 20.
75	This row is not applicable in the case of Hong Kong, as DTAs are fully deducted. Please refer to row 21.
76	Amount of an AI’s regulatory reserve for general banking risks and provisions for Stages 1 and 2 of credit impairment related to the BSC approach, the STC approach and SEC-ERBA, SEC-SA and SEC-FBA eligible for inclusion in Tier 2 capital, calculated in accordance with BCR §42(1) or §42(2), where applicable, prior to the application of the cap.
77	Cap for inclusion of regulatory reserve for general banking risks and provisions for Stages 1 and 2 of credit impairment related to the BSC approach, the STC approach and the SEC-ERBA, SEC-SA and SEC-FBA in Tier 2 capital, calculated in accordance with BCR §42(1) or §42(2), where applicable.
78	The sum of surplus provisions for exposures calculated using the IRB approach and the portion of an AI’s total regulatory reserve for general banking risks and provisions for Stages 1 and 2 of credit impairment that is apportioned to the SEC-IRBA in Tier 2 capital, calculated in accordance with BCR §42(2), (3) and (4), prior to the application of the cap.
79	Cap for inclusion of surplus provisions for exposures calculated using the IRB approach and the portion of an AI’s total regulatory reserve for general banking risks and provisions for Stages 1 and 2 of credit impairment that is apportioned to the SEC-IRBA in Tier 2 capital, calculated in accordance with BCR §42(2), (3) and (4).
80	This row is only applicable to non-joint stock companies which are not relevant in the case of Hong Kong.
81	This row is only applicable to non-joint stock companies which are not relevant in the case of Hong Kong.
82	Current cap on AT1 capital instruments subject to phase-out arrangements, calculated according to BCR Schedule 4H.
83	Amount excluded from AT1 capital due to cap (excess over cap after redemptions and maturities).
84	Current cap on Tier 2 capital instruments subject to phase-out arrangements, calculated according to BCR Schedule 4H.
85	Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities).

Template CC2: Reconciliation of regulatory capital to balance sheet
Purpose:	To enable Pillar 3 data users to identify the differences between the scope of accounting consolidation and the scope of regulatory consolidation, and to show the link between an AI’s balance sheet in its published financial statements and the numbers that are used in the composition of regulatory capital disclosure template set out in Template CC1.
Scope of application:	The template is mandatory for all locally incorporated AIs.
Content:	Carrying values (corresponding to the values reported in financial statements). Where an AI has a reporting date for disclosure (e.g. end-April, end-October) that does not fall on the same position date for the Return on Capital Adequacy Ratio (MA(BS)3) (i.e. end-March, end-June, end-September, end-December), the AI should disclose this template based on its own reporting date. In such circumstance, the calculation basis of values disclosed in this template should, however, follow the same calculation basis used for the return.
Frequency:	Semi-annual.
Format:	Flexible (but the rows should align with the balance sheet presentation).
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any significant changes in the expanded balance sheet items over the reporting period and the key drivers of such change. Narrative commentary to significant changes in other balance sheet items could be found in Table LIA.
Corresponding BDR section:	16FC

	(a)	(b)	(c)
	Balance sheet as in published financial statements (as at period-end)	Under regulatory scope of consolidation (as at period-end)	Reference
Assets
Cash and balances at central banks
Items in the course of collection from other banks
Trading portfolio assets
Financial assets designated at fair value
Derivative financial instruments
Loans and advances to banks
Loans and advances to customers
Reverse repurchase agreements and other similar secured lending
Financial investments measured at fair value through other comprehensive income
Current and deferred tax assets
Prepayments, accrued income and other assets
Investments in associates and joint ventures
Goodwill and intangible assets
Of which: goodwill			[a]
Of which: other intangibles assets			[b]
Property, plant and equipment
Total assets
Liabilities
Deposits from banks
Items in the course of collection due to other banks
Customer accounts
Repurchase agreements and other similar secured borrowing
Trading portfolio liabilities
Financial liabilities designated at fair value
Derivative financial instruments
Debt securities in issue
Accruals, deferred income and other liabilities
Current and deferred tax liabilities
Of which: DTLs related to goodwill			[c]
Of which: DTLs related to intangible assets			[d]
Subordinated liabilities
Provisions
Retirement benefit liabilities
Total liabilities
Shareholders’ equity
Paid-in share capital
Of which: amount eligible for CET1			[e]
Of which: amount eligible for AT1			[f]
Retained earnings
Accumulated other comprehensive income
Total shareholders’ equity

Explanatory Note
Columns
(a) and (b)	An AI should take the balance sheet numbers in its published financial statements (reported in column (a)), and report the numbers when the regulatory scope of consolidation is applied (reported in column (b)). This is referred to as Step 1 under the three-step approach to reconciliation, as explained and illustrated in paragraphs 14–16 and 42 (Annex 2) of BCBS’s document Composition of capital disclosure requirements dated June 2012. If there are rows in the balance sheet under the regulatory scope of consolidation that are not present in the published financial statements, the AI should add these rows and give a value of zero in column (a). If an AI’s scope of accounting consolidation and scope of regulatory consolidation are exactly the same, columns (a) and (b) should be merged and this fact should be clearly disclosed. The amounts in columns (a) and (b) in this template before balance sheet expansion (i.e. before Step 2 under the three-step approach) should be identical to columns (a) and (b) in Template LI1.
(c)	An AI should, using a reference number/letter input in this column, cross-reference the figures of the expanded balance sheet items to the corresponding items in column (b) of Template CC1 in accordance with Step 3 under the three-step approach to reconciliation as explained and illustrated in paragraphs 23–24 and 44-45 (Annex 2) of BCBS’s document Composition of capital disclosure requirements dated June 2012.
Rows
All	Rows in the template should follow the balance sheet presentation used by an AI in its financial statements, on which basis the AI is required to expand the balance sheet to identify all the items that are disclosed in Template CC1 (referred to as Step 2 under the three-step approach to reconciliation, as explained and illustrated in paragraphs 17–22 and 43 (Annex 2) of BCBS’s document Composition of capital disclosure requirements dated June 2012). Set out above (i.e. items [a] to [f]) are some examples of items that may need to be expanded for a particular banking group. Disclosure should be proportionate to the complexity of the AI’s balance sheet. Each item should be given a reference number/letter in column (c) that is used as cross-reference to the corresponding items in column (b) of Template CC1.

Table CCA: Main features of regulatory capital instruments
Purpose:	To provide a description on the main features of the CET1, Additional Tier 1 and Tier 2 capital instruments, as applicable, that are included in an AI’s regulatory capital.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative and quantitative information.
Frequency:	Semi-annual. This table should be posted on the AI’s internet website (or if permitted by the MA, the internet website of its parent bank). It should be updated whenever a capital instrument is issued, repaid, included in or excluded from the capital base by an AI, and whenever there is a redemption, conversion / write-down, or any other material change in the nature of the relevant instrument. The AI should include the web link to the issuances made over the previous period in each disclosure statement.
Format:	Flexible.
Accompanying information:	The full terms and conditions of all instruments included in an AI’s regulatory capital should be made available on its internet website.
Corresponding BDR section:	16FE

		(a)
		Quantitative / qualitative information
1	Issuer
2	Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement)
3	Governing law(s) of the instrument
	Regulatory treatment
4	Transitional Basel III rules[1]
5	Post-transitional Basel III rules[2]
6	Eligible at solo / group / solo and group
7	Instrument type (types to be specified by each jurisdiction)
8	Amount recognised in regulatory capital (currency in millions, as of most recent reporting date)
9	Par value of instrument
10	Accounting classification
11	Original date of issuance
12	Perpetual or dated
13	Original maturity date
14	Issuer call subject to prior supervisory approval
15	Optional call date, contingent call dates and redemption amount
16	Subsequent call dates, if applicable
	Coupons / dividends
17	Fixed or floating dividend / coupon
18	Coupon rate and any related index
19	Existence of a dividend stopper
20	Fully discretionary, partially discretionary or mandatory
21	Existence of step-up or other incentive to redeem
22	Non-cumulative or cumulative
23	Convertible or non-convertible
24	If convertible, conversion trigger(s)
25	If convertible, fully or partially
26	If convertible, conversion rate
27	If convertible, mandatory or optional conversion
28	If convertible, specify instrument type convertible into
29	If convertible, specify issuer of instrument it converts into
30	Write-down feature
31	If write-down, write-down trigger(s)
32	If write-down, full or partial
33	If write-down, permanent or temporary
34	If temporary write-down, description of write-up mechanism
35	Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument in the insolvency creditor hierarchy of the legal entity concerned).
36	Non-compliant transitioned features
37	If yes, specify non-compliant features
Points to note: 1. An AI should report the main features of each outstanding regulatory capital instrument. For any item that is not applicable for a particular capital instrument, “NA” should be entered. 2. In order to provide a “main features report” that summarises all of the regulatory capital instruments of the banking group, an AI should report each instrument, including ordinary shares, in a separate column of this template (by adding column (b), column (c) and so on). 3. An AI should select one of the standard options in the list as the input for a particular cell, where relevant. The following table provides a more detailed explanation of reporting requirements for each of the cells, and, where relevant, the list of standard options from which the AI should select as the input for a particular cell.

Explanatory Note
Rows
1	The legal entity which is the issuer of the instrument. Free text
2	Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement). Free text
3	Specifies the governing law(s) of the instrument. Free text
4	Specifies the regulatory capital treatment (if the instrument is subject to the transitional arrangements provided for in BCR Schedule 4H) (i.e. the component of capital that the instrument is being phased-out from). Enter: [Common Equity Tier 1] [Additional Tier 1] [Tier 2]
5	Specifies the regulatory capital treatment (if the instrument is not subject to the transitional arrangements provided for in BCR Schedule 4H). Enter: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Ineligible]
6	Specifies the level(s) within the group at which the instrument is included in capital. The level of solo includes solo-consolidated. Enter: [Solo] [Group] [Solo and Group]
7	Specifies the instrument type, varying by jurisdiction. This helps provide a more granular understanding of features, particularly during transition. Enter: [Ordinary shares] [Perpetual non-cumulative preference shares] [Perpetual debt instruments] [Perpetual cumulative preference shares] [Redeemable non-cumulative preference shares] [Redeemable cumulative preference shares] [Other Tier 2 instruments] [Others: please specify]
8	Specifies amount recognised in regulatory capital. Where more than one capital instrument is subject to the phase-out arrangements in a particular tier of capital, an AI may specify the total amount recognised in that tier of capital for all such instruments instead of the amount recognised for each individual capital instrument. Free text
9	Par value of the instrument. Free text
10	Specifies accounting classification which helps to assess loss absorbency. Enter: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary]
11	Specifies date of issuance. Free text
12	Specifies whether dated or perpetual. Enter: [Perpetual] [Dated]
13	For dated instrument, specifies original maturity date (day, month and year). For perpetual instrument, “no maturity” should be entered. Free text
14	Specifies whether there is an issuer call option. Enter: [Yes] [No]
15	For instrument with issuer call option, specifies (i) first date of call if the instrument has a call option on a specific date (day, month and year); (ii) if the instrument has a tax and / or regulatory event call; and (iii) the redemption price. Free text
16	Specifies the existence and frequency of subsequent call dates, if applicable. Free text
17	Specifies whether the coupon / dividend is: (i) fixed over the life of the instrument; (ii) floating over the life of the instrument; (iii) currently fixed but will move to a floating rate in the future; or (iv) currently floating but will move to a fixed rate in the future. Enter: [Fixed] [Floating] [Fixed to floating] [Floating to fixed]
18	Specifies the coupon rate of the instrument and any related index that the coupon / dividend rate references. Free text
19	Specifies whether the non-payment of a coupon or dividend on the instrument prohibits the payment of dividends on ordinary shares (i.e. whether there is a dividend stopper). Enter: [Yes] [No]
20	Specifies whether the issuer has (i) full discretion; (ii) partial discretion; or (iii) no discretion over whether a coupon / dividend is paid. If an AI has full discretion to cancel coupon / dividend payments under all circumstances, it should select “fully discretionary” (including when there is a dividend stopper that does not have the effect of preventing the AI from cancelling payments on the instrument). If there are conditions that should be met before payment can be cancelled (e.g. capital below a certain threshold), the AI should select “partially discretionary”. If the AI is unable to cancel the payment outside of insolvency, it should select “mandatory”. Enter: [Fully discretionary] [Partially discretionary] [Mandatory]
21	Specifies whether there is a step-up or other incentive to redeem. Enter: [Yes] [No]
22	Specifies whether dividends / coupons are cumulative or non-cumulative. Enter: [Non-cumulative] [Cumulative]
23	Convertible or non-convertible: specifies whether the instrument is convertible or not. Enter: [Convertible] [Non-convertible]
24	Specifies the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, names of the authorities should be listed. For each of the authorities it should be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach). Free text.
25	For each conversion trigger separately, specifies whether the instrument will: (i) always convert fully; (ii) may convert fully or partially; or (iii) will always convert partially. Free text referencing one of the options above
26	Specifies rate of conversion into the more loss absorbent instrument. Free text
27	For convertible instruments, specifies whether conversion is mandatory or optional. Enter: [Mandatory] [Optional] [NA]
28	For convertible instruments, specifies instrument type convertible into. Enter: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Others: please specify]
29	If convertible, specifies issuer of instrument into which it converts. Free text
30	Specifies whether there is a write-down feature. Enter: [Yes] [No]
31	Specifies the trigger at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, names of the authorities should be listed. For each of the authorities it should be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach). Free text
32	For each write-down trigger separately, specifies whether the instrument will: (i) always be written down fully; (ii) may be written down partially; or (iii) will always be written down partially. Free text referencing one of the options above
33	For write-down instrument, specifies whether write-down is permanent or temporary. Enter: [Permanent] [Temporary] [NA]
34	For instrument that has a temporary write-down, description of write-up mechanism. Not applicable in the case of Hong Kong as no write-up is allowed. Enter: [NA]
35	Specifies instrument to which it is most immediately subordinate. Where applicable, an AI should specify the column numbers of the instruments in the completed main features template to which the instrument is most immediately subordinate. Free text
36	Specifies whether there are non-compliant features. Enter: [Yes] [No]
37	If there are non-compliant features, an AI should identify them. Free text

Part IIB: Macroprudential supervisory measures

Template GSIB1: G-SIB indicators
Purpose:	To provide an overview of the indicators regarding G-SIBs.
Scope of application:	The template is mandatory for AIs incorporated in Hong Kong which are G-SIBs[3] in the current annual reporting period or in the annual reporting period immediately preceding the current annual reporting period, or otherwise directed by the MA to make such disclosure. The MA may so direct where an AI or, if applicable, its consolidation group, has a leverage ratio exposure measure exceeding EUR200 billion or equivalent[4] as at 31 December immediately preceding the current annual reporting period, or the AI is being regarded as capable of having a significant impact on the effective working and stability of the global financial system were it to become non-viable.
Content:	At least the 12 indicators used in the assessment methodology of the G-SIB framework.
Frequency:	Annual, or in circumstances when the G-SIB restates figures to reflect final data submitted to the BCBS as considered necessary by the MA or on a voluntary basis. The MA may allow a G-SIB whose financial year ends otherwise than on 31 December to report indicator values based on its position as of 31 December, nevertheless this template should be included in the G-SIB’s annual disclosure statement.
Format:	Flexible. The information disclosed should be fully consistent with the data submitted to the MA for subsequent remittance to the BCBS in the context of its annual data collection exercise for the assessment and identification of G-SIBs. The disclosure of each category item should follow the related instructions that the G-SIB uses to report its data to the BCBS’s data hub or as required by the MA.[5]
Accompanying narrative:	A G-SIB should indicate the annual reference date of the information reported as well as the date of first public disclosure. A web link to the previous G-SIB assessment exercise should also be included. A G-SIB should supplement the template with a narrative commentary to explain any relevant qualitative characteristic deemed necessary for understanding the quantitative data. This information should include explanations about the use of estimates with a short explanation in relation to the method used, mergers or modifications of the legal structure of the entity subjected to the reported data, the bucket to which the G-SIB was allocated and changes in HLA requirements, or reference to the BCBS website for data on denominators, cut-off scores and buckets. Regardless of whether Template GSIB1 is included in the annual Pillar 3 report, a G-SIB’s annual and interim disclosure statements should include a reference to the website where its current and previous disclosures of Template GSIB1 are housed.
Corresponding BDR section:	16FF

			(a)
	Category	Individual indicator	Value
1	Cross-jurisdictional activities	Cross-jurisdictional claims
2	Cross-jurisdictional liabilities
3	Size	Total exposures
4	Interconnectedness with other financial institutions	Intra-financial system assets
5	Intra-financial system liabilities
6	Securities outstanding
7	Substitutability / Financial institution infrastructure	Assets under custody
8	Payment activity
9	Underwritten transactions in debt and equity markets
10	Complexity	Notional amount of over-the-counter (“OTC”) derivatives
11	Level 3 assets
12	Trading securities and securities measured at fair value through other comprehensive income

Explanatory Note
Columns & rows
The template should be completed in accordance with the instructions and definitions for the corresponding rows in force as of the disclosure’s reference date, which is based on the BCBS’s G-SIB identification exercise. Details could be found in the BIS’s website: http://www.bis.org/bcbs/gsib/reporting_instructions.htm.

Template CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer (“CCyB”)
Purpose:	To provide an overview of the geographical distribution of private sector credit exposures relevant for the calculation of an AI’s CCyB ratio.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong which are subject to a CCyB requirement, based on the jurisdictions to which they have private sector credit exposures subject to a CCyB requirement compliant with the BCBS standards. Only AIs with exposures to jurisdiction(s) in which the applicable JCCyB ratio is higher than zero should disclose this template.
Content:	Private sector credit exposures and other relevant inputs necessary for the computation of the AI’s CCyB ratio. Where an AI has a reporting date for disclosure (e.g. end-April, end-October) that does not fall on the same position date for the Quarterly Reporting on the Countercyclical Capital Buffer (MA(BS)25) (i.e. end-March, end-June, end-September, end-December), the AI should disclose this template based on its own reporting date. In such circumstance, the calculation basis of values disclosed in this template should, however, follow the same calculation basis used for the return reporting.
Frequency:	Semi-annual.
Format:	Flexible rows 1 to N (to cater for the number of jurisdictions to which the AI has private sector credit exposures and with a non-zero applicable JCCyB ratio). Fixed rows N+1, N+2 and columns.
Accompanying narrative:	For the purposes of the CCyB, an AI must use, where possible, exposures on an “ultimate risk” basis. It should disclose the methodology for geographical allocation used, and explain the exceptional jurisdictions or types of exposures for which the ultimate risk method is not used as a basis for allocation.[6] Information about the key drivers for changes in the RWA (or exposure amounts) and the applicable JCCyB ratios should be summarised.
Corresponding BDR section:	16FG

		(a)	(c)	(d)	(e)
	Geographical breakdown by Jurisdiction (J)	Applicable JCCyB ratio in effect (%)	RWA used in computation of CCyB ratio	AI-specific CCyB ratio (%)	CCyB amount
1	Hong Kong SAR
2	Mainland China
3	Country / Jurisdiction 3
⁞	⁞
N	Country / Jurisdiction N
N+1	Sum
N+2	Total
Point to note: 1. no disclosure is required for items shaded in dark grey (i.e. column (d) and (e) in rows 3 to N+1, cells N+1/a and N+2/a).

Explanatory Note
Columns
Jurisdiction (J)	Report in this column names of jurisdictions in which the AI has private sector credit exposures (as defined in the BCR §3N), and which has an applicable JCCyB ratio (within the meaning of the BCR) greater than zero as of the end date of the reporting period. An AI should report one jurisdiction for each row, beginning with Hong Kong SAR (row 1), followed by Mainland China (row 2), then by all other jurisdictions in alphabetical order.
(a)	Applicable JCCyB ratio in effect (%):report in each row of this column the applicable JCCyB ratio in respect of each relevant jurisdiction named in the “Jurisdiction (J)” column. JCCyB ratios that were set by the relevant national authority, but are not yet applicable in the jurisdiction concerned as of the reporting date (pre-announced rates), should not be reported.
(c)	RWA used in computation of CCyB ratio: report in rows 1 to N of this column the sum of the RWA for the credit risk and the market risk relating to the AI’s private sector credit exposures to the jurisdiction listed in the “Jurisdiction (J)” column, calculated in the manner specified in the BCR §3O(1) for calculating RWAj, having regard to the guidance provided in the HKMA’s Supervisory Policy Manual module CA-B-3 Countercyclical Capital Buffer – Geographic Allocation of Private Sector Credit Exposures for the purpose of determining the geographic location of the obligors for its private sector credit exposures.
(d)	AI-specific CCyB ratio (%): report in [CCyB1: N+2/d] the AI’s specific CCyB ratio (expressed as a percentage). This is equal to the institution-specific CCyB requirement reported in [KM1: 9/a], and corresponds to the CCyB ratio calculated in the BCR §3O(1), Formula 1A.
(e)	CCyB amount: report in [CCyB1: N+2/e] the amount of the AI’s minimum CCyB requirement, calculated as the product of the value in [CCyB1: N+2/d] and the AI’s total RWA.
Rows
1 to N	Enter only information of jurisdictions with a non-zero applicable JCCyB ratio.
N+1	Sum: the sum of values in rows 1 to N of column (c).
N+2	Total: (for column (c)) total sum of the RWA for private sector credit exposures across all jurisdictions to which the AI is exposed, including jurisdictions with no applicable JCCyB ratio or with applicable JCCyB ratio set at zero.

Part IIC: Leverage ratio

Template LR1: Summary comparison of accounting assets against leverage ratio (“LR”) exposure measure
Purpose:	To reconcile the total assets in the published financial statements (if any) to the LR exposure measure.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong. The LR framework should follow the same scope of regulatory consolidation as the risk-based capital framework (i.e. solo basis, solo-consolidated basis, and/or consolidated basis as specified by the MA under BCR §3C).
Content:	Quantitative information. Where an AI has a reporting date for disclosure (e.g. end-April, end-October) that does not fall on the same position date for the Return of Leverage Ratio (MA(BS)27) (i.e. end-March, end-June, end-September, end-December), the AI should disclose this template based on its own reporting date. In such circumstance, the calculation basis of values disclosed in this template should, however, follow the same calculation basis used for the return.
Frequency:	Semi-annually.
Format:	Fixed.
Accompanying narrative:	An AI should disclose and detail the source of material differences between its total balance sheet assets (net of on-balance sheet derivative exposures and securities financing transaction (“SFT”) exposures) as reported in its financial statements and its on-balance sheet exposures as set out in row 1 of Template LR2.
Corresponding BDR section:	16FH

		(a)
	Item	Value under the LR framework (HK$ equivalent)
1	Total consolidated assets as per published financial statements
2	Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside the scope of regulatory consolidation
3	Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting standard but excluded from the LR exposure measure
4	Adjustments for derivative contracts
5	Adjustment for SFTs (i.e. repos and similar secured lending)
6	Adjustment for off-balance sheet (“OBS”) items (i.e. conversion to credit equivalent amounts of OBS exposures)
6a	Adjustment for specific and collective provisions that are allowed to be excluded from exposure measure
7	Other adjustments
8	Leverage ratio exposure measure

Explanatory Note
Rows
1	The AI’s total consolidated assets as per published financial statements.
2	Adjustments in relation to the AI’s investments in financial sector entities or commercial entities as defined in BCR §35 that are consolidated for accounting purposes, but outside the scope of regulatory consolidation. As these adjustments reduce the total leverage ratio exposure measure, they should be reported as a negative amount.
3	Adjustments related to any fiduciary assets recognised on the balance sheet pursuant to the AI’s applicable accounting framework but excluded from the LR exposure measure, provided that the assets meet the IAS 39 / IFRS 9 (or HKAS 39 / HKFRS 9) criteria for derecognition and, where applicable, IFRS 10 (or HKFRS 10) for deconsolidation. As these adjustments reduce the total leverage ratio exposure measure, they should be reported as a negative amount.
4	Any adjustments in relation to derivative contracts should be in line with the LR calculation methodology under Part 1C of the BCR. If this adjustment leads to an increase in exposure, an AI should disclose this as a positive amount. If this adjustment leads to a decrease in exposure, the AI should disclose this as a negative amount.
5	Any adjustments in relation to SFTs (i.e. repos and other similar secured lending) should be in line with the LR calculation methodology under Part 1C of the BCR. If this adjustment leads to an increase in the exposure, an AI should disclose this as a positive amount. If this adjustment leads to a decrease in exposure, the AI should disclose this as a negative amount.
6	Aggregates of the credit equivalent amount of OBS exposures, as converted under the STC approach under the BCR, subject to a floor of 10%, through the use of credit conversion factors (“CCFs”). For details of the OBS exposures and their applicable CCFs, please refer to the LR calculation methodology under Part 1C of the BCR.
6a	Adjustment for specific and collective provisions which have reduced Tier 1 capital. This adjustment reduces the LR exposure measure by the amount of provisions that have reduced Tier 1 capital, which should be reported as a negative amount. Where specific and collective provisions are set aside against OBS exposures that have an effect to decrease Tier 1 capital, such provision amounts may be deducted from the credit equivalent amount of the exposures and in turn reported in this row. However, the resulting total credit equivalent amount for OBS exposures cannot be less than zero.
7	Any other adjustments that are necessary for the reconciliation but not included in rows 1 to 6a above. These may include adjustments in relation to any items that are deducted from Tier 1 capital under the risk-based capital framework in accordance with BCR §38(2), §43 and §47, but are not already excluded from the calculation of the LR exposure measure. For a note-issuing bank as defined under the Legal Tender Notes Issue Ordinance (Cap. 65), the adjustments should also include any certificates of indebtedness issued under the Exchange Fund Ordinance (Cap. 66) and held by it as cover for legal tender notes issued.
8	The LR exposure, which should be the sum of rows 1 to 7 above, should be consistent with the total exposures amount reported in [LR2: 21/a].

Template LR2: Leverage ratio (“LR”)
Purpose:	To provide a detailed breakdown of the components of the LR denominator.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong. The LR framework should follow the same scope of regulatory consolidation as the risk-based capital framework (i.e. solo basis, solo-consolidated basis, and/or consolidated basis as specified by the MA under BCR §3C).
Content:	Quantitative information. Where an AI has a reporting date for disclosure (e.g. end-April, end-October) that does not fall on the same position date for the Return of Leverage Ratio (MA(BS)27) (i.e. end-March, end-June, end-September, end-December), the AI should disclose this template based on its own reporting date. In such circumstance, the calculation basis of values disclosed in this template should, however, follow the same calculation basis used for the return.
Frequency:	Quarterly.
Format:	Fixed.
Accompanying narrative:	An AI should describe the key factors that have had a material impact on the LR at the end of the current reporting period compared to the end of the preceding reporting period.
Corresponding BDR section:	16FI

		(a)	(b)
		HK$ equivalent
		T	T-1
On-balance sheet exposures
1	On-balance sheet exposures (excluding those arising from derivative contracts and SFTs, but including collateral)
2	Less: Asset amounts deducted in determining Tier 1 capital
3	Total on-balance sheet exposures (excluding derivative contracts and SFTs)
Exposures arising from derivative contracts
4	Replacement cost associated with all derivative contracts (where applicable net of eligible cash variation margin and/or with bilateral netting)
5	Add-on amounts for PFE associated with all derivative contracts
6	Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework
7	Less: Deductions of receivables assets for cash variation margin provided under derivative contracts
8	Less: Exempted CCP leg of client-cleared trade exposures
9	Adjusted effective notional amount of written credit derivative contracts
10	Less: Adjusted effective notional offsets and add-on deductions for written credit derivative contracts
11	Total exposures arising from derivative contracts
Exposures arising from SFTs
12	Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions
13	Less: Netted amounts of cash payables and cash receivables of gross SFT assets
14	CCR exposure for SFT assets
15	Agent transaction exposures
16	Total exposures arising from SFTs
Other off-balance sheet exposures
17	Off-balance sheet exposure at gross notional amount
18	Less: Adjustments for conversion to credit equivalent amounts
19	Off-balance sheet items
Capital and total exposures
20	Tier 1 capital
20a	Total exposures before adjustments for specific and collective provisions
20b	Adjustments for specific and collective provisions
21	Total exposures after adjustments for specific and collective provisions
Leverage ratio
22	Leverage ratio

Explanatory Note
Rows
1	An AI should include all consolidated assets on balance sheet as per its financial statements, including collateral for on-balance sheet derivative contracts and for SFTs, with the exception of on-balance sheet derivative contracts and SFT assets that are included in rows 4 to 16. Where an AI is a note-issuing bank as defined under the Legal Tender Notes Issue Ordinance (Cap. 65), the AI’s on-balance sheet exposure should not include, for the purpose of this template, any certificates of indebtedness issued under the Exchange Fund Ordinance (Cap. 66) and held by the AI as cover for legal tender notes issued.
2	Adjustments to balance sheet assets due to deductions from Tier 1 capital in accordance with BCR §3ZB(4). For example: - Where a financial sector entity is not included in the regulatory scope of consolidation, the amount of any investment in the capital of that entity that is totally or partially deducted from CET1 capital or from additional Tier 1 capital of the bank following the corresponding deduction approach, may be deducted from the exposure measure. - For an AI using the IRB approach to determining capital requirements for credit risk, it is required any excess of the total expected loss over the total eligible provisions be deducted from CET1 capital. The same amount may be deducted from the exposure measure. As the adjustments in row 2 reduce the exposure measure, they should be reported as negative figures.
3	Sum of values in rows 1 and 2.
4	Replacement cost (“RC”) associated with all derivative contracts (including exposures resulting from direct transactions between a client and a CCP where the bank guarantees the performance of its clients’ derivative trade exposures to the CCP), net of cash variation margin received and with, where applicable, bilateral netting under a valid bilateral netting agreement.
5	Add-on amount for the potential future exposure (“PFE”) of all exposures arising from derivative contracts.
6	Grossed-up amount of any collateral provided in relation to exposures arising from derivative contracts where the provision of that collateral has reduced the value of the balance sheet assets under the AI’s applicable accounting framework.
7	Deductions of receivable assets in respect of cash variation margin provided under derivative contracts where the posting of cash variation margin has resulted in the recognition of a receivable asset under the AI’s applicable accounting framework. As the adjustments in row 7 reduce the exposure measure, they should be reported as negative figures.
8	Exempted trade exposures associated with the CCP leg of derivatives contracts resulting from client-cleared transactions or which the clearing member, based on the contractual arrangements with the client, is not obligated to reimburse the client for any losses suffered due to changes in the value of its transactions in the event that a QCCP defaults. As the adjustments in row 8 reduce the exposure measure, they should be reported as negative figures.
9	Adjustments relating to the effective notional amount of written credit derivative contracts, which may be reduced by the total amount of negative changes in fair value amounts that have been incorporated into the calculation of Tier 1 capital with respect to written credit derivative contracts.
10	Adjustments relating to: - The amount by which the notional amount of a written credit derivative is reduced by a purchased credit derivative contract on the same reference name; and - The deduction of add-on amounts for PFE in relation to written credit derivative contracts. As the adjustments in row 10 reduce the exposure measure, they should be reported as negative figures.
11	Sum of values in rows 4 to 10.
12	The gross amount of SFT assets without recognition of netting, other than novation with QCCPs (in which case the final contractual exposure is to replace the gross SFT assets amount), determined in accordance with the LR framework in respect of SFT exposures (e.g. excluding any securities received under an SFT where the AI has recognised the securities as an asset on its balance sheet), and adjusting for any sales accounting transactions.
13	Adjustments for cash payables and cash receivables of gross SFT assets with netting determined in accordance with the LR framework in respect of SFT exposures. As these adjustments reduce the exposure measure, they should be reported as a negative figure.
14	The amount of the counterparty credit risk add-on for SFTs determined in accordance with the LR framework in respect of SFT exposures.
15	The amount for which the AI acting as an agent in an SFT has provided an indemnity or guarantee determined in accordance with the LR framework in respect of SFT exposures.
16	Sum of values in rows 12 to 15.
17	Total off-balance sheet exposure amounts (excluding off-balance sheet exposure amounts associated with SFT and derivative transactions) on a gross notional basis, before any adjustment for credit conversion factors (“CCFs”).
18	Reduction in gross amount of off-balance sheet exposures due to the application of CCFs. This corresponds to the complement of CCFs of the STC approach, subject to a floor of 10%. The floor of 10% will affect commitments that are unconditionally cancellable at any time by the AI without prior notice, or that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness. As these adjustments reduce the exposure measure, they should be reported as negative figures.
19	Sum of values in rows 17 and 18.
20	The amount of Tier 1 capital as determined under the BCR, taking into account of the transitional arrangements. The value in [LR2:20/a] is equal to the value in [KM1:2/a].
20a	Sum of values in rows 3, 11, 16 and 19.
20b	Specific and collective provisions, if any, that reduce the on- and off-balance sheet exposure measures may be presented in this row, provided that such reductions from exposure measures are allowable under Part 1C of the BCR. As these adjustments reduce the exposure measure, they should be reported as negative figures.
21	Sum of values in rows 20a and 20b. The value in [LR2:21/a] is equal to the value in [KM1:13/a] and in [LR1: 8/a].
22	Leverage ratio is defined as the Tier 1 capital measure of row 20 (the numerator) divided by the exposure measure of row 21 (the denominator), where the resultant quotient be expressed as a percentage. The value in [LR2:22/a] is equal to the value in [KM1:14/a].

Part IID: Liquidity

Table LIQA: Liquidity risk management
Purpose:	To enable Pillar 3 data users to make an informed judgment about the soundness of an AI’s liquidity risk management framework and liquidity position.
Scope of application:	The table is mandatory for all AIs incorporated in and outside Hong Kong.
Content:	Qualitative and quantitative information.
Frequency:	Annual.
Format:	Flexible. An AI may choose the relevant information to be provided depending upon its business model, liquidity risk profile, organisation structure and functions involved in liquidity risk management.
Corresponding BDR section:	16FJ and 103(4A)

An AI should describe the following elements of liquidity risk management, where relevant:
Qualitative disclosures
(a)	Governance of liquidity risk management, including: 1. risk tolerance; 2. structure and responsibilities for liquidity risk management; 3. internal liquidity reporting; and 4. communication of liquidity risk strategy, policies and practices across business lines and with the board of directors.
(b)	Funding strategy, including: 1. policies on diversification in the sources and tenors of funding; and 2. whether the funding strategy is centralised or decentralised.
(c)	Liquidity risk mitigation techniques.
(d)	An explanation of how stress testing is used.
(e)	An outline of the AI’s contingency funding plan.
Quantitative disclosures
(f)	Customised measurement tools or metrics that assess the structure of the AI’s balance sheet or that project cash flows and future liquidity positions, taking into account off-balance sheet risks which are specific to the AI.
(g)	Concentration limits on collateral pools and sources of funding (both products and counterparties).
(h)	Liquidity exposures and funding needs at the level of individual legal entities, foreign branches and subsidiaries, taking into account legal, regulatory and operational limitations on the transferability of liquidity.
(i)	On- and off-balance sheet items, broken down into maturity buckets and the resultant liquidity gaps.

Template LIQ1: Liquidity Coverage Ratio(“LCR”) – for category 1 institution
Purpose:	To present the details of LCR, high quality liquid assets (“HQLA”), and a breakdown of cash outflows and inflows.
Scope of application:	The template is mandatory for locally incorporated and overseas incorporated AIs that are designated as category 1 institution. A category 1 institution should disclose the required disclosure items in this template on:- 1. a consolidated basis – applicable to a category 1 institution incorporated in Hong Kong that is subject to Banking (Liquidity) Rules (“BLR”) rule 11(1); 2. an unconsolidated basis – applicable to a category 1 institution incorporated in Hong Kong that is not subject to BLR rule 11(1) but subject to BLR rule 10(1)(b); or 3. a Hong Kong office basis – applicable to a category 1 institution:- - incorporated in Hong Kong that is not subject to BLR rule 10(1)(b) or 11 but subject to BLR rule 10(1)(a); and - incorporated outside Hong Kong that is subject to BLR rule 10(1)(a). A category 1 institution should indicate the basis on which the required disclosure items in this template are disclosed.
Content:	Simple average values of all working days in the quarter. Data should be presented in Hong Kong dollars or the equivalent amounts in Hong Kong dollars. An AI should also specify the number of data points used in calculating the average values in the template and the currency used for presentation.
Frequency:	Quarterly. AIs should disclose both their first quarter and second quarter positions of LCR when they make the first time disclosure that ends at the close of the semi-annual reporting period of their 2018 financial year.
Format:	Fixed.
Accompanying narrative:	An AI should provide sufficient qualitative discussion to facilitate Pillar 3 data users’ understanding of its LCR calculation. For example, where significant to the LCR, the AI should discuss: - the main drivers of its LCR results and the evolution of the contribution of inputs to the LCR’s calculation over time; - intra-period changes as well as changes over time; - the composition of HQLA; - concentration of funding sources; - currency mismatch in the LCR; - the degree of centralization of liquidity management and the interaction between members of the consolidated group; - the exposures under its derivative contracts and the potential for it to be required to post collateral under the contracts; and - other inflows and outflows in the LCR calculation that are not captured in the template but the AI considers relevant for its liquidity profile.
Corresponding BDR section:	16FK and 103A

Number of data points used in calculating the average value of the LCR and related components set out in this template: ( )	HK$ equivalent

		(a)	(b)
Basis of disclosure: consolidated / unconsolidated / Hong Kong office (delete as appropriate)		Unweighted value (average)	Weighted value (average)
1. HQLA
1	Total HQLA
1. Cash outflows
2	Retail deposits and small business funding, of which:
3	Stable retail deposits and stable small business funding
4	Less stable retail deposits and less stable small business funding
4a	Retail term deposits and small business term funding
5	Unsecured wholesale funding (other than small business funding), and debt securities and prescribed instruments issued by the AI, of which:
6	Operational deposits
7	Unsecured wholesale funding (other than small business funding) not covered in row 6
8	Debt securities and prescribed instruments issued by the AI and redeemable within the LCR period
9	Secured funding transactions (including securities swap transactions)
10	Additional requirements, of which:
11	Cash outflows arising from derivative contracts and other transactions, and additional liquidity needs arising from related collateral requirements
12	Cash outflows arising from obligations under structured financing transactions and repayment of funding obtained from such transactions
13	Potential drawdown of undrawn committed facilities (including committed credit facilities and committed liquidity facilities)
14	Contractual lending obligations (not otherwise covered in Section B) and other contractual cash outflows
15	Other contingent funding obligations (whether contractual or non-contractual)
16	Total Cash Outflows
1. Cash Inflows
17	Secured lending transactions (including securities swap transactions)
18	Secured and unsecured loans (other than secured lending transactions covered in row 17) and operational deposits placed at other financial institutions
19	Other cash inflows
20	Total Cash Inflows
1. Liquidity Coverage Ratio			Adjusted value
21	Total HQLA
22	Total Net Cash Outflows
23	LCR (%)
Points to note: 1. the rows A, B, C and D introduce respectively the 4 sections of the Template (i.e. HQLA, cash outflows, cash inflows and LCR) and do not require any value to be input; 2. the disclosure items shaded in light grey (e.g. rows 2, 5, 9, 10, 14 and 15 under Section B) represent the components, if any, within the respective sections; 3. the unshaded disclosure items represent sub-components within the components of cash outflows (Section B). See explanatory note below for a more detailed explanation of the composition of such sub-components; 4. no disclosure is required for items shaded in dark grey (i.e. cells 1/a, 9/a, 16/a, 21/a, 22/a and 23/a).

Explanatory Note
Columns
(a)	Unweighted value: In relation to a disclosure item under cash outflows (Section B) and cash inflows (Section C), it means the outstanding balance of the item maturing or callable within 30 days. Such outstanding balance is to be calculated as the principal amount of an asset, liability or off-balance sheet item included in the calculation of the LCR before applying the outflow rate(s) or inflow rate(s) applicable to them, as required under the BLR (as read in conjunction with the Banking (Liquidity Coverage Ratio – Calculation of Total Net Cash Outflows) Code (“the Code”). For example, in the case of stable retail deposits and stable small business funding (“SDF”): where N is the number of data points used in calculating such value for quarter Qi; and uSDFn means the unweighted amount of SDF at data point n.
(b)	Weighted value: In relation to a disclosure item under cash outflows (Section B) and cash inflows (Section C), it means the amount after applying the outflow rate(s) or inflow rate(s) applicable to the item, as required under the BLR (as read in conjunction with the Code). For example, in the case of SDF: where N is the number of data points used in calculating such value for quarter Qi; and wSDFn means the weighted amount of SDF at data point n.
(a) & (b)	(average): the “average value” of each disclosure item should be calculated (i) based on the arithmetic mean of the item (in “unweighted amount”, “weighted amount” and “adjusted value” as applicable) as at the end of each working day for a reporting quarter; and (ii) according to the calculation methodology and instructions set out in the Return of Liquidity Position (MA(BS)1E). This recognises that the day-end positions of each disclosure item for the specified quarter cannot all be extracted or derived from the return which is submitted on a monthly basis (instead of daily). Therefore, a category 1 institution should follow the calculation methodologies and instructions specified in the return for the calculation of the day-end positions of each such item.
Rows[7]
1	All HQLA that satisfy the applicable requirements under BLR rule 25, after applying any applicable haircuts but before applying any applicable ceilings[8] (as required under the BLR). The weighted amount of total HQLA is to be calculated as the total principal amount of such HQLA, net of any haircuts applicable to the assets concerned (in accordance with BLR rule 35 and, if applicable, BLR rule 38), but before the application of the 15% ceiling on level 2B assets and the 40% ceiling on the sum of level 2A assets and level 2B assets (in accordance with BLR rules 33 and 34 as applicable). {Item A4 (minus item A6 if applicable)}
2	Retail deposits and small business funding (as defined in BLR rule 39) (i.e. the sum of values in rows 3 to 4a). {Sum of items B1 to B4}
3	Stable retail deposits (as defined in BLR rule 39) and small business funding (that is akin to stable retail deposits), calculated in accordance with, respectively, clauses 3 and 6 of the Code. {Sum of sub-items B1(a), B2(a), B3(a) and B4(a)}
4	Less stable retail deposits (as defined in BLR rule 39) and small business funding (that is akin to less stable retail deposits), calculated in accordance with, respectively, clauses 4 and 6 of the Code. {Sum of sub-items B1(b), B2(b), B3(b) and B4(b)}
4a	Retail term deposits (as defined in BLR rule 39) and small business term funding (that is akin to retail term deposits), calculated in accordance with, respectively, clauses 5 and 6 of the Code. {Sum of sub-items B1(c), B2(c), B3(c) and B4(c)}
5	Unsecured wholesale funding (as defined in BLR rule 39) (other than small business funding) and debt securities and prescribed instruments issued by the category 1 institution and redeemable within the LCR period (i.e. the sum of values in rows 6 to 8). {Sum of items B5, B6 and B7}
6	Operational deposits (as defined in BLR rule 39), calculated in accordance with clause 7 and meeting the qualifying criteria under clause 7(2) of the Code. {Sum of sub-items B5(a) and B5(b)}
7	Unsecured wholesale funding (other than small business funding and operational deposits), calculated in accordance with clauses 8 and 9 of the Code.[9] {Sum of sub-items B6(a)(i), B6(a)(ii) and B6(b)}
8	Debt securities and prescribed instruments (as defined in BLR rule 2(1)) issued by the category 1 institution and redeemable within the LCR period, irrespective of the type of investors holding such securities and instruments, calculated in accordance with clause 10 of the Code.[10] {Item B7}
9	Liabilities and obligations arising from secured funding transactions (including securities swap transactions) (as defined in BLR rule 39) due for settlement within the LCR period, calculated in accordance with clause 11 of the Code. {Sum of items B8 and B9}
10	Liabilities and obligations (and any additional liquidity requirements) arising from (1) derivative contracts and other transactions (and any related collateral requirements); (2) structured financing transactions; and (3) potential drawdown of undrawn committed facilities (i.e. the sum of values in rows 11 to 13). {Sum of items B10 to B19}
11	Liabilities and obligations arising from derivative contracts and other transactions. These include:- 1. Contractual net cash outflows arising from derivative contracts (as defined in BLR rule 39), calculated in accordance with clause 12 of the Code; and 2. Additional liquidity needs arising from:- 3. derivative contracts or other transactions with material adverse event clauses, calculated in accordance with clause 13 of the Code; 4. potential loss in market value of posted collateral securing derivative contracts or other transactions, calculated in accordance with clause 14 of the Code; 5. excess non-segregated collateral callable by counterparty under derivative contracts or other transactions, calculated in accordance with clause 15 of the Code; 6. collateral substitution under derivative contracts or other transactions, calculated in accordance with clause 16 of the Code; 7. contractual obligations to post collateral to counterparty under derivative contracts or other transactions, calculated in accordance with clause 17 of the Code; and 8. increase in collateral needs arising from adverse changes in market value of derivative contracts or other transactions, calculated in accordance with clause 18 of the Code. {Sum of items B10, B11, B12, B13, B14, B15 and B16}
12	Expected cash outflows arising from:- 1. repayment of funding obtained from structured financial instruments issued by the category 1 institution and redeemable within the LCR period, calculated in accordance with clause 19 of the Code; and 2. obligations for repayment of maturing debt or provision of funding or assets arising from any embedded option in structured financing transaction (as defined in BLR rule 39), calculated in accordance with clause 20 of the Code. {Sum of items B17 and B18}
13	Expected cash outflows arising from potential drawdown of undrawn committed credit facilities and committed liquidity facilities (as defined in BLR rule 39) within the LCR period, calculated in accordance with clause 21 of the Code. {Item B19}
14	Expected cash outflows arising from contractual lending obligations not otherwise included in Section B of the Template, calculated in accordance with clause 22 of the Code; and other contractual cash outflows (as defined in BLR rule 39), calculated in accordance with clause 24 of the Code. {Sum of items B20 and B22}
15	Other contingent funding obligations (as defined in BLR rule 39) (whether contractual or non-contractual), calculated in accordance with clause 23 of the Code. {Item B21}
16	Total cash outflows (i.e. the sum of values in rows 2, 5, 9, 10, 14 & 15). {Item B23}
17	Expected cash inflows arising from maturing secured lending transactions (including securities swap transactions) (as defined in BLR rule 39), calculated in accordance with clause 25 of the Code. {Sum of items C1, C2 and C3}
18	Expected cash inflows arising from (1) secured or unsecured loans (other than secured lending transactions) that are contractually due within the LCR period; and (2) operational deposits placed at other financial institutions, calculated in accordance with, respectively, clauses 26 and 29(b) of the Code. {Sum of items C4 and C8}
19	Expected cash inflows arising from:- 1. release of balances (whether in money or other assets) maintained by the category 1 institution in segregated accounts in accordance with requirements for protection of customer assets, calculated in accordance with clause 27 of the Code; 2. maturing securities not included by the category 1 institution in its HQLA, calculated in accordance with clause 28 of the Code; 3. undrawn facilities granted by the category 1 institution, calculated in accordance with clause 29(a) of the Code; 4. contractual net cash inflows arising from derivative contracts, calculated in accordance with clause 30 of the Code; and 5. other contractual cash inflows arising from assets, transactions or activities not otherwise covered in Section C of the Template, calculated in accordance with clause 31 of the Code. {Sum of items C5, C6, C7, C9 and C10}
20	Total cash inflows (i.e. the sum of values in rows 17 to 19). {Item C11}
21	Total HQLA (adjusted value): the weighted amount of total HQLA (net of any haircuts applicable to the assets concerned under BLR rule 35 and, if applicable, BLR rule 38), after the application of the 15% ceiling on level 2B assets and the 40% ceiling on the sum of level 2A and level 2B assets in accordance with BLR rules 33 and 34 as applicable. {Item A7}
22	Total Net Cash Outflows (adjusted value): the adjusted value of total net cash outflows means the weighted amount of total net cash outflows (with outflow and inflow rates applied to respective cash outflow and inflow items), after the application of the 75% inflow cap as applicable in accordance with BLR rule 40[11] (as read in conjunction with the Code). {Item B23 minus item C12}
23	LCR (%): the calculation of the “average value” of its LCR in this row should be based on the arithmetic mean of the LCR as at the end of each working day during the quarter. Accordingly, the average value of the AI’s LCR for quarter Qi should be calculated as: where (a) N is the number of data points used in calculating such value for the quarter; and (b) LCRn means the LCR at data point n. For the avoidance of doubt, the “average value” of the AI’s LCR for the quarter should not be simply calculated by dividing (i) the “average value” of its total HQLA for the quarter (row 21) by (ii) the “average value” of its total net cash outflows for the quarter (row 22). {Item D}

Template LIQ2: Net Stable Funding Ratio – for category 1 institution
Purpose:	To provide details of NSFR and details of ASF and RSF components.
Scope of application:	The template is mandatory for locally incorporated and overseas incorporated AIs that are designated as category 1 institution. A category 1 institution should disclose the required items in this template on:- 1. a consolidated basis – applicable to a category 1 institution incorporated in Hong Kong that is subject to BLR rule 11(1); 2. an unconsolidated basis – applicable to a category 1 institution incorporated in Hong Kong that is not subject to BLR rule 11(1) but subject to BLR rule 10(1)(b); or 3. a Hong Kong office basis – applicable to a category 1 institution:- - incorporated in Hong Kong that is not subject to BLR rule 10(1)(b) or 11 but subject to BLR rule 10(1)(a); and - incorporated outside Hong Kong that is subject to BLR rule 10(1)(a). A category 1 institution should indicate the basis on which the required disclosure items in this template are disclosed.
Content:	Items disclosed should be measured and defined according to the methodology and instructions set out in the Stable Funding Position Return (MA(BS)26). Data should be presented as quarter-end observations and in Hong Kong dollars or the equivalent amount of Hong Kong dollars.
Frequency:	Semi-annual (including two data sets covering the latest and the preceding quarter-ends).
Format:	Fixed.
Accompanying narrative:	An AI should provide a sufficient qualitative discussion on the NSFR to facilitate an understanding of the results and the accompanying data. For example, where significant, the AI should discuss: - the drivers of its NSFR results, the reasons for intra-period changes and the changes over time (e.g. changes in strategies, funding structure, circumstances); and - the composition of the AI’s interdependent assets and liabilities (as defined under Division 2 of Part 9 of the BLR) and to what extent these transactions are interrelated.
Corresponding BDR section:	16FL and 103AB

		(a)	(b)	(c)	(d)	(e)
Basis of disclosure: consolidated / unconsolidated / Hong Kong office (delete as appropriate)		Unweighted value by residual maturity				Weighted amount
No specified term to maturity	<6 months or repayable on demand	6 months to < 12 months	12 months or more
1. Available stable funding (“ASF”) item
1	Capital:
2	Regulatory capital
2a	Minority interests not covered by row 2
3	Other capital instruments
4	Retail deposits and small business funding:
5	Stable deposits
6	Less stable deposits
7	Wholesale funding:
8	Operational deposits
9	Other wholesale funding
10	Liabilities with matching interdependent assets
11	Other liabilities:
12	Net derivative liabilities
13	All other funding and liabilities not included in the above categories
14	Total ASF
1. Required stable funding (“RSF”) item
15	Total HQLA for NSFR purposes
16	Deposits held at other financial institutions for operational purposes
17	Performing loans and securities:
18	Performing loans to financial institutions secured by Level 1 HQLA
19	Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions
20	Performing loans, other than performing residential mortgage, to non-financial corporate clients, retail and small business customers, sovereigns, the Monetary Authority for the account of the Exchange Fund, central banks and PSEs, of which:
21	With a risk-weight of less than or equal to 35% under the STC approach
22	Performing residential mortgages, of which:
23	With a risk-weight of less than or equal to 35% under the STC approach
24	Securities that are not in default and do not qualify as HQLA, including exchange-traded equities
25	Assets with matching interdependent liabilities
26	Other assets:
27	Physical traded commodities, including gold
28	Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs
29	Net derivative assets
30	Total derivative liabilities before deduction of variation margin posted
31	All other assets not included in the above categories
32	Off-balance sheet items
33	Total RSF
34	Net Stable Funding Ratio (%)
Points to note: 1. the rows without a numerical row number introduce a section of the NSFR template (i.e. ASF and RSF) and do not require any value to be input; 2. the disclosure items shaded in light grey (e.g. rows 1, 4, 7, 10, 11) represent a broad sub-component category of the NSFR in the relevant section; 3. the unshaded disclosure items represent a sub-component within the major categories under ASF and RSF items, except that rows 21 and 23 are sub-components of rows 20 and 22, respectively. See explanatory note below for a more detailed explanation of the composition of such sub-components; 4. no disclosure is required for items shaded in dark grey (i.e. cells 5/a, 6/a, 8/a, 12/b-e, 14/a-d, 27/b-d, 28/b-d, 29/b-d, 30/b-d, 32/a, 33/a-d and 34/a-d).

Explanatory Note
Columns
(a) to (d)	Unweighted value by residual maturity: values entered in these columns should be the quarter-end observations of individual line items in accordance with the maturity bands. Items to be reported in column (a), i.e. the “no specified term to maturity” time bucket, do not have a stated maturity. These may include, but are not limited to, items such as capital with perpetual maturity, collective provisions, net derivative liabilities, currency notes and coins, equities, physical traded commodities, assets posted as initial margin for derivative contracts and contributions to default funds of CCPs, net derivative assets and total derivative liabilities before deduction of variation margin posted.
(e)	Weighted amount: values entered in this column are calculated in accordance with Part 9 of the BLR.
Rows
1	Capital: the sum of values in rows 2 to 3.
2	Regulatory capital: CET1 capital, Additional Tier 1 capital and Tier 2 capital as defined by Part 3 of the BCR before the application of any regulatory adjustments required by the BCR. Capital instruments that will be phased out for regulatory capital purposes after completion of the transitional arrangements as referred to in section 5, Schedule 4H to the BCR should not be included in this row. However, these capital instruments may be reported under row 2a or 3 where appropriate. To avoid doubt, the aggregated amount of total Tier 1 capital can be reported under the time bucket of “No specified term to maturity” (i.e. column (a)).
2a	Minority interests not covered by row 2: if there is any minority interest that has a specified term to maturity, report it under the relevant column. Otherwise, report under the time bucket of “No specified term to maturity” (i.e. column (a)).
3	Other capital instruments: total amount of any capital instruments not included in row 2 or 2a.
4	Retail deposits and small business funding: as defined in BLR rule 39, which are equal to the sum of values in rows 5 and 6.
5	Stable deposits: they comprise stable retail deposits and stable small business funding, as defined in the BLR.
6	Less stable deposits: they comprise retail deposits and small business funding as defined in the BLR but not already covered by row 5 above.
7	Wholesale funding: the sum of values in rows 8 and 9.
8	Operational deposits: as defined in BLR rule 39.
9	Other wholesale funding: it is funding (other than operational deposits) provided to the AI by non-financial corporates (other than small business customers), sovereigns, public sector entities (“PSEs”), multilateral development banks, national development banks, the Monetary Authority (“MA”) for the account of the Exchange Fund (“EF”), central banks, financial institutions and other entities.
10	Liabilities with matching interdependent assets: any liabilities that meet the descriptions in BLR rule 70 and match with interdependent assets should be included in this row and excluded from all other ASF items. For note-issuing banks, this row also includes the amount of legal tender notes in circulation issued by them, as follows: - for unweighted value, the legal tender notes in circulation should be included in column (a) for ‘no specified term to maturity’; - for weighted value, a note-issuing bank may choose either to (a) treat the amount for legal tender notes as $0; or (b) apply BLR rules 65 and 68 to determine such weighted amounts in accordance with BLR rule 69(2).
11	Other liabilities: the sum of values in rows 12 and 13.
12	Net derivative liabilities: in the unweighted cell, report the amount of net derivatives liabilities as calculated according to Part 9 of the BLR (i.e. the net amount of total derivative liabilities (after adjustments) in excess of total derivative assets (after adjustments)). The cell for weighted amount under net derivative liabilities is darkened given that the value will be zero after the 0% ASF is applied.
13	All other funding and liabilities not included in the above categories: report in this row all other funding and liabilities that are counted towards ASF under the BLR but not included in rows 1 to 12 above (e.g. debt securities or prescribed instruments issued, deferred tax liabilities, trade-date payables, etc).
14	Total ASF: the sum of all weighted amounts in rows 1, 4, 7, 10 and 11.
15 to 31	For any assets that are not free from encumbrances (as defined in Part 9 of the BLR), report the unweighted value in columns (a) to (d) taking into account their remaining terms to maturity and periods of encumbrance (whichever is subject to a higher RSF factor), and the weighted amount (i.e. after the applicable RSF factor for encumbered assets) in column (e).
15	Total HQLA for NSFR purposes: being unencumbered high quality liquid assets without regard to LCR operational requirements and caps on Level 2 and Level 2B assets that might otherwise limit the ability of some HQLA to be included as eligible in calculation of the LCR. Under the BLR, these items include: 1. currency notes and coins; 2. claims on the MA for the account of the EF or central banks that are repayable on demand or readily monetizable (including funds placed with the AI's HKD CHATS Account, or with central banks to meet reserve requirements, EF debt securities and central bank debt securities that qualify for HQLA); and 3. other level 1 assets, level 2A assets and level 2B assets held by the AI.
16	Deposits held at other financial institutions for operational purposes: as defined in Part 7 of the BLR.
17	Performing loans and securities: the sum of values in rows 18, 19, 20, 22 and 24.
18	Performing loans to financial institutions secured by Level 1 HQLA: comprising performing loans and funds (other than operational deposits) provided by the AI to other financial institutions that are secured by level 1 assets.
19	Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions: comprising performing loans and funds (other than operational deposits) provided by the AI to other financial institutions not already covered by row 18.
20	Performing loans, other than performing residential mortgages, to non-financial corporate clients, retail and small business customers, sovereigns, the MA for the account of the EF, central banks and PSEs: comprising performing loans and funds (which are not residential mortgages) provided by the AI to retail customers and wholesale customers (other than financial institutions) that are not covered by rows 15 to 19 and 22 to 23.
21	With a risk-weight of less than or equal to 35% under the STC approach: being the portion of amount reported in row 20 that is subject to a risk-weight of less than or equal to 35% under Division 3, Part 4 of the BCR.
22	Performing residential mortgages: comprising all performing residential mortgages provided by the AI. In determining the scope of residential mortgage, an AI could make reference to BCR §2(1) for the scope of row 22. For clarity sake, residential mortgage loans to financial institutions, if any, should be excluded from row 22 and be included in row 18 or 19 where appropriate. The aggregated values of rows 20 and 22 will correspond to item 7 in RSF section of its Return of Stable Funding Position (MA(BS)26).
23	With a risk-weight of less than or equal to 35% under the STC approach: being the portion of amount reported in row 22 that is subject to a risk-weight of less than or equal to 35% under Division 3, Part 4 of the BCR.
24	Securities that are not in default and do not qualify as HQLA including exchange-traded equities: comprising debt securities, prescribed instruments and listed equities held by the AI that are not already included in row 15. To avoid doubt, debt securities or prescribed instruments that are not marketable should also be covered by this row, while unlisted equities should be reported under row 31.
25	Assets with matching interdependent liabilities: any assets which meet the descriptions in BLR rule 70 and match with interdependent liabilities should be included in this row and excluded from all other RSF items. For note-issuing banks, this row also includes the amount of certificate of indebtedness that are issued under section 4(1) of the Exchange Fund Ordinance (Cap. 66), as follows: - for unweighted value, the certificates of indebtedness held should be included in column (a) for ‘no specified term to maturity’; - for weighted value, a note-issuing bank may choose either to (a) treat the amount for certificates of indebtedness as $0; or (b) apply BLR rules 65 and 68 to determine such weighted amounts in accordance with BLR rule 69(2).
26	Other assets: the sum of values in rows 27 to 31.
27	Physical traded commodities, including gold: including all physical traded commodities held by the AI.
28	Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs: including cash, securities and other assets posted by the AI as initial margins or default fund contributions under all derivative contracts regardless of whether the assets are maintained on the AI’s balance sheet.
29	Net derivative assets: in the unweighted cell, report the amount of net derivative assets as calculated according to Part 9 of the BLR (i.e. the net amount of the total derivative assets (after adjustments) in excess of total derivative liabilities (after adjustments)). Since net derivative assets are subject to an RSF factor of 100%, the amount reported in the weighted cell should be equal to the amount reported in the unweighted cell.
30	Total derivative liabilities before deduction of variation margin posted: in the unweighted cell, report the sum of the replacement costs of derivative contracts between the reporting AI and its counterparties, where each of those contracts has a negative replacement cost. The reported value should be in an absolute term (i.e. disregard the negative sign). In the weighted cell, report “N/A”[12] and exclude this element from the calculation of total weighted amount of RSF.
31	All other assets not included in the above categories: report in this row all other on-balance sheet assets that are counted towards RSF under the BLR but not included in rows 15 to 30 above (e.g. trade-date receivables, fixed assets, goodwill, investments in associated entities, unlisted equities, non-performing assets, etc).
32	Off-balance sheet items: the sum of all off-balance sheet obligations listed in Table 2, Schedule 6 to the BLR.
33	Total RSF: the sum of all weighted amounts in rows 15, 16, 17, 25, 26 and 32.
34	Net Stable Funding Ratio (%): presented as quarter-end observations.

Part VII: Interest rate risk in banking book

Table IRRBB: Interest rate exposures in banking book (related to financial year end before 30 June 2019)
Purpose:	To provide information on the impact of interest rate movements from an earnings perspective and an economic value perspective under each of the supervisory prescribed interest rate shock scenarios.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong. This table should be used for reporting an AI’s interest rate exposures related to financial year end before 30 June 2019. For interest rate exposures related to financial year end on or after 30 June 2019, an AI should use Table IRRBBA and Template IRRBB1 instead. If an AI is exempted under BCR §22(1) from calculating its market risk, it should aggregate the interest-rate-sensitive positions of banking book and trading book for disclosure purpose.
Content:	Qualitative and quantitative information.
Frequency:	Annual.
Format:	Flexible.
Accompanying narrative:	An AI should provide a commentary on the significance of the reported values and an explanation of any material changes since the end of the preceding reporting period.
Corresponding BDR section:	16ZP and 16ZQ

An AI should disclose the following information in respect of its interest rate exposures in the banking book:
Qualitative disclosures
1. the nature of the risk.
1. the key assumptions the AI uses in its measurement of the risk (including assumptions regarding loan prepayments and the behaviour of deposits without a fixed maturity).
Quantitative disclosures
1. the frequency of its measurement of the risk.
1. the variations in earnings or economic value (or other relevant measures used by the institution) for significant upward and downward interest rate movements in accordance with the method the institution uses for stress-testing, broken down by currency, if relevant. For this purpose, the AI should follow the methodology set out in the completion instructions for the Return of Interest Rate Risk Exposures (MA(BS)12) for the disclosure of the impact of interest rate movements on its earnings and economic value.

Table IRRBBA: Interest rate risk in banking book – risk management objectives and policies
Purpose:	To provide a description of the risk management objectives and policies concerning interest rate risk in the banking book (“IRRBB”).
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong. This table should be used for reporting an AI’s interest rate exposures related to financial year end on or after 30 June 2019.
Content:	Qualitative and quantitative information. The latter should be based on the daily or monthly average of the year or on the data as at the reporting date.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16ZP

An AI should describe the following elements of IRRBB risk management, where relevant:
Qualitative disclosures
(a)	A description of how the AI defines IRRBB for purposes of risk control and measurement.
(b)	A description of the AI’s overall IRRBB management and mitigation strategies. Examples include: 1. monitoring of economic value of equity (“EVE”) and net interest income (“NII”) in relation to established limits; 2. hedging practices; 3. conduct of stress testing; 4. outcome analysis; 5. the role of independent audit; 6. the role and practices of the ALCO; 7. the AI’s practices to ensure appropriate model validation; and 8. timely updates in response to changing market conditions.
(c)	The periodicity of the calculation of the AI’s IRRBB measures, and a description of the specific measures that the AI uses to gauge its sensitivity to IRRBB.
(d)	A description of the interest rate shock and stress scenarios that the AI uses to estimate changes in the economic value and in earnings.
(e)	Where significant modelling assumptions used in the AI’s internal measurement systems (“IMS”) (i.e. the EVE metric generated by the AI for purposes other than disclosure, e.g. for internal assessment of capital adequacy) are different from the modelling assumptions prescribed for the disclosure in template IRRBB1, the AI should provide a description of those assumptions and their directional implications and explain its rationale for making those assumptions (e.g. historical data, published research, management judgment and analysis).
(f)	A high-level description of how the AI hedges its IRRBB, as well as the associated accounting treatment.
(g)	A high-level description of key modelling and parametric assumptions used in calculating ΔEVE and ΔNII in template IRRBB1, which includes: 1. for ΔEVE, whether commercial margins and other spread components have been included in the cash flows used in the computation and discount rate used; 2. how the average repricing maturity of non-maturity deposits has been determined (including any unique product characteristics that affect assessment of repricing behaviour); 3. the methodology used to estimate the prepayment rates of customer loans, and/or the early withdrawal rates for time deposits, and other significant assumptions; 4. any other assumptions (including for instruments with behavioural optionalities that have been excluded) that have a material impact on the disclosed ΔEVE and ΔNII in template IRRBB1, including an explanation of why these are material; and 5. any methods of aggregation across currencies and any significant interest rate correlations between different currencies.
(h)	Any other information which the AI considers as relevant regarding its interpretation of the significance and sensitivity of the IRRBB measures disclosed and/or an explanation of any significant variations in the level of the reported IRRBB since previous disclosures.
Quantitative disclosures
1	Average repricing maturity assigned to non-maturity deposits (“NMDs”): This refers to notional-weighted maturity of NMDs.
2	Longest repricing maturity assigned to NMDs.

Template IRRBB1: Quantitative information on interest rate risk in banking book
Purpose:	To provide information on the changes in economic value of equity and net interest income under each of the prescribed interest rate shock scenarios in respect of its interest rate exposures arising from banking book positions.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong. This template should be used for reporting an AI’s interest rate exposures related to financial year end on or after 30 June 2019. If an AI is exempted under BCR §22(1) from calculating its market risk, it should aggregate the positions of banking book and trading book for disclosure purpose.
Content:	Quantitative information.
Frequency:	Annual.
Format:	Fixed.
Accompanying narrative:	An AI should provide a commentary on the significance of the reported values and an explanation of any material changes since the end of the preceding reporting period.
Corresponding BDR section:	16ZQ

			(a)	(b)	(c)	(d)
(in reporting currency)			ΔEVE		ΔNII
	Period		T	T-1	T	T-1
1	Parallel up
2	Parallel down
3	Steepener
4	Flattener
5	Short rate up
6	Short rate down
7	Maximum
	Period		T		T-1
8	Tier 1 capital

Explanatory Note
Columns
(a) & (b)	The change in the economic value of equity (“ΔEVE”) based on the standardised framework described in the Supervisory Policy Manual (“SPM”) module IR-1 “Interest Rate Risk in the Banking Book” and the Return on Interest Rate Risk in the Banking Book (MA(BS)12A) (“IRRBB return”).
(c) & (d)	The change in projected net interest income (“ΔNII”) over a forward-looking rolling 12-month period based on the methodology described in the SPM module IR-1 “Interest Rate Risk in the Banking Book” and the IRRBB return. The cells in rows 3 to 6 (in dark grey) need not be filled in.
Row
7	Maximum: This refers to the maximum of economic value of equity (across interest rate shock scenarios 1 to 6 above) and net interest income (across interest rate shock scenarios 1 and 2 above). Positive values indicate losses under the alternative scenarios.

Part VIII: Remuneration

Table REMA: Remuneration policy
Purpose:	To describe the remuneration policy as well as key features of the remuneration system to allow meaningful assessments by Pillar 3 data users of an AI’s compensation practices.
Scope of application:	The table is mandatory for all AIs incorporated in Hong Kong.
Content:	Qualitative information.
Frequency:	Annual.
Format:	Flexible.
Corresponding BDR section:	16ZS

An AI should describe the main elements of its remuneration system and how it developed this system. In particular, the following elements, where relevant, should be described:
(a)	Information relating to the bodies that oversee remuneration. Disclosures should include: 1. name, composition and mandate of the main body overseeing remuneration; 2. external consultants whose advice has been sought, the body by which they were commissioned, and in what areas of the remuneration process; 3. a description of the scope of the AI’s remuneration policy (e.g. by regions, business lines), including the extent to which it is applicable to foreign subsidiaries and branches; and 4. a description of the types of employees considered as key personnel and as senior managers.
(b)	Information relating to the design and structure of remuneration processes. Disclosures should include: 1. an overview of the key features and objectives of remuneration policy; 2. whether the remuneration committee reviewed the firm’s remuneration policy during the past year, and if so, an overview of any changes that were made, the reasons for those changes and their impact on remuneration; and 3. a discussion of how the AI ensures that risk and compliance employees are remunerated independently of the businesses they oversee.
(c)	Description of the ways in which current and future risks are taken into account in the remuneration processes. Disclosures should include an overview of the key risks, their measurement and how these measures affect remuneration.
(d)	Description of the ways in which the AI seeks to link performance during a performance measurement period with levels of remuneration. Disclosures should include: 1. an overview of main performance metrics for the institution, top-level business lines and individuals; 2. a discussion of how amounts of individual remuneration are linked to institution-wide and individual performance; and 3. a discussion of the measures the AI will in general implement to adjust remuneration in the event that performance metrics are weak, including the AI’s criteria for determining “weak” performance metrics.
(e)	Description of the ways in which the AI seeks to adjust remuneration to take account of longer-term performance. Disclosures should include: 1. a discussion of the AI’s policy on deferral and vesting of variable remuneration and, if the fraction of variable remuneration that is deferred differs across employees or groups of employees, a description of the factors that determine the fraction and their relative importance; and 2. a discussion of the AI’s policy and criteria for adjusting deferred remuneration before vesting and (if permitted by national law) after vesting through clawback arrangements.
(f)	Description of the different forms of variable remuneration that the AI utilises and the rationale for using these different forms. Disclosures should include: 1. an overview of the forms of variable remuneration offered (i.e. cash, shares and share-linked instruments and other forms); and 2. a discussion of the use of the different forms of variable remuneration and, if the mix of different forms of variable remuneration differs across employees or groups of employee), a description the factors that determine the mix and their relative importance.

Template REM1: Remuneration awarded during financial year
Purpose:	To provide quantitative information on remuneration for the financial year.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Quantitative information.
Frequency:	Annual.
Format:	Flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any significant movements over the reporting period and the key drivers of such movements. Where relevant, the accompanying narrative should include descriptions of the other forms of fixed and variable remuneration.
Corresponding BDR section:	16ZT

				(a)	(b)
Remuneration amount and quantitative information				Senior management	Key personnel
1		Fixed remuneration	Number of employees
2		Total fixed remuneration
3		Of which: cash-based
4		Of which: deferred
5		Of which: shares or other share-linked instruments
6		Of which: deferred
7		Of which: other forms
8		Of which: deferred
9		Variable remuneration	Number of employees
10		Total variable remuneration
11		Of which: cash-based
12		Of which: deferred
13		Of which: shares or other share-linked instruments
14		Of which: deferred
15		Of which: other forms
16		Of which: deferred
17		Total remuneration

Explanatory Note
Columns
(a) and (b)	Senior management and key personnel categories in columns (a) and (b) should correspond to the type of employees described in Table REMA. (Note: If an AI has such a small number of executives that individuals’ remuneration could be easily deduced from disclosure of a breakdown of the figures, it is acceptable for the AI, in so far as the sensitivity of the information will be disadvantageous to the AI, to disclose aggregate figures for senior management and key personnel. This is, however, provided that this fact and the reason for doing so (i.e. disclosing aggregate figures instead of disclosing separate figures) are adequately disclosed in the accompanying narrative.)
Rows
2	Total fixed remuneration: the sum of values in rows 3, 5 and 7.
7	Fixed remuneration – Of which: other forms: these other forms of fixed remuneration must be described in Table REMA and, where relevant, in the accompanying narrative of this template.
10	Total variable remuneration: the sum of values in rows 11, 13 and 15.
15	Variable remuneration – Of which: other forms: these other forms of variable remuneration must be described in Table REMA and, where relevant, in the accompanying narrative of this template.
17	Total remuneration: the sum of values in rows 2 and 10.

Template REM2: Special payments
Purpose:	To provide quantitative information on special payment for the financial year.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Quantitative information.
Frequency:	Annual.
Format:	Flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any significant movements over the reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZU

			(a)	(b)	(c)	(d)	(e)	(f)
Special payments			Guaranteed bonuses		Sign-on awards		Severance payments
Number of employees	Total amount	Number of employees	Total amount	Number of employees	Total amount
1		Senior management
2		Key personnel

Explanatory Note
Columns
(a) and (b)	Guaranteed bonuses: the number of employees granted and the payments of guaranteed bonuses during the financial year.
(c) and (d)	Sign-on awards: the number of employees granted and the payments allocated to employees upon recruitment during the financial year.
(e) and (f)	Severance payments: the number of dismissed employees compensated with severance payments and the payments allocated to employees dismissed during the financial year.
Rows
1 and 2	Senior management / Key personnel: the categories in rows 1 and 2 must correspond to the type of employees described in Table REMA. (Note: If an AI has such a small number of executives that individuals’ remuneration could be easily deduced from disclosure of a breakdown of the figures, it is acceptable for the AI, in so far as the sensitivity of the information will be disadvantageous to the AI, to disclose aggregate figures for senior management and key personnel. This is, however, provided that this fact and the reason for doing so (i.e. disclosing aggregate figures instead of disclosing separate figures) are adequately disclosed in the accompanying narrative.)

Template REM3: Deferred remuneration
Purpose:	To provide quantitative information on deferred and retained remuneration.
Scope of application:	The template is mandatory for all AIs incorporated in Hong Kong.
Content:	Quantitative information (amounts).
Frequency:	Annual.
Format:	Flexible.
Accompanying narrative:	An AI should supplement the template with a narrative commentary to explain any significant movements over the reporting period and the key drivers of such movements.
Corresponding BDR section:	16ZV

		(a)	(b)	(c)	(d)	(e)
Deferred and retained remuneration		Total amount of outstanding deferred remuneration	Of which: Total amount of outstanding deferred and retained remuneration exposed to ex post explicit and/or implicit adjustment	Total amount of amendment during the year due to ex post explicit adjustments	Total amount of amendment during the year due to ex post implicit adjustments	Total amount of deferred remuneration paid out in the financial year
1	Senior management
2	Cash
3	Shares
4	Cash-linked instruments
5	Other
6	Key personnel
7	Cash
8	Shares
9	Cash-linked instruments
10	Other
11	Total

Explanatory Note
Columns
(a)	This column should report the amounts of deferred remuneration accrued (cumulated) over the previous years as of the reporting date.
(b)	The amount reported in this column is a subset of that reported in column (a) which is subject to the following: 1. Outstanding exposed to ex post explicit adjustment:part of the deferred and retained remuneration that is subject to direct adjustment clauses (for instance, subject to malus, clawbacks or similar reversal or downward revaluations of awards). 2. Outstanding exposed to ex post implicit adjustment:part of the deferred and retained remuneration that is subject to adjustment clauses that could change the remuneration, due to the fact that they are linked to the performance of other indicators (for instance, fluctuation in the value of shares performance or performance units).
(c)	The definition in explanatory note (b)(i) above applies. It shows the movements specifically related to column (b) during the financial year.
(d)	The definition in explanatory note (b)(ii) above applies. It shows the movements specifically related to column (b) during the financial year.
(e)	This column, which shows the movements during the financial year, represents the payments that have affected the value disclosed in column (a).
Rows
1	Senior management: it should correspond to the type of employees described in table REMA, and its value is equal to the sum of values in rows 2 to 5.
6	Key personnel: it should correspond to the type of employees described in table REMA, and its value is equal to the sum of values in rows 7 to 10.
1 & 6	If an AI has such a small number of executives that individuals’ remuneration could be easily deduced from disclosure of a breakdown of the figures, it is acceptable for the AI, in so far as the sensitivity of the information will be disadvantageous to the AI, to disclose aggregate figures for senior management and key personnel. This is, however, provided that this fact and the reason for doing so (i.e. disclosing aggregate figures instead of disclosing separate figures) are adequately disclosed in the accompanying narrative.
11	Total: the sum of values in rows 1 and 6.

1. Regulatory treatment of capital instruments subject to transitional arrangements provided for in Schedule 4H to the BCR. ↑
2. Regulatory treatment of capital instruments not subject to transitional arrangements provided for in Schedule 4H to the BCR. ↑
3. “G-SIBs” for the purpose of disclosures in this template, refers to G-SIBs for which the MA is the home regulatory authority. ↑
4. For application of this threshold, the applicable exchange rates prescribed by the BCBS will be used. ↑
5. A reference to the template format and reporting instructions could be found on the BIS website: https://www.bis.org/bcbs/gsib/reporting_instructions.htm. ↑
6. The allocation of exposures to jurisdictions should be made taking into account the clarifications provided by the BCBS’s document, Frequently asked questions on the Basel III countercyclical capital buffer, dated October 2015, www.bis.org/bcbs/publ/d339.pdf. ↑
7. For mapping purpose, the explanatory notes to the following rows also provide the corresponding items in Part 2, Section (I) of the Return of Liquidity Position, in big brackets (i.e. { }). However, AIs should be cautious that they are only definition references for the items and should not be interpreted as a simple formula using which the values disclosed in the following rows are to be derived. For example, the definition reference for row 2 (item “Retail deposits and small business funding”) is {Sum of items B1 to B4}. The value to be disclosed in [LIQ1: 2/a] of this template for a particular quarter is, however, not equal to the simple summation of the principal amounts of items B1 to B4 as reported in Section (I), Part 2 of the Return of Liquidity Position for the month that ends on the close of the quarter. Rather, the value in [LIQ1: 2/a] should be calculated as the arithmetic mean of the unweighted value of “Retail deposits and small business funding” as at the end of each working day within the quarter (i.e. the average of all data points of item “Retail deposits and small business funding” in that quarter). See explanatory notes to columns (a) and (b) for the calculation method in details. ↑
8. These refer to the 15% ceiling on level 2B assets and the 40% ceiling on the sum of level 2A and level 2B assets. ↑
9. To avoid doubt, this row includes unsecured wholesale funding received in the course of providing correspondent banking and prime brokerage services (as defined in BLR rule 39). ↑
10. To avoid doubt, any expected cash outflows arising from the redemption of asset-backed securities, covered bonds or other structured financial instruments issued by the category 1 institution within the LCR period are to be reported in row 12 instead. ↑
11. The 75% inflow cap is binding on a category 1 institution if its weighted amount of total expected cash inflows exceeds 75% of its weighted amount of total expected cash outflows, in which case the excess portion cannot be used to offset the weighted amount of total expected cash outflows ↑
12. The local implementation of add-on RSF charge on derivative liabilities under the NSFR has been deferred (see the HKMA’s letter to the industry “Consultation on draft Banking (Liquidity) (Amendment) Rules 2017” dated 20 October 2017 for details). ↑