Return of Interest Rate Risk Exposures under the Banking Ordinance

J SECRET C o . N o . M M Y Y CAT (For Official Use Only) under the Banking Ordinance RETURN OF INTEREST RATE RISK EXPOSURES Position of *Local Office(s)/Local Offices and Overseas Branches As at ............................................. (last day of the quarter) Total number of selected currencies bei ng reported (minimum 2): *Delete where inapplicable. Overseas incorporated institutions are required to report the position of their Hong Kong office(s) only. Name of Authorized Ins titution Date of Submission The Banking Ordinance Information requested in this return is required under s ection 63(2) of the Banking Ordinance. The return should be submitted to the Monetary Authority not later than one month after th e end of each quarter ending 31 March, 30 June, 30 September and 31 December, unless ot herwise advised by th e Monetary Authority. Note: This return is to be prepared in accordance with the completion instructions issued by the Monetary Authority. We certify that this return is, to the best of our knowledge and belief, correct. Chief Accountant Chief Executive Name and telephone number of responsible person who may be contacted by the Monetary Authority in case of any query. Name Telephone Number MA(BS)12(Rev. 12/2003)

Currency Code (For Official Use Only) Interest Rate Risk Exposures Position of * Banking Book / Trading Book and Banking Book (Note (1)) Currency (Note (2)): __________________ Page ___ of ___

• Delete where inappropriate. (In HK$ Million or equivalent)

1. Total interest bearing assets 2a+3a+4a 2b+3b+4b Next day or less (A) %% 2 to 7 days (B) %% 8 days to 1 month (C) %% 1 to 3 months (D) %% 3 to 6 months (E) %% 6 to 12 months (F) %% 1 to 2 years (G) %% 2 to 3 years (H) %% 3 to 4 years (I) %% 4 to 5 years (J) %% 5 to 7 years (K) %% 7 to 10 years (L) %% 10 to 15 years (M) %% 15 to 20 years (N) %% More than 20 years (O) %% Total book value Total (A to O) Non-interest bearing assets (P) Total assets Total (A to P) Notes: (1) (2) (3) TIME BAND d. Weighted average yield (Residential mortgage loans)
2. Fixed rate assets 3. Variable rate assets a. Total INTEREST BEARING ASSETS (Note (3))
3. Managed rate assets a. Total b. Residential mortgage loans b. Residential mortgage loans c. Total weighted average yield b. Residential mortgage loans b. Residential mortgage loans a. Total a. Total Report items under different time bands based on the earliest interest repricing date as specified in the Completion Instructions. Subject to the HKMA's approval, reporting based on behavioural maturity may be allowed for authorized institutions that can meet the criteria set out in the Completion Instructions. Report interest rate risk exposures in major currencies as defined in the Completion Instructions, including at least Hong Kong dollar and US dollar (nil returns are required for these two currencies). Use the same return form for each currency. Locally incorporated authorized institutions subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated institutions exempted from the market risk capital adequacy regime and overseas incorporated institutions are required to report aggregate positions in the banking book and trading book.

Currency Code (For Official Use Only) Interest Rate Risk Exposures Position of * Banking Book / Trading Book and Banking Book (Note (1)) Currency (Note (2)): __________________ Page ___ of ___

• Delete where inappropriate. (In HK$ Million or equivalent)

5. Total interest bearing liabilities 6a+7a+8a 6b+7b+8b Next day or less (A) %% 2 to 7 days (B) %% 8 days to 1 month (C) %% 1 to 3 months (D) %% 3 to 6 months (E) %% 6 to 12 months (F) %% 1 to 2 years (G) %% 2 to 3 years (H) %% 3 to 4 years (I) %% 4 to 5 years (J) %% 5 to 7 years (K) %% 7 to 10 years (L) %% 10 to 15 years (M) %% 15 to 20 years (N) %% More than 20 years (O) %% Total book value Total (A to O) Non-interest bearing liabilities (P)+(Q) Equity capital (P) Others (Q) Total liabilities Total (A to Q) Notes: (1) (2) (3) TIME BAND
6. Fixed rate liabilities 7. Variable rate liabilities 8. Managed rate liabilities INTEREST BEARING LIABILITIES (Note (3)) a. Total b. Deposits c. Total weighted average interest costs d. Weighted average interest costs (Deposits) a. Total b. Deposits a. Total b. Deposits a. Total b. Deposits Report items under different time bands based on the earliest interest repricing date as specified in the Completion Instructions. Subject to the HKMA's approval, reporting based on behavioural maturity may be allowed for authorized institutions that can meet the criteria set out in the Completion Instructions. Report interest rate risk exposures in major currencies as defined in the Completion Instructions, including at least Hong Kong dollar and US dollar (nil returns are required for these two currencies). Use the same return form for each currency. Locally incorporated authorized institutions subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated institutions exempted from the market risk capital adequacy regime and overseas incorporated institutions are required to report aggregate positions in the banking book and trading book.

Currency Code (For Official Use Only) Interest Rate Risk Exposures Position of * Banking Book / Trading Book and Banking Book (Note (1)) Currency (Note (2)): __________________ Page ___ of ___

• Delete where inappropriate. (In HK$ Million or equivalent) 10a+11a+12a+ 13a+14a+15a 10b+11b+12b+ 13b+14b+15b Next day or less (A) 2 to 7 days (B) 8 days to 1 month (C) 1 to 3 months (D) 3 to 6 months (E) 6 to 12 months (F) 1 to 2 years (G) 2 to 3 years (H) 3 to 4 years (I) 4 to 5 years (J) 5 to 7 years (K) 7 to 10 years (L) 10 to 15 years (M) 15 to 20 years (N) More than 20 years (O) Total off-balance sheet positions Total (A to O) Notes: (1) (2) (3)

14. Options 15. Others TIME BAND
15. Total 10. Forward foreign exchange contracts
16. Interest rate swaps
17. Cross currency swaps
18. Futures / FRAs OFF-BALANCE SHEET POSITIONS (Note (3)) a. Long b. Short a. Long b. Short a. Long b. Short a. Long b. Short a. Long b. Short a. Long b. Short a. Long b. Short Report interest rate risk exposures in major currencies as defined in the Completion Instructions, including at least Hong Kong dollar and US dollar (nil returns are required for these two currencies). Use the same return form for each currency. Locally incorporated authorized institutions subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated institutions exempted from the market risk capital adequacy regime and overseas incorporated institutions are required to report aggregate positions in the banking book and trading book. Report items under different time bands based on the earliest interest repricing date as specified in the Completion Instructions. Subject to the HKMA's approval, reporting based on behavioural maturity may be allowed for authorized institutions that can meet the criteria set out in the Completion Instructions.

Currency Code (For Official Use Only) Interest Rate Risk Exposures Position of * Banking Book / Trading Book and Banking Book (Note (1)) Currency (Note (2)): __________________ Page ___ of ___

• Delete where inappropriate. (In HK$ Million or equivalent) Scenario (i) All rates except for fixed and managed rates on interest bearing assets rise by 200 basis points Scenario (ii) Managed rates on interest bearing assets drop by 200 basis points while other rates remain unchanged 1a-5a +9a-9b (rounded to the nearest HK$ Million) 16 x 17a (rounded to the nearest HK$ Million) 16 x 18a (rounded to the nearest HK$ Million) (rounded to the nearest HK$ Million) Next day or less (A) 1.997% 0.00% 1 month 2 to 7 days (B) 1.975% 0.02% 3 months 8 days to 1 month (C) 1.896% 0.10% 6 months 1 to 3 months (D) 1.667% 0.32% 12 months 3 to 6 months (E) 1.250% 0.72% 6 to 12 months (F) 0.500% 1.43% 1 to 2 years (G) 2.77% 2 to 3 years (H) 4.49% 3 to 4 years (I) 6.14% 4 to 5 years (J) 7.71% 5 to 7 years (K) 10.15% 7 to 10 years (L) 13.26% 10 to 15 years (M) 17.84% 15 to 20 years (N) 22.43% More than 20 years (O) 26.03% Total (A to F) Total (A to O) Total capital base at reporting date (Note (3)) (P) Impact on economic value as % of total capital base [Total (A to O)] / (P) % Notes: (1) (2) (3)

Earnings perspective 18. Economic value perspective IMPACT / SCENARIO ANALYSIS TIME BAND 16. Net positions Period for which changes in interest rates last Impact on earnings 19. Basis risk (for both on- and off-balance sheet positions) a. Time weight on earnings b. Impact on earnings over the next 12 months if interest rates rise by 200 basis points a. Weighting factor for standardised interest rate shock b. Impact on economic value if interest rates rise by 200 basis points Report the total capital base for all currencies. Overseas incorporated institutions should refer to the total capital base of their head office. Report interest rate risk exposures in major currencies as defined in the Completion Instructions, including at least Hong Kong dollar and US dollar (nil returns are required for these two currencies). Use the same return form for each currency. Locally incorporated authorized institutions subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated institutions exempted from the market risk capital adequacy regime and overseas incorporated institutions are required to report aggregate positions in the banking book and trading book.