Return of Interest Rate Risk in the Banking Book

JA SECRET Co. No. MM YY CAT (For Official Use Only) und e r t he B ankin g O rdin an c e RETURN OF INTEREST RATE RISK IN THE BANKING BOOK Position of *Local Office(s)/Local Offices and Overseas Branches/Consolidated Basis A s a t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (last day of the quarter) Total number of selected currencies being 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 Institution Date of Submission T h e B a n k i n g O r d i n a n c e In fo rmation r eq u est ed in th is retu rn is r eq u ired u n d er s ect ion 6 3 (2 ) of th e Ban k in g Ord in an ce. Th e r etu rn sh ou ld b e su b mitted to th e M on etar y Au th orit y n ot lat er th an six week s aft er th e en d o f each q u arter en d in g 3 1 M arch , 3 0 June, 3 0 Sep temb er an d 3 1 Dec emb er, u n less oth er wis e ad vis ed b y th e M on etar y Au th o rit y. Note: This return is to be prepared in accordance with the completion instructions issued by the Monetary Authority. We c ertif y th at th is retu rn is , to th e b est o f ou r k n o wled g e an d b elief, c or r ect. 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 M A( B S ) 1 2 A ( 6 / 2 0 1 9 )

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

• Delete where inappropriate. (In HK$ Million or equivalent) INTEREST RATE-SENSITIVE ASSETS (Note (3)) TIME BAND

1. Total interest rate-sensitive assets 2. Fixed rate assets 3. Floating rate assets 4. Managed rate assets a. Total b. Residential mortgage loans c. Total weighted average yield d. Weighted average yield (Residential mortgage loans) a. Total b. Residential mortgage loans c. Retail loans subject to prepayment risk d. Non-retail loans subject to prepayment risk a. Total b. Residential mortgage loans a. Total b. Residential mortgage loans 2a+3a+4a 2b+3b+4b Next day or less (A) % % 2 days to 1 month (B) % % 1 to 3 months (C) % % 3 to 6 months (D) % % 6 to 9 months (E) % % 9 to 12 months (F) % % 1 to 1.5 years (G) % % 1.5 to 2 years (H) % % 2 to 3 years (I) % % 3 to 4 years (J) % % 4 to 5 years (K) % % 5 to 6 years (L) % % 6 to 7 years (M) % % 7 to 8 years (N) % % 8 to 9 years (O) % % 9 to 10 years (P) % % 10 to 15 years (Q) % % 15 to 20 years (R) % % More than 20 years (S) % % Total interest rate-sensitive assets Total (A to S) Total interest rate-sensitive assets (book value) (T) Total non-interest rate-sensitive assets (book value) (U) Total assets (book value) Total (T to U) Notes: (1) Locally incorporated Authorized Institutions (AIs) subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated AIs exempted from the market risk capital adequacy regime and overseas incorporated AIs required to complete MA(BS)12A have to report aggregate positions in the banking book and trading book. (2) 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. (3) Report items under different time bands based on the earliest interest repricing date as specified in the Completion Instructions.

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

• Delete where inappropriate. (In HK$ Million or equivalent) INTEREST RATE-SENSITIVE LIABILITIES (Note (3)) TIME BAND

5. Total interest rate-sensitive liabilities 6. Fixed rate liabilities 7. Floating rate liabilities 8. Managed rate liabilities a. Total b. Deposits c. Total weighted average interest costs d. Weighted average interest costs (Deposits) a. Total b. Deposits c. Retail deposits subject to early redemption risk d. Non-retail liabilities subject to early redemption risk a. Total b. Deposits a. Total b. Deposits 6a+7a+8a 6b+7b+8b Next day or less (A) % % 2 days to 1 month (B) % % 1 to 3 months (C) % % 3 to 6 months (D) % % 6 to 9 months (E) % % 9 to 12 months (F) % % 1 to 1.5 years (G) % % 1.5 to 2 years (H) % % 2 to 3 years (I) % % 3 to 4 years (J) % % 4 to 5 years (K) % % 5 to 6 years (L) % % 6 to 7 years (M) % % 7 to 8 years (N) % % 8 to 9 years (O) % % 9 to 10 years (P) % % 10 to 15 years (Q) % % 15 to 20 years (R) % % More than 20 years (S) % % Total interest rate-sensitive liabilities Total (A to S) Total interest rate-sensitive liabilities (book value) (T) Total non-interest rate-sensitive liabilities (book value) (U)+(V) Equity capital (book value) (U) Others (book value) (V) Total liabilities (book value) Total (T to V) Notes: (1) Locally incorporated Authorized Institutions (AIs) subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated AIs exempted from the market risk capital adequacy regime and overseas incorporated AIs required to complete MA(BS)12A have to report aggregate positions in the banking book and trading book. (2) 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. (3) Report items under different time bands based on the earliest interest repricing date as specified in the Completion Instructions.

Currency Code (For Official Use Only) Interest Rate Risk in the Banking Book (Form 3) Position of * Banking Book / Trading Book and Banking Book (Note (1)) Currency (Note (2)): __________________ Page ___ of ___

• Delete where inappropriate. (In HK$ Million or equivalent) OFF-BALANCE SHEET POSITIONS (Note (3)) TIME BAND

9. Total 10. Forward foreign exchange contracts
10. Interest rate swaps
11. Cross currency swaps
12. Futures / FRAs 14. Options (Note

4. 15. Others 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 10a+11a+12a+ 10b+11b+12b+ 13a+14a+15a 13b+14b+15b Next day or less (A) 2 days to 1 month (B) 1 to 3 months (C) 3 to 6 months (D) 6 to 9 months (E) 9 to 12 months (F) 1 to 1.5 years (G) 1.5 to 2 years (H) 2 to 3 years (I) 3 to 4 years (J) 4 to 5 years (K) 5 to 6 years (L) 6 to 7 years (M) 7 to 8 years (N) 8 to 9 years (O) 9 to 10 years (P) 10 to 15 years (Q) 15 to 20 years (R) More than 20 years (S) Total Options (T) Total off-balance sheet positions Total (A to T) Notes: (1) Locally incorporated Authorized Institutions (AIs) subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated AIs exempted from the market risk capital adequacy regime and overseas incorporated AIs required to complete MA(BS)12A have to report aggregate positions in the banking book and trading book. (2) 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. (3) Report items under different time bands based on the earliest interest repricing date as specified in the Completion Instructions. (4) Option contracts should be reported from the perspective of the option holder by using the delta equivalent value as outlined in paragraph 39 of the Completion Instructions

Currency Code (For Official Use Only) Interest Rate Risk in the Banking Book (Form 4) Position of * Banking Book / Trading Book and Banking Book (Note (1)) Currency (Note (2)): __________________ Page ___ of ___

• Delete where inappropriate. (In HK$ Million or equivalent) IMPACT / SCENARIO ANALYSIS TIME BAND

Net positions 17. Earnings perspective 18. Economic value perspective 19. Basis risk a. Excluding coupon cash flows b. Including coupon cash flows a. Time band mid￾point (years) b. Impact on earnings over the next 12 months (parallel up) c. Impact on earnings over the next 12 months (parallel down) a. Current EVE b. Impact on EVE (parallel up) c. Impact on EVE (parallel down) d. Impact on EVE (steepener) e. Impact on EVE (flattener) f. Impact on EVE (short rates up) g. Impact on EVE (short rates down) Period for which changes in interest rates last Scenario (i) All rates except for fixed and managed rates on interest rate￾sensitive assets are subject to the parallel up shock Scenario (ii) Managed rates on interest rate￾sensitive assets are subject to the parallel down shock while other rates remain unchanged 1a-5a +9a-9b Next day or less (A) 1 month 2 days to 1 month (B) 3 months 1 to 3 months (C) 0.1667 6 months 3 to 6 months (D) 0.375 12 months 6 to 9 months (E) 0.625 9 to 12 months (F) 0.875 1 to 1.5 years (G) 1.25 1.5 to 2 years (H) 1.75 2 to 3 years (I) 2.5 3 to 4 years (J) 3.5 4 to 5 years (K) 4.5 5 to 6 years (L) 5.5 6 to 7 years (M) 6.5 7 to 8 years (N) 7.5 8 to 9 years (O) 8.5 9 to 10 years (P) 9.5 10 to 15 years (Q) 12.5 15 to 20 years (R) 17.5 More than 20 years (S) 25 Options (Note 4) (T) Total (A to T) Tier 1 capital at reporting date (book value) (Note (3)) (U) Impact on EVE as % of Tier 1 capital (A to T) / (U) % % % % % % Total positions as % of total on-balance sheet interest rate-sensitive assets or liabilities, whichever is the larger, across all currencies (V) % Notes: (1) Locally incorporated Authorized Institutions (AIs) subject to the market risk capital adequacy regime are required to report positions in the banking book only. Other locally incorporated AIs exempted from the market risk capital adequacy regime and overseas incorporated AIs required to complete MA(BS)12A have to report aggregate positions in the banking book and trading book. (2) 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. (3) Report the Tier 1 capital for all currencies. Overseas incorporated institutions should refer to the Tier 1 capital of their head office. (4) Report the net (fair) value of interest rate options and its changes as outlined in paragraph 43 of the Completion Instructions.