Revised Return of Capital Adequacy Ratio (Form MA(BS)3) and New Return of Leverage Ratio (Form MA(BS)27) Annex 1: Revised CAR Return Template — HKMA — HK

R1 /
Co. No. M M Y Y CAT.
(For Official Use Only)

Delete which is not appropriate. Combined and consolidated returns are defined in the completion instructions.
Name of Authorized Institution Date of Submission Information requested in this return is required under section 63(2) of the Banking Ordinance. The return should be submitted to the Monetary Authority not later than 1 month after the end of each period, unless otherwise advised by the 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.
The capital adequacy ratio, was at any time not less than that specified under section 3A or 3B of the Banking (Capital)
Rules or, if applicable, as specified by the Monetary Authority in a notice served on the institution under section 97F(1) of the Banking Ordinance. Chief Accountant Name Name and telephone number of responsible person who may be contacted by the Monetary Authority in case of any query Name MA(BS)3 (Rev 03/2018) The Banking Ordinance Chief Executive Name Telephone Number SECRET under the Banking Ordinance CAPITAL ADEQUACY RATIO OF AN AUTHORIZED INSTITUTION INCORPORATED IN HONG KONG *COMBINED / CONSOLIDATED RETURN As at ______________________

Part I: Summary Certificate on Capital Adequacy Ratios
Division A: Calculation of Capital Adequacy Ratios Item Nature of item Reference Column 1 HK$'000 Column 2 HK$'000 Column 3 HK$'000

Capital Base Part II
1.1 Tier 1 Capital (A)
1.1(i) Common Equity Tier 1 Capital (B) 1.1(ii) Additional Tier 1 Capital
1.2 Tier 2 Capital
1.3 Total Capital (C)
Calculation of Total Risk-weighted Amount
2.1 Risk-weighted amount for credit risk (BSC Approach) Part IIIa
2.2 Part IIIb
2.3 Risk-weighted amount for credit risk (IRB Approach) Part IIIc
2.4 Risk-weighted amount for credit risk (CCP) Part IIIe
2.5 Risk-weighted amount for credit risk (CVA) Part IIIf
(only for AIs not using IRB approach) 2.6 (i) SEC-IRBA Part IIId [Item 2.6(i) = Part IIId: Item A5(a)] (ii) Part IIId [Item 2.6(ii) = Part IIId: Item A5(b) + Item A6]
2.7 Total risk-weighted amount for credit risk
[Item 2.7 = Item 2.1 + Item 2.2 + Item 2.3 + Item 2.4 + Item 2.5

Item 2.6(i) + Item 2.6(ii)]
2.8 Risk-weighted amount for market risk Part IV
2.9 Risk-weighted amount for operational risk Part V
2.10 Additional risk-weighted amount due to application of Division B
capital floor (only for AIs using IRB Approach)
2.11 Total risk-weighted amount before deductions
[Item 2.11 = Item 2.7 + Item 2.8 + Item 2.9 + Item 2.10]
2.12 Deductions:
(i) Portion of regulatory reserve for general banking risks and collective provisions which is not included in Tier 2 Capital (ii) Portion of cumulative fair value gains arising from the revaluation of land and buildings which is not included in Tier 2 Capital (iii) Total deductions (i) + (ii)
2.13 Total risk-weighted amount (D)
[Item 2.13 = Item 2.11 - Item 2.12(iii)]

Calculation of Common Equity Tier 1 Capital Ratio
[(B) / (D)] x 100% = %
Calculation of Tier 1 Capital Ratio
[(A) / (D)] x 100% = %
Calculation of Total Capital Ratio
[(C) / (D)] x 100% = %
IRB coverage (only for AIs using IRB Approach)
[(Item 2.3 + Item 2.6(i)) / (Item 2.7 - Item 2.4)] % x 100% (only for exposures that are risk-weighted under BSC approach, STC approach, SEC-IRBA, SEC-SA and SEC-FBA) Risk-weighted amount for credit risk (STC Approach) Risk-weighted amount for credit risk for securitization exposures under:
SEC-ERBA, SEC-SA and SEC-FBA

Part I: 1 -

Division B: Calculation of Capital Floor (Only for authorized institutions using IRB Approach) Is the authorized institution subject to capital floor? (If yes, proceed to the table below; if no, go directly to Part I Division C) - / Yes / No Item Nature of item Reference Column 1 HK$'000 Column 2 HK$'000 1. (i) (a) under BSC Approach (where applicable) Part IIIa (b) under STC Approach (where applicable) Part IIIb (c) under SEC-ERBA, SEC-SA and SEC-FBA (where applicable) Part IIId (d) under Division 4 of Part 6A - CCP exposures (where applicable) Part IIIe (e) under Division 3 of Part 6A - CVA (where applicable) Part IIIf (ii) Part IV (iii) Part V (iv) (v) (vi) Part II (vii) Part II (viii) (ix) % (x) 2. (i) (a) under BSC Approach (where applicable) Part IIIa (b) under STC Approach (where applicable) Part IIIb (c) under IRB Approach Part IIIc (d) under SEC-ERBA, SEC-SA and SEC-FBA (where applicable) Part IIId (e) under SEC-IRBA Part IIId (f) under Division 4 of Part 6A - CCP exposures (where applicable) Part IIIe (ii) Part IV (iii) Part V (iv) (v) (vi) Part II (vii) Part II (viii) Part II (ix) 3.
4. Additional risk-weighted amount due to application of capital floor
[Item 4 = max(0, Item 3) x 12.5]
Calculation of capital charge under the various approaches in use Less: Surplus provisions derived from EL-EP calculation under the IRB approach and the portion of its total regulatory reserve for general banking risks and collective provisions relevant to the SEC-IRBA approach Difference in adjusted capital charge [Item 3 = Item 1(x) - Item 2(ix)] Risk-weighted amount for market risk Total risk-weighted amount [Item 2(iv) = Item 2(i) + Item 2(ii) + Item 2(iii)] 8% of total risk-weighted amount [Item 2(iv) x 8%] Adjusted capital charge [Item 2(ix) = Item 2(v) + Item 2(vi) - Item 2(vii) - Item 2(viii)] Less: Portion of regulatory reserve for general banking risks and collective provisions included in Tier 2 Capital Plus: Deductions from Common Equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital Calculation of capital charge for the application of capital floor Risk-weighted amount for credit risk Risk-weighted amount for market risk Total risk-weighted amount [Item 1(iv) = Item 1(i) + Item 1(ii) + Item 1(iii)] Risk-weighted amount for operational risk 8% of total risk-weighted amount [Item 1(v) = Item 1(iv) x 8%] Plus: Deductions from Common Equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital Capital floor adjustment factor [Please specify: %] Risk-weighted amount for operational risk Adjusted capital charge after applying capital floor adjustment factor [Item 1(x) = Item 1(viii) x Item 1(ix)] Adjusted capital charge before applying capital floor adjustment factor [Item 1(viii) = Item 1(v) + Item 1(vi) - Item 1(vii)] Less: Portion of regulatory reserve for general banking risks and collective provisions included in Tier 2 Capital Risk-weighted amount for credit risk

Part I: 2 -

Division C: Capital Buffer Requirements Item Nature of item Column 1

Net CET1 capital ratio %
2 Buffer level [Item 2 = Item 2.1 + Item 2.2 + Item 2.3] % of which:
2.1 Capital conservation buffer ratio %
2.2 Countercyclical capital buffer ratio %
2.3 Higher loss absorbency ratio %
(applicable if the institution is a G-SIB or a D-SIB)

Part I: 3 -

Part II: Capital Base
Column 1 Column 2
Item Nature of item HK$'000 HK$'000 Category I - Common Equity Tier 1 ("CET1") Capital (a) CET1 capital instruments (b) Share premium arising from item (a) (c) Retained earnings (i) of which: unaudited profit or loss of the current financial year and profit or loss of the immediately preceding financial year pending audit completion (d) Disclosed reserves (i) of which: fair value through other comprehensive income - financial assets Minority interests arising from CET1 capital instruments issued by the consolidated bank subsidiaries and held by third parties CET1 CAPITAL BEFORE DEDUCTIONS (A) (f) Deduct:
Cumulative cash flow hedge reserves that relate to the hedging of financial instruments that are not fair valued on the balance sheet and result from changes in the own credit risk (excluding any debt valuation adjustments referred to in item (xii)) Cumulative fair value gains arising from the revaluation of land and buildings (covering both own-use and investment properties) (iv) Regulatory reserve for general banking risks (v) Goodwill (net of related deferred tax liability) (vi) Other intangible assets (net of related deferred tax liability) (1) of which: Mortgage servicing rights (vii) Defined benefit pension fund assets (net of related deferred tax liability) (viii) Deferred tax assets in excess of deferred tax liabilities (ix) Credit-enhancing interest-only strip, and any gain-on-sale and other increase in the CET1 capital arising from securitization transactions (x) Securitization exposures specified in a notice given by the MA (xi) Valuation adjustments (xii) Debit valuation adjustments in respect of derivative contracts (xiii) Excess of total EL amount over total eligible provisions under the IRB Approach Cumulative losses below depreciated cost arising from the institution's holdings of land and buildings (xv) Capital shortfall of regulated non-bank subsidiaries (xvi) Investments in own CET1 capital instruments Reciprocal cross holdings in CET1 capital instruments issued by any financial sector entities (e) Cumulative fair value gains or losses on liabilities of the institution that are fair-valued (xvii) (i) (iii) (xiv) (ii)

Part II: 1 -

Column 1 Column 2
Item Nature of item HK$'000 HK$'000 Capital investment in a connected company which is a commercial entity (amount of the net book value of such investment in excess of 15% of the institution's capital base) (1) of which: any amount of loans, facilities or other credit exposures that is required by section 46(1) of BCR to be aggregated with item (f)(xviii) Insignificant capital investments in CET1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement (1) of which: any amount of loans, facilities or other credit exposures that is required by section 46(2) of BCR to be aggregated with item (f)(xix) Significant capital investments in CET1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement (1) of which: any amount of loans, facilities or other credit exposures that is required by section 46(2) of BCR to be aggregated with item (f)(xx) For completion of return on a solo / solo-consolidated basis:
Direct holdings of CET1 capital instruments issued by financial sector entities that are members of the institution's consolidation group (1) of which: any loans, facilities or other credit exposures that is required by section 46(2) of BCR to be aggregated with item (f)(xxi) Regulatory deductions applied to CET1 capital due to insufficient Additional Tier 1 capital to cover the required deductions CET1 CAPITAL AFTER DEDUCTIONS (B) Category II - Additional Tier 1 capital (g) Additional Tier 1 capital instruments issued and share premium, if any (i) of which: amount that is subject to phase out Applicable amount of capital instruments issued by the consolidated bank subsidiaries and held by third parties ADDITIONAL TIER 1 CAPITAL BEFORE DEDUCTIONS (C) (i) Deduct:
(i) Investments in own Additional Tier 1 capital instruments Reciprocal cross holdings in Additional Tier 1 capital instruments issued by financial sector entities Insignificant capital investments in Additional Tier 1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement Significant capital investments in Additional Tier 1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement For completion of return on a solo / solo-consolidated basis:
Direct holdings of Additional Tier 1 capital instruments issued by financial sector entities that are members of the institution's consolidation group Regulatory deductions applied to Additional Tier 1 capital due to insufficient Tier 2 capital to cover the required deductions ADDITIONAL TIER 1 CAPITAL AFTER DEDUCTIONS (D) TIER 1 CAPITAL AFTER DEDUCTIONS (B) + (D) = (E) (xviii) (xix) (xx) (iv) (ii) (xxii) (xxi) (h) (v) (iii) (vi) Anti- Anti Solo -avoidance Solo Anti-avoidance - Solo

Part II: 2 -

Column 1 Column 2
Item Nature of item HK$'000 HK$'000 Category III - Tier 2 capital (j) Tier 2 capital instruments issued and share premium, if any (i) of which: amount that is subject to phase out Applicable amount of capital instruments issued by the consolidated bank subsidiaries and held by third parties (l) Reserves attributable to fair value gains on revaluation of holdings of land and buildings Regulatory reserve for general banking risks (For the portion apportioned to BSC approach or STC approach, and SEC-ERBA, SEC-SA and SEC-FBA) Collective provisions (For the portion apportioned to BSC approach or STC approach, and SEC-ERBA, SEC-SA and SEC-FBA) Total of (m) & (n) included in Tier 2 Capital (Limited to 1.25% of risk-weighted amount for credit risk calculated by using BSC approach or STC approach, and SEC-ERBA, SEC-SA and SEC-FBA) (p) Surplus provisions for exposures calculated by using IRB approach Regulatory reserve for general banking risks and collective provisions apportioned to SEC-IRBA TIER 2 CAPITAL BEFORE DEDUCTIONS (F) (r) Deduct:
(i) Investments in own Tier 2 capital instruments (ii) Reciprocal cross holdings in Tier 2 capital instruments issued by financial sector entities Insignificant capital investments in Tier 2 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement Significant capital investments in Tier 2 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement For completion of return on a solo / solo-consolidated basis:
Direct holdings of Tier 2 capital instruments issued by financial sector entities that are members of the institution's consolidation group TIER 2 CAPITAL AFTER DEDUCTIONS (G) CAPITAL BASE (E) + (G) = (H) (n) (q) (v) (iii) (iv) (Limited to 0.6% of risk-weighted amount for credit risk calculated by using SEC-IRBA) (o) (m) (k)

Part II: 3 -

Part IIIa: Risk-weighted Amount for Credit Risk (BSC Approach)
Division A: Risk-weighted Amount (On-balance Sheet) RiskPrincipal Risk- weighted Amount x weight = Amount Item Nature of item HK$'000 % HK$'000 Class I Sovereign Exposures

Loans to or guaranteed by the sovereigns of Tier 1 countries 0 0
Holding of fixed rate debt securities with a residual
maturity of less than 1 year or floating rate debt securities of any maturity issued by the sovereigns of Tier 1 countries 10
Holding of fixed rate debt securities with a residual
maturity of not less than 1 year issued by the sovereigns of Tier 1 countries 20
Holding of fixed rate debt securities with a residual
maturity of less than 1 year or floating rate debt securities of any maturity guaranteed by the sovereigns of Tier 1 countries 10
Holding of fixed rate debt securities with a residual
maturity of not less than 1 year guaranteed by the sovereigns of Tier 1 countries 20
Loans to or guaranteed by the sovereigns of Tier 2 countries
which are domestic currency exposures 0 0
Holding of fixed rate debt securities with a residual
maturity of less than 1 year or floating rate debt securities of any maturity issued by the sovereigns of Tier 2 countries, which are domestic currency exposures 10
Holding of fixed rate debt securities with a residual
maturity of not less than 1 year issued by the sovereigns of Tier 2 countries, which are domestic currency exposures 20
Holding of fixed rate debt securities with a residual
maturity of less than 1 year or floating rate debt securities of any maturity where: (i) the securities are guaranteed by the sovereigns of Tier 2 countries
Holding of fixed rate debt securities with a residual
maturity of not less than 1 year where: (i) the securities are guaranteed by the sovereigns of Tier 2 countries and (ii) the securities are domestic currency exposures 20
Other exposures to the sovereigns of Tier 2 countries 100
Exposures to relevant international organizations 0 0
SUBTOTAL and (ii) the securities are domestic currency exposures

Part IIIa: 1 -

RiskPrincipal Risk- weighted
Amount x weight = Amount
Item Nature of item HK$'000 % HK$'000 Class II Public Sector Entity (PSE) Exposures
13. Exposures to PSEs of Tier 1 countries 20
14. Exposures to PSEs of Tier 2 countries 100
SUBTOTAL
Class III Multilateral Development Bank (MDB) Exposures
15. Exposures to MDBs 0 0
SUBTOTAL 0
Class IV Bank Exposures
16. Exposures to authorized institutions 20
17. Exposures to banks incorporated in Tier 1 countries 20
18. Exposures to banks incorporated in Tier 2 countries
with a residual maturity of less than 1 year 20
19. Exposures to banks incorporated in Tier 2 countries
with a residual maturity of not less than 1 year 100 SUBTOTAL Class V Cash Items
20. Notes and coins 0 0
21. Government certificates of indebtedness 0 0
22. Gold bullion held in own vault or on an allocated
basis, to the extent backed by gold liabilities 0 0
23. Gold bullion held not backed by gold liabilities 100
24. Cash items in the course of collection 20
25. Positive current exposures from delivery-versuspayment transactions which remain unsettled
after the settlement date
25a. for up to 4 business days 0 0 25b. for 5 to 15 business days 100 25c. for 16 to 30 business days 625 25d. for 31 to 45 business days 937.5 25e. for 46 or more business days 1,250
26. Exposures collateralized by cash deposits 0 0
SUBTOTAL

Part IIIa: 2 -

RiskPrincipal Risk- weighted
Amount x weight = Amount
Item Nature of item HK$'000 % HK$'000 Class VI Residential Mortgage Loans (RMLs) 27a. Eligible RMLs 50 27b. RMLs that are risk-weighted according to the standard of an overseas regulatory authority 27c. Other RMLs 100 SUBTOTAL Class VII Other Exposures 28a. Exposures to corporates or individuals not elsewhere reported 100 28b. Investments in equity or other capital instruments issued by financial sector entities (other than those subject to capital deduction or 250% risk-weight) 100 28c. Investments in equity of other entities (other than those subject to 1250% risk-weight) and holding of collective investment schemes 100 28d. Premises, plant and equipment, other fixed assets for own use, and other interest in land 100 28e. Investments in capital instruments issued by financial sector entities (other than those subject to capital deduction) 250 28f. Multiple-name credit-linked notes 28g. Other on-balance sheet exposures which are not elsewhere reported 100 28h(1) 28h(2) 28h(3) 28h(4) SUBTOTAL Class VIII Exposures subject to 1250% risk-weight 29a. First loss portion of credit protection 1250 29b. 1250 29c. SUBTOTAL Non-DVP transactions remain unsettled for 5 or more business days Significant exposures to commercial entities

Part IIIa: 3 -

Division B: Risk-weighted Amount (Off-balance Sheet) Principal Credit Credit RiskAmount x Conversion = Equivalent weighted Item Nature of item HK$'000 Factor Amount Amount % HK$'000 HK$'000

Direct credit substitutes 100
Transaction-related contingencies 50
Trade-related contingencies 20
Asset sales with recourse 100
Forward asset purchases 100
Partly paid-up shares and securities 100
Forward forward deposits placed 100
Note issuance and revolving
underwriting facilities 50
9a. Commitments that are unconditionally cancellable without prior notice 0 9b. Other commitments (CCF at 20%) 20 9c. Other commitments (CCF at 50%) 50 SUBTOTAL

Part IIIa: 4 -

Item Nature of item
10. Exchange rate contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 HK'000 HK$'000 10a. 1 year or less 10b. Over 1 year to 5 years 10c. Over 5 years SUBTOTAL
11. Interest rate contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 11a. 1 year or less 11b. Over 1 year to 5 years 11c. Over 5 years SUBTOTAL
12. Equity contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 12a. 1 year or less 12b. Over 1 year to 5 years 12c. Over 5 years SUBTOTAL
13. Precious metal contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 13a. 1 year or less 13b. Over 1 year to 5 years 13c. Over 5 years SUBTOTAL Default Risk Exposures (Current Exposure Method): Bilateral Trades - Derivative Contracts (including centrally cleared trades that are treated as bilateral trades)

Part IIIa: 5 -

Item Nature of item
14. Debt security contracts or other commodity contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 14a. 1 year or less 14b. Over 1 year to 5 years 14c. Over 5 years SUBTOTAL
15. Credit derivative contracts
Credit Risk-
Type of Contract Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 15a. Total return swaps 15b. Credit default swaps SUBTOTAL
16. Derivative contracts subject to valid bilateral netting agreements
Netted exposures of Net Net Credit Riskderivative contracts Principal Current Potential Equivalent weighted subject to bilateral Amount Exposure Exposure Amount Amount netting agreements HK$'000
17. Other derivative contracts not specified above
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 17a. 1 year or less 17b. Over 1 year to 5 years 17c. Over 5 years SUBTOTAL Risk18. SFTs Principal weighted Amount Amount HK$'000 HK$'000 Default Risk Exposures (Non-IMM(CCR) Approach): Bilateral Trades - SFTs (including centrally cleared trades that are treated as bilateral trades)

Part IIIa: 6 -

Item Nature of item Portfolio-level Risk-weighted Amount HK$'000
19. Based on current market data
20. Based on stress calibration
Item Nature of item
21. Netting sets (not subject to recognized netting)
Risk-
Type of Contract Principal Default Risk weighted Amount Exposure Amount HK$'000 21a. Derivative contracts 21b. SFTs 21c. Long settlement transactions SUBTOTAL
22. Netting sets (subject to valid bilateral netting agreements)
Risk-
Type of Contract Principal Default Risk weighted Amount Exposure Amount HK$'000 22a. Derivative contracts 22b. SFTs 22c. Long settlement transactions SUBTOTAL
23. Netting sets (subject to valid cross-product netting agreements)
RiskCross-product netting Principal Default Risk weighted Amount Exposure Amount HK$'000 Default Risk Exposures (IMM(CCR) Approach): Bilateral Trades (including centrally cleared trades that are treated as bilateral trades)

Part IIIa: 7 -

Principal Credit Credit RiskAmount Conversion Equivalent weighted Item Nature of item HK$'000 Factor Amount Amount % HK$'000 HK$'000

24a. Other off-balance sheet exposures which are not elsewhere reported 100 24b(1) 24b(2) 24b(3) 24b(4) SUBTOTAL Total risk-weighted amount (on-balance sheet) (A) (Total of all items under Division A) Total risk-weighted amount (off-balance sheet) (B) (Total of all items under Division B) TOTAL RISK-WEIGHTED AMOUNT FOR CREDIT RISK (A + B) = (BSC APPROACH)

Part IIIa: 8 -

Part IIIb: Risk-weighted Amount for Credit Risk (STC Approach)
Division A: Risk-weighted Amount (On-balance Sheet) Principal RiskPrincipal Amount Risk- weighted Amount after CRM x weight = Amount Item Nature of item HK$'000 HK$'000 % HK$'000 Class I Sovereign Exposures

Domestic currency exposures to the Government
1a. Risk-weight 0% 0 0
1b. Risk-weight 10% 10
Other exposures to sovereigns
2a. Risk-weight 0% 0 0
2b. Risk-weight 10% 10
2c. Risk-weight 20% 20
2d. Risk-weight 50% 50
2e. Risk-weight 100% 100
2f. Risk-weight 150% 150
Exposures to relevant international organizations 0 0
SUBTOTAL
Class II Public Sector Entity (PSE) Exposures
Domestic PSEs
4a. Risk-weight 20% 20
4b. Risk-weight 50% 50
4c. Risk-weight 100% 100
4d. Risk-weight 150% 150
SUBTOTAL
Foreign PSEs
5a. Risk-weight 0% 0 0
5b. Risk-weight 10% 10
5c. Risk-weight 20% 20
5d. Risk-weight 50% 50
5e. Risk-weight 100% 100
5f. Risk-weight 150% 150
SUBTOTAL
Class III Multilateral Development Bank (MDB) Exposures
Exposures to MDBs 0 0
SUBTOTAL

Part IIIb: 1 -

Principal RiskPrincipal Amount Risk- weighted Amount after CRM x weight = Amount Item Nature of item HK$'000 HK$'000 % HK$'000 Class IV Bank Exposures 7a. Exposures with original maturity of more than three months:
7a(i) Risk-weight 20% 20
7a(ii) Risk-weight 50% 50
7a(iii) Risk-weight 100% 100
7a(iv) Risk-weight 150% 150
7b. Exposures with original maturity of three months or less:
7b(i) Risk-weight 20% 20
7b(ii) Risk-weight 50% 50
7b(iii) Risk-weight 100% 100
7b(iv) Risk-weight 150% 150
SUBTOTAL
Class V Securities Firm Exposures 8a. Risk-weight 20% 20 8b. Risk-weight 50% 50 8c. Risk-weight 100% 100 8d. Risk-weight 150% 150 SUBTOTAL Class VI Corporate Exposures 9a. Risk-weight 20% 20 9b. Risk-weight 30% 30 9c. Risk-weight 50% 50 9d. Risk-weight 100% 100 9e. Risk-weight 150% 150 SUBTOTAL Class VII Collective Investment Scheme Exposures 10a. Risk-weight 20% 20 10b. Risk-weight 50% 50 10c. Risk-weight 100% 100 10d. Risk-weight 150% 150 SUBTOTAL

Part IIIb: 2 -

Principal RiskPrincipal Amount Risk- weighted Amount after CRM x weight = Amount Item Nature of item HK$'000 HK$'000 % HK$'000 Class VIII Cash Items
11. Notes and coins 0 0
12. Government certificates of indebtedness 0 0
13. Gold bullion held in own vault or on an allocated
basis, to the extent backed by gold liabilities 0 0
14. Gold bullion held not backed by gold liabilities 100
15. Cash items in the course of collection 20
16.
16a. 0 0
16b. for 5 to 15 business days 100 16c. for 16 to 30 business days 625 16d. for 31 to 45 business days 937.5 16e. for 46 or more business days 1250 17a. 17b. 17c. 0 0 SUBTOTAL Class IX Regulatory Retail Exposures 18a. Qualifying exposures to individuals 75 18b. Qualifying exposures to small businesses 75 SUBTOTAL Class X Residential Mortgage Loans 19a. Risk-weight 35% 35 19b. Risk-weight 75% 75 19c. Risk-weight 100% 100 19d. Other risk-weights not specified above SUBTOTAL Exposures collateralized by cash deposits - riskweight 0% Positive current exposures from delivery-versuspayment transactions which remain unsettled after the settlement date for up to 4 business days Exposures collateralized by cash deposits - riskweight 20% Exposures collateralized by cash deposits - riskweight 10%

Part IIIb: 3 -

Principal RiskPrincipal Amount Risk- weighted Amount after CRM x weight = Amount Item Nature of item HK$'000 HK$'000 % HK$'000 Class XI Other Exposures which are not Past Due Exposures 20a. Exposures to individuals not elsewhere reported 100 20b. 20c. 20d. Premises, plant and equipment, other fixed assets for own use, and other interest in land 100 20e. 20f. Multiple-name credit-linked notes 20g. Other on-balance sheet exposures which are not elsewhere reported 20g(i) 100 20g(ii) 20g(iii) 20g(iv) SUBTOTAL Class XII Past Due Exposures 21a. Risk-weight 0% 0 21b. Risk-weight 10% 10 21c. Risk-weight 20% 20 21d. Risk-weight 30% 30 21e. Risk-weight 50% 50 21f. Risk-weight 75% 75 21g. Risk-weight 100% 100 21h. Risk-weight 150% 150 21i. Other risk-weights not specified above SUBTOTAL Class XIII Exposures subject to 1250% risk-weight 22a. First loss portion of credit protection 1250 22b. 1250 22c. 1250 SUBTOTAL Non-DVP transactions remain unsettled for 5 or more business days Significant exposures to commercial entities Investments in capital instruments issued by financial sector entities (other than those subject to capital deduction) Investments in equity or other capital instruments issued by financial sector entities (other than those subject to capital deduction or 250% risk-weight) Investments in equity of other entities (other than those subject to 1250% risk-weight)

Part IIIb: 4 -

Division B: Risk-weighted Amount (Off-balance Sheet) Credit Credit RiskPrincipal Conversion Equivalent weighted Amount Factor Amount Amount Item Nature of item HK$'000 % HK$'000 HK$'000

Direct credit substitutes 100
Transaction-related contingencies 50
Trade-related contingencies 20
Asset sales with recourse 100
Forward asset purchases 100
Partly paid-up shares and securities 100
Forward forward deposits placed 100
Note issuance and revolving
underwriting facilities 50
9a. Commitments that are unconditionally cancellable without prior notice 0 0 9b. Other commitments (CCF at 20%) 20 9c. Other commitments (CCF at 50%) 50 SUBTOTAL

Part IIIb: 5 -

Item Nature of item
10. Exchange rate contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 10a. 1 year or less 10b. Over 1 year to 5 years 10c. Over 5 years SUBTOTAL
11. Interest rate contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 11a. 1 year or less 11b. Over 1 year to 5 years 11c. Over 5 years SUBTOTAL
12. Equity contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 12a. 1 year or less 12b. Over 1 year to 5 years 12c. Over 5 years SUBTOTAL
13. Precious metal contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 13a. 1 year or less 13b. Over 1 year to 5 years 13c. Over 5 years SUBTOTAL Default Risk Exposures (Current Exposure Method): Bilateral Trades - Derivative Contracts (including centrally cleared trades that are treated as bilateral trades)

Part IIIb: 6 -

Item Nature of item
14. Debt security contracts or other commodity contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 14a. 1 year or less 14b. Over 1 year to 5 years 14c. Over 5 years SUBTOTAL
15. Credit derivative contracts
Credit Risk-
Type of Contract Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 15a. Total return swaps 15b. Credit default swaps SUBTOTAL
16. Derivative contracts subject to valid bilateral netting agreements
Netted exposures of Net Net Credit Risk- derivative contracts Principal Current Potential Equivalent weighted subject to bilateral Amount Exposure Exposure Amount Amount netting agreements HK$'000
17. Other derivative contracts not specified above
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount HK$'000 17a. 1 year or less 17b. Over 1 year to 5 years 17c. Over 5 years SUBTOTAL Principal Risk18. SFTs Principal Amount weighted Amount after CRM Amount HK$'000 Default Risk Exposures (Non-IMM(CCR) Approach): Bilateral Trades - SFTs (including centrally cleared trades that are treated as bilateral trades)

Part IIIb: 7 -

Item Nature of item
Portfolio-level
Risk-weighted
Amount
HK$'000
19. Based on current market data
20. Based on stress calibration
Item Nature of item
21. Netting sets (not subject to recognized netting)
Risk-
Type of Contract Principal Default Risk weighted Amount Exposure Amount HK$'000 21a. Derivative contracts 21b. SFTs 21c. Long settlement transactions SUBTOTAL
22. Netting sets (subject to valid bilateral netting agreements)
Risk-
Type of Contract Principal Default Risk weighted Amount Exposure Amount HK$'000 22a. Derivative contracts 22b. SFTs 22c. Long settlement transactions SUBTOTAL
23. Netting sets (subject to valid cross-product netting agreements)
RiskCross-product netting Principal Default Risk weighted Amount Exposure Amount HK$'000 Default Risk Exposures (IMM(CCR) Approach): Bilateral Trades (including centrally cleared trades that are treated as bilateral trades)

Part IIIb: 8 -

Principal Credit Credit RiskAmount Conversion Equivalent weighted Item Nature of item HK$'000 Factor Amount Amount % HK$'000 HK$'000

Other off-balance sheet exposures
which are not elsewhere reported
24a. 100
24b.
24c.
24d.
SUBTOTAL
Total risk-weighted amount (on-balance sheet) (A) (Total of all items under Division A) Total risk-weighted amount (off-balance sheet) (B) (Total of all items under Division B) TOTAL RISK-WEIGHTED AMOUNT FOR CREDIT RISK (A + B) = (STC APPROACH)

Part IIIb: 9 -

Part IIIc: Risk-weighted Amount for Credit Risk (IRB Approach)
Division A: Summary of Risk-weighted Amount for Credit Risk under IRB Approach IRB_TOTCRWA (in HK$'000) Item Number of Corresponding Forms Reported under Division B (1) (2) (3) (4) 1. ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT and ( ) Form IRB_CSB ( ) Form IRB_CSB ( ) Form IRB_CSB 2. ( ) Form IRB_CSB ( ) Form IRB_CSB ( ) Form IRB_CSB 3. ( ) Form IRB_CSB ( ) Form IRB_CSB ( ) Form IRB_CSB 4. ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL 5. ( ) Form IRB_EQUSRW ( ) Form IRB_EQUINT ( ) Form IRB_EQUPDLGD ( ) Form IRB_EQUPDLGD ( ) Form IRB_EQUPDLGD ( ) Form IRB_EQUPDLGD (c) Equity exposures not reported in Forms IRB_EQUSRW, IRB_EQUINT and IRB_EQUPDLGD ( ) Form IRB_EQUO
6. ( ) Form IRB_OTHER
7. Total risk-weighted amount for credit risk (IRB Approach) before applying the scaling factor [Item 7 = Item 1 + Item 2 + Item 3 + Item 4 + Item 5 + Item 6]
8.
9. Risk-weighted amount for CVA Part IIIf
10. Total risk-weighted amount for credit risk (IRB Approach plus CVA) [Item 10 = Item 8 + Item 9], of which
Corporate exposures, of which
(a) Specialized lending under supervisory slotting criteria approach (i) Project finance (ii) Object finance (iii) Commodities finance (iv) Income-producing real estate (c) Small-and-medium sized corporates (d) Other corporates (b) Specialized lending (high-volatility commercial real estate) Risk-weighted Amount (ii) Property-holding shell companies (b) Qualifying revolving retail exposures Sovereign exposures, of which (c) Multilateral development banks Retail exposures, of which (a) Residential mortgages (i) Individuals IRB Class (a) Sovereigns (b) Sovereign foreign public sector entities (b) Securities firms (a) Banks Bank exposures, of which (a) Risk-weighted amount of default risk exposures in respect of OTC derivative transactions, credit derivative contracts and SFTs not subject to IMM(CCR) Approach (b) Risk-weighted amount of default risk exposures in respect of OTC derivative transactions, credit derivative contracts and SFTs subject to IMM(CCR) Approach (d) Other retail exposures to individuals (ii) Internal models method (b) PD/LGD approach (i) Publicly traded equity exposures held for long-term investment (ii) Privately owned equity exposures held for long-term investment Total risk-weighted amount for credit risk (IRB Approach) after applying the scaling factor [Item 8 = Item 7 x 1.06] (iii) Other publicly traded equity exposures (iv) Other equity exposures Other exposures (c) Risk-weighted amount of exposures subject to asset value correlation multiplier of 1.25 (c) Public sector entities (excluding sovereign foreign public sector entities) (i) Simple risk-weight method Equity exposures, of which (a) Market-based approach (c) Small business retail exposures

Part IIIc: 1 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_CSB IRB Class : Corporate Exposures / Sovereign Exposures / Bank Exposures (delete where inapplicable) IRB Approach : Foundation IRB Approach / Advanced IRB Approach (delete where inapplicable) IRB Subclass : Small-and-medium sized Corporates / Other Corporates / Specialized lending (high-volatility commercial real estate) / Sovereigns / Sovereign Foreign Public Sector Entities / Multilateral Development Banks / Banks / Securities Firms / Public Sector Entities (Excluding Sovereign Foreign Public Sector Entities) (delete where inapplicable) Portfolio Type : (please specify where the reporting AI has more than one internal rating system for an IRB class / subclass) (in HK$'000) Lower bound Upper bound Average PD (%) (%) (%) before netting after netting Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs (%) (years) Of which:
Subject to double default framework (a) Of which: For dilution risk (b) Of which: For residual value risk (c) (1) (2) (3) (4) (5) (6)(i) (6)(ii) (7) (8) (9) (10) (11) (12) = (9)+(10)+(11) (13) (14) (15) (16) (17) (18) (19) (20) Total:
(to Division A)
Of which: Exposures subject to asset value correlation (c) This column is only applicable to leasing transactions that expose the reporting AI to residual value risk. (b) This column is only applicable to purchased receivables. Off-balance sheet exposures Exposure Weighted Average LGD EAD Calculation Exposures before recognized guarantees / credit derivative contracts Internal Rating System PD range On-balance sheet exposures after netting Exposures after recognized guarantees / credit derivative contracts Non-defaulted (N) / Defaulted (D) (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). Obligor grade multiplier of 1.25 On-balance sheet exposures EAD Off-balance sheet exposures Number of obligors Expected loss amount Risk-weighted Amount Exposure Weighted Average Maturity Value Memorandum Items

Part IIIc: 2 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_SLSLOT IRB Class : Corporate Exposures IRB Approach: Supervisory Slotting Criteria Approach IRB Subclass : Specialized Lending: Project Finance / Object Finance / Commodities Finance / Income-producing Real Estate / High-volatility commercial real estate (delete where inapplicable) (in HK$'000) Supervisory rating grades SRW (b) (%) before netting after netting Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs (years) (1) (2) (3)(i) (3)(ii) (4) (5) (6) (7) (8) (9) = (6)+(7)+(8) (10) (11) = (2) x (9) (12) (13) STRONG (a) 50 STRONG 70 GOOD (a) 70 GOOD 90 SATISFACTORY 115 WEAK 250 DEFAULT 0 Total :
(to Division A)
Internal Rating System
Exposure
Weighted
Average Maturity
Value
Expected loss amount
Number of obligors
EAD
EAD Calculation
Exposures before recognized guarantees / credit derivative contracts Risk-weighted Amount On-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures after netting Exposures after recognized guarantees / credit derivative contracts Off-balance sheet exposures Memorandum Items (a) Use of preferential risk-weights. In scenario (b)(i) below, the preferential risk-weights do not apply to "specified ADC exposure" as defined under section 158(5) of the BCR. (b) The supervisory risk-weights (SRW) to be automatically displayed in column (2) will vary, depending on the IRB subclass selected by the reporting institution for input:
(i) When an IRB subclass other than "Specialized lending (high-volatility commercial real estate)" is selected for input, column (2) will show the SRWs applicable to specialized lending (other than HVCRE exposures), as currently set out in the column above; (ii) When the IRB subclass of "Specialized lending (high-volatility commercial real estate)" is selected for input, column (2) will show the SRWs applicable to HVCRE exposures, as set out below:
"STRONG (a)" - 70%; "STRONG" - 95%; "GOOD (a)" - 95%; "GOOD" - 120%; "SATISFACTORY" - 140%; "WEAK" - 250%; "DEFAULT" - 0%.

Part IIIc: 3 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_RETAIL IRB Class : Retail Exposures IRB Approach: Retail IRB Approach IRB Subclass : Residential Mortgages to Individuals / Residential Mortgages to Property-holding Shell Companies / Qualifying Revolving Retail Exposures / Small Business Retail Exposures / Other Retail Exposures to Individuals (delete where inapplicable) Portfolio Type : (please specify where the reporting AI has more than one internal rating system for an IRB class / subclass) (in HK$'000) Lower bound Upper bound Average PD (%) (%) (%) before netting after netting Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs (%) Of which: For dilution risk (a) Of which: For residual value risk (b) (1) (2) (3) (4) (5) (6)(i) (6)(ii) (7) (8) (9) (10) (11) (12) = (9)+(10)+(11) (13) (15) (16) (17) (18) Total:
(b) This column is only applicable to leasing transactions that expose the AI to residual value risk. EAD LGD Pool Non-defaulted (N) / Defaulted (D) On-balance sheet exposures after netting Off-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures EAD Calculation Exposures before recognized guarantees / credit derivative contracts Internal Rating System PD range Exposures after recognized guarantees / credit derivative contracts (14) (a) This column is only applicable to purchased receivables. (to Division A) Risk-weighted Amount Memorandum Items Expected loss amount Number of obligors Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on estimates of probability of default

Part IIIc: 4 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUSRW IRB Class : Equity Exposures IRB Approach: Market-based Approach: Simple Risk-weight Method IRB Subclass : Equity Exposures under Simple Risk-weight Method (in HK$'000) Memorandum Item SRW Exposures before netting Exposures after netting Number of equity exposures (%) (EAD) (2) (3) (4) (5) = (2)x(4) (6) 1 Publicly traded equity exposures 300 2 All other equity exposures 400 Total:
(to Division A)
Risk-weighted Amount
(1)
Portfolio EAD Calculation
Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on

Part IIIc: 5 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUINT IRB Class : Equity Exposures IRB Approach: Market-based Approach: Internal Models Method IRB Subclass : Equity Exposures under Internal Models Method (in HK$'000) Memorandum Item Exposures before netting Exposures after netting Risk-weighted Amount Number of equity exposures (EAD) EAD Minimum riskweight (%) (2) (3) (4) (5) (6) = (4)x(5) (7) = (3)-(4) (8) (9) = (8)x12.5 (10) = (6)+(9) (11) 1 Publicly traded equity exposures 200 2 All other equity exposures 300 Total :
(to Division A)
(1)
Portfolio EAD Calculation Risk-weighted Amount Calculation Minimum risk-weights (for exposures where minimum risk-weights apply) Risk-weighted amount using minimum riskweights Internal models (for exposures where minimum risk-weights do not apply) EAD Potential loss Risk-weighted amount using internal models

Part IIIc: 6 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUPDLGD IRB Class : Equity Exposures IRB Approach: PD/LGD Approach IRB Subclass : Publicly Traded Equity Exposures Held for Long-Term Investment / Privately Owned Equity Exposures Held for Long-Term Investment / Other Publicly Traded Equity Exposures / Other Equity Exposures (delete where inapplicable) Portfolio Type : (please specify where the reporting AI has more than one internal rating system for an IRB class / subclass) (in HK$'000) Exposures after recognized guarantees / credit derivative contracts Lower bound Upper bound Average PD After netting (%) (%) (%) (EAD) Of which the factor of 1.5 in risk-weights applies Of which the minimum riskweight applies (a) Of which the risk-weight of 1250% applies (1) (2) (3) (4) (5) (6)(i) (6)(ii) (7) (8) (9) (10) (11) (12) (13) Total:
(to Division A)
(a) 100% for publicly traded equity exposures and privately owned equity exposures held for long-term investment, 200% for other publicly traded equity exposures and 300% for other equity exposures. Risk-weighted Amount Memorandum Items Expected loss amount Number of equity Non-defaulted (N) / exposures Defaulted (D) Before netting Internal Rating System Obligor grade PD range EAD Calculation Exposures before recognized guarantees / credit derivative contracts After netting

Part IIIc: 7 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUO IRB Class : Equity Exposures IRB Approach: Market-based Approach or PD/LGD Approach IRB Subclass : Equity Exposures Not Reported in Forms IRB_EQUSRW, IRB_EQUINT and IRB_EQUPDLGD (in HK$'000) Memorandum Item SRW Exposures before netting Exposures after netting Number of equity exposures (%) (EAD) (2) (3) (4) (5) = (2)x(4) (6) Specified equity exposures to financial sector entities (a) 250 Specified equity exposures to commercial entities (b) 1250 Expected loss amount of equity exposures subject to the PD/LGD approach (c) 1250 Total:
(to Division A)
(a) This item is applicable to equity exposures that fall within section 183(7) of the Banking (Capital) Rules. (b) This item is applicable to equity exposures that fall within section 183(5) and (6) of the Banking (Capital) Rules. (c) This item is applicable to equity exposures that fall within section 194(1)(ga) of the Banking (Capital) Rules. Risk-weighted Amount (1) Portfolio EAD Calculation Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on

Part IIIc: 8 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_OTHER IRB Class : Other Exposures IRB Approach: Specific Risk-weight Approach IRB Subclass : Cash Items and Other Items (in HK$'000) SRW (%) (EAD) (2) (3) (4) (5) = (2)x(4)
1. 0
2. 0
3. 0
4. 100
5. 20
6. 0
7. 0
8.
8a. 0
8b. 100
8c. 625
8d. 937.5
8e. 1250
9. 100
10. 1250
Subtotal (i):
1. 100
2.
2a.
2b.
2c.
2d.
2e.
Subtotal (ii):
Total (i) + (ii):
(to Division A)
EAD Calculation for 16 to 30 business days Amount due from transactions which are entered into on a basis other than a deliveryversus-payment basis and remain unsettled for up to 4 business days after the settlement date (for non-significant amount only) (i) Cash items Government certificates of indebtedness Unsettled clearing items of the institution being processed through any interbank clearing system in Hong Kong Other Exposures Exposures before netting Exposures after netting (1) Gold bullion held in own vault or on an allocated basis, to the extent backed by gold liabilities Gold bullion held not backed by gold liabilities Positive current exposures from delivery-versus-payment transactions which remain unsettled after the settlement date Risk-weighted Amount Notes and coins for 46 or more business days Exposures subject to the IRB approach which are not elsewhere specified Cash items in the course of collection for 31 to 45 business days Premises, plant and equipment, other fixed assets for own use, and other interest in land and buildings for up to 4 business days Receivables from transactions in securities (other than repo-style transactions), foreign exchange and commodities which are not yet due for settlement for 5 to 15 business days (ii) Other items Amount due from transactions which are entered into on a basis other than a deliveryversus-payment basis and remain unsettled for 5 or more business days after the settlement date Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on estimates of probability of default (PD), loss

Part IIIc: 9 -

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_FIRBLGD IRB Approach: Foundation IRB Approach IRB Class : Corporate Exposures / Sovereign Exposures / Bank Exposures (delete where inapplicable) IRB Subclass : Small-and-medium sized Corporates / Other Corporates / Specialized lending (high-volatility commercial real estate) / Sovereigns / Sovereign Foreign Public Sector Entities / Multilateral Development Banks / Banks / Securities Firms / Public Sector Entities (Excluding Sovereign Foreign Public Sector Entities) (delete where inapplicable) Portfolio Type : (please specify where the reporting AI has more than one internal rating system for an IRB class / subclass) (in HK$'000) (to Division B) (%) LGD: 100% LGD: 75% LGD: 45% LGD: 40% LGD: 35% LGD: 35% LGD: 35% LGD: 0% (%) (1) (2) (4) (5) (6) (7) (8) (9) (10) (11) (12) Total :
(3) = (4)+(5)+ …+(10)+(11)
(i)
Exposures with specific wrong-way risk Obligor grade Average PD (viii) Recognized financial collateral (ii) Subordinated exposures (iii) Unsecured senior exposures EAD Total LGD Exposure weighted average LGD (vi) Recognized residential real estate (vii) Recognized financial receivables EAD by facility / collateral type (iv) Other recognized IRB collateral (v) Recognized commercial real estate Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the

Part IIIc: 10 -

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_AIRBLGD IRB Approach: Advanced IRB Approach IRB Class : Corporate Exposures / Sovereign Exposures / Bank Exposures (delete where inapplicable) IRB Subclass : Small-and-medium sized Corporates / Other Corporates / Specialized lending (high-volatility commercial real estate) / Sovereigns / Sovereign Foreign Public Sector Entities / Multilateral Development Banks / Banks / Securities Firms / Public Sector Entities (Excluding Sovereign Foreign Public Sector Entities) (delete where inapplicable) Portfolio Type : (please specify where the reporting AI has more than one internal rating system for an IRB class / subclass) (in HK$'000) (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) (xi) (xii) (xiii) (xiv) (xv) (to Division B) (%) LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: 100% (%) (1) (2) (4) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15) (16) (17) (18) (19) Total :
LGD
Exposure weighted average LGD
EAD by facility grade
Obligor grade
Average PD
(3) = (4)+(5)+ …
+(17)+(18)
Total
EAD
Please refer to paragraph 235 of QIS 3

Part IIIc: 11 -

Direct credit substitutes
(i) Corporate exposures 100
Advanced IRB Approach:
Foundation IRB Approach:
Principal Credit equivalent amount amount
Transaction-related contingencies 3. Trade-related contingencies 4. Asset sales with recourse
Principal amount
Credit equivalent amount Principal amount Principal Credit equivalent amount amount Credit equivalent amount (iii) Bank exposures 100 (ii) Sovereign exposures (i) Corporate exposures 100

Part IIIc: 12 -

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND (in HK$'000) CCF before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts (%) (%) (%) (%) (5a) (5b) (5c) (5d) (6a) (6b) (6c) (6d) (7a) (7b) (7c) (7d) (8a) (8b) (8c) (8d) (A1) (A2) (B) Retail exposures Total:
(ii) Sovereign exposures
(iii) Bank exposures 100
(i) Corporate exposures
Advanced IRB Approach:
Foundation IRB Approach:
(i) Corporate exposures 100
(ii) Sovereign exposures 100
(iii) Bank exposures 100
IRB Class
Principal amount
Credit equivalent amount Principal amount
5. Forward asset purchases 6. Partly paid-up securities 7. Forward forward deposits placed 8. Note issuance and
revolving underwriting facilities Credit equivalent amount Principal amount Credit equivalent amount Principal amount Credit equivalent amount

Part IIIc: 13 -

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND (in HK$'000) CCF (a) before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts (%) (%) (%) (to Division B) (to Division B) (9a) (9b) (9c) (9d) (10a) (10b) (10c) (10d) (11a) (11b) (11c) (11d) CT = (1c) + (2c)

…… + (10c) +
(11c)
DT =(1d) + (2d)
…… + (10d)
+(11d)
(A1)
(A2)
(B) Retail exposures
Total:
(a) CCF of 100% or any percentage specified by the MA. Advanced IRB Approach:
0 75
(ii) Sovereign exposures 0 75
(i) Corporate exposures
(iii) Bank exposures
0 75
(i) Corporate exposures
Foundation IRB Approach:
(ii) Sovereign exposures
(iii) Bank exposures
IRB Class
Total credit equivalent amount

Commitments that are unconditionally
cancellable without prior notice
Principal amount
Credit equivalent amount
Other commitments 11. Others
Credit equivalent amount Before recognized guarantees / credit derivative contracts After recognized guarantees / credit derivative contracts Principal amount Credit equivalent amount Principal amount

Part IIIc: 14 -

Division E: IRB_OBSD_N_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts (1a(i)) (1a(ii)) (1a(iii)) (1a(iv)) (1a(v)) (2a(i)) (2a(ii)) (2a(iii)) (2a(iv)) (2a(v)) (3a(i)) (3a(ii)) (3a(iii)) (3a(iv)) (3a(v)) (A1) (i) Corporate exposures 1% 0% 6% (ii) Sovereign exposures 1% 0% 6% (iii) Bank exposures 1% 0% 6% (iv) Retail exposures 1% 0% 6% Subtotal:
(A2) Maturity: Over 1 Year to 5 Years (i) Corporate exposures 5% 0.5% 8% (ii) Sovereign exposures 5% 0.5% 8% (iii) Bank exposures 5% 0.5% 8% (iv) Retail exposures 5% 0.5% 8% Subtotal:
(A3) Maturity: Over 5 Years
(i) Corporate exposures
7.5% 1.5% 10%
(ii)
Sovereign exposures
7.5% 1.5% 10%
(iii) Bank exposures
7.5% 1.5% 10%
(iv)
Retail exposures
7.5% 1.5% 10%
Subtotal:
Total:
1. Exchange rate contracts (other than LSTs)
not subject to recognized netting CCF Default risk exposure
3. Equity contracts (other than LSTs)
not subject to recognized netting Current exposure Maturity: 1 Year or Less Potential exposure Potential exposure Principal Default risk exposure amount CCF Principal CCF Default risk exposure amount IRB Class
2. Interest rate contracts (other than LSTs)
not subject to recognized netting Current exposure Principal amount Current exposure Potential exposure Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

Part IIIc: 15 -

(5a(iv))
A(v) = (1a(v)) + …
(5a(v))
(A1)
(i) Corporate exposures
7% 10%
(ii) Sovereign exposures
7% 10%
(iii) Bank exposures
7% 10%
(iv) Retail exposures
7% 10%
Subtotal:
(A2) Maturity: Over 1 Year to 5 Years (i) Corporate exposures 7% 12% (ii) Sovereign exposures 7% 12% (iii) Bank exposures 7% 12% (iv) Retail exposures 7% 12% Subtotal:
(A3) Maturity: Over 5 Years
(i) Corporate exposures
8% 15%
(ii)
Sovereign exposures
8% 15%
(iii) Bank exposures
8% 15%
(iv)
Retail exposures
8% 15%
Subtotal:
Total:
CCF Current exposure
Default risk exposure Principal CCF Default risk exposure amount

Debt security contracts or other commodity contracts (other than LSTs)
not subject to recognized netting
Precious metals contracts (other than LSTs)
not subject to recognized netting Subtotal default risk exposures (Items 1 to 5) Before recognized guarantees / credit derivative contracts After recognized guarantees / credit derivative contracts Potential exposure Maturity: 1 Year or Less Principal amount Current exposure IRB Class Potential exposure Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

Part IIIc: 16 -

Part IIIc: 17 -

Division E: IRB_OBSD_N_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting (9a(i)) (9a(ii)) (9a(iii)) (9a(iv)) (9a(v)) (10a(i)) (10a(iv)) (10a(v)) (11a(i)) (11a(iv)) (11a(v)) (A) All Maturities (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total:
Default risk exposure
IRB Class
Principal amount
Current exposure
Potential exposure
10. SFTs (other than LSTs)
subject to valid bilateral netting agreements
11. LSTs
subject to valid bilateral netting agreements
9. OTC derivative transactions and credit derivative contracts (other than LSTs)
subject to valid bilateral netting agreements Principal amount Default risk exposure Principal amount Default risk exposure Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

Part IIIc: 18 -

(12a(v))
(A) All Maturities
(i) Corporate exposures
(ii) Sovereign exposures
(iii) Bank exposures
(iv) Retail exposures
Total:
Total default risk exposures
(Items 1 to 12)
IRB Class
Default risk exposure

Other OTC derivative transactions, credit derivative contracts and
SFTs
Principal amount
After recognized guarantees
/ credit derivative contracts and netting (to Division B) Before recognized guarantees / credit derivative contracts but after netting (to Division B) Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

Part IIIc: 19 -

Division E: IRB_OBSD_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting (1b(i)) (1b(ii)) (1b(iii)) (2b(i)) (2b(ii)) (2b(iii)) (3b(i)) (3b(ii)) (3b(iii)) (4b(i)) (4b(ii)) (4b(iii)) (A) (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total:
(a)
Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures under IMM(CCR) Approach (a)
4. OTC derivative transactions and credit derivative contracts
(other than LSTs) subject to valid bilateral netting agreements Principal amount Principal Default risk exposure amount
2. SFTs (other than LSTs)
not subject to recognized netting Default risk exposure
3. LSTs
not subject to recognized netting IRB Class Default risk exposure An AI should refer to paragraphs 148(a) and 182 to 185 of the completion instructions and report in this form for different IRB classes the principal amounts and default risk exposures of OTC derivative transactions, credit derivative contracts and SFTs that are associated with the higher of the portfolio-level risk-weighted amount of the relevant exposures referred to in paragraph 183(i) and (ii) of the completion instructions. Principal amount

OTC derivative transactions and credit derivative contracts
(other than LSTs) not subject to recognized netting Principal amount Default risk exposure All Maturities

Part IIIc: 20 -

Division E: IRB_OBSD_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting (to Division B) after recognized guarantees / credit derivative contracts and netting (to Division B) (5b(i)) (5b(ii)) (5b(iii)) (6b(i)) (6b(ii)) (6b(iii)) (7b(i)) (7b(ii)) (7b(iii)) B(ii) = (1b(ii)) + … + (7b(ii)) B(iii) = (1b(iii)) + … + (7b(iii)) (A) All Maturities (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total:
Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures under IMM(CCR) Approach (a) Principal amount
7. OTC derivative transactions, credit derivative contracts and SFTs
subject to valid cross-product netting agreements
6. LSTs
subject to valid bilateral netting agreements Principal amount IRB Class Total default risk exposures (Items 1 to 7) Default risk exposure Default risk exposure
5. SFTs (other than LSTs)
subject to valid bilateral netting agreements Principal amount Default risk exposure

Part IIIc: 21 -

Division F: EL-EP Calculation under IRB Approach IRB_ELEP (in HK$'000) Item Non-defaulted exposures Defaulted exposures Total Non-defaulted exposures Defaulted exposures Total Excess of total EL amount over total EP Excess of total EP over total EL amount (a) (b) (c) = (a)+(b) (d) (e) (f )= (d)+(e) (g) (h) 1. 2. 3. 4. 5. 6. 7. 8. 9. Bank exposures, of which 0.6% of total risk-weighted amount for credit risk (IRB Approach) [Item 8 = Item 8 of Form_IRB_TOTCRWA x 0.6%] Surplus provisions added to Tier 2 capital [Min(Item 7, Item 8)] (a) Residential mortgages (b) Qualifying revolving retail exposures (c) Small business retail exposures (d) Other retail exposures to individuals Deduction from CET1 capital [Item 6 = Item 5(c) - Item 5(f)] Surplus provisions [Item 7 = Item 5(f) - Item 5(c)] (a) Banks (b) Securities firms (c) Public sector entities (excluding sovereign foreign public sector entities) Retail exposures, of which Total (c) Multilateral development banks (b) Specialized lending (high-volatility commercial real estate) Expected Loss Amount (EL Amount) Eligible Provisions (EP) EL-EP Calculation Corporate exposures, of which IRB Class (a) Specialized lending under supervisory slotting criteria approach (other than HVCRE exposures) (c) Small-and-medium sized corporates (d) Other corporates Sovereign exposures, of which (a) Sovereigns (b) Sovereign foreign public sector entities

Part IIIc: 22 -

Part IIId : Risk-weighted Amount for Credit Risk (Securitization Exposures)
Division A : Summary of Risk-weighted Amount and Capital Deductions (in HK$'000) (1) (2) A1. Under SEC-IRBA A2. Under SEC-ERBA A3. Under SEC-SA (a) of which RWA for re-securitization exposures A4. Total (item (A1) + item (A2) + item (A3)) A5. Total after adjusted for maximum capital requirement (a) under the SEC-IRBA (b) under the SEC-ERBA and SEC-SA A6. Under SEC-FBA A7. Adjusted total (item (A5) + item (A6)) of which:
(a) RWA for off-balance sheet exposures whose CCF is not 100% (b) RWA for unrated exposures (e.g. liquidity facilities, servicer cash advance facilities and credit enhancements) extended to ABCP programme B1. Credit-enhancing interest-only strip B2. Gain-on-sale B3. Other increase in the CET1 capital B4. Other exposures specified by the Monetary Authority Notes: a. SEC-IRBA means the securitization internal ratings-based approach. b. SEC-ERBA means the securitization external ratings-based approach.
c. SEC-SA means the securitization standardized approach.
d. SEC-FBA means the securitization fall-back approach. e. Securitization exposures include re-securitization exposures unless otherwise stated. Total amount Amount incurred as an originating institution A. Risk-weighted amount B. Capital deductions

Part IIId: 1 -

Division B : Securitization Exposures under SEC-IRBA Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal
3. Total (item (1)(k) + item (2)(k))
Item Nature of item
Senior exposures
On-balance Sheet Exposures
(in HK$'000)
Non-senior exposures
Off-balance Sheet Exposures

Part IIId: 2 -

Division C1 : Long-term Securitization Exposures under SEC-ERBA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 3. Item Nature of item Senior long-term securitization exposures Non-senior long-term securitization exposures Total (item 1(k) + item 2(k)) On-balance Sheet Exposures Off-balance Sheet Exposures (in HK$'000)

Part IIId: 3 -

Division C2 : Short-term Securitization Exposures under SEC-ERBA Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Riskweighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7)

Senior short-term securitization exposures
(a) Risk-weight < 15%
(b) Risk-weight = 15%
(c) Risk-weight > 15% and < 50%
(d) Risk-weight = 50%
(e) Risk-weight > 50% and < 100%
(f) Risk-weight = 100%
(g) Risk-weight > 100% - 300%
(h) Risk-weight > 300% - 500%
(i) Risk-weight > 500% - 800%
(j) Risk-weight > 800% - 1000%
(k) Risk-weight > 1000% - <1250%
(l) Risk-weight = 1250%
(m) Subtotal
2.
(a) Risk-weight < 15%
(b) Risk-weight = 15%
(c) Risk-weight > 15% and < 50%
(d) Risk-weight = 50%
(e) Risk-weight > 50% and < 100%
(f) Risk-weight = 100%
(g) Risk-weight > 100% - 300%
(h) Risk-weight > 300% - 500%
(i) Risk-weight > 500% - 800%
(j) Risk-weight > 800% - 1000%
(k) Risk-weight > 1000% - <1250%
(l) Risk-weight = 1250%
(m) Subtotal
3.
On-balance Sheet Exposures
Item Nature of item
(in HK$'000)
Off-balance Sheet Exposures
Total (item 1(m) + item 2(m))
Non-senior short-term securitization exposures

Part IIId: 4 -

Division D1 : Securitization Exposures (other than Re-securitization Exposures) under SEC-SA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Subtotal 3. Non-senior securitization exposures (other than re-securitization exposures) Total (item (1)(k) + item (2)(k)) Senior securitization exposures (other than re-securitization exposures) On-balance Sheet Exposures Off-balance Sheet Exposures Item Nature of item (in HK$'000)

Part IIId: 5 -

Division D2 : Re-securitization Exposures under SEC-SA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% and < 100% (e) Risk-weight = 100% (f) Risk-weight > 100% - 300% (g) Risk-weight > 300% - 500% (h) Risk-weight > 500% - 800% (i) Risk-weight > 800% - 1000% (j) Risk-weight > 1000% - <1250% (k) Risk-weight = 1250% (l) Total Item Nature of item Re-securitization exposures under the SEC-SA (in HK$'000) On-balance Sheet Exposures Off-balance Sheet Exposures

Part IIId: 6 -

Division E : Securitization Exposures under SEC-FBA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount Total Riskweighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7) 1. 2. (a) Risk-weight < 15% (b) Risk-weight = 15% (c) Risk-weight > 15% - 50% (d) Risk-weight > 50% - 100% (e) Risk-weight > 100% - 300% (f) Risk-weight > 300% - 500% (g) Risk-weight > 500% - 800% (h) Risk-weight > 800% - 1000% (i) Risk-weight > 1000% - <1250% (j) Risk-weight = 1250% (k) Sub-total
3. Total (item 1 + item 2(k))
On-balance Sheet Exposures
(in HK$'000)
Item Nature of item
Securitization exposures (without CRM) Securitization exposures (fully or partially covered by CRM) Off-balance Sheet Exposures

Part IIId: 7 -

Part IIIe: Risk-weighted Amount for Exposures to Central Counterparties (CCP)
Division A: Default Fund Contribution Default fund contribution HK$'000 Capital Charge HK$'000 Risk-weight % Risk-weighted Amount HK$'000 Adjusted Riskweighted Amount HK$'000
1. Qualifying CCPs
1a. Option 1 1250
1b. Option 2
2. Non-qualifying CCPs 1250
SUBTOTAL
Division B: Default Risk Exposures Clearing member's exposures Collateral posted Non-IMM(CCR) IMM(CCR) Total RiskPrincipal Default Risk Default Risk Principal Exposure Risk- weighted Amount Exposure Exposure Amount After CRM weight Amount HK$'000 % HK$'000
1. Qualifying CCPs
1a. Risk-weight 0% 0 0
1b. Risk-weight 2% 2
1c. Other risk-weights not specified above
2. Non-qualifying CCPs
2a. Risk-weight 0% 0 0
2b. Risk-weight 10% 10
2c. Risk-weight 20% 20
2d. Risk-weight 30% 30
2e. Risk-weight 50% 50
2f. Risk-weight 100% 100
2g. Risk-weight 150% 150
2h. Other risk-weights not specified above SUBTOTAL Client's exposures Collateral posted Non-IMM(CCR) IMM(CCR) Total RiskPrincipal Default Risk Default Risk Principal Exposure Risk- weighted Amount Exposure Exposure Amount After CRM weight Amount HK$'000 % HK$'000
3. Qualifying CCPs
3a. Risk-weight 0% 0 0
3b. Risk-weight 2% 2
3c. Risk-weight 4% 4
3d. Other risk-weights not specified above
4. Non-qualifying CCPs
4a. Risk-weight 0% 0 0
4b. Risk-weight 10% 10
4c. Risk-weight 20% 20
4d. Risk-weight 30% 30
4e. Risk-weight 50% 50
4f. Risk-weight 100% 100
4g. Risk-weight 150% 150
4h. Other risk-weights not specified above SUBTOTAL
5. TOTAL RISK-WEIGHTED AMOUNT FOR EXPOSURES TO CCPs
Derivative Contracts and SFTs
Derivative Contracts and SFTs

Part IIIe: 1 -

Part IIIf: Risk-weighted Amount for CVA
Division A: Advanced CVA Method
Item Nature of item End of quarter HK$'000 Latest available HK$'000 Average VaR / Stressed VaR HK$'000 Multiplication factor for VaR / Stressed VaR Risk-weighted Amount HK$'000

VaR
Stressed VaR
TOTAL
Division B: Standardized CVA Method Item Default Risk Exposures HK$'000 Capital Charge HK$'000 Risk-weighted Amount HK$'000 3.

Part IIIf: 1 -

Part IV: Risk-weighted Amount for Market Risk
Division A: STM Approach - Interest Rate Exposures (Trading Book) A.1 Interest rate exposures - specific risk (a) Non-securitization exposures that do not fall within a correlation trading portfolio and that are not nth-to-default credit derivative contracts (HK$'000) Item Classes (Note (1)) Positions (0.25%) (1.00%) (1.60%)

Part IV-A1(a):1 -

Under STC(S) approach
(a) 1.60% 1.60%
(b) 2 2 4.00% 4.00%
(c) 3 3 8.00% 8.00%
(d) 4 28.00% 100.00%
(e) 5 4 100.00% 100.00%
Sub-total (f)
(a) 1 1 3.20% 3.20%
(b) 2 2 8.00% 8.00%
(c) 3 3 18.00% 18.00%
(d) 4 52.00% 100.00%
(e) 5 4 100.00% 100.00%
Sub-total (f)
Under IRB(S) approach
(a) 1 1 0.56% 0.56%
(b) 2 0.64% 0.64%
(c) 3 0.80% 0.80%
(d) 4 2 0.96% 0.96%
(e) 5 1.60% 1.60%
(f) 6 2.80% 2.80%
(g) 7 3 4.80% 4.80%
(h) 8 8.00% 8.00%
(i) 9 20.00% 20.00%
(j) 10 34.00% 34.00%
(k) 11 52.00% 52.00%
(l) 12 4 100.00% 100.00%
Sub-total (m)
(a) 1 1 0.96% 0.96%
(b) 2 1.20% 1.20%
(c) 3 1.44% 1.44%
(d) 4 2 1.60% 1.60%
(e) 5 2.80% 2.80%
(f) 6 4.00% 4.00%
(g) 7 3 6.00% 6.00%
(h) 8 8.00% 8.00%
(i) 9 20.00% 20.00%
(j) 10 34.00% 34.00%
(k) 11 52.00% 52.00%
(l) 12 4 100.00% 100.00%
Sub-total (m)
Market risk capital charge for specific risk Positions incurred as an investing institution Positions incurred as an originating institution Market risk capital charge factor for specific risk Credit quality grades
1.3 All other securitization exposures that are not subject to capital
deductions
1.4 Total (item 1.1(f) + item 1.2(f) + Item 1.3)
1.1 Rated securitization exposures
(exclude re-securitization exposures)
1.2 Rated re-securitization exposures
2.1 Rated securitization exposures
(exclude re-securitization exposures) - Senior and granular
2.2 Rated securitization exposures
(exclude re-securitization exposures) - Non-senior, granular

Part IV - A1(b):2 -

A.1 Interest rate exposures - specific risk (b) Securitization exposures that do not fall within a correlation trading portfolio (Note (1)) (HK$'000) A. Market risk capital charge calculations Securitization Exposures Long-term Short-term Long Short Long Short For investing institutions For originating institutions For long positions For short positions Applicable amount (Note (2)) (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) (11) Market risk capital charge for specific risk Positions incurred as an investing institution Positions incurred as an originating institution Market risk capital charge factor for specific risk Credit quality grades (a) 1.60% 1.60% (b) 2 2.00% 2.00% (c) 3 2.80% 2.80% (d) 4 2 2.80% 2.80% (e) 5 2.80% 2.80% (f) 6 4.00% 4.00% (g) 7 3 6.00% 6.00% (h) 8 8.00% 8.00% (i) 9 20.00% 20.00% (j) 10 34.00% 34.00% (k) 11 52.00% 52.00% (l) 12 4 100.00% 100.00% Sub-total (m) (a) 1.60% 1.60% (b) 2 2.00% 2.00% (c) 3 2.80% 2.80% (d) 4 2 3.20% 3.20% (e) 5 4.80% 4.80% (f) 6 8.00% 8.00% (g) 7 3 12.00% 12.00% (h) 8 16.00% 16.00% (i) 9 24.00% 24.00% (j) 10 40.00% 40.00% (k) 11 60.00% 60.00% (l) 12 4 100.00% 100.00% Sub-total (m) (a) 1 1 2.40% 2.40% (b) 2 3.20% 3.20% (c) 3 4.00% 4.00% (d) 4 2 5.20% 5.20% (e) 5 8.00% 8.00% (f) 6 12.00% 12.00% (g) 7 3 18.00% 18.00% (h) 8 28.00% 28.00% (i) 9 40.00% 40.00% (j) 10 52.00% 52.00% (k) 11 68.00% 68.00% (l) 12 4 100.00% 100.00% Sub-total (m)
2.6 All other securitization exposures that are not subject to capital
deductions
2.4 Rated re-securitization exposures -
Senior
2.5 Rated re-securitization exposures -
Non-senior
2.3 Rated securitization exposures
(exclude re-securitization exposures) - Non-granular

Part IV - A1(b):3 -

Position col. (3) to (6): Item 1.4 + item 2.7
Market risk capital charge col. (9) & (10): Item 1.4 + item 2.8
(b)
Positions incurred as an investing institution
2.7 Total (Item 2.7 = sum of (row (m) of items 2.1 to 2.5) + item 2.6)
(a)
(a) Of which securitization (exclude re-securitization) exposures (ii) unrated (i) rated (ii) unrated

Gain-on-sale arising from securitization transaction as an originating
institution
(1) Securitization exposures include re-securitization exposures unless otherwise stated. (2) During the transitional period (securitization) of 1 January 2012 to 31 December 2013, both dates inclusive, the applica ble total market risk capital charge for specific risk (i.e. column (11)) for the interest rate exposures of a reporting institution is calculated as the larger of the market risk capital charge for the long positions (i.e. column (9)) or the market risk capital charge for the short po sitions (i.e. column (10)). Upon the expiry of the transitional period (securitization), the applicable total market risk capital charge for specific risk (i.e. column (11)) of the institution is calculated as the sum of the market risk capital charge for the gross (i.e. long + short) positions (i.e. column (9) + column (10)). (3) STC(S) approach means the method of calculating credit risk for securitization exposures under the standardized (securit ization) approach. (4) IRB(S) approach means the method of calculating credit risk for securitization exposures under the internal ratings -based (securitization) approach. (5) "Rated securitization exposures" means exposures with an ECAI issue specific rating under STC(S) approach and IRB(S) app roach, or in the absence of an ECAI issue specific rating, an inferred rating under IRB(S) approach. (6) "Unrated" securitization exposures means securitization exposures other than rated securitization exposures and those t reated as if not rated for regulatory capital purposes.

Part IV - A1(b):4 -

A.1 Interest rate exposures - specific risk (c) Correlation trading portfolio (HK$'000) Long Short For long positions For short positions Applicable amount (1) (2) (3) (4) (5) = Higher of (3) or (4) Note:
Positions Market risk capital charge for specific risk Correlation trading portfolio (Note (1)) (1) For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1.

Part IV-A1(c):5 -

A.1 Interest rate exposures - specific risk (d) Non-securitization exposures that are nth-to-default credit derivative contracts (excluding those that fall within a correlation trading portfolio) (HK$'000) Item Classes (Note (1)) Positions (0.25%) (1.00%) (1.60%)

Sovereign (including sovereign foreign public sector entities)
1.1 Credit quality grade 1 Long
Short
1.2 Credit quality grade 2 or 3 Long
Short
1.3 Credit quality grade 4 or 5 Long
Short
1.4 Credit quality grade 6 Long
Short
1.5 Unrated Long
Short
Qualifying
1.6 Issued by multilateral development banks Long
Short
1.7 Issued by public sector entities (excluding sovereign foreign public sector entities) Long
Short
1.8 Issued by banks Long
Short
1.9 Issued by securities firms Long
Short
1.10 Issued by corporates Long
Short
Non-qualifying
1.11 Credit quality grade 4 Long
Short
1.12 Credit quality grade 5 Long
Short
1.13 Unrated Long
Short
1.14 TOTAL (Items 1.1 to 1.13) Long
Short
1.15 Market risk capital charge factor 0.00% 0.25% 1.00% 1.60% 8.00% 12.00% _____%
1.16 Long
Short
1.17 APPLICABLE TOTAL MARKET RISK CAPITAL CHARGE FOR SPECIFIC RISK
FOR INTEREST RATE EXPOSURES (Note (2)) Note:
Total market risk capital charge for specific risk (0.00%) Residual maturity (8.00%) (12.00%) To be specified ( %) 6 months or less Over 6 months to 24 months Over 24 months MARKET RISK CAPITAL CHARGE FOR SPECIFIC RISK FOR INTEREST RATE EXPOSURES Exposures by market risk capital charge factor for specific risk (1) For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution e ngages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carve d out and reported in Division E.1. (2) During the transitional period (securitization) of 1 January 2012 to 31 December 2013, both dates inclusive, the applica ble market risk capital charge for specific risk (i.e. Item 1.17) for the interest rate exposures of a reporting institution is c alculated as the larger of the total market risk capital charge for the long positions or the total market risk capital charge for the short position s reported in the last column of Item 1.16. Upon the expiry of the transitional period (securitization), the applicable market risk capital charge for specific risk (i.e. Item 1.17) of the institution is calculated as the sum of the market risk capital charge for the gross (i.e. long + short) positions reported in the last column of Item 1.16.

Part IV-A1(d):6 -

A.2 Interest rate exposures - general market risk Currency : (separate form for each currency) Maturity method (HK$'000) Long Short Long Short Long Short Long Short 1 1 ≤1 month ≤1 month 0.00% 2 >1 to 3 months >1 to 3 months 0.20% 3 >3 to 6 months >3 to 6 months 0.40% 4 >6 to 12 months >6 to 12 months 0.70% 2 5 >1 to 2 years >1.0 to 1.9 years 1.25% 6 >2 to 3 years >1.9 to 2.8 years 1.75% 7 >3 to 4 years >2.8 to 3.6 years 2.25% 3 8 >4 to 5 years >3.6 to 4.3 years 2.75% 9 >5 to 7 years >4.3 to 5.7 years 3.25% 10 >7 to 10 years >5.7 to 7.3 years 3.75% 11 >10 to 15 years >7.3 to 9.3 years 4.50% 12 >15 to 20 years >9.3 to 10.6 years 5.25% 13 >20 years >10.6 to 12 years 6.00% 14 >12 to 20 years 8.00% 15 >20 years 12.50% TOTAL OVERALL NET OPEN RISK-WEIGHTED POSITION Note:
Zone Time band Coupon
Calculation
For debt-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. Overall net open riskweighted position Total market risk capital charge for general market risk Individual positions Risk-weight Risk-weighted positions Coupon of not less than 3% per annum Coupon of less than 3% per annum Debt securities & debt-related derivative contracts Interest rate derivative contracts Total Vertical disallowance Horizontal disallowance in Horizontal disallowance between TOTAL MARKET RISK CAPITAL CHARGE FOR GENERAL MARKET RISK FOR INTEREST RATE EXPOSURES Zone 1 Zone 2 Zone 3 Zones 1 & 2 Zones 2 & 3 Zones 1 & 3

Part IV-A2:7 -

Division B: STM Approach - Equity Exposures (Trading Book) (HK$'000)

Common stocks Long
Short
Convertible securities Long
Short
Commitments to buy or sell equities and equity forward contracts Long
Short
Equity swap contracts (Note (2)) Long
Short
Futures contracts relating to equity indices Long
Short
Futures contracts relating to individual equities Long
Short
Option contracts relating to equity indices (Note (3)) Long
Short
Option contracts relating to individual equities (Note (3)) Long
Short
Others Long
Short
TOTAL Long
Short
Calculation
(A) Gross (long plus short) positions Market risk capital charge factor 8% 8% 8% 8% 8% 8% Market risk capital charge for specific risk (B) Net long or short positions (in absolute value) Market risk capital charge factor 8% 8% 8% 8% 8% 8% Market risk capital charge for general market risk TOTAL MARKET RISK CAPITAL CHARGE FOR EQUITY EXPOSURES Note:
(2)
The reporting institution should report its equity exposures on an exchange-by-exchange basis (i.e. separate column for each stock or futures exchange) and use separate reporting form(s) if the columns of this form are not enough. Where an equity swap contract involves a leg requiring the receipt or payment of fixed or floating rate interest, that leg should be regarded as an interest rate exposure and reported in Division A.2. (3) For equity-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. Stock or futures exchanges Total Hong Kong Item Nature of item Positions Outside Hong Kong (Note (1)) (1)

Part IV-B:8 -

Division C: STM Approach - Foreign Exchange Exposures (HK$'000) Option contracts Total Net delta-weighted net Currency Hong Kong offices Overseas branches Subsidiaries positions of long (short) Note (1) Note (1) Note (1) option contracts position Note (2) US dollars USD Pound sterling GBP Japanese yen JPY Euro EUR Chinese renminbi CNY Canadian dollars CAD Swiss francs CHF Australian dollars AUD Singapore dollars SGD New Zealand dollars NZD Gold GOL Foreign currencies not separately specified above Hong Kong dollars HKD Sum of net long / short positions USD / HKD position Adjusted sum of net long / short positions Calculation
1. Adjusted sum of net long / short positions
2. Net position in gold (in absolute value)
. 3. Total net open position (Item 3 = Item 1 + Item 2 )
4. Market risk capital charge factor 8%
TOTAL MARKET RISK CAPITAL CHARGE FOR FOREIGN EXCHANGE EXPOSURES Note: (1) (2) Net long (short) position excluding option contracts Figures are extracted from Part I columns 5, 7 and 8 (where applicable) of the Return of Foreign Currency Position (MA(BS)6) but reported in HK$’000, subject to any applicable adjustments specified in paragraphs 6(b), 79 and 80 of the completion instructions. For exchange rate-related option contracts, the delta-weighted positions are reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1.

Part IV-C:9 -

Division D: STM Approach - Commodity Exposures (HK$'000) Net Gross Market risk capital charge factor Total market Long Short long or short long plus short Net Gross risk capital Item Nature of items position positions position position charge for (in absolute value) commodity exposures (1) (2) (3) = (1) - (2) (4) = (1) + (2) (5) (6) (7) = (3) x (5) + (4) x (6)
1. Platinum 15% 3%
2. Silver 15% 3%
3. Other precious metals (excluding gold) _____________ 15% 3%
4 Other precious metals (excluding gold) _____________ 15% 3%
5. Base metals and non-precious metals _____________ 15% 3%
6. Base metals and non-precious metals _____________ 15% 3%
7. Energy _____________ 15% 3%
8. Energy _____________ 15% 3%
9. Agricultural assets _____________ 15% 3%
10. Agricultural assets _____________ 15% 3%
TOTAL MARKET RISK CAPITAL CHARGE FOR COMMODITY EXPOSURES Note: (1) (2) (3) Where a commodity swap contract involves a leg requiring the receipt or payment of fixed or floating rate interest, that leg should be regarded as an interest rate exposure and reported in Division A.2, with the commodity exposure being included in the particular commodity above. For commodity-related option contracts, the delta-weighted positions should be reported above or, if the reporting institution engages only in the purchase of option contracts as defined in the completion instructions, such option contracts can be carved out and reported in Division E.1. The reporting institution should use separate form(s) for reporting of items 3 to 10 above if the rows of this form are not enough.

Part IV-D:10 -

Division E: STM Approach - Option Exposures E.1 Simplified approach (For reporting institutions which purchase only option contracts as defined in the completion instructions.) 1(a) Long option contract with a related position in the underlying exposure of the option contract (HK$'000) Item Nature of the underlying exposure General market risk
1.1 Debt instruments (Note (1)) 0.00% (Note(2)) Note (3)
0.25% (Note(2)) Note (3)
1.00% (Note(2)) Note (3)
1.60% (Note(2)) Note (3)
8.00% (Note(2)) Note (3)
12.00% (Note(2)) Note (3)
To be specified (Note(2)) Note (3)
1.2 Interest rate, i.e. non-debt related (Note (1)) Note (3)
1.3 Equity (Note(1)) 8.00%
1.4 Foreign exchange 8.00%
1.5 Commodity 15.00%
TOTAL MARKET RISK CAPITAL CHARGE FOR OPTION EXPOSURES Note: (1) Only trading book positions should be reported. (2) The classes are same as those in Division A.1(a). (3) The general market risk capital charge should be calculated as per the risk-weights according to the time bands set out in Division A.2. 8.00% 0.00% 0.00% 0.00% Report the market risk capital charge for each option contract as well as the related position in the underlying exposure below. Market risk capital charge = (Fair value of the underlying exposure of the option contract) x (Sum of the market risk capital charge factors for general market risk and specific risk for the underlying exposure) – (The amount by which the option contract is in-the-money) Market risk capital charge factor Long underlying exposure & long put option contract Short underlying exposure & long call option contract Total market risk Specific risk capital charge

Part IV-E1(a):11 -

E.1 Simplified approach (For reporting institutions which purchase only option contracts as defined in the completion instructions.) 1(b) Long call or long put option contracts (HK$'000) Item Nature of the underlying exposure General market risk
1.1 Debt instruments (Note (1)) 0.00% (Note(2)) Note (3)
0.25% (Note(2)) Note (3)
1.00% (Note(2)) Note (3)
1.60% (Note(2)) Note (3)
8.00% (Note(2)) Note (3)
12.00% (Note(2)) Note (3)
To be specified (Note(2)) Note (3)
1.2 Interest rate, i.e. non-debt related (Note (1)) Note (3)
1.3 Equity (Note(1)) 8.00% 8.00%
1.4 Foreign exchange 0.00% 8.00%
1.5 Commodity 0.00% 15.00%
TOTAL MARKET RISK CAPITAL CHARGE FOR OPTION EXPOSURES Note: (1) Only trading book positions should be reported. (2) The classes are same as those in Division A.1(a). (3) The general market risk capital charge should be calculated as per the risk-weights according to the time bands set out in Division A.2. 0.00% Report the market risk capital charge for each option contract below. Such market risk capital charge should be the lesser of (i) the fair value of the underlying exposure of the option contract multiplied by the sum of the market risk capital charge factors for general market risk and specific risk for the underlying exposure of the option contract and (ii) the fair value of the option contract. Market risk capital charge factor Long put option contract Long call option contract Total market risk Specific risk capital charge

Part IV-E1(b):12 -

E.2 Delta-plus approach - gamma and vega risks (For reporting institutions which use the delta-plus approach to report option contracts) 2(a) Debt-related and interest rate option contracts 2(b) Equity option contracts Currency: (separate form for each currency) (HK$'000) (HK$'000) Coupon of not less than 3% per annum Coupon of less than 3% per annum ≤1 month ≤1 month >1 to 3 months >1 to 3 months >3 to 6 months >3 to 6 months >6 to 12 months >6 to 12 months >1 to 2 years >1.0 to 1.9 years >2 to 3 years >1.9 to 2.8 years >3 to 4 years >2.8 to 3.6 years >4 to 5 years >3.6 to 4.3 years >5 to 7 years >4.3 to 5.7 years >7 to 10 years >5.7 to 7.3 years >10 to 15 years >7.3 to 9.3 years >15 to 20 years >9.3 to 10.6 years >20 years >10.6 to 12 years >12 to 20 years >20 years Total 2(a) Note: Report the delta-weighted position of option contracts into Divisions A to D as appropriate. Market risk capital charge for gamma risk (negative gamma impact) Market risk capital charge for vega risk Total 2(b) Time band Market risk capital charge for gamma risk (negative gamma impact) Market risk capital charge for vega risk Types of underlying exposure

Part IV-E2(a) & (b):13 -

E.2 Delta-plus approach - gamma and vega risks (For reporting institutions which use the delta-plus approach to report option contracts) 2(c) Foreign exchange and gold option contracts 2(d) Commodity option contracts (HK$'000) (HK$'000) Market risk capital charge for gamma risk (negative gamma impact) Market risk capital charge for vega risk Types of underlying exposure Market risk capital charge for gamma risk (negative gamma impact) Market risk capital charge for vega risk Total 2(c) Note: Report the delta-weighted position of option contracts into Divisions A to D as appropriate. Types of underlying exposure Total 2(d)

Part IV-E2(c) & (d):14 -

Division F: IMM Approach (Note (1a)) F.1 Market risk capital charge under the IMM approach (HK$'000) VaR / Stressed VaR Number of back-testing exceptions End of quarter Based on Based on VaR / Stressed VaR actual hypothetical (Note (2a)) profit & loss profit & loss (Note (2)) (a) (b) (c) (d) (e) (f) (a) General market risk - VaR and stressed VaR
1. VaR
1.1
1.2
1.3
1.4
1.5 Aggregate of all risk categories (Note (1))
1.6 Average VaR x multiplication factor mc
(Item 1.6 = Item 1.5 (b) x Item 1.5 (e))
1.7 Market risk capital charge for general market risk calculated by internal models (Item 1.5(a) or item 1.6, whichever is higher)
2. Stressed VaR
2.1
2.2
2.3
2.4
2.5 Aggregate of all risk categories (Note (1))
2.6 Average stressed VaR x multiplication factor ms
(Item 2.6 = Item 2.5 (b) x item 2.5 (e))
2.7 Market risk capital charge for general market risk calculated by internal models (Item 2.5(a) or item 2.6, whichever is higher)
3. Total market risk capital charge for general market risk calculated by internal models - VaR and stressed VaR (Item 1.7 + item 2.7)
(b) Specific risk - VaR and stressed VaR
1. VaR
1.1 Specific risk calculated by internal models (Note (3))
1.2 Average VaR x multiplication factor mc
(Item 1.2 = Item 1.1 (b) x Item 1.1 (e))
1.3 Market risk capital charge for specific risk calculated by internal models (Item 1.1(a) or item 1.2, whichever is higher)
2. Stressed VaR
2.1 Specific risk calculated by internal models (Note (3))
2.2 Average stressed VaR x multiplication factor ms
(Item 2.2 = Item 2.1 (b) x item 2.1 (e))
2.3 Market risk capital charge for specific risk calculated by internal models (Item 2.1(a) or item 2.2, whichever is higher)
3. Total market risk capital charge for specific risk calculated by internal models - VaR and stressed VaR (Item 1.3 + Item 2.3)
Foreign exchange
Commodity
Foreign exchange
Commodity
Total market risk capital charge
Interest rate
Equity
Multiplication factor for
VaR (mc
) /
Stressed VaR (ms
)
Average VaR /
Stressed VaR over last 60 trading days Item Nature of items Interest rate Equity

Part IV-F:15 -

F.1 Market risk capital charge under the IMM approach (HK$'000) (c) Specific risk - Incremental risk charge (IRC), comprehensive risk charge (CRC) and supplemental capital charge (SCC) Item Nature of items IRC / CRC Latest Average over last 12 weeks (a) (b) (c) (d)

IRC
1.1
1.2
1.3
1.4 Market risk capital charge for specific risk calculated by internal models (Item 1.4 = Item 1.3 (c)(Si) x the higher of (Item 1.3 (a) or Item 1.3 (b))
CRC - Correlation trading portfolio
2.1 CRC
2.2 CRC calculated by internal models (Item 2.1 (c) (Sc) x the higher of (Item 2.1 (a) or Item 2.1 (b))
2.3.1 Market risk capital charge for specific risk for long positions calculated under the STM approach
2.3.2 Market risk capital charge for specific risk for short positions calculated under the STM approach
2.3 Floor for CRC (Item 2.3 = 8% x the higher of (Item 2.3.1 or Item 2.3.2))
2.4 Market risk capital charge for specific risk (Item 2.4 = the higher of Item 2.2 or Item 2.3)
Supplemental capital charge arising from the correlation trading portfolio
Total market risk capital charge for specific risk calculated by internal models - IRC, CRC and SCC (Item 1.4 + item 2.4 + item 3)
(d) Total market risk capital charge for specific risk calculated by internal models (Item F.1(b)3 + item F.1(c)4) (e) TOTAL MARKET RISK CAPITAL CHARGE UNDER THE IMM APPROACH (Item F.1(a)3 + item F.1(d)) F.2 Largest daily losses over the quarter (HK$'000) Amount of loss (absolute value) VaR Note: (1a) (1) (2a) (4) The multiplication factor is the sum of (i) the value of three; (ii) the plus factor based on the number of back-testing exceptions for the last 250 trading days based on the VaR (but not the stressed VaR); and (iii) any additional plus factor assigned to the institution by the MA. IRC - Interest rate A reporting institution must use the STM approach to calculate the market risk capital charge for specific risk for the following specific risk interest rate exposures irrespective of the approach it adopts for calculating the VaR and stressed VaR for general market risk and (where applicable) specific risk for those exposures:
(a) securitization exposures which fall within section 286(a)(ii) of the Banking (Capital) Rules; (b) exposures which fall within section 286(a)(iii) of the Banking (Capital) Rules (i.e. correlation trading portfolio) but for which the institution does not have the approval of the MA to calculate a comprehensive risk charge; and (c) nth-to-default credit derivative contracts which fall within section 286(a)(iv) of the Banking (Capital) Rules. Scaling factor for IRC (Si ) / CRC (Sc ) (Note (4)) Total market risk capital charge If the stressed VaR as at the end of the reporting quarter is not available, reporting institutions should report the latest available stressed VaR in the relevant cells. For VaR and stressed VaR, the total reported under the individual items is not necessarily equal to the sum of their respective components because of the correlation across the risk categories. IRC - Equity Aggregate of risk categories Date (DD/MM/YYYY) The scaling factor is 1 or such other value as the MA may specify in a notice in writing given to the institution. (3) If a reporting institution uses one internal model to calculate both the market risk capital charge for general market risk and market risk capital charge for specific risk, the institution does not need to report its calculation for general market risk and specific risk separately. The figures reported in Section (a) in respect of general market risk can cover both general market risk and specific risk, and the institution is not required to complete Section (b) in respect of specific risk. (2)

Part IV-F:16 -

Division G: Risk-weighted Amount for Market Risk (HK$'000)

Total market risk capital charges under the STM approach
Division A.2 (Note (1)) Division B Division C Division D Total (a) 1(a) (b)A 1(b) (c) 2(a) (Note (1)) (d) 2(b) 2(c) 2(d) (A)
Total market risk capital charges under the IMM approach (Item Division F.1(e)) (B)
TOTAL RISK-WEIGHTED AMOUNT FOR MARKET RISK [(Item A + Item B) x 12.5]
Note: (1) The sum of the market risk capital charges for all currencies should be reported. Division A.1 Division E

Part IV-G:17 -

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