Revised Return of Capital Adequacy Ratio (Form MA(BS)3) and New Return of Leverage Ratio (Form MA(BS)27) Annex 6: Revised CAR Return Part IIIc (IRB Approach)

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) 1 2 3 4 5 6 7 8 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) 1 2 3 4 5 6 7 8 9 10 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 risk￾weight (%) (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 risk￾weights 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 risk￾weight 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) 1 2 3 4 5 6 7 8 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) 1 Specified equity exposures to financial sector entities (a) 250 2 Specified equity exposures to commercial entities (b) 1250 3 Expected loss amount of equity exposures subject to the PD/LGD approach (c) 1250 4 5 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

8a. 0 8b. 100 8c. 625 8d. 937.5 8e. 1250 9. 100 10. 1250 Subtotal (i):

1. 100

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 delivery￾versus-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 delivery￾versus-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) 1 2 3 4 5 6 7 8 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) 1 2 3 4 5 6 7 8 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 -

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 (%) (%) (%) (%) (1a) (1b) (1c) (1d) (2a) (2b) (2c) (2d) (3a) (3b) (3c) (3d) (4a) (4b) (4c) (4d) (A1) (A2) (B) Retail exposures Total: (ii) Sovereign exposures (iii) Bank exposures 100 20 100 100 50 20 100 50 20 50 IRB Class

1. Direct credit substitutes (i) Corporate exposures 100 Advanced IRB Approach: Foundation IRB Approach: Principal Credit equivalent amount amount 100
2. 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 75 75 100 75 (i) Corporate exposures 100 Advanced IRB Approach: 100 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

9. Commitments that are unconditionally cancellable without prior notice Principal amount Credit equivalent amount
10. 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
2. 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
3. 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 -

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 (4a(i)) (4a(ii)) (4a(iii)) (4a(iv)) (4a(v)) (5a(i)) (5a(ii)) (5a(iii)) (5a(iv)) (5a(v)) A(iv) = (1a(iv)) + …

• (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

5. Debt security contracts or other commodity contracts (other than LSTs) not subject to recognized netting
6. 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 -

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 (6a(i)) (6a(ii)) (6a(iii)) (6a(iv)) (6a(v)) (7a(i)) (7a(iv)) (7a(v)) (8a(i)) (8a(iv)) (8a(v)) (A) (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total: 7. SFTs (other than LSTs) not subject to recognized netting 8. LSTs not subject to recognized netting All Maturities Principal amount 6. Credit derivative contracts (other than LSTs) not subject to recognized netting Current exposure Potential exposure Default risk exposure Default risk exposure Principal Default risk exposure amount Principal amount IRB Class 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: 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 -

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 (12a(i)) (12a(iv)) (12a(v)) B(iv) = A(iv) +(6a(iv)) + … + (12a(iv)) B(v) = A(v) + (6a(v)) + …

• (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

12. 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

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

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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

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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

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