Revised Return of Capital Adequacy Ratio (Form MA(BS)3) and New Return of Leverage Ratio (Form MA(BS)27) Annex 5: Revised CAR Return Part IIIb

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

1. Domestic currency exposures to the Government
   1a. Risk-weight 0% 0 0
   1b. Risk-weight 10% 10
2. 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
3. Exposures to relevant international organizations 0 0
   SUBTOTAL
   Class II Public Sector Entity (PSE) Exposures
4. Domestic PSEs
   4a. Risk-weight 20% 20
   4b. Risk-weight 50% 50
   4c. Risk-weight 100% 100
   4d. Risk-weight 150% 150
   SUBTOTAL
5. 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
6. Exposures to MDBs 0 0
   SUBTOTAL

• Part IIIb: 1 -

Principal Risk￾Principal 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 Risk￾Principal 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. 20 17b. 10 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 - risk￾weight 0% Positive current exposures from delivery-versus￾payment transactions which remain unsettled after the settlement date for up to 4 business days Exposures collateralized by cash deposits - risk￾weight 20% Exposures collateralized by cash deposits - risk￾weight 10%

• Part IIIb: 3 -

Principal Risk￾Principal 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. 100 20c. 100 20d. Premises, plant and equipment, other fixed assets for own use, and other interest in land 100 20e. 250 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 Risk￾Principal Conversion Equivalent weighted Amount Factor Amount Amount Item Nature of item HK$'000 % HK$'000 HK$'000

1. Direct credit substitutes 100
2. Transaction-related contingencies 50
3. Trade-related contingencies 20
4. Asset sales with recourse 100
5. Forward asset purchases 100
6. Partly paid-up shares and securities 100
7. Forward forward deposits placed 100
8. 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 Risk￾18. 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$'000 22a. Derivative contracts 22b. SFTs 22c. Long settlement transactions SUBTOTAL
23. Netting sets (subject to valid cross-product netting agreements)
Risk￾Cross-product netting Principal Default Risk weighted Amount Exposure Amount HK$'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 Risk￾Amount Conversion Equivalent weighted Item Nature of item HK$'000 Factor Amount Amount % HK$'000 HK$'000

24. 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 -