Revised Return of Capital Adequacy Ratio (Form MA(BS)3) and New Return of Leverage Ratio (Form MA(BS)27) Annex 10: Revised CAR Return Part IV Market Risk — HKMA — HK

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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