Revised Return of Capital Adequacy Ratio Form MA(BS)3 Annex 4 Part IIIa: Risk-weighted Amount for Credit Risk BSC Approach

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

1. Loans to or guaranteed by the sovereigns of Tier 1 countries 0 0
2. 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
3. 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
4. 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
5. 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
6. Loans to or guaranteed by the sovereigns of Tier 2 countries
   which are domestic currency exposures 0 0
7. 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
8. 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
9. 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 10
10. 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
11. Other exposures to the sovereigns of Tier 2 countries 100
12. Exposures to relevant international organizations 0 0
    SUBTOTAL and (ii) the securities are domestic currency exposures

• Part IIIa: 1 -

Risk￾Principal 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-versus￾payment 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 -

Risk￾Principal 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. 1250 SUBTOTAL Non-DVP transactions remain unsettled for 5 or more business days Significant exposures to commercial entities

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Division B: Risk-weighted Amount (Off-balance Sheet) Principal Credit Credit Risk￾Amount x Conversion = Equivalent weighted Item Nature of item HK$'000 Factor Amount Amount % HK$'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 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 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 Risk￾18. 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$'000 22a. Derivative contracts 22b. SFTs 22c. Long settlement transactions SUBTOTAL
23. Netting sets (subject to valid cross-product netting agreements)
Risk￾Cross-product netting Principal Default Risk weighted Amount Exposure Amount HK$'000 Default Risk Exposures (IMM(CCR) Approach): Bilateral Trades (including centrally cleared trades that are treated as bilateral trades)

• Part IIIa: 7 -

Principal Credit Credit Risk￾Amount 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 -