Revised Return of Capital Adequacy Ratio Form MA(BS)3 Annex 7 Revised CAR Return Template Part IIId Securitization Exposures

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 Risk￾weighted Amount Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk￾weighted Amount Total Risk￾weighted 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

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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 Risk￾weighted 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)

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Division C2 : Short-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 Risk￾weighted Amount (1) (2) (3) (4) (5) (6) (7) (8)=(3)+(7)

1. 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 Risk￾weighted 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 Risk￾weighted 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

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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 Risk￾weighted 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 -