Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Completion Instructions - Part IIIc Illustration

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 Name of the AI: XYZ Bank (in HK$'000) Item Number of Corresponding Forms Reported under Division B (1) (2) (3) (4)

1. 275,674
   ( ) Form IRB_SLSLOT
   ( ) Form IRB_SLSLOT
   ( ) Form IRB_SLSLOT
   ( ) Form IRB_SLSLOT
   ( ) Form IRB_SLSLOT and
   ( ) Form IRB_CSB
   ( 1 ) Form IRB_CSB 97,578
   ( 1 ) Form IRB_CSB 178,096
2. 64,233
   ( 1 ) Form IRB_CSB 64,233
   ( ) Form IRB_CSB
   ( ) Form IRB_CSB
3. 19,788
   ( 1 ) Form IRB_CSB 19,788
   ( ) Form IRB_CSB
   ( ) Form IRB_CSB
4. 147
   ( ) Form IRB_RETAIL
   ( ) Form IRB_RETAIL
   ( 1 ) Form IRB_RETAIL 147
   ( ) Form IRB_RETAIL
   ( ) Form IRB_RETAIL
5. 50,000
   50,000
   ( ) Form IRB_EQUSRW
   ( 1 ) Form IRB_EQUINT 50,000
   ( ) Form IRB_EQUPDLGD
   ( ) Form IRB_EQUPDLGD
   ( ) Form IRB_EQUPDLGD
   ( ) Form IRB_EQUPDLGD
   ( ) Form IRB_EQUCIS
   ( ) Form IRB_EQUCIS
   ( ) Form IRB_EQUCIS
   ( ) Form IRB_EQUCIS
   ( ) Form IRB_EQUCIS
   (d) Equity exposures not reported in IRB_EQUSRW, IRB_EQUINT, IRB_EQUPDLGD or IRB_EQUCIS ( ) 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] 409,842
8. 434,433
9. Risk-weighted amount for CVA Part IIIf 0
10. Total risk-weighted amount for credit risk (IRB Approach plus CVA) [Item 10 = Item 8 + Item 9], of which 434,433
    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 derivative contracts and SFTs not subject to IMM(CCR) Approach (b) Risk-weighted amount of default risk exposures in respect of 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 (c) CIS calculation approach (i) Look-through approach (iii) Mandate-based approach (v) Combination of approaches (iv) Fall-back approach (ii) Third-party approach MA(BS)3(IIIc)(Illustration)/P.1 (9/2022)

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_CSB Name of the AI: XYZ Bank 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 derivative contracts and SFTs Derivative contracts and SFTs Other than derivative contracts and SFTs 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 N 0.03 - 2 N 0.25 - 3 N 0.75 - 4 N 1.50 - 5 N 3.00 200,000 (A)&(D) 190,000 (A)&(D) 90,000 (A) 90,000 (A) 45.00 2.50 115,596 (A) 1,215 (A) 1 6 N 6.00 - 7 N 20.00 - 8 D 100.00 100,000 (F) 100,000 (F) 100,000 (F) 100,000 (F) 45.00 2.50 62,500 (F) 40,000 (F) 1 - - - - Total: 300,000 290,000 - - 190,000 - - 190,000 178,096 - - - 41,215 2 (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. Memorandum Items Obligor grade PD range Exposures before recognized guarantees / credit derivative contracts Exposures after recognized guarantees / credit derivative contracts Internal Rating System EAD Calculation Exposure Weighted Average LGD Exposure Weighted Average Maturity Value Risk-weighted Amount Number of obligors Non-defaulted (N) / Defaulted (D) On-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures after netting Off-balance sheet exposures multiplier of 1.25 (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). (b) This column is only applicable to purchased receivables. EAD Expected loss amount Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank ex posures. Derivation of RW is dependent on estimates of probability of default MA(BS)3(IIIc)(Illustration)/P.2 (9/2022)

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_CSB Name of the AI: XYZ Bank 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 derivative contracts and SFTs Derivative contracts and SFTs Other than derivative contracts and SFTs 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 N 0.03 - 2 N 0.25 - 3 N 0.75 - 4 N 1.50 - 5 N 3.00 100,000 (B) 100,000 (B) 60,000 (B) 60,000 (B) 75.00 2.50 97,578 (B) 1,350 (B) 1 6 N 6.00 - 7 N 20.00 - 8 D 100.00 - - - - - Total: 100,000 100,000 - - 60,000 - - 60,000 97,578 - - - 1,350 1 (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. Memorandum Items Obligor grade PD range Exposures before recognized guarantees / credit derivative contracts Exposures after recognized guarantees / credit derivative contracts Internal Rating System EAD Calculation Exposure Weighted Average LGD Exposure Weighted Average Maturity Value Risk-weighted Amount Number of obligors Non-defaulted (N) / Defaulted (D) On-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures after netting Off-balance sheet exposures multiplier of 1.25 (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). (b) This column is only applicable to purchased receivables. EAD Expected loss amount Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank ex posures. Derivation of RW is dependent on estimates of probability of default MA(BS)3(IIIc)(Illustration)/P.3 (9/2022)

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_CSB Name of the AI: XYZ Bank 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 derivative contracts and SFTs Derivative contracts and SFTs Other than derivative contracts and SFTs 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 N 0.03 - 2 N 0.25 - 3 N 0.75 - 4 N 1.50 100,000 (E) 100,000 (E) 27.37 2.50 64,233 (E) 411 (E) 1 5 N 3.00 - 6 N 6.00 - 7 N 20.00 - 8 D 100.00 - - - - - Total: - - - - 100,000 - - 100,000 64,233 - - - 411 1 (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. Memorandum Items Obligor grade PD range Exposures before recognized guarantees / credit derivative contracts Exposures after recognized guarantees / credit derivative contracts Internal Rating System EAD Calculation Exposure Weighted Average LGD Exposure Weighted Average Maturity Value Risk-weighted Amount Number of obligors Non-defaulted (N) / Defaulted (D) On-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures after netting Off-balance sheet exposures multiplier of 1.25 (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). (b) This column is only applicable to purchased receivables. EAD Expected loss amount Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank ex posures. Derivation of RW is dependent on estimates of probability of default MA(BS)3(IIIc)(Illustration)/P.4 (9/2022)

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_CSB Name of the AI: XYZ Bank 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 derivative contracts and SFTs Derivative contracts and SFTs Other than derivative contracts and SFTs 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 N 0.03 - 2 N 0.25 40,000 (C) 40,000 (C) 45.00 2.50 19,788 (C) 45 (C) 1 3 N 0.75 - 4 N 1.50 - 5 N 3.00 - 6 N 6.00 - 7 N 20.00 - 8 D 100.00 - - - - - Total: - - - - 40,000 - - 40,000 19,788 - - - 45 1 (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. Memorandum Items Obligor grade PD range Exposures before recognized guarantees / credit derivative contracts Exposures after recognized guarantees / credit derivative contracts Internal Rating System EAD Calculation Exposure Weighted Average LGD Exposure Weighted Average Maturity Value Risk-weighted Amount Number of obligors Non-defaulted (N) / Defaulted (D) On-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures after netting Off-balance sheet exposures multiplier of 1.25 (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). (b) This column is only applicable to purchased receivables. EAD Expected loss amount MA(BS)3(IIIc)(Illustration)/P.5 (9/2022)

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_RETAIL Name of the AI: XYZ Bank 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 derivative contracts and SFTs Derivative contracts and SFTs Other than derivative contracts and SFTs 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 N 0.05 30.00 2 N 0.05 60.00 3 N 0.05 85.00 4 N 0.25 30.00 5 N 0.25 60.00 6 N 0.25 85.00 7 N 0.75 30.00 8 N 0.75 800 (H) 800 (H) 800 (H) 800 (H) 60.00 4 (H) 1 9 N 0.75 85.00 10 N 3.00 30.00 11 N 3.00 2.00 3.00 60.00 12 N 3.00 85.00 13 N 6.00 30.00 14 N 6.00 60.00 15 N 6.00 85.00 16 N 15.00 30.00 17 N 15.00 60.00 18 N 15.00 85.00 19 D 100.00 30.00 20 D 100.00 60.00 21 D 100.00 85.00 22 D 100.00 Total: 800 800 - - 800 - - 800 - - 4 1 (a) This column is only applicable to purchased receivables. (b) This column is only applicable to leasing transactions that expose the AI to residual value risk. Internal Rating System EAD Calculation LGD Risk-weighted Amount Memorandum Items Pool PD range Exposures before recognized guarantees / credit derivative contracts Exposures after recognized guarantees / credit derivative contracts EAD Expected loss amount Number of obligors Non-defaulted (N) / Defaulted (D) On-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures after netting Off-balance sheet exposures (14) (to Division A) 147 (H) 147 MA(BS)3(IIIc)(Illustration)/P.6 (9/2022)

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUINT Name of the AI: XYZ Bank 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 20,000 (G) 20,000 (G) 200 20,000 (G) 4,000 (G) 50,000 (G) 50,000 (G) 1 2 All other equity exposures 300 - - Total : 20,000 20,000 - - 20,000 4,000 50,000 50,000 1 (to Division A) (1) Portfolio EAD Calculation Risk-weighted Amount Calculation Minimum risk-weights (for exposures where minimum risk-weights apply) Internal models (for exposures where minimum risk-weights do not apply) Risk-weighted amount using minimum risk￾weights EAD Potential loss Risk-weighted amount using internal models Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and MA(BS)3(IIIc)(Illustration)/P.7 (9/2022)

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_FIRBLGD Name of the AI: XYZ Bank 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 0.03 2 0.25 3 0.75 4 1.50 5 3.00 90,000 (A) 45.00 6 6.00 7 20.00 8 100.00 100,000 (F) 45.00 Total : - - 190,000 - - - - - Obligor grade EAD LGD Average PD Total EAD by facility / collateral type Exposure weighted average LGD (i) Exposures with specific wrong-way risk (viii) Recognized financial collateral (vi) Recognized residential real estate (vii) Recognized financial receivables - (ii) Subordinated exposures (iii) Unsecured senior exposures (iv) Other recognized IRB collateral (v) Recognized commercial real estate (3) = (4)+(5)+…+(10)+(11) - - - - - 190,000 - 90, 000 (A) - - 100,000 (F) - Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the MA(BS)3(IIIc)(Illustration)/P.8 (9/2022)

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_FIRBLGD Name of the AI: XYZ Bank 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 0.03 2 0.25 3 0.75 4 1.50 5 3.00 60,000 (B) 75.00 6 6.00 7 20.00 8 100.00 Total : - 60,000 - - - - - - Obligor grade EAD LGD Average PD Total EAD by facility / collateral type Exposure weighted average LGD (i) Exposures with specific wrong-way risk (viii) Recognized financial collateral (vi) Recognized residential real estate (vii) Recognized financial receivables - (ii) Subordinated exposures (iii) Unsecured senior exposures (iv) Other recognized IRB collateral (v) Recognized commercial real estate (3) = (4)+(5)+…+(10)+(11) - - - - - 60,000 - 60, 000 (B) - - - - Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the MA(BS)3(IIIc)(Illustration)/P.9 (9/2022)

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_FIRBLGD Name of the AI: XYZ Bank 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 0.03 2 0.25 3 0.75 4 1.50 29,086 (E) 35,714 (E) 35,200 (E) 27.37 5 3.00 6 6.00 7 20.00 8 100.00 Total : - - 29,086 35,714 - - - 35,200 Obligor grade EAD LGD Average PD Total EAD by facility / collateral type Exposure weighted average LGD (i) Exposures with specific wrong-way risk (viii) Recognized financial collateral (vi) Recognized residential real estate (vii) Recognized financial receivables - (ii) Subordinated exposures (iii) Unsecured senior exposures (iv) Other recognized IRB collateral (v) Recognized commercial real estate (3) = (4)+(5)+…+(10)+(11) - - - - - 100,000 100,000 (E) - - - - - Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the MA(BS)3(IIIc)(Illustration)/P.10 (9/2022)

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_FIRBLGD Name of the AI: XYZ Bank 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 0.03 2 0.25 40,000 (C) 45.00 3 0.75 4 1.50 5 3.00 6 6.00 7 20.00 8 100.00 Total : - - 40,000 - - - - - Obligor grade EAD LGD Average PD Total EAD by facility / collateral type Exposure weighted average LGD (i) Exposures with specific wrong-way risk (viii) Recognized financial collateral (vi) Recognized residential real estate (vii) Recognized financial receivables - (ii) Subordinated exposures (iii) Unsecured senior exposures (iv) Other recognized IRB collateral (v) Recognized commercial real estate (3) = (4)+(5)+…+(10)+(11) - 40,000 (C) - - - 40,000 - - - - - - Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the MA(BS)3(IIIc)(Illustration)/P.11 (9/2022)

Division F: EL-EP Calculation under IRB Approach IRB_ELEP (in HK$'000) XYZ Bank 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. 2,565 40,000 42,565 2,032 40,000 42,032
   1,350 (B) 1,350 1,032 (B) 1,032
   1,215 (A) 40,000 (F) 41,215 1,000 (A) 40,000 (F) 41,000
2. 411 411 0 -
   411(E) 411 0 (E)
3. 45 45 688 688
   45 (C) 45 688 (C) 688
4. 4 4 0
   4(H) 4 0
5. 3,025 40,000 43,025 2,720 40,000 42,720
6. 305
8. 2,607

Corporate exposures, of which
Name of AI:
Expected Loss Amount (EL Amount) Eligible Provisions (EP) EL-EP Calculation IRB Class (c) Public sector entities (excluding sovereign foreign public sector entities) (a) Specialized lending under supervisory slotting criteria approach (other than HVCRE exposures) (b) Specialized lending (high-volatility commercial real estate) (c) Small-and-medium sized corporates (d) Other corporates Sovereign exposures, of which (a) Sovereigns (b) Sovereign foreign public sector entities (c) Multilateral development banks Bank exposures, of which (a) Banks (b) Securities firms Deduction from CET1 capital [Item 6 = Item 5(c) - Item 5(f)] Surplus provisions [Item 7 = Item 5(f) - Item 5(c)] 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)] Retail exposures, of which (a) Residential mortgages (b) Qualifying revolving retail exposures (c) Small business retail exposures (d) Other retail exposures to individuals Total MA(BS)3(IIIc)(Illustration)/P.12 (9/2022)