Revised Return of Capital Adequacy Ratio (Form MA(BS)3) Enclosure 9: Completion Instructions - Part IIIc (IRB Approach) 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 (c) Equity exposures not reported in Forms IRB_EQUSRW, IRB_EQUINT and IRB_EQUPDLGD ( ) Form IRB_EQUO
6. ( ) Form IRB_OTHER
7. 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 (a) Risk-weighted amount of default risk exposures in respect of OTC derivative transactions, credit derivative contracts and SFTs not subject to IMM(CCR) Approach (b) Risk-weighted amount of default risk exposures in respect of OTC derivative transactions, credit derivative contracts and SFTs subject to IMM(CCR) Approach (b) Specialized lending (high-volatility commercial real estate) Equity exposures, of which (a) Market-based approach (c) Small business retail exposures (d) Other retail exposures to individuals (ii) Internal models method 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] (b) Sovereign foreign public sector entities (b) Securities firms (a) Banks Bank exposures, of which (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 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 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) 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 MA(BS)3(IIIc)(Illustration)/P.1 (3/2016)

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 OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit 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. On-balance sheet exposures after netting PD range EAD On-balance sheet exposures Non-defaulted (N) / Defaulted (D) Off-balance sheet exposures Number of obligors Expected loss amount Risk-weighted Amount Exposure Weighted Average Maturity Value Memorandum Items (b) This column is only applicable to purchased receivables. Off-balance sheet exposures Exposure Weighted Average LGD EAD Calculation Exposures before recognized guarantees / credit derivative contracts 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). Obligor grade Exposures after recognized guarantees / credit derivative contracts Internal Rating System MA(BS)3(IIIc)(Illustration)/P.2 (3/2016)

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 OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit 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. On-balance sheet exposures Exposures after recognized guarantees / credit derivative contracts On-balance sheet exposures after netting Off-balance sheet exposures Non-defaulted (N) / Defaulted (D) multiplier of 1.25 Number of obligors Expected loss amount Risk-weighted Amount Exposure Weighted Average Maturity Value Memorandum Items (b) This column is only applicable to purchased receivables. Off-balance sheet exposures Exposure Weighted Average LGD EAD Calculation Exposures before recognized guarantees / credit derivative contracts Internal Rating System PD range EAD (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). Obligor grade MA(BS)3(IIIc)(Illustration)/P.3 (3/2016)

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 OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit 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. On-balance sheet exposures after netting PD range EAD On-balance sheet exposures Non-defaulted (N) / Defaulted (D) Off-balance sheet exposures Number of obligors Expected loss amount Risk-weighted Amount Exposure Weighted Average Maturity Value Memorandum Items (b) This column is only applicable to purchased receivables. Off-balance sheet exposures Exposure Weighted Average LGD EAD Calculation Exposures before recognized guarantees / credit derivative contracts 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). Obligor grade Exposures after recognized guarantees / credit derivative contracts Internal Rating System MA(BS)3(IIIc)(Illustration)/P.4 (3/2016)

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 OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit 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. On-balance sheet exposures Exposures after recognized guarantees / credit derivative contracts On-balance sheet exposures after netting Off-balance sheet exposures Non-defaulted (N) / Defaulted (D) multiplier of 1.25 Number of obligors Expected loss amount Risk-weighted Amount Exposure Weighted Average Maturity Value Memorandum Items (b) This column is only applicable to purchased receivables. Off-balance sheet exposures Exposure Weighted Average LGD EAD Calculation Exposures before recognized guarantees / credit derivative contracts Internal Rating System PD range EAD (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). Obligor grade MA(BS)3(IIIc)(Illustration)/P.5 (3/2016)

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 OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit derivative contracts and SFTs Other than OTC derivative transactions, credit derivative contracts and SFTs OTC derivative transactions, credit 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. Risk-weighted Amount Memorandum Items Expected loss amount Number of obligors (14) 147 (to Division A) 147 (H) EAD Calculation Exposures before recognized guarantees / credit derivative contracts Internal Rating System PD range Exposures after recognized guarantees / credit derivative contracts EAD Pool Non-defaulted (N) / Defaulted (D) On-balance sheet exposures after netting Off-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures LGD MA(BS)3(IIIc)(Illustration)/P.6 (3/2016)

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) Internal models (for exposures where minimum risk-weights do not apply) EAD Risk-weighted Potential loss amount using internal models (1) Portfolio EAD Calculation Risk-weighted Amount Calculation Minimum risk-weights (for exposures where minimum risk-weights apply) Risk-weighted amount using minimum risk￾weights MA(BS)3(IIIc)(Illustration)/P.7 (3/2016)

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 - - - - - (3) = (4)+(5)+…+(10)+(11) (i) Exposures with specific wrong-way risk 190,000

• 90, 000 (A)
• 100,000 (F)
• Exposure weighted average LGD (vi) Recognized residential real estate (vii) Recognized financial receivables EAD by facility / collateral type (iv) Other recognized IRB collateral (v) Recognized commercial real estate Obligor grade Average PD (viii) Recognized financial collateral (ii) Subordinated exposures (iii) Unsecured senior exposures EAD Total LGD MA(BS)3(IIIc)(Illustration)/P.8 (3/2016)

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 Average PD (viii) Recognized financial collateral (ii) Subordinated exposures (iii) Unsecured senior exposures EAD Total LGD Exposure weighted average LGD (vi) Recognized residential real estate (vii) Recognized financial receivables EAD by facility / collateral type (iv) Other recognized IRB collateral (v) Recognized commercial real estate

• (3) = (4)+(5)+…+(10)+(11) (i) Exposures with specific wrong-way risk 60,000
• 60, 000 (B)
• MA(BS)3(IIIc)(Illustration)/P.9 (3/2016)

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 (3) = (4)+(5)+…+(10)+(11) (i) Exposures with specific wrong-way risk 100,000

• 100,000 (E) Exposure weighted average LGD (vi) Recognized residential real estate (vii) Recognized financial receivables EAD by facility / collateral type (iv) Other recognized IRB collateral (v) Recognized commercial real estate Obligor grade Average PD (viii) Recognized financial collateral (ii) Subordinated exposures (iii) Unsecured senior exposures EAD Total LGD MA(BS)3(IIIc)(Illustration)/P.10 (3/2016)

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 Average PD (viii) Recognized financial collateral (ii) Subordinated exposures (iii) Unsecured senior exposures EAD Total LGD Exposure weighted average LGD (vi) Recognized residential real estate (vii) Recognized financial receivables EAD by facility / collateral type (iv) Other recognized IRB collateral (v) Recognized commercial real estate

• 40,000 (C)
• (3) = (4)+(5)+…+(10)+(11) (i) Exposures with specific wrong-way risk 40,000
• MA(BS)3(IIIc)(Illustration)/P.11 (3/2016)

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND XYZ Bank (in HK$'000) CCF before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts (%) (%) (%) (%) (1a) 2,565 (1c) (1d) (2a) (2b) (2c) (2d) (3a) (3b) (3c) (3d) (4a) (4b) (4c) (4d) (A1) (A2) (B) Retail exposures Total: - - - - - - - - - - - (iii) Bank exposures 100 100 (ii) Sovereign exposures 100 Advanced IRB Approach: (i) Corporate exposures 100 (iii) Bank exposures 100 50 20 100 (ii) Sovereign exposures 100 50 20 100 50 20 100 Foundation IRB Approach: (i) Corporate exposures 100 Principal amount Credit equivalent amount Principal amount Credit equivalent amount Principal amount Credit equivalent amount Principal amount Credit equivalent amount Name of AI: IRB Class

1. Direct credit substitutes 2. Transaction-related contingencies 3. Trade-related contingencies 4. Asset sales with recourse MA(BS)3(IIIc)(Illustration)/P.12 (3/2016)

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND XYZ Bank (in HK$'000) CCF before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts (%) (%) (%) (%) (5a) (5b) (5c) (5d) (6a) (6b) (6c) (6d) (7a) (7b) (7c) (7d) (8a) (8b) (8c) (8d) (A1) (A2) (B) Retail exposures Total: - - - - - - - - - - - - (iii) Bank exposures 100 (ii) Sovereign exposures 100 (i) Corporate exposures 100 Advanced IRB Approach: (iii) Bank exposures 100 75 (ii) Sovereign exposures 100 75 (i) Corporate exposures 100 75 Foundation IRB Approach: Principal amount Credit equivalent amount Principal amount Credit equivalent amount Principal amount Credit equivalent amount 6. Partly paid-up securities 7. Forward forward deposits placed 8. Note issuance and revolving underwriting facilities Principal amount Credit equivalent amount Name of AI: IRB Class 5. Forward asset purchases MA(BS)3(IIIc)(Illustration)/P.13 (3/2016)

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND XYZ Bank (in HK$'000) CCF (a) before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts (%) (%) (%) (to Division B) (to Division B) (9a) (9b) (9c) (9d) (10a) (10b) (10c) (10d) (11a) (11b) (11c) (11d) CT = (1c) + (2c)

• …… + (10c) + (11c) DT =(1d) + (2d)
• …… + (10d) +(11d) (A1) (A2) (B) Retail exposures 200 (H) 0 - - Total: 200 - - - - - - - - - - (a) CCF of 100% or any percentage specified by the MA. (iii) Bank exposures (ii) Sovereign exposures (i) Corporate exposures Advanced IRB Approach: (iii) Bank exposures 0 75 (ii) Sovereign exposures 0 75 (i) Corporate exposures 0 75 Foundation IRB Approach: Principal amount Credit equivalent amount Principal amount Credit equivalent amount Before recognized guarantees / credit derivative contracts After recognized guarantees / credit derivative contracts

11. Others Total credit equivalent amount IRB Class
12. Commitments that are unconditionally cancellable without prior notice 10. Other commitments Principal amount Credit equivalent amount Name of AI: MA(BS)3(IIIc)(Illustration)/P.14 (3/2016)

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
7. • 8. 2,607
8. • • • Name of AI: Expected Loss Amount (EL Amount) Eligible Provisions (EP) EL-EP Calculation (d) Other corporates Sovereign exposures, of which (a) Sovereigns (b) Sovereign foreign public sector entities Corporate exposures, of which IRB Class (a) Specialized lending under supervisory slotting criteria approach (other than HVCRE exposures) (c) Small-and-medium sized corporates (b) Specialized lending (high-volatility commercial real estate) (c) Public sector entities (excluding sovereign foreign public sector entities) Retail exposures, of which Total 0.6% of total risk-weighted amount for credit risk (IRB Approach) [Item 8 = Item 8 of Form_IRB_TOTCRWA x 0.6%] (c) Multilateral development banks Bank exposures, of which (a) Banks (b) Securities firms Surplus provisions added to Tier 2 capital [Min(Item 7, Item 8)] (a) Residential mortgages (b) Qualifying revolving retail exposures (c) Small business retail exposures (d) Other retail exposures to individuals Deduction from CET1 capital [Item 6 = Item 5(c) - Item 5(f)] Surplus provisions [Item 7 = Item 5(f) - Item 5(c)] MA(BS)3(IIIc)(Illustration)/P.15 (3/2016)