Revised Return of Certificate of Compliance (MA(BS)1F) and Return of Capital Adequacy Ratio (MA(BS)3)

Banking Policy Department
Our Ref: B1/15C
B9/75C
B9/188C
S4/3C
5 July 2019
The Chief Executive
All Authorized Institutions
Dear Sir/Madam,
Revised Return of Certificate of Compliance (MA(BS)1F) and Return of Capital Adequacy Ratio (MA(BS)3) I am writing to inform you that, following consultation with the two industry Associations, we have finalised the changes to the Return of Certificate of Compliance (MA(BS)1F) (“Certificate”) and Return of Capital Adequacy Ratio (MA(BS)3) (“CAR Return”), together with the accompanying Completion Instructions (“CIs”). The revised Returns and CIs1 are enclosed in Annex 1 for reference. Major changes since the last version in use are highlighted for ease of reference. The revisions to the Certificate primarily seek to (i) replace as appropriate references to the Banking Ordinance (“BO”) and the Banking (Exposure Limits) Rules (Chapter 155R) which have been made obsolete by the implementation of the new Banking (Exposure Limits) Rules (Chapter 155S) (“BELR”) and (ii) add a new reporting field on “adjusted Tier 1 capital amount” to support the implementation of the new 50% land exposure limit under Part 6 of the BELR. The revisions to the CAR Return primarily seek to collect a new risk-weighted amount on sovereign concentration risk under Part I for the calculation of the capital adequacy ratio and introduce a new Part VI to collect the detailed breakdown of that amount. 1 In respect of the CIs of the CAR Return, only Part I (being revised) and Part VI (new) are enclosed.

Your institution is required to submit the revised returns starting with the reporting position of end-September 2019. In respect of the Certificate, a locally incorporated AI that intends to comply with an exposure limit under the BO in lieu of an applicable exposure limit under the BELR during a grace period as allowed under the BELR should also follow the reporting instructions enclosed in Annex 2. These AIs will also be required to submit additional information as set out under Supplementary Reporting Requirement in Annex 2 pursuant to
section 63(2) of the BO.
We will inform your institution under separate cover when the electronic files for the revised returns are available for downloading from the HKMA’s supervisory communication website (http://www.stet.iclnet.hk). Should you have any questions about the revised returns, please contact Mr Andy Cheung on 2878-1022. Yours faithfully, Daryl Ho Executive Director (Banking Policy) Encl
cc. The Chairperson, The Hong Kong Association of Banks
The Chairman, The DTC Association
FSTB (Attn: Ms Eureka Cheung)

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T C o . N o . M M Y Y CAT
(For Official Use Only)
SECRET und e r t he B ankin g O rdin an c e C E R T I F I C A T E O F C O M P L I A N C E W I T H T H E B A N K I N G O R D I N A N C E O F A N A U T H O R I Z E D I N S T I T U T I O N I N C O R P O R A T E D I N H O N G K O N G Position of *Local Office(s)/Local Offices and Overseas Branches/Consolidated Return
for the quarter ended ..................................................................
(last day of the quarter)

• D e l e t e w h e r e i n a p p l i c a b l e
  N a m e o f A u t h o r i z e d I n s t i t u t i o n D a t e o f S u b m i s s i o n The Ba n ki ng Ordi na nce In fo rmat i on r eq u est ed i n t h i s r et u rn i s req u i r ed u n d er s ec t i on 6 3 (2 ) o f t h e Ban k i n g Or d i n an ce. Th e r et u rn sh ou ld b e su b mi t t ed t o t h e M on et ar y Au t h ori t y n ot lat er t h an 1 4 d ays a ft er t h e en d o f each q u art er en d i n g on 3 1 M arch , 3 0 Ju n e, 3 0 Sep t emb er an d 3 1 Dec emb er, u n l ess ot h er wi s e ad vi s ed b y t h e M on et ar y Au t h ori t y. Note: This certificate is to be prepared in accordance with the completion instructions issued by the Monetary Authority. We c ert i f y t h at t h i s cert i fi ca t e i s, t o t h e b est o f ou r k n o wl ed g e an d b eli ef, c or r ect . C h i e f A c c o u n t a n t C h i e f E x e c u t i v e N a m e N a m e Name and telephone number of responsible person who may be contacted by the Monetary Authority in case of any query. N a m e T e l e p h o n e N u m b e r M A( B S ) 1 F ( a ) ( R e v . 9 / 2 0 1 9 )

(HK$’000)
I. As at
(a) Tier 1 capital of the institution
(b) Adjusted Tier 1 capital of the institution
II. Compliance with the Banking Ordinance
Please state whether or not, during the reporting period, the institution was in contravention of the provisions of the following sections of the Banking Ordinance Yes No (Please put an "X")
1. Exposure limits prescribed in
the following parts of the Rules made under section 81A ("BELR”) (a) Part 2 (b) Part 3 (c) Part 4 (d) Part 5 (e) Part 6 (f) Part 7 (g) Part 8
2. Capital requirements
specified in a notice served by the Monetary Authority under
Section 97F(1)
3. Liquidity requirements
prescribed in the Rules made under section 97H(1) that are applicable to the institution:
(a) Hong Kong office position
(b) Unconsolidated position
(c) Consolidated position
4. Section 119A
5. Rules made under section If the answer is “yes”, please specify the relevant
60A(1) section(s) of the Rules that were contravened If the institution is exempted by the Monetary Authority for disclosures required under the Rules, please tick this box .
III. Maximum exposures under the BELR
At the close of business on any day during the reporting period :
(HK$'000)
1. Maximum aggregate linked counterparty group exposure (ALCG exposure) to an LC group under Part 7 as calculated in accordance with rule 47(or the maximum aggregate
single counterparty exposure (ASC exposure) to a counterparty as calculated in accordance with rule 46), amounted to Name of LC group/counterparty :

• 3 - 2. Maximum aggregate connected parties exposure (ACP exposure) under Part 8, as calculated in accordance with rule 90, other than those exempted under rule 92,
  amounted to

3. Maximum aggregate connected natural persons exposure (ACNP exposure) under Part
   8, as calculated in accordance with rule 91, other than those exempted under rule 92, amounted to
4. Maximum aggregate single connected party exposure (ASCP exposure) to any connected natural person under Part 8, as calculated in accordance with rule 89, other
   than those exempted under rule 92, amounted to
5. Maximum aggregate equity exposure under Part 2, as calculated in accordance with
   rule 13, other than those exempted under rule 14, amounted to
6. Maximum land exposure under Part 6, as calculated in accordance with rule 37(1)(a), amounted to
7. Maximum adjusted land exposure under Part 6, as calculated in accordance with rule
   37(1)(b), amounted to
   IV. Assets under charge
8. At the close of business on any day during the reporting period, maximum ratio calculated on the basis of
   the aggregate value of all charges over the total assets of the institution and the value of such assets, within the meaning of section 119A, other than those charges approved/exempted by the Monetary Authority, was (HK$'000) (a) Aggregate value of all charges (b) Value of total assets after provisions (excluding contra items) (c) Maximum ratio ((a) ÷ (b) x 100%) %
9. During the reporting p erio d, the follo wing ch arges were created within the meaning o f section 119 A:
   Ne w ch ar g es cr ea ted At th e clo se o f b u sin e ss o n th e d a y wh en a ch ar ge was cr ea ted Dat e V alu e o f ch ar g es (HK$ ¢0 ) Ag gr e g ate v alu e o f a ll ch ar g es (in c lu d in g th o se in clu d ed in co lu mn (b )) o th er th an th o se ap p ro ved o r e xe mp t ed b y th e Mo n etar y Au th o rit y (HK$ ¢0 ) V alu e o f to t al as set s a ft er p ro vi sio n s (e xc lu d in g co n tr a ite ms) (HK$ ¢0 ) Ratio o f a g gr e gat e va lu e o f all ch ar ge s to va lu e o f to tal a ss ets a ft er p ro vi sio n s (e xc lu d in g co n tr a it e ms) (c) ÷ (d ) x 1 0 0 % (%) (a) (b ) (c) (d ) (e)

V. Exempted/Approved Tran sactions

1. During the reportin g period: th e maximu m amount o f fin ancial facilities / exposures
   exclud ed/disregarded und er th e BELR (1) fro m rule 27(2) b y the Monetary Authority’s written consent under rule 28(1); (2) fro m rule 44(1) and (2) b y the Monetary Auth ority’s appro val/written consent under rules 48(1)(e)(i)(B), 48(1)(f)(i)(B), 48 (1)(n) or 57(1)(d)(i); and (3) fro m rule 87(a), (b) and (c) b y the Mon etary Authority’s approval/written consent und er rules 85(3) or 92(1), amounted to Rel e van t ru le o f ex e mp tio n u n d er th e BE LR Na me o f cu sto mer Typ e o f Faci lit y/ Exp o su r e Li mit ap p ro ved b y th e Mo n etar y Au th o rit y (HK$ ¢0 ) Max i mu m a mo u n t o f fin an cia l fa cilit y/ exp o su re (HK$ ¢0 )

2. At the end o f the reporting p eriod, th e value o f capital interest, sh are capital, d ebt securities,
   investment structure (as the case applies) acquired (1) in the course o f satisfaction of debt due to the AI or (2 ) under an underwritin g/ subunderwritin g contract as appro ved b y the Monetary Authority in resp ect o f Part 2 of the BELR under rule 14(1)(b )(i)(B) and 14(1)(c)(i)(B) respectively and in resp ect of Part 7 o f th e BELR u nder rules 48(1)(e)(i)(B) and 48(1)(f)(i)(B) respectively; and th e value o f interest in land acquired in the course o f satisfaction o f debts due to the AI as appro ved b y the Monetary Authority under rule 38(b)(i)(B) o f th e BELR, amounted to Rel e van t ru le o f ap p ro v al u n d er th e BE LR Na me o f en t it y/ Lo cat io n o f p ro p er t y Dat e o f acq u i sitio n Exp ir y o f ap p ro ved p erio d o f h o ld in g V alu e (HK$ ¢0 )

3. During the reporting p eriod, the maximu m aggregate valu e o f all charges ap proved b y th e Monetary
   Au thority under section 11 9A(2 ), amounted to Li mit o f faci lit y Max i mu m P articu l ars o f ch ar g es V alu e o f ch ar g es se cu r ed b y ch a rg e s a mo u n t u til iz ed (HK$ ¢0 ) (HK$ ¢0 ) (HK$ ¢0 )

4. (a) Durin g the reporting period, the maximu m aggregate value o f all ch arges exempted b y th e
   Monetary Authority under section 119 A(3), amounted to Max i mu m Cla ss o f e x e mp t ed P articu l ars o f ch ar g es V alu e o f ch ar g es a mo u n t u til iz ed ch ar g es (HK$ ¢0 ) (HK$ ¢0 ) (b) Top 5 counterparties in favour o f wh ich exempted initial margin charges are created Charges in favour o f Particulars o f ch arges Value o f charges (HK$ ¢000)

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Completion Instructions
Certificate of Compliance with the Banking Ordinance of an authorized institution incorporated in Hong Kong Form MA(BS)1F(a) Introduction
Section A : General Instructions

1. This Certificate is to be submitted by all authorized institutions (“AIs”) incorporated
   in Hong Kong essentially on a solo basis, unless otherwise specified. 1 AIs with subsidiaries or (in the case of liquidity requirements) other associated entities may additionally be required to submit the Certificate on a consolidated basis. In the case of a solo Certificate, report the positions of the AI’s Hong Kong offices and overseas branches (if any) in one Certificate; in the case of a consolidated Certificate, report the positions of the AI and its consolidated entities in a separate Certificate.
2. Unless otherwise specified by the Monetary Authority, AIs should submit the
   Certificate not later than 14 days after the end of each quarter (that is, 31 March, 30 June, 30 September or 31 December). If the submission deadline falls on a public holiday, it will be deferred to the next working day.
3. All figures reported in this Certificate should be shown to the nearest thousand, in
   HK$ or HK$ equivalents in the case of foreign currency items. The closing middle market T/T rates prevailing at the position date should be used for conversion purposes.
4. In completing this Certificate, reference should be made to the relevant sections of the
   Banking Ordinance or relevant rules of the Banking (Exposure Limits) Rules (“BELR”) regarding the scope of the statutory limits and restrictions.
5. For the purposes of Part XVIA of the Banking Ordinance and the BELR, the
   Monetary Authority may require an AI to observe the limitations and restrictions on a consolidated basis and may specify different subsidiaries for consolidation under Part XVIA and the BELR. The amount of Tier 1 capital reported in Part I (a) of this return may therefore differ from the relevant amount reported in the Return of Capital Adequacy Ratio (MA(BS)3). Institutions should therefore be careful in selecting the appropriate Tier 1 capital amount for reporting under Part II of the Certificate.
6. For the purposes of this Certificate, the term “value of charges” means the book value
   of the assets which have been charged to another party.
7. Securities transactions should be reported on the “trade date” basis. Both the CCR
   exposure and non-CCR exposure arising from repo-style transactions should be 1 A locally incorporated AI is required to certify its compliance with the liquidity requirements relating to the Liquidity Coverage Ratio, Liquidity Maintenance Ratio, Net Stable Funding Ratio and Core Funding Ratio where applicable to the AI on (i) a Hong Kong Office basis (as referred to in rule 10(1)(a) of the Banking (Liquidity) Rules (BLR)) and (ii) a solo basis (i.e. unconsolidated basis as referred to in rule 10(1)(b) of the BLR). Please refer to item 3 and the relevant completion instructions. MA(BS)1F(a)/P.1(9/2019)

reported. Provisions on the determination of non-CCR exposure of repo-style transactions are set out in rule 67 of the BELR. In brief, in relation to non-CCR exposure for securities transactions under sale and repurchase agreements (“repos”) and securities lending transactions, the AI must treat the securities sold or lent as remaining as its holding. For securities borrowing transactions, if the AI provides any securities to the counterparty in exchange as collateral for securities borrowed, it must treat the securities provided to the counterparty as remaining as its holding. Please also refer to rule 60 of the BELR on the determination of CCR exposure of repo-style transactions.
Section B : Specific Instructions
8. Part I - Tier 1 capital/Adjusted Tier 1 capital amount
Unless otherwise advised by the Monetary Authority, report Tier 1 capital and Adjusted Tier 1 capital amount figures as at the end of the previous quarter compiled on the basis for determining compliance with the BELR.
9. Part II - Compliance with the Banking Ordinance
9.1 Put an “X” in the appropriate column to indicate whether or not the AI has
contravened each of the sections specified in this Part during the reporting period.
9.2 Items 1(a), (e), (f) & (g)
For the purposes of determining compliance with Parts 2, 6, 7 and 8 of the BELR, AIs should calculate on a daily basis the relevant ratios by dividing the aggregate exposure 2 by the Tier 1 capital or adjusted Tier 1 capital amount 3 (whichever applicable) prevailing at the close of business on the same day. However, for the sake of convenience, AIs may use the Tier 1 capital or adjusted Tier 1 capital amount reported in Part I of this Certificate as the basis of calculation provided that there has been no significant reduction in the Tier 1 capital or adjusted Tier 1 capital amount during the quarter covered by the Certificate.
9.3 Item 1(b)
For the purpose of determining compliance with Part 3 of the BELR, AIs which, during the reporting period, have acquired the share capital of a company (except those with the written consent from the Monetary Authority under rule 24(1) of the BELR or exempted under rule 23(2) of the BELR) should calculate the ratio by dividing the value of the share capital (i.e. cost of acquisition or the accumulated value in the case of a series of acquisitions) by the Tier 1 capital prevailing at the close of business on the date of acquisition. However, for the sake of convenience, AIs may use the Tier 1 capital reported in Part I of this Certificate as the basis of calculation provided that there has been no significant reduction in the Tier 1 capital during the period from the end of the previous quarter to the date of acquisition. 2 The determination of the exposure amounts regulated under the BELR should: (1) in respect of Part 2, follow rule 13; (2) in respect of Part 6, follow rule 37; (3) in respect of Part 7, follow rules 46 and 47; and (4) in respect of Part 8, follow rules 89, 90 and 91. 3 Please refer to rule 33 of the BELR for the definition of Adjusted Tier 1 capital amount. MA(BS)1F(a)/P.2(9/2019)

9.4 Item 2
For the purpose of determining its compliance with the minimum capital adequacy ratio applicable to it (defined in section 3 of the Banking (Capital) Rules to be the AI’s CET1 capital ratio, Tier 1 capital ratio and Total capital ratio), the reporting AI should take into account any variation of its capital adequacy ratio made by the Monetary Authority by notice served on the AI under section 97F(1) of the Banking Ordinance. That is, the reporting AI should certify compliance against the capital adequacy ratio specified in section 97F(1) notice. Moreover, for reasons already mentioned in paragraph 5 above, AIs which have been required by the Monetary Authority to observe the capital adequacy ratio on a consolidated basis should note that the consolidated Tier 1 capital to be used for computation under this section may not be the same as the one used under the BELR.
9.5 Item 3
Report in this item whether the reporting AI complied with the minimum liquidity requirement(s) applicable to it during the reporting period. If the reporting AI is a category 1 institution, the minimum liquidity requirements are the minimum required level of Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) set out respectively in rule 4 and rule 8A of the Banking (Liquidity) Rules (BLR). If the reporting AI is a category 2 institution, the minimum liquidity requirement is the minimum required level of the Liquidity Maintenance Ratio (LMR) set out in rule 7 of the BLR. Further to this, a category 2A institution must also comply with the minimum Core Funding Ratio (CFR) set out in rule 8D of the BLR. In the “solo” Certificate, the reporting AI should complete – sub-item (a) – covering the AI’s Hong Kong office position as referred to under rule 10(1)(a) of the BLR; and sub-item (b) – covering the AI’s unconsolidated position as referred to under rule 10(1)(b) of the BLR, if this position is applicable to the AI. If the reporting AI is also required to submit the Certificate on a consolidated basis, it should, in the “consolidated” Certificate, complete item 3(c), covering the AI’s consolidated position as referred to under rule 11(1) of the BLR.
9.6 Item 4
For the purpose of determining compliance with section 119A of the Banking Ordinance, only the reporting AI’s solo position (i.e. the combined position of Hong Kong office and, if any, overseas branches) should be taken into account. This is applicable to reporting under both the solo and the consolidated Certificates.
9.7 Item 5
MA(BS)1F(a)/P.3(9/2019)

For the purposes of indicating compliance with the rules made under section 60A(1) of the Banking Ordinance (that is, the Banking (Disclosure) Rules, or hereafter referred to BDR), the reporting AI is required to complete item 5 under a solo Certificate only. The certification of compliance should be made in relation to the reporting AI’s most recent disclosure statement issued prior to the Certificate of Compliance. For instance, if the AI’s financial year-end is end-December it should indicate in its solo Certificate for the period ending 30 September whether it has contravened the requirements of the BDR in respect of its disclosures for the interim reporting period. Any contraventions of the BDR in respect of its disclosures for the annual reporting period should be recorded in the Certificate for the period ending 30 June. Where the Certificate of Compliance relates to a quarter in which no disclosure statement has been issued, the reporting AI should give the same answer as on the previous quarter’s Certificate of Compliance. The reporting AI should complete item 5 by putting a “Y” or “N” in the appropriate column to indicate whether or not the AI has contravened any of the requirements of the BDR. If the answer to item 5 is “yes”, the AI should specify in the space provided relevant section(s) of the BDR that it contravened. If the AI is exempted by the Monetary Authority for disclosures required under the BDR, it should tick the relevant box as provided in the Certificate.
10. Part III - Maximum Exposures under the BELR
10.1 Items 1 - 7
For each of the Parts of the BELR specified under these items, report the maximum exposure 4 incurred during the reporting period. In this connection, the daily closing exposures should be used for comparison and reporting purposes. The amount reported should include only those transactions which are subject to the limitations / restrictions prescribed under the relevant rules. Items and transactions which are exempted under the relevant Parts of the BELR should not be included. For item 1, an AI should report the name of and the relevant amount of maximum aggregate linked counterparty group exposure (“ALCG exposure” 5 ) to a group of linked counterparties (“LC group”) to which the AI has the maximum aggregate exposure during the reporting period. However, if the AI’s maximum aggregate exposure during the reporting period is to a single counterparty which does not belong to any LC group, the AI should report the name of and the amount of maximum aggregate single counterparty exposure (“ASC exposure” 6 ) to that counterparty instead. In valuing an exposure that is supported by a letter of comfort, the amount of exposure so covered by the letter of comfort is to be deducted. An example for the reporting is provided at Annex 1.
11. Part IV – Assets under Charge
11.1 Item 1
4 Please refer to FN 2 for the determination of the exposure amounts regulated under Part 2, 6, 7 and 8 of the BELR. 5 See rule 47 of the BELR for the meaning of ALCG exposure. 6 See rule 46 of the BELR for the meaning of ASC exposure. MA(BS)1F(a)/P.4(9/2019)

Report in sub-item 1(c) the maximum ratio, expressed as a percentage, during the reporting period between the aggregate book value of all assets charged and the book value of the total assets after provisions (excluding contra items) of the AI. The book value of the numerator and denominator of such maximum ratio should then be reported under sub-items 1(a) and 1(b) respectively. For both the solo and consolidated Certificates, report only the AI’s solo position covering the Hong Kong offices and, if any, overseas branches.
11.2 Item 2
Report in the table details of all charges created during the reporting period. These include:

• Column (a) - Date
  State in chronological order all the dates on which new charges, except those approved or exempted by the Monetary Authority, were created.
• Column (b) - Value of charges
  Report the book value of the assets which were the subject of a new charge created on the date indicated in column (a).
• Column (c) - Aggregate value of all charges
  Report the aggregate book value of all the assets which have been charged to another party (including those reported under column (b) but exclude those approved or exempted by the Monetary Authority under sections 119A(2) and 119A(3) at the close of business on the date indicated in column (a).
• Column (d) - Value of total assets
  Report the book value of the total assets after provisions (excluding contra items) of the AI at the close of business on the date indicated in column (a).

12. Part V - Exempted / Approved Transactions
    12.1 Item 1
    Report the maximum amount of financial facilities7 or exposures that are excluded or disregarded under the BELR:
    (1) (in relation to Part 4) from rule 27(2) by the Monetary Authority’s written consent under rule 28(1); (2) (in relation to Part 7) from rule 44(1) and (2) by the Monetary Authority’s written consent or approval under rules 48(1)(e)(i)(B), 48(1)(f)(i)(B), 48(1)(n) or 57(1)(d)(i)8 ; 7 Please refer to rule 2(1) of the BELR for the definition of financial facility. 8 For an exposure covered by a letter of comfort, report in column 4 “Limit approved by the Monetary Authority” the maximum lending limit approved by the Monetary Authority on the letter of comfort and report in column 5 MA(BS)1F(a)/P.5(9/2019)

(3) (in relation to Part 8) from rule 87 (a), (b) and (c) by the Monetary Authority’s approval or written consent under rules 85(3) or 92(1).

• Relevant rule of exemption under the BELR:
  Specify the relevant rule under which exemption / approval / written consent has been given by the Monetary Authority.
• Name of customer:
• in the case of rule 28(1), report the name of the company for which the
  AI has been approved by the Monetary Authority under this rule to provide any financial facility against the security of any share, capital￾in-nature instrument 9 or non-capital LAC debt instrument 10 of the company; and
• in the case of other rules under this item, provide the name of the
  counterparty/LC group to whom the relevant exposures were incurred. Where an approval is given by the Monetary Authority on an investment structure11 under rule 48(1)(e)(i)(B), report the name of the issuer of the investment structure, i.e. no need to “look through” the structure. Where an exemption is granted by the Monetary Authority under rule 92(1) to a number of staff residential mortgage loans, the AI may report them in aggregate and under the title “unsecured staff mortgage loan”.
• Type of facility/ exposure:
  Specify the type of facility / exposure such as term loan, overdraft, financial guarantee, letters of credit etc. that has been granted by the AI or share capital, debt securities or investment structure etc that has been acquired by the AI.
• Limit approved by the Monetary Authority:
  Report the limit of facility or exposure approved by the Monetary Authority.
• Maximum amount of financial facility or exposure:
  Report maximum amount of financial facility or exposure during the reporting period for each of the exempted / approved transactions. In the case of exposure arising from investment structure, report the maximum book value of the AI’s investment in the investment structure.
  12.2 Item 2
  Report:
  “Maximum amount of financial facility/ exposure” the maximum amount of exposure to the counterparty /LC group of that exposure during the reporting period. Please see Annex 1 for an illustrative example. 9 Please refer to rule 25(1) of the BELR for the definition of capital-in-nature instrument. 10 Please refer to rule 25(1) of the BELR for the definition of non-capital LAC debt instrument. 11 Please refer to rule 39(1) of the BELR for the definition of investment structure. MA(BS)1F(a)/P.6(9/2019)

(1) the value as determined under Part 2 of the BELR of capital interest12 or as determined under Part 7 of the BELR of share capital, debt securities or investment structure (as the case applies), acquired in the course of satisfaction of debt due to the AI or under an underwriting/ subunderwriting contract, as approved by the Monetary Authority:

• in respect of Part 2 of the BELR under rule 14(1)(b)(i)(B) and 14(1)(c)(i)(B)
  respectively; and
• in respect of Part 7 of the BELR under rules 48(1)(e)(i)(B) and 48(1)(f)(i)(B)
  respectively;
  (2) the book value of interest in land acquired in the course of satisfaction of debts due to the AI as approved by the Monetary Authority under rule 38(b)(i)(B) of the BELR.
• Relevant rule of approval under the BELR:
  Specify the rule under which the relevant approval was given by the Monetary Authority.
• Name of entity13/ location of property:
• Provide the name of the entity that issued the capital interest, share
  capital, debt securities or investment structure concerned, or,
• Provide the address of the property concerned.
• Date of acquisition:
  Report the date on which the capital interest, share capital, debt securities or investment structure of an entity or the property was acquired by the AI.
• Expiry of approved period of holding:
  Report the expiry date of the longer period of holding approved by the Monetary Authority.
• Value
  Report the value as determined under Part 2 of the BELR of the approved holding of capital interest, or as determined under Part 7 of the BELR of the approved holding of share capital, debt securities and investment structure14 or the book value of properties which were outstanding at the end of the reporting period.
  12.3 Item 3
  12 Please refer to rule 14(4) of the BELR for the definition of capital interest. 13 Please refer to rule 39(1) of the BELR for the definition of entity. 14 Similar to Part V item 1, in respect of an approved holding of investment structure, AI should report the book value of its investment in the investment structure at the end of the reporting period. MA(BS)1F(a)/P.7(9/2019)

Report the maximum aggregate value of all charges during the reporting period which have been approved by the Monetary Authority under section 119A(2) of the Banking Ordinance.

• Particulars of charges:
  Provide a description of the assets (e.g. properties, shares, debt securities, etc.) which have been charged to another party.
• Value of charges:
  Report the book value of the assets charged.
• Limit of facility secured by charges:
  Report the limit of facilities granted to the AI against the security of the charged assets.
• Maximum amount utilized:
  Report the maximum amount of the facility utilized by the AI during the reporting period. For example, in the case of an overdraft facility, report the maximum amount that had been overdrawn by the AI during the reporting period.
  12.4 Item 4(a)
  Report the maximum aggregate value of all charges exempted by the Monetary Authority under section 119A(3) of the Banking Ordinance in respect of each of the classes of charges.
• Class of exempted charges:
  Select the appropriate class of exempted charges, i.e.
• Charges in favour of Euroclear Bank S.A.;
• Charges in favour of Clearstream Banking S.A.; or
• Charges created in connection with the provision of initial margin for
  over-the-counter derivative transactions (“initial margin charges”).
• Particulars of charges:
  Provide a description of the assets (e.g. properties, cash, shares, debt securities, etc.) which have been charged to another party.
• Value of charges:
  Report the book value of the assets charged.
• Maximum amount utilized:
  MA(BS)1F(a)/P.8(9/2019)

For initial margin charges, this column should be left blank. For other classes of exempted charges, report the maximum amount utilized under the exempted charges during the reporting period. Item 4(b) Report the top 5 counterparties among the exempted charges included in the maximum aggregate value of exempted initial margin charges reported under item 4(a).

• Charges in favour of:
  Provide the name of the counterparty in favour of which the exempted charge has been created.
• Particulars of charges:
  Provide a description of the assets (e.g. cash, shares, debt securities, etc.) which have been charged to each of the top 5 counterparties.
• Value of charges:
  Report the book value of the assets charged.
  Hong Kong Monetary Authority
  September 2019
  MA(BS)1F(a)/P.9(9/2019)

Annex 1
Illustration of reporting the maximum exposure covered by a letter of comfort under
Part III
Example: HK$’000
Maximum exposure during the quarter 900,000 Maximum lending limit 1,000,000 Since the maximum exposure is less than the maximum lending limit, the amount to be reported is zero. In general, if an AI has operated within the approved maximum lending limit during the quarter, the reported amount should be zero. Illustration of reporting the maximum amount of exposure excluded/disregarded in relation to a letter of comfort under Part V Item 1 Following the above example, the AI should report $1,000,000 in column 4 “Limit approved by the Monetary Authority” of Part V item 1. Since the full amount of exposure is within the maximum lending limit and hence is disregard, the AI should report $900,000 in column 5 “Maximum amount of financial facility/ exposure”. MA(BS)1F(a)/P.10(9/2019)

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T	SECRET	[ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ]
		Co. No. MM YY
		(For Official use Only)

under the Banking Ordinance

CERTIFICATE OF COMPLIANCE WITH THE BANKING ORDINANCE OF AN AUTHORIZED INSTITUTION INCORPORATED OUTSIDE HONG KONG

for the quarter ended ....................................................................................
(last day of the quarter)

Name of Authorized Institution	Date of Submission

The Banking Ordinance

Information requested in this return is required under section 63(2) of the Banking Ordinance. The return should be submitted to the Monetary Authority not later than 14 days after the end of each quarter ending on 31 March, 30 June, 30 September and 31 December, unless otherwise advised by the Monetary Authority.

Note: This certificate is to be prepared in accordance with the completion instructions issued by the Monetary Authority.

1. We certify that this certificate is, to the best of our knowledge and belief, correct.

2. Please put an "X" in the "Yes" column if the institution has contravened the following respective sections of the Banking Ordinance during the reporting period. If not, please put an "X" in the "No" column.

	Yes	No
	(Please put an "X")
(a) In respect of Part 4 of the Rules made under section 81A, no advance, etc., against security of own shares, etc., within the meaning of that part, other than those allowed under rule 28, was granted by the institution.	____	____
(b) In respect of Part 5 of the Rules made under section 81A, aggregate financial facility amount in relation to employees, within the meaning of rule 29(1), other than those allowed under rule 32, did not exceed the limit specified in that Part.	____	____
(c) Liquidity requirement prescribed in the Rules made under section 97(H)1 that is applicable to the institution.	____	____
(d) Rules made under section 60A(1)	____	____

If the answer to (d) is "yes", please specify the relevant section(s) of the Rules that were contravened __________________________________________________________________________________________

If the institution is exempted by the Monetary Authority for disclosures required under the Rules, please tick this box □.

*

__________________________	__________________________
Chief Accountant	Chief Executive
__________________________	__________________________
Name	Name

Name and telephone number of responsible person who may be contacted by the Monetary Authority in case of any query.

__________________________	__________________________
Name	Telephone Number

MA(BS)1F(b)(Rev. 9/2019)

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Completion Instructions
Certificate of compliance with the Banking Ordinance of an authorized institution incorporated outside Hong Kong Form MA(BS)1F(b)

1. This certificate should be submitted by all authorized institutions incorporated
   outside Hong Kong for the purpose of certifying their compliance with –
   Part 4 of the Rules made under section 81A (i.e. the Banking (Exposure Limits)
   Rules (“BELR”));
   Part 5 of the BELR;
   liquidity requirement(s) prescribed in the Rules made under section 97H(1) of the Banking Ordinance that is applicable to the institution; and Rules made under section 60A(1) of the Banking Ordinance.
2. The certificate is to be submitted not later than 14 days after the end of each quarter
   (that is, 31 March, 30 June, 30 September or 31 December). If the submission deadline falls on a public holiday, it will be deferred to the next working day. Cover page item 2(a) and (b)
3. Report in these items whether the reporting institution complied with Parts 4 and 5
   of the BELR during the reporting period.
   Cover page item 2(c)
4. Report in this item whether the reporting institution complied with the minimum
   liquidity requirement(s) applicable to it during the reporting period. If the reporting institution is a category 1 institution, the minimum liquidity requirements are the minimum required level of Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) set out respectively in rule 4 and rule 8A of the Banking Liquidity Rules (BLR). If the reporting institution is a category 2 institution, the minimum liquidity requirement is the minimum required level of the Liquidity Maintenance Ratio (LMR) set out in rule 7 of the BLR. Further to this, a category 2A institution must also comply with the minimum Core Funding Ratio (CFR) set out in rule 8D of the BLR. Cover page item 2(d)
5. For the purposes of indicating compliance with the rules made under section 60A(1)
   of the Banking Ordinance (that is, the Banking (Disclosure) Rules, or hereafter MA(BS)1F(b)/P.1(9/2019)

referred to the BDR), the reporting institution is required to complete item 2(d). The certification of compliance should be made in relation to the reporting institution’s most recent disclosure statement issued prior to the Certificate of Compliance. For instance, if the institution’s financial year-end is end-December, it should indicate in its Certificate for the period ending 30 September whether it has contravened the requirements of the BDR in respect of its disclosures for the interim reporting period. Any contraventions of the BDR in respect of its disclosures for the annual reporting period should be recorded in the Certificate for the period ending 30 March. Where the Certificate of Compliance relates to a quarter in which no disclosure statement has been issued, the reporting institution should give the same answer as on the previous quarter’s Certificate of Compliance.
6. The reporting institution should complete item 2(d) by putting a “Y” or “N” in the
appropriate column to indicate whether or not the institution has contravened any of the requirements of the BDR. If the answer to item 2(d) is “yes”, the institution should specify in the space provided relevant section(s) of the BDR that it contravened. If the institution is exempted by the Monetary Authority for disclosures required under the BDR, it should tick the relevant box as provided in the Certificate. Hong Kong Monetary Authority September 2019 MA(BS)1F(b)/P.2(9/2019)

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R1 /
Co. No. M M Y Y CAT.
(For Official Use Only)

• Delete which is not appropriate. Combined and consolidated returns are defined in the completion instructions.
  Name of Authorized Institution Date of Submission Information requested in this return is required under section 63(2) of the Banking Ordinance. The return should be submitted to the Monetary Authority not later than 1 month after the end of each period, unless otherwise advised by the Monetary Authority. Note: This return is to be prepared in accordance with the completion instructions issued by the Monetary Authority We certify that:

1. This return is, to the best of our knowledge and belief, correct.
2. The capital adequacy ratio, was at any time not less than that specified under section 3A or 3B of the Banking (Capital)
   Rules or, if applicable, as specified by the Monetary Authority in a notice served on the institution under section 97F(1) of the Banking Ordinance. Chief Accountant Name Name and telephone number of responsible person who may be contacted by the Monetary Authority in case of any query Name MA(BS)3 (Rev 09/2019) The Banking Ordinance Chief Executive Name Telephone Number SECRET under the Banking Ordinance CAPITAL ADEQUACY RATIO OF AN AUTHORIZED INSTITUTION INCORPORATED IN HONG KONG *COMBINED / CONSOLIDATED RETURN As at ______________________

Part I: Summary Certificate on Capital Adequacy Ratios
Division A: Calculation of Capital Adequacy Ratios Item Nature of item Reference Column 1 HK$'000 Column 2 HK$'000 Column 3 HK$'000

1. Capital Base Part II
   1.1 Tier 1 Capital (A)
   1.1(i) Common Equity Tier 1 Capital (B)
   1.1(ii) Additional Tier 1 Capital
   1.2 Tier 2 Capital
   1.3 Total Capital (C)
2. Calculation of Total Risk-weighted Amount
   2.1 Risk-weighted amount for credit risk (BSC Approach) Part IIIa
   2.2 Part IIIb
   2.3 Risk-weighted amount for credit risk (IRB Approach) Part IIIc
   2.4 Risk-weighted amount for credit risk (CCP) Part IIIe
   2.5 Risk-weighted amount for credit risk (CVA) Part IIIf
   (only for AIs not using IRB approach)
   2.6
   (i) SEC-IRBA Part IIId
   [Item 2.6(i) = Part IIId: Item A5(a)]
   (ii) Part IIId
   [Item 2.6(ii) = Part IIId: Item A5(b) + Item A6]
   2.7 Total risk-weighted amount for credit risk
   [Item 2.7 = Item 2.1 + Item 2.2 + Item 2.3 + Item 2.4 + Item 2.5

• Item 2.6(i) + Item 2.6(ii)]
  2.8 Risk-weighted amount for market risk Part IV
  2.9 Risk-weighted amount for operational risk Part V
  2.9a Risk-weighted amount for sovereign concentration risk Part VI
  2.10 Additional risk-weighted amount due to application of Division B
  capital floor (only for AIs using IRB Approach)
  2.11 Total risk-weighted amount before deductions
  [Item 2.11 = Item 2.7 + Item 2.8 + Item 2.9 + Item 2.9a + Item 2.10]
  2.12 Deductions:
  (i) Portion of regulatory reserve for general banking risks and collective provisions which is not included in Tier 2 Capital (ii) Portion of cumulative fair value gains arising from the revaluation of land and buildings which is not included in Tier 2 Capital (iii) Total deductions (i) + (ii)
  2.13 Total risk-weighted amount (D)
  [Item 2.13 = Item 2.11 - Item 2.12(iii)]

3. Calculation of Common Equity Tier 1 Capital Ratio
   [(B) / (D)] x 100% = %
4. Calculation of Tier 1 Capital Ratio
   [(A) / (D)] x 100% = %
5. Calculation of Total Capital Ratio
   [(C) / (D)] x 100% = %
6. IRB coverage (only for AIs using IRB Approach)
   [(Item 2.3 + Item 2.6(i)) / (Item 2.7 - Item 2.4)] % x 100% (only for exposures that are risk-weighted under BSC approach, STC approach, SEC-IRBA, SEC-SA and SEC-FBA) Risk-weighted amount for credit risk (STC Approach) Risk-weighted amount for credit risk for securitization exposures under:
   SEC-ERBA, SEC-SA and SEC-FBA

• Part I: 1 -

Division B: Calculation of Capital Floor
(Only for authorized institutions using IRB Approach) Is the authorized institution subject to capital floor? (If yes, proceed to the table below; if no, go directly to Part I Division C) - / Yes / No Item Nature of item Reference Column 1 HK$'000 Column 2 HK$'000 1. (i) (a) under BSC Approach (where applicable) Part IIIa (b) under STC Approach (where applicable) Part IIIb (c) under SEC-ERBA, SEC-SA and SEC-FBA (where applicable) Part IIId (d) under Division 4 of Part 6A - CCP exposures (where applicable) Part IIIe (e) under Division 3 of Part 6A - CVA (where applicable) Part IIIf (ii) Part IV (iii) Part V (iv) (v) (vi) Part II (vii) Part II (viii) (ix) % (x) 2. (i) (a) under BSC Approach (where applicable) Part IIIa (b) under STC Approach (where applicable) Part IIIb (c) under IRB Approach Part IIIc (d) under SEC-ERBA, SEC-SA and SEC-FBA (where applicable) Part IIId (e) under SEC-IRBA Part IIId (f) under Division 4 of Part 6A - CCP exposures (where applicable) Part IIIe (ii) Part IV (iii) Part V (iv) (v) (vi) Part II (vii) Part II (viii) Part II (ix) 3.
4. Additional risk-weighted amount due to application of capital floor
[Item 4 = max(0, Item 3) x 12.5]
Calculation of capital charge under the various approaches in use Less: Surplus provisions derived from EL-EP calculation under the IRB approach and the portion of its total regulatory reserve for general banking risks and collective provisions relevant to the SEC-IRBA approach Difference in adjusted capital charge [Item 3 = Item 1(x) - Item 2(ix)] Risk-weighted amount for market risk Total risk-weighted amount [Item 2(iv) = Item 2(i) + Item 2(ii) + Item 2(iii)] 8% of total risk-weighted amount [Item 2(iv) x 8%] Adjusted capital charge [Item 2(ix) = Item 2(v) + Item 2(vi) - Item 2(vii) - Item 2(viii)] Less: Portion of regulatory reserve for general banking risks and collective provisions included in Tier 2 Capital Plus: Deductions from Common Equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital Calculation of capital charge for the application of capital floor Risk-weighted amount for credit risk Risk-weighted amount for market risk Total risk-weighted amount [Item 1(iv) = Item 1(i) + Item 1(ii) + Item 1(iii)] Risk-weighted amount for operational risk 8% of total risk-weighted amount [Item 1(v) = Item 1(iv) x 8%] Plus: Deductions from Common Equity Tier 1 Capital, Additional Tier 1 Capital and Tier 2 Capital Capital floor adjustment factor [Please specify: %] Risk-weighted amount for operational risk Adjusted capital charge after applying capital floor adjustment factor [Item 1(x) = Item 1(viii) x Item 1(ix)] Adjusted capital charge before applying capital floor adjustment factor [Item 1(viii) = Item 1(v) + Item 1(vi) - Item 1(vii)] Less: Portion of regulatory reserve for general banking risks and collective provisions included in Tier 2 Capital Risk-weighted amount for credit risk

• Part I: 2 -

Division C: Capital Buffer Requirements
Item Nature of item Column 1

1. Net CET1 capital ratio %
   2 Buffer level [Item 2 = Item 2.1 + Item 2.2 + Item 2.3] % of which:
   2.1 Capital conservation buffer ratio %
   2.2 Countercyclical capital buffer ratio %
   2.3 Higher loss absorbency ratio %
   (applicable if the institution is a G-SIB or a D-SIB)

• Part I: 3 -

Part II: Capital Base
Column 1 Column 2
Item Nature of item HK$'000 HK$'000
Category I - Common Equity Tier 1 ("CET1") Capital (a) CET1 capital instruments (b) Share premium arising from item (a) (c) Retained earnings (i) of which: unaudited profit or loss of the current financial year and profit or loss of the immediately preceding financial year pending audit completion (d) Disclosed reserves (i) of which: fair value through other comprehensive income - financial assets Minority interests arising from CET1 capital instruments issued by the consolidated bank subsidiaries and held by third parties CET1 CAPITAL BEFORE DEDUCTIONS (A) (f) Deduct:
Cumulative cash flow hedge reserves that relate to the hedging of financial instruments that are not fair valued on the balance sheet and result from changes in the own credit risk (excluding any debt valuation adjustments referred to in item (xii)) Cumulative fair value gains arising from the revaluation of land and buildings (covering both own-use and investment properties) (iv) Regulatory reserve for general banking risks (v) Goodwill (net of related deferred tax liability) (vi) Other intangible assets (net of related deferred tax liability) (1) of which: Mortgage servicing rights (vii) Defined benefit pension fund assets (net of related deferred tax liability) (viii) Deferred tax assets in excess of deferred tax liabilities (ix) Credit-enhancing interest-only strip, and any gain-on-sale and other increase in the CET1 capital arising from securitization transactions (x) Securitization exposures specified in a notice given by the MA (xi) Valuation adjustments (xii) Debit valuation adjustments in respect of derivative contracts (xiii) Excess of total EL amount over total eligible provisions under the IRB Approach Cumulative losses below depreciated cost arising from the institution's holdings of land and buildings (xv) Capital shortfall of regulated non-bank subsidiaries (xvi) Investments in own CET1 capital instruments Reciprocal cross holdings in CET1 capital instruments issued by any financial sector entities (xvii) (e) (i) (ii) Cumulative fair value gains or losses on liabilities of the institution that are fair-valued (iii) (xiv)

• Part II: 1 -

Column 1 Column 2
Item Nature of item HK$'000 HK$'000
Capital investment in a connected company which is a commercial entity (amount of the net book value of such investment in excess of 15% of the institution's capital base) (1) of which: any amount of loans, facilities or other credit exposures that is required by section 46(1) of BCR to be aggregated with item (f)(xviii) Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement and not covered by the 10% threshold (1) of which: any amount of loans, facilities or other credit exposures that is required by section 46(2) of BCR to be aggregated with item (f)(xix) Significant LAC investments in CET1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement and not covered by the 10% threshold (1) of which: any amount of loans, facilities or other credit exposures that is required by section 46(2) of BCR to be aggregated with item (f)(xx) For completion of return on a solo / solo-consolidated basis:
Direct holdings of CET1 capital instruments issued by financial sector entities that are members of the institution's consolidation group (1) of which: any loans, facilities or other credit exposures that is required by section 46(2) of BCR to be aggregated with item (f)(xxi) Regulatory deductions applied to CET1 capital due to insufficient Additional Tier 1 capital to cover the required deductions CET1 CAPITAL AFTER DEDUCTIONS (B) Category II - Additional Tier 1 capital (g) Additional Tier 1 capital instruments issued and share premium, if any (i) of which: amount that is subject to phase out Applicable amount of capital instruments issued by the consolidated bank subsidiaries and held by third parties ADDITIONAL TIER 1 CAPITAL BEFORE DEDUCTIONS (C) (i) Deduct:
(i) Investments in own Additional Tier 1 capital instruments Reciprocal cross holdings in Additional Tier 1 capital instruments issued by financial sector entities Insignificant LAC investments in Additional Tier 1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement and not covered by the 10% threshold Significant LAC investments in Additional Tier 1 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement For completion of return on a solo / solo-consolidated basis:
Direct holdings of Additional Tier 1 capital instruments issued by financial sector entities that are members of the institution's consolidation group Regulatory deductions applied to Additional Tier 1 capital due to insufficient Tier 2 capital to cover the required deductions ADDITIONAL TIER 1 CAPITAL AFTER DEDUCTIONS (D) TIER 1 CAPITAL AFTER DEDUCTIONS (B) + (D) = (E) (iii) (iv) (v) (vi) (xx) (xxi) (xxii) (xviii) (xix) (h) (ii) Anti- Anti Solo -avoidance Solo Anti-avoidance - Solo

• Part II: 2 -

Column 1 Column 2
Item Nature of item HK$'000 HK$'000
Category III - Tier 2 capital
(j) Tier 2 capital instruments issued and share premium, if any (i) of which: amount that is subject to phase out Applicable amount of capital instruments issued by the consolidated bank subsidiaries and held by third parties (l) Reserves attributable to fair value gains on revaluation of holdings of land and buildings Regulatory reserve for general banking risks (For the portion apportioned to BSC approach or STC approach, and SEC-ERBA, SEC-SA and SEC-FBA) Collective provisions (For the portion apportioned to BSC approach or STC approach, and SEC-ERBA, SEC-SA and SEC-FBA) Total of (m) & (n) included in Tier 2 Capital (Limited to 1.25% of risk-weighted amount for credit risk calculated by using BSC approach or STC approach, and SEC-ERBA, SEC-SA and SEC-FBA) (p) Surplus provisions for exposures calculated by using IRB approach Regulatory reserve for general banking risks and collective provisions apportioned to SEC-IRBA TIER 2 CAPITAL BEFORE DEDUCTIONS (F) (r) Deduct:
(i) Investments in own Tier 2 capital instruments (ii) Reciprocal cross holdings in Tier 2 capital instruments issued by and non-capital LAC liabilities of financial sector entities Insignificant LAC investments in Tier 2 capital instruments issued by and non-capital LAC liabilities of financial sector entities that are not subject to consolidation under a
section 3C requirement and not covered by either the 5% or the 10% threshold
Insignificant LAC investments in non-capital LAC liabilities of financial sector entities previously designated for the 5% threshold but no longer able to meet the conditions set out in section 2(3)(a) of Schedule 4F to BCR (For institutions defined as "section 2 institution" under section 2(1) of Schedule 4F to BCR) Significant LAC investments in Tier 2 capital instruments issued by financial sector entities that are not subject to consolidation under a section 3C requirement Significant LAC investments in non-capital LAC liabilities of financial sector entities that are not subject to consolidation under a section 3C requirement For completion of return on a solo / solo-consolidated basis:
Direct holdings of Tier 2 capital instruments issued by financial sector entities that are members of the institution's consolidation group Regulatory deductions applied to Tier 2 capital to cover the required deductions falling within section 48(1)(g) of BCR TIER 2 CAPITAL AFTER DEDUCTIONS (G) CAPITAL BASE (E) + (G) = (H) (viii) (vi) (o) (q) (Limited to 0.6% of risk-weighted amount for credit risk calculated by using SEC-IRBA) (iii) (iv) (v) (n) (vii) (k) (m) Solo

• Part II: 3 -

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. 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. 28d. Premises, plant and equipment, other fixed assets for own use, and other interest in land 100 28e. 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. SUBTOTAL Non-DVP transactions remain unsettled for 5 or more business days Significant exposures to commercial entities Holdings of equity or other forms of capital instruments issued by, and non-capital LAC liabilities of, financial sector entities subject to 100% risk-weight 100 Investments in equity of entities (other than financial sector entities) subject to 100% risk-weight and holding of collective investment schemes 28c. Holdings of equity or other forms of capital instruments issued by financial sector entities subject to 250% risk-weight

• Part IIIa: 3 -

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 -

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

1. Domestic currency exposures to the Government
   1a. Risk-weight 0% 0 0
   1b. Risk-weight 10% 10
2. Other exposures to sovereigns
   2a. Risk-weight 0% 0 0
   2b. Risk-weight 10% 10
   2c. Risk-weight 20% 20
   2d. Risk-weight 50% 50
   2e. Risk-weight 100% 100
   2f. Risk-weight 150% 150
3. Exposures to relevant international organizations 0 0
   SUBTOTAL
   Class II Public Sector Entity (PSE) Exposures
4. Domestic PSEs
   4a. Risk-weight 20% 20
   4b. Risk-weight 50% 50
   4c. Risk-weight 100% 100
   4d. Risk-weight 150% 150
   SUBTOTAL
5. Foreign PSEs
   5a. Risk-weight 0% 0 0
   5b. Risk-weight 10% 10
   5c. Risk-weight 20% 20
   5d. Risk-weight 50% 50
   5e. Risk-weight 100% 100
   5f. Risk-weight 150% 150
   SUBTOTAL
   Class III Multilateral Development Bank (MDB) Exposures
6. Exposures to MDBs 0 0
   SUBTOTAL

• Part IIIb: 1 -

Principal Risk￾Principal Amount Risk- weighted Amount after CRM x weight = Amount Item Nature of item HK$'000 HK$'000 % HK$'000 Class IV Bank Exposures 7a. Exposures with original maturity of more than three months:
7a(i) Risk-weight 20% 20
7a(ii) Risk-weight 50% 50
7a(iii) Risk-weight 100% 100
7a(iv) Risk-weight 150% 150
7b. Exposures with original maturity of three months or less:
7b(i) Risk-weight 20% 20
7b(ii) Risk-weight 50% 50
7b(iii) Risk-weight 100% 100
7b(iv) Risk-weight 150% 150
SUBTOTAL
Class V Securities Firm Exposures
8a. Risk-weight 20% 20
8b. Risk-weight 50% 50
8c. Risk-weight 100% 100
8d. Risk-weight 150% 150
SUBTOTAL
Class VI Corporate Exposures
9a. Risk-weight 20% 20
9b. Risk-weight 30% 30
9c. Risk-weight 50% 50
9d. Risk-weight 100% 100
9e. Risk-weight 150% 150
SUBTOTAL
Class VII Collective Investment Scheme
Exposures
10a. Risk-weight 20% 20
10b. Risk-weight 50% 50
10c. Risk-weight 100% 100
10d. Risk-weight 150% 150
SUBTOTAL

• Part IIIb: 2 -

Principal Risk￾Principal Amount Risk- weighted Amount after CRM x weight = Amount Item Nature of item HK$'000 HK$'000 % HK$'000 Class VIII Cash Items
11. Notes and coins 0 0
12. Government certificates of indebtedness 0 0
13. Gold bullion held in own vault or on an allocated
basis, to the extent backed by gold liabilities 0 0
14. Gold bullion held not backed by gold liabilities 100
15. Cash items in the course of collection 20
16.
16a. 0 0
16b. for 5 to 15 business days 100
16c. for 16 to 30 business days 625
16d. for 31 to 45 business days 937.5
16e. for 46 or more business days 1250
17a.
17b.
17c.
0 0
SUBTOTAL
Class IX Regulatory Retail Exposures
18a. Qualifying exposures to individuals 75 18b. Qualifying exposures to small businesses 75 SUBTOTAL Class X Residential Mortgage Loans 19a. Risk-weight 35% 35 19b. Risk-weight 75% 75 19c. Risk-weight 100% 100 19d. Other risk-weights not specified above SUBTOTAL Exposures collateralized by cash deposits - risk￾weight 0% Positive current exposures from delivery-versus￾payment transactions which remain unsettled after the settlement date for up to 4 business days Exposures collateralized by cash deposits - risk￾weight 20% Exposures collateralized by cash deposits - risk￾weight 10%

• Part IIIb: 3 -

Principal Risk￾Principal Amount Risk- weighted Amount after CRM x weight = Amount Item Nature of item HK$'000 HK$'000 % HK$'000 Class XI Other Exposures which are not Past Due Exposures 20a. Exposures to individuals not elsewhere reported 100 20b. 20c. 20d. Premises, plant and equipment, other fixed assets for own use, and other interest in land 100 20e. 20f. Multiple-name credit-linked notes 20g. Other on-balance sheet exposures which are not elsewhere reported 20g(i) 100 20g(ii) 20g(iii) 20g(iv) SUBTOTAL Class XII Past Due Exposures 21a. Risk-weight 0% 0 21b. Risk-weight 10% 10 21c. Risk-weight 20% 20 21d. Risk-weight 30% 30 21e. Risk-weight 50% 50 21f. Risk-weight 75% 75 21g. Risk-weight 100% 100 21h. Risk-weight 150% 150 21i. Other risk-weights not specified above SUBTOTAL Class XIII Exposures subject to 1250% risk-weight 22a. First loss portion of credit protection 1250 22b. 1250 22c. 1250 SUBTOTAL Non-DVP transactions remain unsettled for 5 or more business days Significant exposures to commercial entities Holdings of equity or other forms of capital instruments issued by financial sector entities subject to 250% risk-weight Holdings of equity or other forms of capital instruments issued by, and non-capital LAC liabilities of, financial sector entities subject to 100% risk￾weight Investments in equity of entities (other than financial sector entities) subject to 100% risk-weight

• Part IIIb: 4 -

Division B: Risk-weighted Amount (Off-balance Sheet) Credit Credit Risk￾Principal Conversion Equivalent weighted Amount Factor Amount Amount Item Nature of item HK$'000 % HK$'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 0 9b. Other commitments (CCF at 20%) 20 9c. Other commitments (CCF at 50%) 50 SUBTOTAL

• Part IIIb: 5 -

Item Nature of item
10. Exchange rate contracts
Credit Risk-
Residual Maturity Principal Current Potential Equivalent weighted Amount Exposure Exposure Amount Amount 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 IIIb: 6 -

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 Principal Risk￾18. SFTs Principal Amount weighted Amount after CRM Amount HK$'000 Default Risk Exposures (Non-IMM(CCR) Approach): Bilateral Trades - SFTs (including centrally cleared trades that are treated as bilateral trades)

• Part IIIb: 7 -

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 IIIb: 8 -

Principal Credit Credit Risk￾Amount Conversion Equivalent weighted Item Nature of item HK$'000 Factor Amount Amount % HK$'000 HK$'000

24. Other off-balance sheet exposures
    which are not elsewhere reported
    24a. 100
    24b.
    24c.
    24d.
    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) = (STC APPROACH)

• Part IIIb: 9 -

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 (in HK$'000) Item Number of Corresponding Forms Reported under Division B (1) (2) (3) (4) 1. ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT ( ) Form IRB_SLSLOT and ( ) Form IRB_CSB ( ) Form IRB_CSB ( ) Form IRB_CSB 2. ( ) Form IRB_CSB ( ) Form IRB_CSB ( ) Form IRB_CSB 3. ( ) Form IRB_CSB ( ) Form IRB_CSB ( ) Form IRB_CSB 4. ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL ( ) Form IRB_RETAIL 5. ( ) Form IRB_EQUSRW ( ) Form IRB_EQUINT ( ) 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. 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]
8.
9. Risk-weighted amount for CVA Part IIIf
10. Total risk-weighted amount for credit risk (IRB Approach plus CVA) [Item 10 = Item 8 + Item 9], of which
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 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 (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

• Part IIIc: 1 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_CSB 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) Total:
(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. (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 On-balance sheet exposures after netting Exposures after recognized guarantees / credit derivative contracts Non-defaulted (N) / Defaulted (D) (a) This column is only applicable to corporate exposures or exposures to public sector entities (excluding sovereign foreign public sector entities). Obligor grade multiplier of 1.25 On-balance sheet exposures EAD Off-balance sheet exposures Number of obligors Expected loss amount Risk-weighted Amount Exposure Weighted Average Maturity Value Memorandum Items

• Part IIIc: 2 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_SLSLOT IRB Class : Corporate Exposures IRB Approach: Supervisory Slotting Criteria Approach IRB Subclass : Specialized Lending: Project Finance / Object Finance / Commodities Finance / Income-producing Real Estate / High-volatility commercial real estate (delete where inapplicable) (in HK$'000) Supervisory rating grades SRW (b) (%) 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) (1) (2) (3)(i) (3)(ii) (4) (5) (6) (7) (8) (9) = (6)+(7)+(8) (10) (11) = (2) x (9) (12) (13) STRONG (a) 50 STRONG 70 GOOD (a) 70 GOOD 90 SATISFACTORY 115 WEAK 250 DEFAULT 0 Total :
(to Division A)
Internal Rating System
Exposure
Weighted
Average Maturity
Value
Expected loss amount
Number of obligors
EAD
EAD Calculation
Exposures before recognized guarantees / credit derivative contracts Risk-weighted Amount On-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures after netting Exposures after recognized guarantees / credit derivative contracts Off-balance sheet exposures Memorandum Items (a) Use of preferential risk-weights. In scenario (b)(i) below, the preferential risk-weights do not apply to "specified ADC exposure" as defined under section 158(5) of the BCR. (b) The supervisory risk-weights (SRW) to be automatically displayed in column (2) will vary, depending on the IRB subclass selected by the reporting institution for input:
(i) When an IRB subclass other than "Specialized lending (high-volatility commercial real estate)" is selected for input, column (2) will show the SRWs applicable to specialized lending (other than HVCRE exposures), as currently set out in the column above; (ii) When the IRB subclass of "Specialized lending (high-volatility commercial real estate)" is selected for input, column (2) will show the SRWs applicable to HVCRE exposures, as set out below:
"STRONG (a)" - 70%; "STRONG" - 95%; "GOOD (a)" - 95%; "GOOD" - 120%; "SATISFACTORY" - 140%; "WEAK" - 250%; "DEFAULT" - 0%.

• Part IIIc: 3 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_RETAIL 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) Total:
(b) This column is only applicable to leasing transactions that expose the AI to residual value risk. EAD LGD Pool Non-defaulted (N) / Defaulted (D) On-balance sheet exposures after netting Off-balance sheet exposures Off-balance sheet exposures On-balance sheet exposures EAD Calculation Exposures before recognized guarantees / credit derivative contracts Internal Rating System PD range Exposures after recognized guarantees / credit derivative contracts (14) (a) This column is only applicable to purchased receivables. (to Division A) Risk-weighted Amount Memorandum Items Expected loss amount Number of obligors Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on estimates of probability of default

• Part IIIc: 4 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUSRW IRB Class : Equity Exposures IRB Approach: Market-based Approach: Simple Risk-weight Method IRB Subclass : Equity Exposures under Simple Risk-weight Method (in HK$'000) Memorandum Item SRW Exposures before netting Exposures after netting Number of equity exposures (%) (EAD) (2) (3) (4) (5) = (2)x(4) (6) 1 Publicly traded equity exposures 300 2 All other equity exposures 400 Total:
(to Division A)
Risk-weighted Amount
(1)
Portfolio EAD Calculation
Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on

• Part IIIc: 5 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUINT 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 200 2 All other equity exposures 300 Total :
(to Division A)
(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 Internal models (for exposures where minimum risk-weights do not apply) EAD Potential loss Risk-weighted amount using internal models

• Part IIIc: 6 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUPDLGD IRB Class : Equity Exposures IRB Approach: PD/LGD Approach IRB Subclass : Publicly Traded Equity Exposures Held for Long-Term Investment / Privately Owned Equity Exposures Held for Long-Term Investment / Other Publicly Traded Equity Exposures / Other Equity Exposures (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) Exposures after recognized guarantees / credit derivative contracts Lower bound Upper bound Average PD After netting (%) (%) (%) (EAD) Of which the factor of 1.5 in risk-weights applies Of which the minimum risk￾weight applies (a) Of which the risk-weight of 1250% applies (1) (2) (3) (4) (5) (6)(i) (6)(ii) (7) (8) (9) (10) (11) (12) (13) Total:
(to Division A)
(a) 100% for publicly traded equity exposures and privately owned equity exposures held for long-term investment, 200% for other publicly traded equity exposures and 300% for other equity exposures. Risk-weighted Amount Memorandum Items Expected loss amount Number of equity Non-defaulted (N) / exposures Defaulted (D) Before netting Internal Rating System Obligor grade PD range EAD Calculation Exposures before recognized guarantees / credit derivative contracts After netting

• Part IIIc: 7 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_EQUO IRB Class : Equity Exposures IRB Approach: Market-based Approach or PD/LGD Approach IRB Subclass : Equity Exposures Not Reported in Forms IRB_EQUSRW, IRB_EQUINT and IRB_EQUPDLGD (in HK$'000) Memorandum Item SRW Exposures before netting Exposures after netting Number of equity exposures (%) (EAD) (2) (3) (4) (5) = (2)x(4) (6) Specified equity exposures to financial sector entities (a) 250 Specified equity exposures to commercial entities (b) 1250 Expected loss amount of equity exposures subject to the PD/LGD approach (c) 1250 Total:
(to Division A)
(a) This item is applicable to equity exposures that fall within section 183(7) of the Banking (Capital) Rules. (b) This item is applicable to equity exposures that fall within section 183(5) and (6) of the Banking (Capital) Rules. (c) This item is applicable to equity exposures that fall within section 194(1)(ga) of the Banking (Capital) Rules. Risk-weighted Amount (1) Portfolio EAD Calculation Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on

• Part IIIc: 8 -

Division B: Risk-weighted Amount by IRB Class / Subclass IRB_OTHER IRB Class : Other Exposures IRB Approach: Specific Risk-weight Approach IRB Subclass : Cash Items and Other Items (in HK$'000) SRW (%) (EAD) (2) (3) (4) (5) = (2)x(4)
1. 0
2. 0
3. 0
4. 100
5. 20
6. 0
7. 0
8.
8a. 0
8b. 100
8c. 625
8d. 937.5
8e. 1250
9. 100
10. 1250
Subtotal (i):
1. 100
2.
2a.
2b.
2c.
2d.
2e.
Subtotal (ii):
Total (i) + (ii):
(to Division A)
EAD Calculation for 16 to 30 business days
Amount due from transactions which are entered into on a basis other than a delivery￾versus-payment basis and remain unsettled for up to 4 business days after the settlement date (for non-significant amount only) (i) Cash items Government certificates of indebtedness Unsettled clearing items of the institution being processed through any interbank clearing system in Hong Kong Other Exposures Exposures before netting Exposures after netting (1) Gold bullion held in own vault or on an allocated basis, to the extent backed by gold liabilities Gold bullion held not backed by gold liabilities Positive current exposures from delivery-versus-payment transactions which remain unsettled after the settlement date Risk-weighted Amount Notes and coins for 46 or more business days Exposures subject to the IRB approach which are not elsewhere specified Cash items in the course of collection for 31 to 45 business days Premises, plant and equipment, other fixed assets for own use, and other interest in land and buildings for up to 4 business days Receivables from transactions in securities (other than repo-style transactions), foreign exchange and commodities which are not yet due for settlement for 5 to 15 business days (ii) Other items Amount due from transactions which are entered into on a basis other than a delivery￾versus-payment basis and remain unsettled for 5 or more business days after the settlement date Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the RW function for corporate, sovereign and bank exposures. Derivation of RW is dependent on estimates of probability of default (PD), loss

• Part IIIc: 9 -

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_FIRBLGD 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) Total :
(3) = (4)+(5)+ …+(10)+(11)
(i)
Exposures with specific wrong-way risk
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
Please refer to paragraph 235 of QIS 3 Technical Guidance for details of the

• Part IIIc: 10 -

Division C: LGD for Corporate, Sovereign and Bank Exposures IRB_AIRBLGD IRB Approach: Advanced 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) (i) (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) (xi) (xii) (xiii) (xiv) (xv) (to Division B) (%) LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: % LGD: 100% (%) (1) (2) (4) (5) (6) (7) (8) (9) (10) (11) (12) (13) (14) (15) (16) (17) (18) (19) Total :
LGD
Exposure weighted average LGD
EAD by facility grade
Obligor grade
Average PD
(3) = (4)+(5)+ …
+(17)+(18)
Total
EAD
Please refer to paragraph 235 of QIS 3

• Part IIIc: 11 -

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND (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) (1b) (1c) (1d) (2a) (2b) (2c) (2d) (3a) (3b) (3c) (3d) (4a) (4b) (4c) (4d) (A1) (A2) (B) Retail exposures Total:
(ii) Sovereign exposures
(iii) Bank exposures 100 20 100
50 20 100
50 20
IRB Class

1. Direct credit substitutes
   (i) Corporate exposures 100
   Advanced IRB Approach:
   Foundation IRB Approach:
   Principal Credit equivalent amount amount
2. Transaction-related contingencies 3. Trade-related contingencies 4. Asset sales with recourse
   Principal amount
   Credit equivalent amount Principal amount
   Principal Credit equivalent amount amount
   Credit equivalent amount
   (iii) Bank exposures 100
   (ii) Sovereign exposures
   (i) Corporate exposures 100

• Part IIIc: 12 -

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND (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:
(ii) Sovereign exposures
(iii) Bank exposures 100
(i) Corporate exposures
Advanced IRB Approach:
Foundation IRB Approach:
(i) Corporate exposures 100
(ii) Sovereign exposures 100
(iii) Bank exposures 100
IRB Class
Principal amount
Credit equivalent amount Principal amount
5. Forward asset purchases 6. Partly paid-up securities 7. Forward forward deposits placed 8. Note issuance and
revolving underwriting facilities
Credit equivalent amount Principal amount
Credit equivalent amount Principal amount
Credit equivalent amount

• Part IIIc: 13 -

Division D: Off-Balance Sheet Exposures (Other Than OTC Derivative Transactions, Credit Derivative Contracts and SFTs) under IRB Approach IRB_OBSND (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
  Total:
  (a) CCF of 100% or any percentage specified by the MA.
  Advanced IRB Approach:
  0 75
  (ii) Sovereign exposures 0 75
  (i) Corporate exposures
  (iii) Bank exposures
  0 75
  (i) Corporate exposures
  Foundation IRB Approach:
  (ii) Sovereign exposures
  (iii) Bank exposures
  IRB Class
  Total credit equivalent amount

9. Commitments that are unconditionally
   cancellable without prior notice
   Principal amount
   Credit equivalent amount
10. Other commitments 11. Others
    Credit equivalent amount Before recognized guarantees / credit derivative contracts After recognized guarantees / credit derivative contracts Principal amount Credit equivalent amount Principal amount

• Part IIIc: 14 -

Division E: IRB_OBSD_N_IMM
(in HK$'000) 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(i)) (1a(ii)) (1a(iii)) (1a(iv)) (1a(v)) (2a(i)) (2a(ii)) (2a(iii)) (2a(iv)) (2a(v)) (3a(i)) (3a(ii)) (3a(iii)) (3a(iv)) (3a(v)) (A1) (i) Corporate exposures 1% 0% 6% (ii) Sovereign exposures 1% 0% 6% (iii) Bank exposures 1% 0% 6% (iv) Retail exposures 1% 0% 6% Subtotal:
(A2) Maturity: Over 1 Year to 5 Years
(i) Corporate exposures
5% 0.5% 8%
(ii) Sovereign exposures
5% 0.5% 8%
(iii) Bank exposures
5% 0.5% 8%
(iv) Retail exposures
5% 0.5% 8%
Subtotal:
(A3) Maturity: Over 5 Years
(i) Corporate exposures
7.5% 1.5% 10%
(ii)
Sovereign exposures
7.5% 1.5% 10%
(iii) Bank exposures
7.5% 1.5% 10%
(iv)
Retail exposures
7.5% 1.5% 10%
Subtotal:
Total:
1. Exchange rate contracts (other than LSTs)
not subject to recognized netting
CCF Default risk exposure
3. Equity contracts (other than LSTs)
not subject to recognized netting
Current exposure
Maturity: 1 Year or Less
Potential exposure
Potential exposure
Principal Default risk exposure amount
CCF Principal CCF Default risk exposure amount IRB Class
2. Interest rate contracts (other than LSTs)
not subject to recognized netting
Current exposure
Principal amount
Current exposure
Potential exposure
Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

• Part IIIc: 15 -

Division E: IRB_OBSD_N_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts before recognized guarantees / credit derivative contracts after recognized guarantees / credit derivative contracts (4a(i)) (4a(ii)) (4a(iii)) (4a(iv)) (4a(v)) (5a(i)) (5a(ii)) (5a(iii)) (5a(iv)) (5a(v)) A(iv) = (1a(iv)) + …

• (5a(iv))
  A(v) = (1a(v)) + …
• (5a(v))
  (A1)
  (i) Corporate exposures
  7% 10%
  (ii) Sovereign exposures
  7% 10%
  (iii) Bank exposures
  7% 10%
  (iv) Retail exposures
  7% 10%
  Subtotal:
  (A2) Maturity: Over 1 Year to 5 Years
  (i) Corporate exposures
  7% 12%
  (ii) Sovereign exposures
  7% 12%
  (iii) Bank exposures
  7% 12%
  (iv) Retail exposures
  7% 12%
  Subtotal:
  (A3) Maturity: Over 5 Years
  (i) Corporate exposures
  8% 15%
  (ii)
  Sovereign exposures
  8% 15%
  (iii) Bank exposures
  8% 15%
  (iv)
  Retail exposures
  8% 15%
  Subtotal:
  Total:
  CCF Current exposure
  Default risk exposure Principal CCF Default risk exposure amount

5. Debt security contracts or other commodity contracts (other than LSTs)
   not subject to recognized netting
6. Precious metals contracts (other than LSTs)
   not subject to recognized netting
   Subtotal default risk exposures
   (Items 1 to 5)
   Before recognized guarantees
   / credit derivative contracts
   After recognized guarantees
   / credit derivative contracts
   Potential exposure
   Maturity: 1 Year or Less
   Principal amount
   Current exposure
   IRB Class
   Potential exposure
   Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

• Part IIIc: 16 -

Division E: IRB_OBSD_N_IMM
(in HK$'000) 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 (6a(i)) (6a(ii)) (6a(iii)) (6a(iv)) (6a(v)) (7a(i)) (7a(iv)) (7a(v)) (8a(i)) (8a(iv)) (8a(v)) (A) (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total:
7. SFTs (other than LSTs)
not subject to recognized netting
8. LSTs
not subject to recognized netting
All Maturities
Principal amount
6. Credit derivative contracts (other than LSTs)
not subject to recognized netting
Current exposure Potential exposure Default risk exposure Default risk exposure Principal Default risk exposure amount Principal amount IRB Class Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

• Part IIIc: 17 -

Division E: IRB_OBSD_N_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting (9a(i)) (9a(ii)) (9a(iii)) (9a(iv)) (9a(v)) (10a(i)) (10a(iv)) (10a(v)) (11a(i)) (11a(iv)) (11a(v)) (A) All Maturities (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total:
Default risk exposure
IRB Class
Principal amount
Current exposure
Potential exposure
10. SFTs (other than LSTs)
subject to valid bilateral netting agreements
11. LSTs
subject to valid bilateral netting agreements
9. OTC derivative transactions and credit derivative contracts (other than LSTs)
subject to valid bilateral netting agreements Principal amount Default risk exposure Principal amount Default risk exposure Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

• Part IIIc: 18 -

Division E: IRB_OBSD_N_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting (12a(i)) (12a(iv)) (12a(v)) B(iv) = A(iv) +(6a(iv)) + … + (12a(iv)) B(v) = A(v) + (6a(v)) + …

• (12a(v))
  (A) All Maturities
  (i) Corporate exposures
  (ii) Sovereign exposures
  (iii) Bank exposures
  (iv) Retail exposures
  Total:
  Total default risk exposures
  (Items 1 to 12)
  IRB Class
  Default risk exposure

12. Other OTC derivative transactions, credit derivative contracts and
    SFTs
    Principal amount
    After recognized guarantees
    / credit derivative contracts and netting
    (to Division B)
    Before recognized guarantees
    / credit derivative contracts but after netting (to Division B) Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures NOT under IMM(CCR) Approach

• Part IIIc: 19 -

Division E: IRB_OBSD_IMM
(in HK$'000) 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 but after netting after recognized guarantees / credit derivative contracts and netting (1b(i)) (1b(ii)) (1b(iii)) (2b(i)) (2b(ii)) (2b(iii)) (3b(i)) (3b(ii)) (3b(iii)) (4b(i)) (4b(ii)) (4b(iii)) (A) (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total:
(a)
Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures under IMM(CCR) Approach (a)
4. OTC derivative transactions and credit derivative contracts
(other than LSTs) subject to valid bilateral netting agreements Principal amount Principal Default risk exposure amount
2. SFTs (other than LSTs)
not subject to recognized netting
Default risk exposure
3. LSTs
not subject to recognized netting
IRB Class
Default risk exposure
An AI should refer to paragraphs 148(a) and 182 to 185 of the completion instructions and report in this form for different IRB classes the principal amounts and default risk exposures of OTC derivative transactions, credit derivative contracts and SFTs that are associated with the higher of the portfolio-level risk-weighted amount of the relevant exposures referred to in paragraph 183(i) and (ii) of the completion instructions. Principal amount

1. OTC derivative transactions and credit derivative contracts
   (other than LSTs) not subject to recognized netting Principal amount Default risk exposure All Maturities

• Part IIIc: 20 -

Division E: IRB_OBSD_IMM
(in HK$'000) before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting after recognized guarantees / credit derivative contracts and netting before recognized guarantees / credit derivative contracts but after netting (to Division B) after recognized guarantees / credit derivative contracts and netting (to Division B) (5b(i)) (5b(ii)) (5b(iii)) (6b(i)) (6b(ii)) (6b(iii)) (7b(i)) (7b(ii)) (7b(iii)) B(ii) = (1b(ii)) + … + (7b(ii)) B(iii) = (1b(iii)) + … + (7b(iii)) (A) All Maturities (i) Corporate exposures (ii) Sovereign exposures (iii) Bank exposures (iv) Retail exposures Total:
Off-Balance Sheet Exposures (OTC Derivative Transactions, Credit Derivative Contracts and SFTs (including centrally cleared trades that are treated as bilateral trades)) under IRB Approach: Default Risk Exposures under IMM(CCR) Approach (a) Principal amount
7. OTC derivative transactions, credit derivative contracts and SFTs
subject to valid cross-product netting agreements
6. LSTs
subject to valid bilateral netting agreements Principal amount IRB Class Total default risk exposures (Items 1 to 7) Default risk exposure Default risk exposure
5. SFTs (other than LSTs)
subject to valid bilateral netting agreements Principal amount Default risk exposure

• Part IIIc: 21 -

Division F: EL-EP Calculation under IRB Approach IRB_ELEP (in HK$'000) 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. 3. 4. 5. 6. 7. 8. 9. Bank exposures, of which 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)] (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)] (a) Banks (b) Securities firms (c) Public sector entities (excluding sovereign foreign public sector entities) Retail exposures, of which Total (c) Multilateral development banks (b) Specialized lending (high-volatility commercial real estate) Expected Loss Amount (EL Amount) Eligible Provisions (EP) EL-EP Calculation Corporate exposures, of which IRB Class (a) Specialized lending under supervisory slotting criteria approach (other than HVCRE exposures) (c) Small-and-medium sized corporates (d) Other corporates Sovereign exposures, of which (a) Sovereigns (b) Sovereign foreign public sector entities

• Part IIIc: 22 -

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

• Part IIId: 2 -

Division C1 : Long-term Securitization Exposures under SEC-ERBA Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount RWA under IAA Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk-weighted Amount RWA under IAA Total Risk￾weighted Amount (1) (2) (3) (3a) (4) (5) (6) (7) (7a) (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. Note: a. Column (3a) is a subset of column (3), which is the RWA calculated by using the risk-weights determined under the IAA. Similarly, column (7a) is a subset of column (7). 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 (in HK$'000) Off-balance Sheet Exposures

• Part IIId: 3 -

Division C2 : Short-term Securitization Exposures under SEC-ERBA Exposure Amount before CRM Exposure Amount after CRM Risk￾weighted Amount RWA under IAA Principal Amount Exposure Amount before CRM Exposure Amount after CRM Risk￾weighted Amount RWA under IAA Total Risk￾weighted Amount (1) (2) (3) (3a) (4) (5) (6) (7) (7a) (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.
   Note: a. Column (3a) is a subset of column (3), which is the RWA calculated by using the risk-weights determined under the IAA. Similarly, column (7a) is a subset of column (7). Total (item 1(m) + item 2(m)) Non-senior short-term securitization exposures Item Nature of item (in HK$'000) On-balance Sheet Exposures Off-balance Sheet 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. Item Nature of item (in HK$'000) 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

• 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

• Part IIId: 6 -

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 -

Part IIIe: Risk-weighted Amount for Exposures to Central Counterparties (CCP)
Division A: Default Fund Contribution
Default fund contribution
HK$'000
Capital Charge
HK$'000
Risk-weight
%
Risk-weighted
Amount
HK$'000
Adjusted Risk￾weighted Amount
HK$'000
1. Qualifying CCPs
1a. Option 1 1250
1b. Option 2
2. Non-qualifying CCPs 1250
SUBTOTAL
Division B: Default Risk Exposures
Clearing member's exposures
Collateral posted
Non-IMM(CCR) IMM(CCR)
Total Risk￾Principal Default Risk Default Risk Principal Exposure Risk- weighted Amount Exposure Exposure Amount After CRM weight Amount HK$'000 % HK$'000
1. Qualifying CCPs
1a. Risk-weight 0% 0 0
1b. Risk-weight 2% 2
1c. Other risk-weights not specified above
2. Non-qualifying CCPs
2a. Risk-weight 0% 0 0
2b. Risk-weight 10% 10
2c. Risk-weight 20% 20
2d. Risk-weight 30% 30
2e. Risk-weight 50% 50
2f. Risk-weight 100% 100
2g. Risk-weight 150% 150
2h. Other risk-weights not specified above
SUBTOTAL
Client's exposures
Collateral posted
Non-IMM(CCR) IMM(CCR)
Total Risk￾Principal Default Risk Default Risk Principal Exposure Risk- weighted Amount Exposure Exposure Amount After CRM weight Amount HK$'000 % HK$'000
3. Qualifying CCPs
3a. Risk-weight 0% 0 0
3b. Risk-weight 2% 2
3c. Risk-weight 4% 4
3d. Other risk-weights not specified above
4. Non-qualifying CCPs
4a. Risk-weight 0% 0 0
4b. Risk-weight 10% 10
4c. Risk-weight 20% 20
4d. Risk-weight 30% 30
4e. Risk-weight 50% 50
4f. Risk-weight 100% 100
4g. Risk-weight 150% 150
4h. Other risk-weights not specified above
SUBTOTAL
5. TOTAL RISK-WEIGHTED AMOUNT FOR EXPOSURES TO CCPs
Derivative Contracts and SFTs
Derivative Contracts and SFTs

• Part IIIe: 1 -

Part IIIf: Risk-weighted Amount for CVA
Division A: Advanced CVA Method
Item Nature of item End of quarter
HK$'000
Latest available
HK$'000
Average VaR /
Stressed VaR
HK$'000
Multiplication factor for
VaR /
Stressed VaR
Risk-weighted
Amount
HK$'000

1. VaR
2. Stressed VaR
   TOTAL
   Division B: Standardized CVA Method
   Item
   Default Risk
   Exposures
   HK$'000
   Capital Charge
   HK$'000
   Risk-weighted
   Amount
   HK$'000
   3.

• Part IIIf: 1 -

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 n th-to-default credit derivative contracts (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 TOTAL MARKET RISK CAPITAL CHARGE FOR SPECIFIC RISK FOR INTEREST
RATE EXPOSURES (ON GROSS POSITIONS - LONG PLUS SHORT) Note:
(12.00%)
To be specified
( %)
6 months or less Over 6 months to
24 months Over 24 months
(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. Exposures by market risk capital charge factor for specific risk Total market risk capital charge for specific risk (0.00%) Residual maturity (8.00%)

• Part IV-A1(a):1 -

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)

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)
2. 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 -

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 B. Capital deductions Total (c)
2. Other exposures as specified by the Monetary Authority
Note:
3. Total deductions
(b) Of which re-securitization exposures
(i) rated
2.8 Total market risk capital charge for specific risk (Item 2.8(9) / 2.8(10) = Item 2.7(9) / 2.7(10) multiplied by scaling factor 1.06)
Positions incurred as an originating institution
3. Total

• 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

1. 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 n th-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 risk￾weighted 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)

1. Common stocks Long
   Short
2. Convertible securities Long
   Short
3. Commitments to buy or sell equities and equity forward contracts Long
   Short
4. Equity swap contracts (Note (2)) Long
   Short
5. Futures contracts relating to equity indices Long
   Short
6. Futures contracts relating to individual equities Long
   Short
7. Option contracts relating to equity indices (Note (3)) Long
   Short
8. Option contracts relating to individual equities (Note (3)) Long
   Short
9. 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)

1. 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))
2. 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)
3. Supplemental capital charge arising from the correlation trading portfolio
4. 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) n th-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)

1. 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)
2. Total market risk capital charges under the IMM approach (Item Division F.1(e)) (B)
3. 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 -

Part V: Risk-weighted Amount for Operational Risk
Capital
Charge
Factor
%

1. BIA Approach 15
2. STO Approach
   2.1 a. Corporate finance 18
   b. Trading and sales 18
   c. Retail banking 12
   d. Commercial banking 15 e. Payment and settlement 18 f. Agency services 15 g. Asset management 12 h. Retail brokerage 12
   i. Unclassified 18
   2.2 TOTAL
3. ASA Approach
   3.1 a. Retail banking 12
   b. Commercial banking 15
   c. SUBTOTAL
   3.2 a. Corporate finance 18
   b. Trading and sales 18
   c. Payment and settlement 18
   d. Agency services 15 e. Asset management 12 f. Retail brokerage 12 g. Unclassified 18 h. SUBTOTAL
   3.3 3.1a & 3.1b as one business line 15
   3.4 3.2a to 3.2g as one business line 18
   3.5 TOTAL
4. Capital charge for operational risk
5. RISK-WEIGHTED AMOUNT FOR OPERATIONAL RISK
   (5 = 4 X 12.5)
   Item Nature of item First Year Second Year Third Year First Year Second Year Third Year Gross Income/Loans & Advances HK$'000 Capital Charges HK$'000

• Part V: 1 -

Part VI: Risk-weighted Amount for Sovereign Concentration Risk
Risk-weighted amount
HK$'000
1(a)
1(b)
1(c)
1(d)
1(e)
1(f)
1(g)
1(h)
1(i)
1(j)

1. Countries to which the AI has concentrated sovereign exposure
2. Total Risk-weighted Amount for Sovereign Concentration Risk
   Item Countries

• Part VI: 1 -

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MA(BS)3(I)/P.1 (09/2019)
Annex 1
Completion Instructions
Return of Capital Adequacy Ratio
Part I – Summary Certificate on Capital Adequacy Ratios
Form MA(BS)3(I)
Introduction

1. Form MA(BS)3(I) is divided into three divisions:
   (a) Division A & C – to be completed by all reporting institutions; (b) Division B – to be completed by reporting institutions using the internal ratings￾based approach (IRB approach).
2. Division A is for a reporting institution to provide summary information on its
   quarter-end Common Equity Tier 1 capital ratio, Tier 1 capital ratio and Total capital ratio and the relevant aggregate figures (mainly extracted from other parts of the Return) for computing the ratios. Division B collects information for the determination of the capital floor by a reporting institution using the IRB approach. Division C is for a reporting institution to report information relating to capital buffer requirements applicable to it.
3. This return and its completion instructions should be read in conjunction with the
   Banking (Capital) Rules (BCR) and the relevant supervisory policy/guidance on the revised capital adequacy framework. Specific Instructions Division A: Calculation of Capital Adequacy Ratios
4. The figures reported for items 1.1 to 1.3, 2.1 to 2.6(ii), 2.8, 2.9 and 2.9a should be
   extracted from other parts of the Return. See Annex I-A for a mapping table on items in this Form and the corresponding items in other Forms.
5. Reporting institutions using the IRB approach, regardless of whether they also use
   other prescribed approaches to calculate credit risk, are not required to complete item 2.5, since the total CVA risk-weighted amount of the institutions reported under Part IIIf has already been incorporated into the institutions’ risk-weighted amount for credit risk (credit RWA) reported under Part IIIc and reflected under item 2.3.
6. Only reporting institutions using the IRB approach are required to complete item 2.10
   and item 6. It should be noted that item 2.10 will only be accessible to reporting institutions that use the IRB approach, and its value should be equal to item 4 of Division B. In calculating the IRB coverage ratio under item 6, the credit RWA in respect of the relevant reporting institutions’ exposures to central counterparties (CCP) (i.e. item 2.4) are excluded from the denominator.

MA(BS)3(I)/P.2 (09/2019)
7. Item 2.12(i) must be completed by the reporting institution if regulatory reserve for
general banking risks and collective provisions have been made for or apportioned to— (a) its non-securitization exposures that are risk-weighted by using the basic approach (BSC approach) or the standardized (credit risk) approach (STC approach); or (b) its securitization exposures that are risk-weighted by using the securitization external ratings-based approach (SEC-ERBA), securitization standardized approach (SEC-SA) and securitization fall-back approach (SEC-FBA). The institution must report in this item the amount of the above regulatory reserve for general banking risks and collective provisions that exceeds 1.25% of the credit RWA reported under items 2.1, 2.2 and 2.6(ii). To avoid doubts, risk-weighted amount for CCP and CVA, if any, is excluded for the calculation of this 1.25% cap.
8. Item 2.12(ii) refers to the portion of cumulative fair value gains arising from the
revaluation of the institution’s holdings of land and buildings (except land and buildings mortgaged to the reporting institution to secure a debt) which is not included in Tier 2 Capital. For this purpose, whether such amount should be net or gross of deferred tax liabilities will be based on the prevailing accounting standards applicable within a given jurisdiction. Division B: Calculation of Capital Floor
9. A reporting institution using the IRB approach (whether foundation or advanced) for
capital adequacy purposes is subject to a capital floor for the first three years of the adoption of the IRB approach. The use of the capital floor is to prevent a sudden fall in capital charges solely as a result of the changes in how the credit RWA is measured.
10. A reporting institution migrating from the foundation IRB approach (FIRB) to the
advanced IRB approach (AIRB) will generally not be subject to the capital floor if it has already been subject to a capital floor for a period of three years since its adoption of the FIRB. However, a reporting institution that is migrating to the AIRB during the first three years of using the FIRB will need to continue to adopt the capital floor for the remaining period. For example, a reporting institution moving to the AIRB after using the FIRB for two years should continue to be subject to the capital floor in the third year.
11. The Monetary Authority (MA) may require a reporting institution using the IRB
approach to keep the capital floor in place beyond the three-year period or reinstate the capital floor requirement for a reporting institution in the following circumstances- (i) for so long as the MA is satisfied that the prevailing banking supervisory standards relating to capital issued by the Basel Committee require a capital floor to continue to be applied to entities using the Internal Ratings-Based Approach beyond the first three years of adoption; and

MA(BS)3(I)/P.3 (09/2019)
(ii) where this is deemed appropriate by the MA based on the institution’s circumstances (e.g. IRB compliance problems have emerged pending rectification or possible material prudential concerns on the financial soundness of the institution).
12. A reporting institution using the IRB approach should indicate whether it is subject to
the capital floor requirement as at the reporting date by answering the filtering question at the top of Division B by inputting either “Yes” or “No” 1 . Those institutions which have answered “Yes” should proceed to complete the data table in Division B below the question, while the others should go directly to Part I – Division C of the return. (A) Calculation of capital charge for the application of capital floor
13. Subject to paragraph 18, a reporting institution which is subject to the capital floor
should calculate the difference between:
(i) the floor amount of capital (capital floor) as calculated in accordance with paragraphs 14 to 16 (details to be reported under items 1(i) to (x) of Division B); and (ii) the actual amount of capital as calculated in accordance with paragraph 17 (details to be reported under items 2(i) to (ix) of Division B). If the floor amount of capital is larger than the actual amount of capital, the institution is required to report the product of such difference and 12.5 in item 4 of Division B and add such amount to the credit RWA (i.e. in item 2.10 of Division A). Otherwise, the figures reported under item 4 of Division B and item 2.10 of Division A should be zero.
14. For a reporting institution that has started to use the IRB approach within the
transitional period from 1 January 2007 to 31 December 2009, the capital floor is derived by applying an adjustment factor (see paragraph 16) to the sum of the following amounts:
(a) 8% of the total RWA 2
(to be reported under item 1(v)) as calculated:
(i) for credit risk under the BSC approach or the STC approach 3 (to be reported under item 1(i)(a) or (b), as the case requires);

1 By virtue of HKMA circular of 20 December 2013 and related notices issued to relevant AIs under section 225(6) of the BCR, all AIs that use the IRB approach are required to be subject to the capital floor requirement on the ground mentioned in paragraph 11(i). 2 To facilitate a closer comparison with the capital calculation under the current Accord, a reporting institution adopting the IRB approach within the transitional period is not required to include the RWAs calculated for operational risk for the calculation of the capital floor. Subject to the prior consent of the MA, a reporting institution using the STC approach for the calculation of credit RWA before migrating to the IRB approach within the transitional period may use the STC approach as the basis for calculating the capital floor.

MA(BS)3(I)/P.4 (09/2019)
(ii) for credit risk in respect of securitization exposures under the SEC-ERBA, SEC-SA and SEC-FBA, whichever is applicable (to be reported under item 1(i)(c)); and (iii) for market risk under the approach in use (i.e. the standardized (market risk) approach and/or the internal models approach) (to be reported under item 1(ii)). The total RWA is determined by:
Credit RWA + market risk capital charges x 12.5 (b) plus all deductions from the Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital (to be reported under item 1(vi)); (c) less the amount of regulatory reserve for general banking risks and collective provisions which is included in the Tier 2 capital (to be reported under item 1(vii)).
15. For a reporting institution that has started, or will start, to use the IRB approach after
the transitional period, the calculation of the capital floor is derived by applying an adjustment factor (see paragraph 16) to the sum of the following amounts:
(a) 8% of the total RWA (to be reported under item 1(v)) as calculated:
(i) for credit risk under the STC approach (to be reported under item 1(i)(b)); (ii) for credit risk in respect of securitization exposures under the SEC-ERBA, SEC-SA and SEC-FBA, whichever is applicable (to be reported under item 1(i)(c)); (iii) for credit risk in respect of exposures to CCP in accordance with Division 4 of Part 6A (the amount reported under item 5 of Part IIIe to be reported under item 1(i)(d)); (iv) for credit risk in respect of CVA risk to counterparties in accordance with Division 3 of Part 6A (the aggregate of the CVA risk-weighted amounts reported under Part IIIf to be reported under item 1(i)(e)); (v) for market risk under the approach in use (to be reported under item 1(ii)); and (vi) for operational risk under the approach in use (i.e. the basic indicator approach, the standardized (operational risk) approach or the alternative standardized approach) (to be reported under item 1(iii)). The total RWA is determined by:
Credit RWA + market risk capital charges x 12.5 + operational risk capital charges x 12.5 (b) plus all deductions from the Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital (to be reported under item 1(vi)); (c) less the amount of regulatory reserve for general banking risks and collective provisions which is included in the Tier 2 capital (to be reported under item 1(vii)).

MA(BS)3(I)/P.5 (09/2019)
16. The adjustment factors to be used for the calculation of the floor amount of capital by
a reporting institution starting to use the IRB approach within or after the transitional period are set out in the table below, unless the MA has specified another adjustment factor (not exceeding 100%) pursuant to section 225(5)(c) or (6)(c)(i) of the BCR. Date of IRB approach implementation st year of implementation nd year of implementation rd year of implementation Within transitional period 95% 90% 80% After transitional period 4 90% 80% 70% The institution is required to fill in the applicable adjustment factor in item 1(ix). (B) Calculation of capital charge under the various approaches in use
17. In the years in which the capital floor applies, a reporting institution should also
calculate the actual amount of capital as follows:
(a) 8% of total RWA (to be reported under item 2(v)) as determined under the various approaches in use for (i) credit risk, including credit risk in respect of securitization exposures or exposures to central counterparties where applicable (to be reported under items 2(i)(a), (b), (c), (d), (e) or (f), as the case requires); (ii) market risk (to be reported under item 2(ii)); and (iii) operational risk (to be reported under item 2(iii)). The total RWA is determined by:
Credit RWA + market risk capital charges x 12.5 + operational risk capital charges x 12.5 (b) plus all deductions from the Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital (to be reported under item 2(vi)), including the shortfall amount (i.e. total EL amount > total eligible provisions) derived from EL-EP calculation (See Section C of the Completion Instructions for MA(BS)3(IIIc)); (c) less the amount of regulatory reserve for general banking risks and collective provisions included in the Tier 2 capital (to be reported under item 2(vii)) if the institution uses the BSC approach, the STC approach, the SEC-ERBA, SEC-SA and/or SEC-FBA for any portion of its credit exposures; (d) less the surplus amount of provisions under the IRB approach (i.e. where total eligible provisions > total EL amount) included in the Tier 2 capital derived from EL-EP calculation; and the portion of total regulatory reserve for general banking

4 Lower adjustment factors are used to take account of the inclusion of operational risk capital charges for the calculation of capital floor after the transitional period (see also footnote 2).

MA(BS)3(I)/P.6 (09/2019) risks and collective provisions relevant to the securitization internal ratings-based approach (SEC-IRBA) that is included in the Tier 2 capital (to be reported under item 2(viii)). (C) Adjustments to the calculation methods of capital floors
18. Where the MA extends or reapplies the capital floor requirement to a reporting
institution using the IRB approach in the circumstance stated in paragraph 11(i), the MA may specify in a notice to the institution – (i) an adjustment factor (not exceeding 100%) for the purposes of calculating the floor amount of capital; and (ii) any other adjustments to the method of calculating the floor amount of capital and the actual amount of capital, which is considered reasonable by the MA to ensure that the capital floor is calculated substantially in accordance with the relevant prevailing banking supervisory standards relating to capital issued by the Basel Committee. Division C: Capital Buffer Requirements
19. A reporting institution is required to observe the following in reporting under this
Division:
Item Reporting

1. Net CET1 capital
   ratio 5
   Report the ratio, expressed as a percentage, of (a) the amount of the institution’s CET1 capital less the amount of CET1 capital that the institution requires for maintaining (i) the minimum CET1 capital ratio, Tier 1 capital ratio and Total capital ratio applicable to it as set out in section 3B of the BCR and as varied by the MA under section 97F of the Banking Ordinance and (ii) the minimum external or internal LAC risk-weighted ratio (as the case requires) that the institution is required to maintain under the Financial Institutions (Resolution) (Loss-absorbing Capacity Requirements – Banking Sector) Rules, to (b) the sum of the institution’s risk￾weighted amount for credit risk, risk-weighted amount for market risk, risk-weighted amount for operational risk and risk-weighted amount for sovereign concentration risk, as determined in accordance with the BCR (i.e. the Total risk-weighted amount as reported under item 2.13 in Division A). Please refer to the illustrative examples in Annex I-B on how to calculate the net CET1 capital ratio.

5 Reporting reflects calculation requirement under section 3E(2) of the BCR.

MA(BS)3(I)/P.7 (09/2019)
Item Reporting
2. Buffer level Report the buffer level that is applicable to an institution,
expressed as a percentage and calculated according to
section 3G of the BCR –
(a) if the institution is a G-SIB or a D-SIB – Item 2.1 + 2.2 + 2.3 in this Division; or (b) in any other cases – Item 2.1 + 2.2 in this Division.
2.1 Capital
conservation buffer ratio (CB ratio)
Report the CB ratio for calculating an institution’s buffer level under section 3G of the BCR as at the reporting date.
2.2 Countercyclical
capital buffer ratio
(CCyB ratio)
Report the CCyB ratio for calculating an institution’s buffer level under section 3G of the BCR as at the reporting date. The CCyB ratio reported in this item should be consistent with the ratio reported in the cell labelled “CCyB ratio” in column (8) of the Quarterly Reporting on the Countercyclical Capital Buffer (Form MA(BS)25).
2.3 Higher loss
absorbency ratio
(HLA ratio)
Report the HLA ratio notified by the MA as applicable to the institution, if any, for calculating the institution’s buffer level under section 3G of the BCR as at the reporting date. Hong Kong Monetary Authority September 2019

MA(BS)3(I)/P.8 (09/2019)
Annex I-A
Items in MA(BS)3(I) Cross reference with other return forms Division A Division B
1.1 N/A MA(BS)3(II) – Item (E) of Part II
1.1(i) N/A MA(BS)3(II) – Item (B) of Part II 1.1(ii) N/A MA(BS)3(II) – Item (D) of Part II
1.2 N/A MA(BS)3(II) – Item (G) of Part II
1.3 N/A MA(BS)3(II) – Item (H) of Part II
2.1 2(i)(a) MA(BS)3(IIIa) – Item (A+B) of Division B
2.2 2(i)(b) MA(BS)3(IIIb) – Item (A+B) of Division B
2.3 2(i)(c) MA(BS)3(IIIc) – Item 10 of Division A
2.4 1(i)(d)
2(i)(f)
MA(BS)3(IIIe) – Item 5
2.5 1(i)(e) For AIs not using the IRB approach
MA(BS)3(IIIf) – Item “Total” row of “Risk-weighted Amount” column of Division A + Item 3 of “Risk-weighted Amount” column of Division B For AIs using the IRB approach Division A of Part I: The figure should be zero. Refer to paragraph 5 for details Division B of Part I: MA(BS)3(IIIf) – Item “Total” row of “Risk-weighted Amount” column of Division A + Item 3 of “Risk-weighted Amount” column of Division B 2.6(i) 2(i)(e) MA(BS)3(IIId) – Column 1 of item A5(a) of Division A 2.6(ii) 2(i)(d) MA(BS)3(IIId) – Column 1 of items A5(b) and A6 of Division A
2.8 2(ii) MA(BS)3(IV) – Item 3 of Division G
2.9 2(iii) MA(BS)3(V) – Item 5
2.9a N/A MA(BS)3(VI) – Item 2
N/A 2(vi) MA(BS)3(II) –Sum of items (f)(i) to (xxi), items (i)(i) to (v) and items (r)(i) to (viii) of Part II N/A 2(vii) MA(BS)3(II) – Item (o) of Part II N/A 2(viii) MA(BS)3(II) – Items (p) and (q) of Part II

MA(BS)3(I)/P.9 (09/2019)
Annex I-B
Illustrative examples to calculate the net CET1 capital ratio Scenario 1 Suppose Bank A is classified as a resolution entity under the Financial Institutions (Resolution) (Loss-absorbing Capacity Requirements – Banking Sector) Rules (AI LAC Rules). Bank A’s risk-weighted amount is 100 units and it has 15 units of Total capital (comprising 14 units of CET1 capital and 1 unit of Tier 2 capital) and 8 units of non-capital LAC debt resources. Therefore, the CET1 capital ratio, Tier 1 capital ratio, Total capital ratio and external LAC risk-weighted ratio of Bank A are 14%, 14%, 15% and 23% respectively. Taking into account Bank A’s minimum capital adequacy and loss-absorbency capacity (LAC) requirements (assuming 5.3%, 7.1%, 9.5% and 19% for CET1 capital ratio, Tier 1 capital ratio, Total capital ratio and external LAC risk-weighted ratio respectively in this scenario), the calculation of the net CET1 capital ratio includes the following steps:
Tier of capital /
LAC
CARs of
Bank A
Bank A’s capital requirement 5
(as varied under s.97F of the BO)
CET1 capital required to meet Bank A’s capital requirement Remarks CET1 capital 14.0% 5.3% 5.3 units Tier 1 capital 14.0% 7.1% = 5.3 + (7.1 - 5.3) = 5.3 + 1.8 = 7.1 units Since Bank A has no Additional Tier 1 capital, the bank must make use of an additional 1.8 unit of CET1 capital to meet its Tier 1 capital requirement Total capital 15.0% 9.5% = 7.1 + [(9.5 - 7.1) - 1] = 7.1+1.4 = 8.5 units Since Bank A has only 1 unit of Tier 2 capital and no Additional Tier 1 capital, the bank must make use of an additional 1.4 unit of CET1 capital to meet its total capital requirement

MA(BS)3(I)/P.10 (09/2019)
External
LAC risk￾weighted ratio of
Bank A
Bank A’s minimum external
LAC risk￾weighted ratio
(as determined under Part 4 of the
AI LAC Rules)
CET1 capital required to meet Bank A’s
LAC requirement
Remarks
External loss￾absorbing capacity
23% 19% = 8.5 + [(19 – 9.5) – 8]
= 8.5 + 1.5
= 10 units
Since Bank A has only
8 units of non-capital
LAC debt resources with no available
Additional Tier 1 capital or Tier 2 capital (other than those mentioned above), the bank must make use of an additional 1.5 units of CET1 capital to meet its total LAC requirement Net CET1 Capital = 14.0 – 10.0 = 4.0 units Net CET1 Capital Ratio = 4.0 / 100 = 4.0%

MA(BS)3(I)/P.11 (09/2019)
Scenario 2
Suppose Bank B is classified as a resolution entity under the AI LAC Rules. Bank B’s risk￾weighted amount is 100 units and it has 18 units of Total capital (comprising 14 units of CET1 capital, 2 units of Additional Tier 1 capital and 2 units of Tier 2 capital) and 8 units of non-capital LAC debt resources. Therefore, the CET1 capital ratio, Tier 1 capital ratio, Total capital ratio and external LAC risk-weighted ratio of Bank B are 14%, 16%, 18% and 26% respectively. Taking into account Bank B’s minimum capital adequacy and LAC requirements (assuming 5.3%, 7.1%, 9.5% and 19% for CET1 capital ratio, Tier 1 capital ratio, Total capital ratio and external LAC risk-weighted ratio respectively in this scenario), the calculation of the net CET1 capital ratio includes the following steps:
Tier of capital /
LAC
CARs of
Bank B
Bank B’s capital requirement 6
(as varied under s.97F of the BO)
CET1 capital required to meet Bank B’s capital requirement Remarks CET1 capital 14.0% 5.3% 5.3 units Tier 1 capital 16.0% 7.1% 5.3 units Since Bank B has 2 units of Additional Tier 1 capital, the bank does not need to make use of additional units of CET1 capital to meet its Tier 1 capital requirement Total capital 18.0% 9.5% = 9.5 - 2 - 2 = 5.5 units Since Bank B has 2 units of Additional Tier 1 capital and 2 units of Tier 2 capital, the bank needs to make use of an additional 0.2 unit of CET1 capital to meet its total capital requirement

Please refer to subsection 3.5 of the HKMA Supervisory Policy Manual module CA-G-5 Supervisory Review Process for details on the apportionment of the P2A to the three minimum capital ratios (http://www.hkma.gov.hk/media/eng/doc/key-functions/banking-stability/supervisory-policy-manual/CA-G￾5.pdf).

MA(BS)3(I)/P.12 (09/2019)
External
LAC risk￾weighted ratio of
Bank B
Bank B’s minimum external LAC risk￾weighted ratio (as determined under Part 4 of the AI LAC Rules) CET1 capital required to meet Bank B’s LAC requirement Remarks External loss￾absorbing capacity 26% 19% = 19 – 2 – 2 - 8 = 7 units Since Bank B has 2 units of Additional Tier 1 capital, 2 units of Tier 2 capital and 8 units of non-capital LAC debt resources, the bank need to make use of an additional
1.5 units of CET1
capital to meet its total
LAC requirement
Net CET 1 Capital = 14.0 - 7.0
= 7.0 units
Net CET1 Capital Ratio = 7.0 / 100
= 7.0%

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MA(BS)3(VI)/P.1 (09/2019)
Completion Instructions
Return of Capital Adequacy Ratio
Part VI – Risk-weighted amount for Sovereign Concentration Risk
Form MA(BS)3(VI)
Introduction

1. Form MA(BS)3(VI) should be completed by an authorized institution incorporated in
   Hong Kong to determine its risk-weighted amount for sovereign concentration risk for the calculation of capital adequacy ratios.
2. This Form and its completion instructions should be read in conjunction with the
   Banking (Capital) Rules (BCR) and the relevant supervisory policy/guidance as applicable.
   Section A: Definitions and General Instructions
3. Unless otherwise stated, the institution shall refer to sections 2(1), 3 and 342 of the
   BCR for the interpretation of the terms used in this form and its completion instructions.
4. In this return, “Credit protection provider” –
   (a) in relation to a collateral – means the issuer of the collateral; (b)in relation to a guarantee – means the guarantor under the guarantee; or (c) in relation to a credit derivative contract – means the protection seller under the contract.
5. This part collects data on an institution’s “concentrated sovereign exposure” to a
   country. An AI has concentrated sovereign exposure to a country if the aggregate amount of its specified sovereign exposure to all specified sovereign entities in that country exceeds 100% of its Tier 1 capital. When determining whether this threshold is exceeded for a country, an AI should use the amount of its Tier 1 capital as reported in Part I, Division A, item 1.1 of the Return of Capital Adequacy Ratio (i.e. Form MA(BS)(3)(I)) of the previous quarter if there has been no significant reduction in its Tier 1 capital during the reporting period. If there has been a reduction of 10% or more in its Tier 1 capital, the AI should use its most recent Tier 1 capital figure instead and inform its usual contact at the HKMA.
6. “Specified sovereign exposure” is defined in section 342(1) of the BCR. In general, it
   covers direct exposure 1 to a specified sovereign entity and certain indirect exposure that arises from the specified sovereign entity acting as a credit protection provider for another exposure of the institution where the credit protection is in the form of collateral or guarantee and the specified sovereign entity is the collateral issuer or

1 Direct exposure refers to an exposure to a counterparty that is a direct obligator to an AI under a transaction or contract of the AI.

MA(BS)3(VI)/P.2 (09/2019) guarantor under section 350(1) and (3) 2 . A specified sovereign exposure should be valued in accordance with Division 3, Part 10 of the BCR.
7. “Specified sovereign entity” is defined under section 342(1), which does not include
the following:
(a) the Government;
(b) the Central People’s Government of the People’s Republic of China; (c) the People’s Bank of China; (d) a sovereign foreign public sector entity of the Mainland of China; (e) the Government of the United States of America.
8. The amount of concentrated sovereign exposure to a country should be apportioned
into amounts described in column 2 of Table 34 under section 344, to be multiplied by the corresponding risk-weights stated in column 3 of the same table for calculating the relevant risk-weighted amounts. The sum of these risk-weighted amounts is the risk￾weighted amount of concentrated sovereign exposure to the country.
Section B: Specific Instructions
9. Report in Column (2) of Item 1 under Part VI the two-letter ISO 3166-1 alpha-2
country code for any country to which the institution has a concentrated sovereign exposure. These codes are available on the online browsing platform 3 maintained by the International Organization for Standardization.
10. Report in Column (3) of Item 1 under Part VI the risk-weighted amount of the
institution’s concentrated sovereign exposure to the country reported in Column (2) as calculated in accordance with section 344 of the BCR. See also para. 6 and Section C for an illustrative example of the calculation of risk-weighted amount for sovereign concentration risk.
Section C: Illustrative example of the calculation of risk-weighted amount for sovereign
concentration risk
Suppose an authorized institution has the following exposures to countries A, B and C:
(i) Country A: HK$2m sovereign bond and HK$1m placement to central bank; (ii) Country B: HK$0.5m sovereign bond and HK$1m indirect exposure arising from a guarantee provided by the central government of country B which is not a recognized guarantee 4 ; (iii) Country C: HK$1.5m sovereign bond and HK$0.5m indirect exposure arising from the holding of a recognized collateral 5 issued by the central government of country C (as a result of the latter the AI has reduced the value of the exposure covered by this collateral

2 This should include any indirect exposure to a specified sovereign entity arising from a recognized collateral or recognized guarantee issued by the specified sovereign entity, which has been used to reduce a CRM covered exposure to a CRM uncovered portion of the exposure under rule 57(1) of the Banking (Exposure Limits) Rules (Cap. 155S), and valued at the amount so reduced. https://www.iso.org/obp/ui/#search See rule 39(1) of the Banking (Exposure Limits) Rules for the definition of “recognized guarantee”. See rule 39(1) of the Banking (Exposure Limits) Rules for the definition of “recognized collateral”.

MA(BS)3(VI)/P.3 (09/2019) by HK$0.5m in accordance with Division 6 of Part 7 of the Banking (Exposure Limits) Rules) (“BELR”). In addition, assume the institution had the following repo-style transactions with a counterparty (Counterparty X):
AI delivered AI received
(iv) Reverse repo transaction
HK$1m cash HK$1.2m Country A sovereign bond (assume HK$1.14m after haircut) (v) Repo transaction HK$0.5m Country B sovereign bond in (ii) above* (assume HK$0.525m after haircut) HK$0.5m cash Total (after haircut) HK$1.525m HK$1.64m *It should be noted that the securities sold in a repo transaction (i.e. the Country B sovereign bond in this case) is treated as an on balance sheet exposure of the institution as if the institution had never entered into the transaction and valued in accordance with section 349 of the BCR. Through these repo-style transactions, the institution had gross default risk exposure of HK$1.525m (i.e. aggregate value of cash and securities delivered) to Counterparty X. Case 1: No netting agreement with Counterparty X – Transactions (iv) and (v) have to be considered separately. Only transaction (iv) involves a collateral issued by a sovereign. Since the default risk exposure of HK$1m under transaction (iv) was fully offset by the Country A sovereign bond, the institution should recognise a specified sovereign exposure of HK$1m to Country A in the calculation of risk weighted amount of sovereign concentration risk to Country A. Case 2: Netting agreement applies to the transactions with Counterparty X – The aggregate gross default risk exposure amount of HK$1.525m in the netting set can be offset by the aggregate collateral received of HK$1.64m in the netting set. Again the full amount of exposure of HK$1.525m was offset by value of collateral available. For determining the amount of reduction attributable to individual collaterals in a basket of collateral, an AI should refer to rule 83 of the BELR. If, for example, an exposure is covered by a basket of collaterals and all the collaterals within the basket would result in the same risk-weighted amount of that exposure, the AI may pro-rata the amount of reduction by the value of individual collaterals. For example in this case:

• Amount of reduction attributable to Country A sovereign bond = HK$1.525 x (1.14/1.64)
  = HK$1.06m;
• Amount of reduction attributable to cash collateral = HK$1.525 x (0.5/1.64) =
  HK$0.465m.
• In this case, the institution should recognize a specified sovereign exposure of HK$1.06m
  to Country A in the calculation of risk weighted amount of sovereign concentration risk to Country A. For the sake of convenience for illustration purpose, the AI’s indirect exposure to Country A arising from the repo-style transactions is assumed to be HK$1m. Taking this into account,

MA(BS)3(VI)/P.4 (09/2019) the institution’s exposure to Country A becomes HK$4m. The institution’s Tier 1 capital reported in the last quarter was HK$0.6m. The institution has concentrated sovereign exposure to countries A and C because the amount of specified sovereign exposure to each of them exceeds the amount of the institution’s Tier 1 capital. In relation to the institution’s exposure to country B, specified sovereign exposure does not include the exposure arising from the guarantee provided by the central government of country B that is not a recognized guarantee. Accordingly the institution’s amount of specified sovereign exposure to country B (i.e. HK$0.5m) does not exceed its Tier 1 capital and therefore is not a concentrated sovereign exposure. The risk-weighted amount for sovereign concentration risk of the institution would be calculated as follows:
Portion of concentrated sovereign exposure (% refers to % of the institution’s Tier 1 capital) Country A Country C Exposure amount (HK$’000) Risk-weighted amount (HK$’000) Exposure amount (HK$’000) Risk-weighted amount (HK$’000) Portion > 0% but ≤100% (Not applicable) 600 - 600 - Portion > 100% but ≤150% (Risk-weight 5%) 300 15 300 15 Portion > 150% but ≤ 200% (Risk-weight 6%) 300 18 300 18 Portion > 200% but ≤ 250% (Risk-weight 9%) 300 27 300 27 Portion > 250% but ≤ 300% (Risk-weight 15%) 300 45 300 45 Portion > 300% (Risk-weight 30%) 2,200 660 200 60 Total risk-weighted amount for sovereign concentration risk* 4,000 765 (Report under column 3, item 1) 2,000 165 (Report under column 3, item 1)

• The total risk-weighted amount for sovereign concentration risk to all countries of 930 (i.e. 765 + 165) in this
  example will be system-generated in item 2 of Part VI.
  Hong Kong Monetary Authority
  September 2019

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Annex 2
Return of Certificate of Compliance (MA(BS)1F(a)) Temporary reporting arrangement during grace period A locally incorporated AI that intends to comply with an exposure limit under the BO in lieu of an applicable exposure limit under the BELR during the grace periods1 should follow the reporting instructions below to compile the Certificate of Compliance for the positions of September and December 2019:

• Part II item 1(e) (applicable to an AI utilizing the grace period for compliance
  with the 50% limit under Rule 35(a), Part 6 of the BELR and for the September 2019 position only): Report on the basis that during the grace period, if the AI does not contravene current BO section 88 (as if it were still in operation) and does not acquire any interest in land (except as described in rule 38(a) or (b) of the BELR), it is treated as compliant with rule 35(a), Part 6 of the BELR by virtue of rule 108 of the BELR. If the grace period applicable to an AI expires before 30 September 2019, for the period from the date after the grace period expires to 30 September 2019, report on the basis of compliance with Part 6 of the BELR.
• Part II item 1(f): (applicable to an AI utilizing the grace period for compliance
  with the large exposure limits under Part 7 of the BELR) Report on the basis that during the grace period, compliant with BO section 81 (as if it were still in operation) is treated as compliant with BELR Part 7 by virtue of rules 112(1) and 113(1) of the BELR.
• Part II item 1(g): (applicable to an AI utilizing the grace period for compliance
  with the connected party exposure limits under Part 8 of the BELR) Report on the basis that during the grace period, compliant with BO section 83 (as if it were still in operation) is treated as compliant with BELR Part 8 by virtue of rules 117, 118 and 119 of the BELR.
• Part III item 1 on maximum exposure (applicable to an AI utilizing the grace
  period for compliance with the large exposure limits under Part 7 of the BELR):
  If an AI utilizes the grace period for all of its exposures fully, report zero. If an AI only partially utilizes the grace period on certain exposures, report the 1 Grace period: (1) for the purpose of compliance with Part 6 of the BELR means the period from 1 July 2019 to 30 September 2019 or the date on which the institution becomes compliant with rule 35(a) of the BELR or (if applicable) that rule as varied under rule 36(1); (2) for the purpose of compliance with Parts 7 and 8 of the BELR means the period from 1 July 2019 to 31 December 2019.

maximum of all the exposures to a counterparty/LC group to which the grace period does not apply.

• Part III items 2, 3 and 4 on maximum exposure (applicable to an AI utilizing
  the grace period for compliance with the connected party exposure limits under
  Part 8 of the BELR):
  If an AI utilizes the grace period for compliance with the limit under rule 87(a) of the BELR, report zero in Part III item 2; If an AI utilizes the grace period for compliance with the limit under rule 87(b) of the BELR, report zero in Part III item 3; In respect of Part III item 4:
  (i) if an AI utilizes the grace period on all connected natural persons for compliance with rule 87(c) in Part 8 of the BELR, report zero. (ii) if an AI only utilizes the grace period on certain connected natural persons for compliance with rule 87(c) in Part 8 of the BELR, report the maximum of all exposures to the connected natural persons to which the grace period does not apply.
• Part III item 6 on maximum land exposure (applicable to an AI utilizing the
  grace period for compliance with the 50% limit under Part 6 of the BELR and for the September 2019 position only): If the grace period applicable to an AI expires before 30 September 2019, report the maximum land exposure under Part 6 of the BELR, as calculated in accordance with rule 37(1)(a) of the BELR, during the period from the date after the grace period expires to 30 September 2019. If the grace period applicable to an AI does not expire before 30 September 2019, report zero.
• Part V items 1 and 2 on exempted/approved transactions in relation to Parts 7
  and 8 of the BELR (as applicable):
  If an AI utilizes the grace period for compliance with the large exposure limits under Part 7 of the BELR and the limit under rule 87(a) (b) & (c) of the BELR in relation to connected natural person fully, nil reporting. If an AI only utilizes the grace period on certain of its large exposures under
  Part 7, report in items 1 and 2 the exempted/approved exposures in relation to
  Part 7 to which the grace period does not apply.
  If an AI only utilizes the grace period on certain of its exposures to connected natural persons for the compliance with rule 87(c) under Part 8 of the BELR, report in items 1 and 2 the exempted/approved exposures in relation to the

connected natural persons under Part 8 to which the grace period does not apply. Supplementary Reporting Requirement In addition, the relevant AIs will be required, pursuant to section 63(2) of the BO, to submit the following information with respect to the exposures to which the grace period applies2 to the HKMA when submitting the Certificate of Compliance for the quarters ending September and December 2019: a letter enclosing a hard copy of the current version of the Certificate (i.e. version before the revision of September 2019) by completing--

• Part I(a),
• Part III items 1, 2, 3, 4 and 6 (as applicable and item 6 for the position of September
  20193 only) as if sections 81, 83 and 88 of the BO were still in operation during the reporting period; and
• Part V items 1 and 2 as applicable for exempted/approved transactions in relation to
  sections 81 and 83 of the BO as if these sections were still in operation during the reporting period. These hard copies have to be signed off by the usual delegated authorities of the AI and submitted to the AI’s usual contact at HKMA. 2 An AI which only utilizes the grace period (1) on certain of its large exposures for compliance with the large exposure limits under Part 7 of the BELR or (2) on certain of its exposures to connected natural persons for compliance with the limit under rule 87(c) of the BELR is only required to provide supplementary information with respect to the exposures subject to the grace period. To avoid doubt, for the purposes of the large exposure limit under Part 7, if the exposures to which the grace period is utilized are all exempted under current BO section 81, an AI should report zero under Part III item 1 of the current version of the Certificate. 3 For the purpose of compliance with Part 6 of the BELR, an AI whose grace period expires before 30 September 2019 should report in Part III item 6 the maximum aggregate value of interests in land within the meaning of BO section 88(1) (except as excluded under BO section 88) up to the date the grace period expires.