Stable Funding Requirement Annex 2: Illustrations of SFR Calculation Based on the Refined Regime

Calculation formula (i) (ii) Note 1 Note 2 Illustrative examples 2012 31-Dec 30-Sep 30-Jun 31-Mar 31-Dec 30-Sep 30-Jun 31-Mar 31-Dec Total loans 25 24 18 18 22 21 20 18 20 Quarter-on-quarter (%) 4.2% 33.3% 0.0% -18.2% 4.8% 5.0% 11.1% -10.0% 25% Average of latest 8 quarters (%) (Annualised) 15.1% 0.25512 Total loans 23 24 18 21 23 22 21 15 20 Quarter-on-quarter (%) -4.2% 33.3% -14.3% -8.7% 4.5% 4.8% 40.0% -25.0% 25% Average of latest 8 quarters (%) (Annualised) 15.2% 0.2983 Total loans 23 22 18 21 23 22 21 15 20 Quarter-on-quarter (%) 4.5% 22.2% -14.3% -8.7% 4.5% 4.8% 40.0% -25.0% 25% Average of latest 8 quarters (%) (Annualised) 14.0% 0.24274 (1) (a) of which IPO loans (b) (2) (a) of which IPO loans (3) (4) (a) (b) (5) (6) (a) (b) (i) (ii) (iii) (iv) (c) (i) (ii) (7) (8) Version: 201412.2 0 Total loans as at 31 Dec 2014 Sample Bank C (HKD'mn) 0 23,000 24,000 10,000 Loans with remaining maturity of ≦6 months and supported by matched-term funds from its HO or overseas offices on a back-to-back basis, subject to a cap of 25% of total loans Total loans excluding IPO loans (previous quarter end) x (SFR ratio Note 1) - (Loans supported by matched-term funds Note 2) (current quarter end) - Available stable funding If [(70% of customer deposits) (current quarter end) - (Total loans excluding IPO loans) (current quarter end)] > 0, the formula is: Total loans excluding IPO loans (previous quarter end) x (SFR ratio) - (Loans supported by matched-term funds) (current quarter end) - [(70% of customer deposits) (current quarter end) - (Total loans excluding IPO loans) (current quarter end)] - Available stable funding 0 0 Total loans as at 30 Sep 2014 0 of which loans with remaining maturity of ≦6 months and supported by matched￾term funds from its HO or overseas offices on a back-to-back basis, subject to a cap of 25% of total loans 0 0 Total customer deposits as at 31 Dec 2014 0 0 Deadline to obtain the stable funding Net due to / (from) Head Office, overseas offices and related banks repayable later than 6 months Capital base (less interests in land and buildings and fixed assets) 50% of net due to other banks with remaining maturities over 6 months 50% of term funding ( e.g. NDIs issued) with remaining maturities over 6 months Stable funding to be obtained [ (5) - 6(a) - 6(b) - 6(c) ] Other stable funding: Other funding support from Head Office (subject to the HKMA's consent) Head Office's irrevocable committed liquidity facility (subject to a cap of 25% of total loans) NDIs held by Head Office placed at Central Moneymarkets Unit Loan growth as at 31 Dec 2014 quarter-on-quarter excluding IPO loans (equivalent to applicable SFR ratio, subject to a cap of 100%) [ ( (1)-(1)(a) / (2)-(2)(a) ) -1 ] x 100% average of latest 8 quarters (annualised and based on actual total loans) Total stable funding required = [ (2) - (2)(a) ] x (4)(a) - (1)(b) If [(3) x70% - (1)+(1)(a)] is positive, then the formula for calculating total stable funding required is [ (2) - (2)(a) ] x (4)(a) - (1)(b) - [(3) x70% - (1) + (1)(a)] Available stable funding Others (subject to the HKMA's consent) Stable funding to be obtained = (HKD' bn) 2014 2013 Sample Bank A Applicable SFR ratio is equivalent to individual authorized institution's latest quarter-on-quarter loan growth rate, subject to a cap of 100%. Sample Bank B Not applicable 4.2% 15.1% 1,000 -4.2% 15.2% Not required since QoQ % change is zero or negative Not applicable 4,000 28 Feb 2015 0 Not required 0 Not required 1,000 2,000 1,000 2,000 3,000 23,000 22,000 10,000 4.5% 14.0% Not required since average loan growth in latest 8 quarters ≦15% 25,000 24,000 10,000 (6,000) 6,000 0 3,000 Annex 2 Illustration of calculation of stable funding requirement ("SFR") Sample Bank A Sample Bank B Sample Bank C (6,000)