Required stable funding (“RSF”) item 15 Total HQLA for NSFR purposes

16 Deposits held at other financial institutions for operational purposes

17 Performing loans and securities:

18 Performing loans to financial institutions secured by Level 1 HQLA

19 Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions

20 Performing loans, other than performing residential mortgage, to non-financial corporate clients, retail and small business customers, sovereigns, the Monetary Authority for the account of the Exchange Fund, central banks and PSEs, of which:

21 With a risk-weight of less than or equal to 35% under the STC approach 22 Performing residential mortgages, of

which:

23 With a risk-weight of less than or equal to 35% under the STC approach 24 Securities that are not in default and do

not qualify as HQLA, including exchange-traded equities 25 Assets with matching interdependent

liabilities

(a) (b) (c) (d) (e)

Basis of disclosure: consolidated / unconsolidated / Hong Kong office (delete as appropriate)

Unweighted value by residual maturity

27 Physical traded commodities, including gold

28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs

29 Net derivative assets

30 Total derivative liabilities before deduction of variation margin posted

31 All other assets not included in the above categories

32 Off-balance sheet items 33 Total RSF

34 Net Stable Funding Ratio (%) Points to note:

(i) the rows without a numerical row number introduce a section of the NSFR template (i.e. ASF and RSF) and do not require any value to be input;

(ii) the disclosure items shaded in light grey (e.g. rows 1, 4, 7, 10, 11) represent a broad sub-component category of the NSFR in the relevant section;

(iii) the unshaded disclosure items represent a sub-component within the major categories under ASF and RSF items, except that rows 21 and 23 are sub-components of rows 20 and 22, respectively. See explanatory note below for a more detailed explanation of the composition of such sub-components;

(iv) no disclosure is required for items shaded in dark grey (i.e. cells 5/a, 6/a, 8/a, 12/b-e, 14/a-d, 27/b-d, 28/b-d, 29/b-d, 30/b-d, 32/a, 33/a-d and 34/a-d). observations of individual line items in accordance with the maturity bands. Items to be reported in column (a), i.e. the “no specified term to maturity” time bucket, do not have a stated maturity. These may include, but are not limited to, items such as capital with perpetual maturity, collective provisions, net derivative liabilities, currency notes and coins, equities, physical traded commodities, assets posted as initial margin for derivative contracts and contributions to default funds of CCPs, net derivative assets and total derivative liabilities before deduction of variation margin posted.

(e) Weighted amount: values entered in this column are calculated in accordance with Part 9 of the BLR.

Rows

1 Capital: the sum of values in rows 2 to 3.

Explanatory Note

before the application of any regulatory adjustments required by the BCR. Capital instruments that will be phased out for regulatory capital purposes after completion of the transitional arrangements as referred to in section 5, Schedule 4H to the BCR should not be included in this row. However, these capital instruments may be reported under row 2a or 3 where appropriate. To avoid doubt, the aggregated amount of total Tier 1 capital can be reported under the time bucket of “No specified term to maturity” (i.e. column (a)).

2a Minority interests not covered by row 2: if there is any minority interest that has a specified term to maturity, report it under the relevant column. Otherwise, report under the time bucket of “No specified term to maturity” (i.e. column (a)).

3 Other capital instruments: total amount of any capital instruments not included in row 2 or 2a.

4 Retail deposits and small business funding: as defined in BLR rule 39, which are equal to the sum of values in rows 5 and 6.

5 Stable deposits: they comprise stable retail deposits and stable small business funding, as defined in the BLR.

6 Less stable deposits: they comprise retail deposits and small business funding as defined in the BLR but not already covered by row 5 above.

7 Wholesale funding: the sum of values in rows 8 and 9.

8 Operational deposits: as defined in BLR rule 39.

9 Other wholesale funding: it is funding (other than operational deposits) provided to the AI by non-financial corporates (other than small business customers), sovereigns, public sector entities (“PSEs”), multilateral development banks, national development banks, the Monetary Authority (“MA”) for the account of the Exchange Fund (“EF”), central banks, financial institutions and other entities.

10 Liabilities with matching interdependent assets: any liabilities that meet the descriptions in BLR rule 70 and match with interdependent assets should be included in this row and excluded from all other ASF items. For note-issuing banks, this row also includes the amount of legal tender notes in circulation issued by them.

11 Other liabilities: the sum of values in rows 12 and 13.

12 Net derivative liabilities: in the unweighted cell, report the amount of net derivatives liabilities as calculated according to Part 9 of the BLR (i.e. the net amount of total derivative liabilities (after adjustments) in excess of total derivative assets (after adjustments)). The cell for weighted amount under net derivative liabilities is darkened given that the value will be zero after the 0% ASF is applied.

13 All other funding and liabilities not included in the above categories: report in this row all other funding and liabilities that are counted towards ASF under the BLR but not included in rows 1 to 12 above (e.g. debt securities or prescribed instruments issued, deferred tax liabilities, trade-date payables, etc).

14 Total ASF: the sum of all weighted amounts in rows 1, 4, 7, 10 and 11.

15 to 31

For any assets that are not free from encumbrances (as defined in Part 9 of the BLR), report the unweighted value in columns (a) to (d) taking into account their remaining terms to maturity and periods of encumbrance

Explanatory Note

(whichever is subject to a higher RSF factor), and the weighted amount (i.e. after the applicable RSF factor for encumbered assets) in column (e).

15 Total HQLA for NSFR purposes: being unencumbered high quality liquid assets without regard to LCR operational requirements and caps on Level 2 and Level 2B assets that might otherwise limit the ability of some HQLA to be included as eligible in calculation of the LCR. Under the BLR, these items include:

(i) currency notes and coins;

(ii) claims on the MA for the account of the EF or central banks that are repayable on demand or readily monetizable (including funds placed with the AI's HKD CHATS Account, or with central banks to meet reserve requirements, EF debt securities and central bank debt securities that qualify for HQLA); and

(iii) other level 1 assets, level 2A assets and level 2B assets held by the AI.

16 Deposits held at other financial institutions for operational purposes: as defined in Part 7 of the BLR.

17 Performing loans and securities: the sum of values in rows 18, 19, 20, 22 and 24.

18 Performing loans to financial institutions secured by Level 1 HQLA: comprising performing loans and funds (other than operational deposits) provided by the AI to other financial institutions that are secured by level 1 assets.

19 Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions: comprising performing loans and funds (other than operational deposits) provided by the AI to other financial institutions not already covered by row 18.

20 Performing loans, other than performing residential mortgages, to non-financial corporate clients, retail and small business customers, sovereigns, the MA for the account of the EF, central banks and PSEs: comprising performing loans and funds (which are not residential mortgages) provided by the AI to retail customers and wholesale customers (other than financial institutions) that are not covered by rows 15 to 19 and 22 to 23.

21 With a risk-weight of less than or equal to 35% under the STC approach: being the portion of amount reported in row 20 that is subject to a risk-weight of less than or equal to 35% under Division 3, Part 4 of the BCR.

22 Performing residential mortgages: comprising all performing residential mortgages provided by the AI.

23 With a risk-weight of less than or equal to 35% under the STC approach: being the portion of amount reported in row 22 that is subject to a risk-weight of less than or equal to 35% under Division 3, Part 4 of the BCR.

24 Securities that are not in default and do not qualify as HQLA including exchange-traded equities: comprising debt securities, prescribed instruments and list equities held by the AI that are not already included in row 15.

To avoid doubt, debt securities or prescribed instruments that are not marketable should also be covered by this row, while unlisted equities should be reported under row 31.

25 Assets with matching interdependent liabilities: any assets which meet the descriptions in BLR rule 70 and match with interdependent liabilities should be included in this row and excluded from all other RSF items.

For note-issuing banks, this row also includes the amount of certificate of indebtedness that are issued under

Explanatory Note

section 4(1) of the Exchange Fund Ordinance (Cap. 66).

26 Other assets: the sum of values in rows 27 to 31.

27 Physical traded commodities, including gold: including all physical traded commodities held by the AI.

28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs: including cash, securities and other assets posted by the AI as initial margins or default fund contributions under all derivative contracts regardless of whether the assets are maintained on the AI’s balance sheet.

29 Net derivative assets: in the unweighted cell, report the amount of net derivative assets as calculated according to Part 9 of the BLR (i.e. the net amount of the total derivative assets (after adjustments) in excess of total derivative liabilities (after adjustments)). Since net derivative assets are subject to an RSF factor of 100%, the amount reported in the weighted cell should be equal to the amount reported in the unweighted cell.

30 Total derivative liabilities before deduction of variation margin posted: in the unweighted cell, report the sum of the replacement costs of derivative contracts between the reporting AI and its counterparties, where each of those contracts has a negative replacement cost. The reported value should be in an absolute term (i.e.

disregard the negative sign). In the weighted cell, report “N/A”¹³ and exclude this element from the calculation of total weighted amount of RSF.

31 All other assets not included in the above categories: report in this row all other on-balance sheet assets that are counted towards RSF under the BLR but not included in rows 15 to 30 above (e.g. trade-date receivables, fixed assets, goodwill, investments in associated entities, unlisted equities, non-performing assets, etc).

32 Off-balance sheet items: the sum of all off-balance sheet obligations listed in Table 2, Schedule 6 to the BLR.

33 Total RSF: the sum of all weighted amounts in rows 15, 16, 17, 25, 26 and 32.

34 Net Stable Funding Ratio (%): presented as quarter-end observations.

13 The local implementation of add-on RSF charge on derivative liabilities under the NSFR has been deferred (see the HKMA Circular letter “Consultation on draft Banking (Liquidity) (Amendment) Rules 2017” dated 20 October 2017 for details). The HKMA will consult the industry for any change in this respect in due course.