China CITIC Bank : 2020 Interim

China CITIC Bank International Limited

中信銀行（國際）有限公司

Regulatory Disclosure Statements

30 June 2020

(Unaudited)

These disclosures are prepared under

the Banking (Disclosure) Rules

Regulatory Disclosure Statement
CONTENTS	PAGE
Part I: Key prudential ratios and overview of Risk-Weighted Asset (RWA)
KM1:	Key prudential ratios . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	1
OV1:	Overview of RWA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	2
Part IIA: Composition of regulatory capital
CC1:	Composition of regulatory capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	3-8
CC2:	Reconciliation of regulatory capital to balance sheet . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	9
CCA:	Main features of regulatory capital instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	10-12
Part IIB: Macroprudential supervisory measures
CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer . . . . . . . . . . . . .	13
Part IIC: Leverage ratio
LR1:	Summary comparison of accounting assets against leverage ratio exposure measure . . . . . . . . . . . . . .	13
LR2:	Leverage ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	14
Part IID: Liquidity
LIQ1:	Liquidity Coverage Ratio - for category 1 institution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	15
LIQ2:	Net Stable Funding Ratio - for category 1 institution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	16-17
Part III: Credit risk for non-securitization exposures
CR1:	Credit quality of exposures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	18
CR2:	Changes in defaulted loans and debt securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	18
CR3:	Overview of recognised credit risk mitigation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	18
CR4:	Credit risk exposures and effects of recognised credit risk mitigation - for STC approach . . . . . . . . .	19
CR5:	Credit risk exposures by asset classes and by risk weights - for STC approach. . . . . . . . . . . . . . . . . .	20
Part IV: Counterparty credit risk
CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by approaches . . . . . . . . .	21
CCR2: CVA capital charge . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	21
CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and
	by risk weights - STC approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	22
CCR5: Composition of collateral for counterparty default risk exposures (including those for
	contracts or transactions cleared through CCPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	23
CCR8	Exposures to CCPs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	23
Part V: Market risk
MR1:	Market risk under STM approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	24

Regulatory Disclosure Statement (continued)

The information contained in this regulatory disclosure statement is for China CITIC Bank International Limited ("the Bank") and its subsidiaries (together "the Group"), and is prepared in accordance with the Banking (Disclosure) Rules and the disclosure templates issued by the Hong Kong Monetary Authority ("HKMA"). It should be read in conjunction with the Group's 2020 Interim Report. These regulatory disclosures are governed by the Group's disclosure policy, which set out the governance, control and assurance requirements for publication of the document.

PART I: KEY PRUDENTIAL RATIOS AND OVERVIEW OF RISK-WEIGHTED ASSET (RWA)

KM1: Key prudential ratios

		At	At	At	At	At
		30 June	31 March	31 December	30 September	30 June
		2020	2020	2019	2019	2019
		(a)	(b)	(c)	(d)	(e)
		HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000
	Regulatory capital
1	Common Equity Tier 1 (CET1)	37,595,770	38,063,930	37,430,332	36,488,587	35,484,890
2	Tier 1	45,367,830	45,835,990	45,202,392	44,260,647	43,256,950
3	Total capital	52,120,354	53,146,712	52,476,903	51,711,502	50,656,115
	RWA
4	Total RWA	272,597,282	270,651,826	262,432,341	268,285,972	266,263,985
	Risk-based regulatory capital ratios (as a percentage of RWA)
5	CET1 ratio (%)	13.8%	14.1%	14.3%	13.6%	13.3%
6	Tier 1 ratio (%)	16.6%	16.9%	17.2%	16.5%	16.2%
7	Total capital ratio (%)	19.1%	19.6%	20.0%	19.3%	19.0%
	Additional CET1 buffer requirements (as a percentage of RWA)
8	Capital conservation buffer requirement (%)	2.500%	2.500%	2.500%	2.500%	2.500%
9	Countercyclical capital buffer requirement (%) (CCyB ratio) (Remark)	0.593%	0.584%	1.119%	1.355%	1.393%
10	Higher loss absorbency requirements (%) (applicable only to G-SIBs or
	D-SIBs)	N/A	N/A	N/A	N/A	N/A
11	Total AI-specific CET1 buffer requirements (%)	3.093%	3.084%	3.619%	3.855%	3.893%
12	CET1 available after meeting the AI's minimum capital requirements (%)	9.3%	9.6%	9.8%	9.1%	8.8%
	Basel III leverage ratio
13	Total leverage ratio (LR) exposure measure	378,711,875	361,828,522	384,491,342	359,966,028	373,673,578
14	LR (%)	12.0%	12.7%	11.8%	12.3%	11.6%
	Liquidity Coverage Ratio (LCR)/Liquidity Maintenance Ratio (LMR)
	Applicable to category 1 institution only:
15	Total high quality liquid assets (HQLA)	42,386,001	47,011,755	35,466,051	33,068,768	34,551,660
16	Total net cash outflows	19,064,904	17,320,678	15,799,506	15,960,920	15,470,046
17	LCR (%)	223.8%	272.2%	225.7%	207.6%	224.0%
	Applicable to category 2 institution only:
17a	LMR (%)	N/A	N/A	N/A	N/A	N/A
	Net Stable Funding Ratio (NSFR)/Core Funding Ratio (CFR)
	Applicable to category 1 institution only:
18	Total available stable funding	236,248,495	231,887,605	240,558,288	234,709,644	240,406,580
19	Total required stable funding	169,098,438	167,498,538	165,902,045	168,209,740	168,044,582
20	NSFR (%)	139.7%	138.4%	145.0%	139.5%	143.1%
	Applicable to category 2A institution only:
20a	CFR (%)	N/A	N/A	N/A	N/A	N/A

N/A - Non-Applicable Remark:

In accordance with the announcements made by the HKMA, the CCyB ratio for Hong Kong was 2.5% of risk-weighted amounts effective from 1 January 2019, reduced to 2.0% effective from 14 October 2019 and was further reduced to 1.0% effective from 16 March 2020.

1

Regulatory Disclosure Statement (continued)

PART I: KEY PRUDENTIAL RATIOS AND RISK-WEIGHTED ASSET (RWA)

OV1: Overview of RWA

The following table provides an overview of the Bank's RWA by various risk types and the corresponding minimum capital requirements (i.e. 8% of RWA), as required by the HKMA.

		(a)		(b)	(c)
					Minimum
					capital
		RWA		requirements
		At 30 June		At 31 March	At 30 June
		2020		2020	2020
		HK$' 000		HK$' 000	HK$' 000
1	Credit risk for non-securitization exposures	226,829,304		222,005,195	18,146,344
2	Of which STC approach	226,829,304		222,005,195	18,146,344
2a	Of which BSC approach	-		-	-
3	Of which foundation IRB approach	-		-	-
4	Of which supervisory slotting criteria approach	-		-	-
5	Of which advanced IRB approach	-		-	-
6	Counterparty default risk and default fund contributions	9,318,660		10,902,844	745,493
7	Of which SA-CCR*	Not applicable		Not applicable	Not applicable
7a	Of which CEM	9,166,050		10,761,655	733,284
8	Of which IMM (CCR) approach	-		-	-
9	Of which others	152,610		141,189	12,209
10	CVA risk	6,218,213		6,392,738	497,457
11	Equity positions in banking book under the simple risk-weight method and internal models
	method	-		-	-
12	Collective investment scheme ("CIS") exposures - LTA*	Not applicable		Not applicable	Not applicable
13	CIS exposures - MBA*	Not applicable		Not applicable	Not applicable
14	CIS exposures - FBA*	Not applicable		Not applicable	Not applicable
14a	CIS exposures - combination of approaches*	Not applicable		Not applicable	Not applicable
15	Settlement risk	-		-	-
16	Securitization exposures in banking book	-		-	-
17	Of which SEC-IRBA	-		-	-
18	Of which SEC-ERBA (including IAA)	-		-	-
19	Of which SEC-SA	-		-	-
19a	Of which SEC-FBA	-		-	-
20	Market risk	13,771,575		14,721,788	1,101,726
21	Of which STM approach	13,771,575		14,721,788	1,101,726
22	Of which IMM approach	-		-	-
23	Capital charge for switch between exposures in trading book and banking book(not applicable
	before the revised market risk framework takes effect)*	Not applicable		Not applicable	Not applicable
24	Operational risk	15,283,950		15,433,913	1,222,716
24a	Sovereign concentration risk	-		-	-
25	Amounts below the thresholds for deduction (subject to 250% RW)	1,277,538		1,277,538	102,203
26	Capital floor adjustment	-		-	-
26a	Deduction to RWA	101,958		82,190	8,157
26b	Of which portion of regulatory reserve for general banking risks and collective provisions
	which is not included in Tier 2 Capital	-		-	-
26c	Of which portion of cumulative fair value gains arising from the revaluation of land and
	buildings which is not included in Tier 2 Capital	101,958		82,190	8,157
27	Total	272,597,282		270,651,826	21,807,782

Remark:

Items marked with an asterisk (*) will be applicable only after their respective policy frameworks take effect. Until then, "Not applicable" is reported in the rows.

The Bank has adopted the "standardised approach" for calculating the risk-weighted amount for credit risk and market risk and the "basic indicator approach" for calculating operational risk.

Total RWA increased mainly due to an increase in RWA for credit RWA for non-securitisation exposures, which was also driven mainly by an increase in loans and advances to customers.

2

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital

		(a)	(b)
			Source based on
			reference number
			of the balance
			sheet under the
			regulatory scope of
		Amount	consolidation
At 30 June 2020	HK$' 000
	CET1 capital: instruments and reserves
1	Directly issued qualifying CET1 capital instruments plus any related share premium	18,404,013	(4)+(5)
2	Retained earnings	20,669,005	(8)
3	Disclosed reserves	907,815	(6)
4	Directly issued capital subject to phase out from CET1 capital (only applicable to non-joint stock companies)	Not applicable	Not applicable
5	Minority interests arising from CET1 capital instruments issued by consolidated bank subsidiaries and held by third
	parties (amount allowed in CET1 capital of the consolidation group)	-
6	CET1 capital before regulatory adjustments	39,980,833
	CET1 capital: regulatory deductions
7	Valuation adjustments	11,100	(11)
8	Goodwill (net of associated deferred tax liabilities)	-
9	Other intangible assets (net of associated deferred tax liabilities)	590,874	(16)
10	Deferred tax assets (net of deferred tax liabilities)	73,349	(2)
11	Cash flow hedge reserve	-
12	Excess of total EL amount over total eligible provisions under the IRB approach	-
13	Credit-enhancinginterest-only strip, and any gain-on-sale and other increase in the CET1 capital arising from
	securitization transactions	-
14	Gains and losses due to changes in own credit risk on fair valued liabilities	2,633	(3)
15	Defined benefit pension fund net assets (net of associated deferred tax liabilities)	-
16	Investments in own CET1 capital instruments (if not already netted off paid-in capital on reported balance sheet)	-
17	Reciprocal cross-holdings in CET1 capital instruments	-
18	Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope
	of regulatory consolidation (amount above 10% threshold)	-
19	Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope
	of regulatory consolidation (amount above 10% threshold)	-
20	Mortgage servicing rights (net of associated deferred tax liabilities)	Not applicable	Not applicable
21	Deferred tax assets arising from temporary differences (net of associated deferred tax liabilities)	Not applicable	Not applicable
22	Amount exceeding the 15% threshold	Not applicable	Not applicable
23	of which: significant investments in the ordinary share of financial sector entities	Not applicable	Not applicable
24	of which: mortgage servicing rights	Not applicable	Not applicable
25	of which: deferred tax assets arising from temporary differences	Not applicable	Not applicable
26	National specific regulatory adjustments applied to CET1 capital	1,707,107
26a	Cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment properties)	185,378	(7)+(10)
26b	Regulatory reserve for general banking risks	1,521,729	(9)
26c	Securitization exposures specified in a notice given by the Monetary Authority	-
26d	Cumulative losses below depreciated cost arising from the institution's holdings of land and buildings	-
26e	Capital shortfall of regulated non-bank subsidiaries	-

3

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

		(a)	(b)
			Source based on
			reference number
			of the balance
			sheet under the
			regulatory scope of
		Amount	consolidation
At 30 June 2020	HK$' 000
26f	Capital investment in a connected company which is a commercial entity (amount above 15% of the reporting
	institution's capital base)	-
27	Regulatory deductions applied to CET1 capital due to insufficient AT1 capital and Tier 2 capital to cover deductions	-
28	Total regulatory deductions to CET1 capital	2,385,063
29	CET1 capital	37,595,770
	AT1 capital: instruments
30	Qualifying AT1 capital instruments plus any related share premium	7,772,060	(12)+ (13)
31	of which: classified as equity under applicable accounting standards	7,772,060
32	of which: classified as liabilities under applicable accounting standards	-
33	Capital instruments subject to phase out arrangements from AT1 capital	-
34	AT1 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in AT1
	capital of the consolidation group)	-
35	of which: AT1 capital instruments issued by subsidiaries subject to phase out arrangements	-
36	AT1 capital before regulatory deductions	7,772,060
	AT1 capital: regulatory deductions
37	Investments in own AT1 capital instruments	-
38	Reciprocal cross-holdings in AT1 capital instruments	-
39	Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope
	of regulatory consolidation (amount above 10% threshold)	-
40	Significant LAC investments in AT1 capital instruments issued by financial sector entities that are outside the scope of
	regulatory consolidation	-
41	National specific regulatory adjustments applied to AT1 capital	-
42	Regulatory deductions applied to AT1 capital due to insufficient Tier 2 capital to cover deductions	-
43	Total regulatory deductions to AT1 capital	-
44	AT1 capital	7,772,060
45	Tier 1 capital (Tier 1 = CET1 + AT1)	45,367,830

4

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

		(a)	(b)
			Source based on
			reference number
			of the balance
			sheet under the
			regulatory scope of
		Amount	consolidation
At 30 June 2020	HK$' 000
	Tier 2 capital: instruments and provisions
46	Qualifying Tier 2 capital instruments plus any related share premium	3,875,098	(15)
47	Capital instruments subject to phase out arrangements from Tier 2 capital	-	(14)
	Tier 2 capital instruments issued by consolidated bank subsidiaries and held by third parties (amount allowed in Tier 2
48	capital of the consolidation group)	-
49	of which: capital instruments issued by subsidiaries subject to phase out arrangements	-
50	Collective provisions and regulatory reserve for general banking risks eligible for inclusion in Tier 2 capital	2,794,006	[(1) + (9)] x 100%
51	Tier 2 capital before regulatory deductions	6,669,104
	Tier 2 capital: regulatory deductions
52	Investments in own Tier 2 capital instruments	-
53	Reciprocal cross-holdings in Tier 2 capital instruments and non-capital LAC liabilities	-
	Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of, financial
	sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold and, where
54	applicable, 5% threshold)	-
	Insignificant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of
	regulatory consolidation (amount formerly designated for the 5% threshold but no longer meets the conditions) (for
54a	institutions defined as "section 2 institution" under s2(1) of Schedule 4F to BCR only)	-
	Significant LAC investments in Tier 2 capital instruments issued by financial sector entities that are outside the scope
55	of regulatory consolidation (net of eligible short positions)	-
	Significant LAC investments in non-capital LAC liabilities of financial sector entities that are outside the scope of
55a	regulatory consolidation (net of eligible short positions)	-
56	National specific regulatory adjustments applied to Tier 2 capital	(83,420)
	Add back of cumulative fair value gains arising from the revaluation of land and buildings (own-use and investment
56a	properties) eligible for inclusion in Tier 2 capital	(83,420)	[(7) + (10)] x 45%
56b	Regulatory deductions applied to Tier 2 capital to cover the required deductions falling within s48(1)(g) of BCR	-
57	Total regulatory deductions to Tier 2 capital	(83,420)
58	Tier 2 capital (T2)	6,752,524
59	Total regulatory capital (TC = T1 + T2)	52,120,354
60	Total RWA	272,597,282
	Capital ratios (as a percentage of RWA)
61	CET1 capital ratio	13.79%
62	Tier 1 capital ratio	16.64%
63	Total capital ratio	19.12%
	Institution - specific buffer requirement (capital conservation buffer plus countercyclical capital buffer plus
64	higher loss absorbency requirements)	7.59%
65	of which: capital conservation buffer requirement	2.50%
66	of which: bank specific countercyclical capital buffer requirement	0.59%
67	of which: higher loss absorbency requirements	0.00%
68	CET1 (as a percentage of RWA) available after meeting minimum capital requirements	9.29%

5

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

		(a)	(b)
			Source based on
			reference number
			of the balance
			sheet under the
			regulatory scope of
		Amount	consolidation
At 30 June 2020	HK$' 000
	National minima (if different from Basel III minimum)
69	National CET1 minimum ratio	Not applicable	Not applicable
70	National Tier 1 minimum ratio	Not applicable	Not applicable
71	National Total capital minimum ratio	Not applicable	Not applicable
	Amounts below the thresholds for deduction (before risk weighting)
	Insignificant LAC investments in CET1, AT1 and Tier 2 capital instruments issued by, and non-capital LAC liabilities
72	of, financial sector entities that are outside the scope of regulatory consolidation	113,666
	Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the scope
73	of regulatory consolidation	511,015
74	Mortgage servicing rights (net of associated deferred tax liability)	Not applicable	Not applicable
75	Deferred tax assets arising from temporary differences (net of associated deferred tax liability)	Not applicable	Not applicable
	Applicable caps on the inclusion of provisions in Tier 2 capital
	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the BSC approach, or the STC approach
76	and SEC- ERBA, SEC-SA and SEC-FBA (prior to application of cap)	2,794,006
	Cap on inclusion of provisions in Tier 2 under the BSC approach, or the STC approach, and SEC-ERBA,SEC-SA and
77	SEC-FBA	2,794,006
	Provisions eligible for inclusion in Tier 2 in respect of exposures subject to the IRB approach and SEC-IRBA (prior to
78	application of cap)	-
79	Cap for inclusion of provisions in Tier 2 under the IRB approach and SEC-IRBA	-
	Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022)
80	Current cap on CET1 capital instruments subject to phase out arrangements	Not applicable	Not applicable
81	Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)	Not applicable	Not applicable
82	Current cap on AT1 capital instruments subject to phase out arrangements	-
83	Amount excluded from AT1 capital due to cap (excess over cap after redemptions and maturities)	-
84	Current cap on Tier 2 capital instruments subject to phase out arrangements	-
85	Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities)	-

6

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

Row No.	Description	Hong Kong basis		Basel III basis
	Other intangible assets (net of associated deferred tax liability)	590,874		590,874
	Explanation
	As set out in paragraph 87 of the Basel III text issued by the Basel Committee (December 2010), mortgage servicing rights ("MSRs") may be given limited recognition
9	in CET1 capital (and hence be excluded from deduction from CET1 capital up to the specified threshold). In Hong Kong, an AI is required to follow the accounting
treatment of including MSRs as part of intangible assets reported in the AI's financial statements and to deduct MSRs in full from CET1 capital. Therefore, the amount
	to be deducted as reported in row 9 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the
	amount reported in row 9 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of MSRs to be deducted to the extent not in excess
	of the 10% threshold set for MSRs and the aggregate 15% threshold set for MSRs, DTAs arising from temporary differences and significant investments in CET1 capital
	instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures to connected companies) under Basel III.
	Deferred tax assets (net of associated deferred tax liabilities)	73,349		73,349
	Explanation
	As set out in paragraphs 69 and 87 of the Basel III text issued by the Basel Committee (December 2010), DTAs of the bank to be realized are to be deducted, whereas
	DTAs which relate to temporary differences may be given limited recognition in CET1 capital (and hence be excluded from deduction from CET1 capital up to the
10	specified threshold). In Hong Kong, an AI is required to deduct all DTAs in full, irrespective of their origin, from CET1 capital. Therefore, the amount to be deducted as
reported in row 10 may be greater than that required under Basel III. The amount reported under the column "Basel III	basis" in this box represents the amount reported
	in row 10 (i.e. the amount reported under the "Hong Kong basis") adjusted by reducing the amount of DTAs to be deducted which relate to temporary differences to the
	extent not in excess of the 10% threshold set for DTAs arising from temporary differences and the aggregate 15% threshold set for MSRs, DTAs arising from temporary
	differences and significant investments in CET1 capital instruments issued by financial sector entities (excluding those that are loans, facilities or other credit exposures
	to connected companies) under Basel III.
	Insignificant LAC investments in CET1 capital instruments issued by financial sector entities that are outside
	the scope of regulatory consolidation (amount above 10% threshold)	-		-
	Explanation
	For the purpose of determining the total amount of insignificant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to
18	aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector
entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial
	sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit
	exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 18 may be greater than that required under
	Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 18 (i.e. the amount reported under the "Hong Kong
	basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under
	the Hong Kong approach.

7

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC1: Composition of regulatory capital (continued)

Row No.	Description	Hong Kong basis	Basel III basis
	Significant LAC investments in CET1 capital instruments issued by financial sector entities that are outside the
	scope of regulatory consolidation (amount above 10% threshold)	-	-

Explanation

For the purpose of determining the total amount of significant LAC investments in CET1 capital instruments issued by financial sector entities, an AI is required to aggregate any amount of loans, facilities or other credit exposures provided by it to any of its connected companies, where the connected company is a financial sector

19 entity, as if such loans, facilities or other credit exposures were direct holdings, indirect holdings or synthetic holdings of the AI in the capital instruments of the financial sector entity, except where the AI demonstrates to the satisfaction of the MA that any such loan was made, any such facility was granted, or any such other credit exposure was incurred, in the ordinary course of the AI's business. Therefore, the amount to be deducted as reported in row 19 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 19 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.

Insignificant LAC investments in AT1 capital instruments issued by financial sector entities that are outside
the scope of regulatory consolidation (amount above 10% threshold)	-	-

Explanation

The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose

39 of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in AT1 capital instruments may be smaller. Therefore, the amount to be deducted as reported in row 39 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 39 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.

Insignificant LAC investments in Tier 2 capital instruments issued by, and non-capital LAC liabilities of,
financial sector entities that are outside the scope of regulatory consolidation (amount above 10% threshold
and, where applicable, 5% threshold)	-	-

Explanation

54 The effect of treating loans, facilities or other credit exposures to connected companies which are financial sector entities as CET1 capital instruments for the purpose of considering deductions to be made in calculating the capital base (see note re row 18 to the template above) will mean the headroom within the threshold available for the exemption from capital deduction of other insignificant LAC investments in Tier 2 capital instruments and non-capital LAC liabilities may be smaller. Therefore, the amount to be deducted as reported in row 54 may be greater than that required under Basel III. The amount reported under the column "Basel III basis" in this box represents the amount reported in row 54 (i.e. the amount reported under the "Hong Kong basis") adjusted by excluding the aggregate amount of loans, facilities or other credit exposures to the AI's connected companies which were subject to deduction under the Hong Kong approach.

Remarks:

The amount of the 10% threshold and 5% threshold mentioned above is calculated based on the amount of CET1 capital determined in accordance with the deduction methods set out in BCR Schedule 4F. The 15% threshold is referring to paragraph 88 of the Basel III text issued by the Basel Committee (December 2010) and has no effect to the Hong Kong regime.

Abbreviations:

CET1 : Common Equity Tier 1

AT1 : Additional Tier 1

8

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CC2: Reconciliation of regulatory capital to balance sheet

			At 30 June 2020
		Balance sheet	Under
		as in published	regulatory
		financial	scope of
		statements	consolidation	Reference
		HK$' 000	HK$' 000
Assets
Cash and balances with banks, central banks and other financial institutions	18,215,283	18,199,039
Placements with and advances to banks, central banks and other financial institutions	52,317,786	52,317,786
Financial assets at fair value through profit or loss	5,070,340	4,402,580
Derivative financial instruments	10,285,832	10,285,832
Loans and advances to customers and other accounts	200,359,205	200,841,397
of which: Expected credit losses allowances eligible for inclusion in Tier 2 Capital	-	1,272,277	(1)
Financial assets at fair value through other comprehensive income	78,092,672	78,092,672
Amortised cost investments	54,283	54,283
Property and equipment
- Investment property	266,386	266,386
- Other property and equipment	497,778	493,118
Intangible assets	590,874	590,874	(16)
Tax recoverable	28,141	28,141
Deferred tax assets	73,349	73,349	(2)
Total Assets		365,851,929	365,645,457
Liabilities
Deposits and balances of banks and other financial institutions	16,005,933	15,797,495
Deposits from customers	275,304,962	275,304,962
Derivative financial instruments	10,805,484	10,805,484
of which: Debit valuation adjustments in respect of derivative contracts		2,633	(3)
Financial liabilities at fair value through profit or loss	209,108	209,108
Certificates of deposit issued	193,755	193,755
Current tax liabilities	65,078	65,078
Deferred tax liabilities	1,379	1,379
Other liabilities	11,723,474	11,654,686
Loan capital		3,850,478	3,862,265
of which:	Loan capital not eligible for inclusion in regulatory capital	-	-	(14)
	Loan capital eligible for inclusion in regulatory capital	-	3,875,098	(15)
Total Liabilities	318,159,651	317,894,212
Equity
Total shareholders' equity	39,921,866	39,980,833
of which: Paid-in share capital	18,404,013	18,404,013	(4)
	of which: non-qualifying CET1 Capital		-	(5)
	Other Reserves	901,725	907,815	(6)
	of which: Regulatory reserve of properties	134,931	134,931	(7)
	Retained earnings	20,616,128	20,669,005	(8)
	of which: Regulatory reserve earmarked		1,521,729	(9)
	of which: Cumulative retained earnings for investment properties		50,447	(10)
	of which: Valuation Adjustments		11,100	(11)
Additional equity instruments	7,770,412	7,770,412	(12)
	of which: Transaction costs for additional equity instruments		1,648	(13)
Total Equity	47,692,278	47,751,245
Total Equity and Liabilities	365,851,929	365,645,457

9

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CCA: Main features of regulatory capital instruments

		Share Capital	Subordinated notes (due 2029) with US$500 million at 4.625% per annum
(1)	Issuer	China CITIC Bank International	China CITIC Bank International Limited
		Limited
(2)	Unique identifier	N/A	XS1897158892
(3)	Governing law(s) of the instrument	Hong Kong laws	English laws (subordination governed by Hong Kong laws)
	Regulatory treatment
(4)	- Transitional Basel III rules (1)	N/A	N/A
(5)	- Post-transitional Basel III rules (2)	Common Equity Tier 1	Tier 2
(6)	- Eligible at solo/group/group and solo	Group and solo	Group and solo
(7)	- Instrument type (types to be specified by each jurisdiction)	Ordinary Shares	Debt instruments
(8)	Amount recognised in regulatory capital (Currency in million, as	HK$18,404.01 million	HK$3,862.27 million
	of most recent reporting date)
(9)	Par value of instrument	N/A	US$500.00 million
(10)	Accounting classification	Shareholders' equity	Liability - amortised cost
(11)	Original date of issuance	10 December 1954	28 February 2019
(12)	Perpetual or dated	Perpetual	Dated
(13)	- Original maturity date	No maturity	28 February 2029
(14)	Issuer call subject to prior supervisory approval	N/A	Yes
(15)	- Optional call date, contingent call dates and redemption amount	N/A	- 28 February 2024 (Call Date). Included tax and regulatory call options.
			- Redemption at par, subject to adjustment following the occurrence of a Non-Viability Event.
(16)	- Subsequent call dates, if applicable	N/A	N/A
	Coupons/dividends
(17)	- Fixed or floating dividend/coupon	N/A	Fixed
(18)	- Coupon rate and any related index	N/A	At a fixed rate of 4.625% per annum until (but excluding) 28 February 2024 and thereafter reset
			at then prevailing five-year U.S. Treasury rate plus the initial spread of 2.25% per annum.
(19)	- Existence of a dividend stopper	N/A	No
(20)	- Fully discretionary, partially discretionary or mandatory	Fully discretionary	Mandatory
(21)	- Existence of step up or other incentive to redeem	No	No
(22)	- Non-cumulative or cumulative	Non-cumulative	Cumulative
(23)	Convertible or non-convertible	Non-convertible	Non-convertible
(24)	- If convertible, conversion trigger(s)	N/A	N/A
(25)	- If convertible, fully or partially	N/A	N/A
(26)	- If convertible, conversion rates	N/A	N/A
(27)	- If convertible, mandatory or optional conversion	N/A	N/A
(28)	- If convertible, specify instrument type convertible into	N/A	N/A
(29)	- If convertible, specify issuer of instrument if converts into	N/A	N/A
(30)	Write-down feature	No	Yes
(31)	- If write-down,write-down trigger(s)	N/A	Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a
			Non-Viability Event Notice, irrevocably reduce the then prevailing principal amount and cancel
			any accrued but unpaid interest of each Note in whole or in part.
			"Non-Viability Event" means the earlier of:
			(a)	the Hong Kong Monetary Authority (the "HKMA") notifying the Issuer in writing that the
				HKMA is of the opinion that a write-off or conversion is necessary, without which the
				Issuer would become non- viable; and
			(b) the HKMA notifying the Issuer in writing that a decision has been made by the
				government body, a government officer or other relevant regulatory body with the
				authority to make such a decision, that a public sector injection of capital or equivalent
				support is necessary, without which the Issuer would become non-viable.
(32)	- If write-down, full or partial	N/A	Full or partial
(33)	- If write-down, permanent or temporary	N/A	Permanent
(34)	- If temporary write-down, description of write-up mechanise	N/A	N/A
(35)	Position in subordination hierarchy in liquidation (specify	N/A	Immediately subordinated to indebtedness/unsecured senior notes
	instrument type immediately senior to instrument in the
	insolvency creditor hierarchy of the legal entity concerned).
(36)	Non-compliant transitioned features	No	No
(37)	If yes, specify non-compliant features	N/A	N/A

N/A - Non-Applicable

Footnotes:

1. Regulatory treatment of capital instruments subject to transitional arrangements provided for in Schedule 4H to the Banking (Capital) Rules
2. Regulatory treatment of capital instruments not subject to transitional arrangements provided for in Schedule 4H to the Banking (Capital) Rules

Full terms and conditions of regulatory capital instruments can be viewed in the Regulatory Discloses section of the Bank's corporate website www.cncbinternational.com.

10

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CCA: Main features of regulatory capital instruments (continued)

		Undated Non-Cumulative Subordinated Additional Tier 1 Capital Securities with US$500 million at 4.25% per annum
(1)	Issuer	China CITIC Bank International Limited
(2)	Unique identifier	XS1499209861
(3)	Governing law(s) of the instrument	English laws (subordination governed by Hong Kong laws)
	Regulatory treatment
(4)	- Transitional Basel III rules (1)	N/A
(5)	- Post-transitional Basel III rules (2)	Additional Tier 1
(6)	- Eligible at solo/group/group and solo	Group and solo
(7)	- Instrument type (types to be specified by each jurisdiction)	Undated Non-Cumulative Subordinated Capital Securities
(8)	Amount recognised in regulatory capital (Currency in million, as of	HK$3,863.55 million
	most recent reporting date)
(9)	Par value of instrument	US$500.00 million
(10)	Accounting classification	Equity - par value
(11)	Original date of issuance	11 October 2016
(12)	Perpetual or dated	Perpetual
(13)	- Original maturity date	No maturity
(14)	Issuer call subject to prior supervisory approval	Yes
(15)	- Optional call date, contingent call dates and redemption amount	- 11 October 2021 (First Call Date)
		- No fixed redemption date.
		- Optional Redemption (on a designated date in 2021 or on any Distribution Payment Date thereafter), Tax or Regulatory Redemption
		are all subject to prior written consent of the HKMA and satisfying any conditions that the HKMA may impose at that time.
		Redemption amount will be the outstanding principal amount together with distributions accrued to the date of redemption.
(16)	- Subsequent call dates, if applicable	N/A
	Coupons/dividends
(17)	- Fixed or floating dividend/coupon	Fixed
(18)	- Coupon rate and any related index	- At a fixed rate of 4.25% per annum until (but excluding) 11 October 2021.
		- On the First Call Date and each anniversary falling five years thereafter, the Distribution Rate will reset by reference to the
		then-prevailing five year U.S. Treasury Rate plus 3.107% per annum.
		- Any distributions are subject to there being no Mandatory Distribution Cancellation Event or Optional Distribution Cancellation Event.
(19)	- Existence of a dividend stopper	Yes
(20)	- Fully discretionary, partially discretionary or mandatory	Fully Discretionary
(21)	- Existence of step up or other incentive to redeem	No
(22)	- Non-cumulative or cumulative	Non-cumulative
(23)	Convertible or non-convertible	Non-convertible
(24)	- If convertible, conversion trigger(s)	N/A
(25)	- If convertible, fully or partially	N/A
(26)	- If convertible, conversion rates	N/A
(27)	- If convertible, mandatory or optional conversion	N/A
(28)	- If convertible, specify instrument type convertible into	N/A
(29)	- If convertible, specify issuer of instrument if converts into	N/A
(30)	Write-down feature	Yes
(31)	- If write-down,write-down trigger(s)	Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a Non-Viability Event Notice, irrevocably reduce the then
		prevailing principal amount and cancel any accrued but unpaid distribution of each Capital Security in whole or in part.
		"Non-Viability Event" means the earlier of:
		(a)	the HKMA notifying the Issuer in writing that the HKMA is of the opinion that a write-off or conversion is necessary, without which the
			Issuer would become non-viable; and
		(b)	the HKMA notifying the Issuer in writing that a decision has been made by the government body, a government officer or other relevant
			regulatory body with the authority to make such a decision, that a public sector injection of capital or equivalent support is necessary,
			without which the Issuer would become non-viable.
		At the sole discretion of the relevant Hong Kong Resolution Authority following a non-viability event, the outstanding amount of AT1
		Capital Securities can be adjusted upon the exercise of Hong Kong Resolution Authority Power in accordance with the Hong Kong Financial
		Institutions (Resolution) Ordinance (Cap.628).
(32)	- If write-down, full or partial	Full or partial
(33)	- If write-down, permanent or temporary	Permanent
(34)	- If temporary write-down, description of write-up mechanise	N/A
(35)	Position in subordination hierarchy in liquidation (specify	Subordinated to the claims of:
	instrument type immediately senior to instrument in the insolvency	(i)	all unsubordinated creditors (including depositors),
	creditor hierarchy of the legal entity concerned).	(ii)	creditors in respect of Tier 2 Capital Securities, and
		(iii)	all other Subordinated Creditors whose claims are stated to rank senior to the Capital Securities or rank senior to the Capital
			Securities by operations of law or contract.
(36)	Non-compliant transitioned features	No
(37)	If yes, specify non-compliant features	N/A

N/A - Non-Applicable

11

Regulatory Disclosure Statement (continued)

PART IIA: COMPOSITION OF REGULATORY CAPITAL

CCA: Main features of regulatory capital instruments (continued)

		Undated Non-Cumulative Subordinated Additional Tier 1 Capital Securities with US$500 million at 7.10% per annum
(1)	Issuer	China CITIC Bank International Limited
(2)	Unique identifier	XS1897158546
(3)	Governing law(s) of the instrument	English laws (subordination governed by Hong Kong laws)
	Regulatory treatment
(4)	- Transitional Basel III rules (1)	N/A
(5)	- Post-transitional Basel III rules (2)	Additional Tier 1
(6)	- Eligible at solo/group/group and solo	Group and solo
(7)	- Instrument type (types to be specified by each jurisdiction)	Undated Non-Cumulative Subordinated Capital Securities
(8)	Amount recognised in regulatory capital(Currency in million, as of	HK$3,908.51 million
	most recent reporting date)
(9)	Par value of instrument	US$500.00 million
(10)	Accounting classification	Equity - par value
(11)	Original date of issuance	6 November 2018
(12)	Perpetual or dated	Perpetual
(13)	- Original maturity date	No maturity
(14)	Issuer call subject to prior supervisory approval	Yes
(15)	- Optional call date, contingent call dates and redemption amount	- 6 November 2023 (First Call Date)
		- No fixed redemption date.
		- Optional Redemption (on a designated date in 2023 or on any Distribution Payment Date thereafter), Tax or Regulatory Redemption
		are all subject to prior written consent of the HKMA and satisfying any conditions that the HKMA may impose at that time. Redemption
		amount will be the outstanding principal amount together with distributions accrued to the date of redemption.
(16)	- Subsequent call dates, if applicable	N/A
	Coupons/dividends
(17)	- Fixed or floating dividend/coupon	Fixed
(18)	- Coupon rate and any related index	- At a fixed rate of 7.10% per annum until (but excluding) 6 November 2023.
		- On the First Call Date and each anniversary falling five years thereafter, the Distribution Rate will reset by reference to the
		then-prevailing five year U.S. Treasury Rate plus 4.151% per annum.
		- Any distributions are subject to there being no Mandatory Distribution Cancellation Event or Optional Distribution Cancellation Event.
(19)	- Existence of a dividend stopper	Yes
(20)	- Fully discretionary, partially discretionary or mandatory	Fully Discretionary
(21)	- Existence of step up or other incentive to redeem	No
(22)	- Non-cumulative or cumulative	Non-cumulative
(23)	Convertible or non-convertible	Non-convertible
(24)	- If convertible, conversion trigger(s)	N/A
(25)	- If convertible, fully or partially	N/A
(26)	- If convertible, conversion rates	N/A
(27)	- If convertible, mandatory or optional conversion	N/A
(28)	- If convertible, specify instrument type convertible into	N/A
(29)	- If convertible, specify issuer of instrument if converts into	N/A
(30)	Write-down feature	Yes
(31)	- If write-down,write-down trigger(s)	Upon the occurrence of a Non-Viability Event, the Issuer shall, upon the provision of a Non-Viability Event Notice, irrevocably reduce
		the then prevailing principal amount and cancel any accrued but unpaid distribution of each Capital Security in whole or in part.
		"Non-Viability Event" means the earlier of:
		(a)	the HKMA notifying the Issuer in writing that the HKMA is of the opinion that a write-off or conversion is necessary, without
			which the Issuer would become non-viable; and
		(b) the HKMA notifying the Issuer in writing that a decision has been made by the government body, a government officer or other
			relevant regulatory body with the authority to make such a decision, that a public sector injection of capital or equivalent support is
			necessary, without which the Issuer would become non-viable.
		At the sole discretion of the relevant Hong Kong Resolution Authority following a non-viability event, the outstanding amount of AT1
		Capital Securities can be adjusted upon the exercise of Hong Kong Resolution Authority Power in accordance with the Hong Kong
		Financial Institutions (Resolution) Ordinance (Cap.628).
(32)	- If write-down, full or partial	Full or partial
(33)	- If write-down, permanent or temporary	Permanent
(34)	- If temporary write-down, description of write-up mechanise	N/A
(35)	Position in subordination hierarchy in liquidation (specify	Subordinated to the claims of:
	instrument type immediately senior to instrument in the insolvency	(i)	all unsubordinated creditors (including depositors),
	creditor hierarchy of the legal entity concerned).	(ii)	creditors in respect of Tier 2 Capital Securities, and
		(iii)	all other Subordinated Creditors whose claims are stated to rank senior to the Capital Securities or rank senior to the Capital
			Securities by operations of law or contract.
(36)	Non-compliant transitioned features	No
(37)	If yes, specify non-compliant features	N/A

N/A - Non-Applicable

12

Regulatory Disclosure Statement (continued)

PART IIB: MACROPRUDENTIAL SUPERVISORY MEASURES

CCyB1: Geographical distribution of credit exposures used in countercyclical capital buffer

			At 30 June 2020
		a	b	c	d
	Geographical breakdown by
	Jurisdiction (J)	Applicable JCCyB ratio in effect	RWA used in computation of CCyB ratio	AI-specific CCyB ratio	CCyB amount
			HK$' 000		HK$' 000
1	Hong Kong SAR	1.0000%	117,793,713
2	Luxembourg	0.2500%	66,711
3	Norway	1.0000%	1,020
	Sum (Remark 1)		117,861,444
	Total (Remark 2 & 3)		198,634,436	0.593%	1,616,793

Remark:

1. This represents the sum of RWA for the private sector credit exposures in jurisdictions with a non-zero countercyclical buffer rate.
2. The total RWA used in the computation of the CCyB ratio in column (b) represents the total RWA for the private sector credit exposures in all jurisdictions to which the banks is exposed, including jurisdictions with no countercyclical buffer rate or with a countercyclical buffer rate set at zero. The CCyB amount in column (d) represents the Group's total RWA multiplied by the Group specific CCyB ratio in column (c).
3. In accordance with the announcements made by the HKMA, the CCyB ratio for Hong Kong was 2.5% of risk-weighted amounts effective from 1 January 2019, reduced to 2.0% effective from 14 October 2019 and was further reduced to 1.0% effective from 16 March 2020.

PART IIC: LEVERAGE RATIO

LR1: Summary comparison of accounting assets against leverage ratio exposure measure

		Value under the LR
		framework
	Item	At 30 June 2020
		HK$' 000
1	Total consolidated assets as per published financial statements	365,851,929
2	Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but
	outside the scope of regulatory consolidation	206,472
3	Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting standard but excluded from the
	LR exposure measure	-
4	Adjustments for derivative contracts	11,065,771
5	Adjustment for SFTs (i.e. repos and similar secured lending)	1,457,604
6	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures)	16,989,259
6a	Adjustment for specific and collective provisions that are allowed to be excluded from exposure measure	(71,926)
7	Other adjustments	(16,787,234)
8	Leverage ratio exposure measure	378,711,875

13

Regulatory Disclosure Statement (continued)

PART IIC: LEVERAGE RATIO

LR2: Leverage ratio

		(a)	(b)
		At 30 June 2020	At 31 March 2020
		HK$' 000	HK$' 000
On-balance sheet exposures
1	On-balance sheet exposures (excluding those arising from derivative contracts and SFTs, but including collateral)	351,642,497	336,425,797
2	Less: Asset amounts deducted in determining Tier 1 capital	(2,371,330)	(1,103,140)
3	Total on-balance sheet exposures (excluding derivative contracts and SFTs)	349,271,167	335,322,657
Exposures arising from derivative contracts
4	Replacement cost associated with all derivative contracts (where applicable net of eligible cash variation margin and/
	or with bilateral netting)	3,852,486	3,862,935
5	Add-on amounts for PFE associated with all derivative contracts	9,061,296	9,373,994
6	Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable
	accounting framework	-	-
7	Less: Deductions of receivables assets for cash variation margin provided under derivative contracts	(1,848,011)	(2,965,026)
8	Less: Exempted CCP leg of client-cleared trade exposures	-	-
9	Adjusted effective notional amount of written credit derivative contracts	-	-
10	Less: Adjusted effective notional offsets and add-on deductions for written credit derivative contracts	-	-
11	Total exposures arising from derivative contracts	11,065,771	10,271,903
Exposures arising from SFTs
12	Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions	1,457,604	982,337
13	Less: Netted amounts of cash payables and cash receivables of gross SFT assets	-	-
14	CCR exposure for SFT assets	-	929
15	Agent transactions exposures	-	-
16	Total exposures arising from SFTs	1,457,604	983,266
Other off-balance sheet exposures
17	Off-balance sheet exposure at gross notional amount	104,624,840	94,579,479
18	Less: Adjustments for conversion to credit equivalent amounts	(87,635,581)	(79,239,466)
19	Off-balance sheet items	16,989,259	15,340,013
Capital and total exposures
20	Tier 1 capital	45,367,830	45,835,990
20a	Total exposures before adjustments for specific and collective provisions	378,783,801	361,917,839
20b	Adjustments for specific and collective provisions	(72,926)	(89,317)
21	Total exposures after adjustments for specific and collective provisions	378,711,875	361,828,522
Leverage ratio
22	Leverage ratio	11.98%	12.67%

The decrease in leverage ratio during the period is mainly due to the increase in total exposures after adjustments for specific and collective provisions for the quarter ended 30 June 2020.

14

Regulatory Disclosure Statement (continued)

PART IID: LIQUIDITY

LIQ1: Liquidity Coverage Ratio - for category 1 institution

Number of data points used in calculating the average value of the LCR	For the quarter ended 30 June 2020:	For quarter ended 31 March 2020:
and related components set out in this template	(73 data points)		(74 data points)
		UNWEIGHTED		WEIGHTED	UNWEIGHTED		WEIGHTED
		AMOUNT		AMOUNT	AMOUNT		AMOUNT
Basis of disclosure: Consolidated	(Average)		(Average)	(Average)		(Average)
		HK$' 000		HK$' 000	HK$' 000		HK$' 000
A. High Quality Liquid Assets (HQLA)
1	Total HQLA			42,386,001			47,011,755
B. Cash outflows
2	Retail deposits and small business funding, of which	144,367,085		10,444,010	150,292,952		10,716,130
3	Stable retail deposits and stable small business funding	10,262,650		513,133	10,375,467		518,773
4	Less stable retail deposits and less stable small business funding	64,513,098		6,451,310	64,025,150		6,402,569
4a	Retail term deposits and small business term funding	69,591,337		3,479,567	75,892,335		3,794,788
5	Unsecured wholesale funding (other than small business funding), and
	debt securities and prescribed instruments issued by the AI, of which:	92,851,979		53,348,951	86,133,440		47,299,317
6	Operational deposits	-	-	-	-

7 Unsecured wholesale funding (other than small business funding) not

covered in Row 6

90,779,597

51,276,569

85,137,314

46,303,191

8 Debt securities and prescribed instruments issued by the AI and

	redeemable within the LCR period	2,072,382	2,072,382	996,126	996,126
9	Secured funding transactions (including securities swap transactions)		-		-
10	Additional requirements, of which	10,093,219	3,754,041	9,385,866	4,023,144

11 Cash outflows arising from derivative contracts and other transactions, and additional liquidity needs arising from related collateral

requirements

2,867,656

2,867,656

3,207,857

3,207,857

12	Cash outflows arising from obligations under structured financing
	transactions and repayment of funding obtained from such transactions	-	-	-	-

13 Potential drawdown of undrawn committed facilities (including

	committed credit facilities and committed liquidity facilities)	7,225,563	886,385	6,178,009	815,287
14	Contractual lending obligations (not otherwise covered in Section B) and
	other contractual cash outflows	6,029,170	6,029,170	6,176,335	6,176,335
15	Other contingent funding obligations (without contractual or non-
	contractual)	91,101,674	419,554	89,461,641	390,993
16	Total cash outflows		73,995,726		68,605,919
C. Cash Inflows
17	Secured lending transactions (including securities swap transactions)	850,651	240,299	632,218	279,695

18 Secured and unsecured loans (other than secured lending transactions covered in row 17) and operational deposits placed at other financial

	institutions	78,420,741	58,495,903	82,137,192	62,032,935
19	Other cash inflows	5,319,465	5,289,082	4,760,412	4,736,314
20	Total cash inflows	84,590,857	64,025,284	87,529,822	67,048,944
D. Liquidity Coverage Ratio
21	Total HQLA		42,386,001		47,011,755
22	Total Net Cash Outflows		19,064,904		17,320,678
23	LCR (%)		223.8%		272.2%

15

Regulatory Disclosure Statement (continued)

PART IID: LIQUIDITY

LIQ2: Net Stable Funding Ratio - for category 1 institution

		For the quarter ended 30 June 2020
		Unweighted value by residual maturity
	No specified	< 6 months or
	term to	repayable on	6 months to	12 months	Weighted
Basis of disclosure: Consolidated	maturity	demand	< 12 months	or more	amount

1. Available stable funding ("ASF") item

1	Capital	48,606,014	-	-	3,862,266	52,468,280
2	Regulatory capital	48,606,014	-	-	3,862,266	52,468,280
2a	Minority interests not covered by row 2	-	-	-	-	-
3	Other capital instruments	-	-	-	-	-
4	Retail deposits and small business funding:	-	138,498,139	4,421,810	123,619	129,274,834
5	Stable deposits		10,333,264	131,964	608	9,942,574
6	Less stable deposits		128,164,875	4,289,846	123,011	119,332,260
7	Wholesale funding:	-	146,974,931	3,046,823	1,102,509	54,505,381
8	Operational deposits		-	-	-	-
9	Other wholesale funding	-	146,074,931	3,046,823	1,102,509	54,505,381
10	Liabilities with matching interdependent assets	-	-	-	-	-
11	Other liabilities:	4,661,696	1,378,148	-	-	-
12	Net derivative liabilities	694,372
13	All other funding and liabilities not included in the above categories	3,967,324	1,378,148	-	-	-
14	Total ASF					236,248,495

1. Required stable funding ("RSF") item

15	Total HQLA for NSFR purposes		50,727,294			9,747,008
16	Deposits held at other financial institutions for operational purposes	-	-	-	-	-
17	Performing loans and securities:	1,054,320	142,024,837	49,991,062	100,036,889	148,388,842
18	Performing loans to financial institutions secured by Level 1 HQLA	-	1,172,168	-	-	117,217

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

and unsecured performing loans to financial institutions

-

81,097,554

6,641,937

3,267,116

18,752,718

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:

1,054,320

51,255,413

37,894,154

50,649,513

88,217,522

21With a risk-weight of less than or equal to 35% under the STC

	approach	29	1,390,257	701,120	1,527,480	2,038,551
22	Performing residential mortgages, of which:	-	649,407	635,486	24,232,425	16,411,110
23	With a risk-weight of less than or equal to 35% under the STC
	approach	-	647,255	633,392	24,144,578	16,334,318
24	Securities that are not in default and do not qualify as HQLA, including
	exchange-traded equities	-	7,850,295	4,819,485	21,887,835	24,890,275
25	Assets with matching interdependent liabilities	-	-	-	-	-
26	Other assets	9,941,542	1,270,607	54,453	-	10,193,722
27	Physical traded commodities, including gold	-				-

28 Assets posted as initial margin for derivative contracts and contributions to

	default funds of CCPs	50,251				50,251
29	Net derivative assets	-				-
30	Total derivative liabilities before deduction of variation margin posted	-				-
31	All other assets not included in the above categories	9,891,291	1,270,607	54,453	-	10,143,471
32	Off-balance sheet items			101,284,358		443,647
33	Total derivative liabilities				6,504,371	325,219
34	Total RSF					169,098,438
35	Net Stable Funding Ratio (%)					139.7%

16

Regulatory Disclosure Statement (continued)

PART IID: LIQUIDITY

LIQ2: Net Stable Funding Ratio - for category 1 institution (continued)

		For the quarter ended 31 March 2020
		Unweighted value by residual maturity
	No specified	< 6 months or
	term to	repayable on	6 months to	12 months	Weighted
Basis of disclosure: Consolidated	maturity	demand	< 12 months	or more	amount

1. Available stable funding ("ASF") item

1	Capital	49,352,137	2,359,374	-	3,862,993	53,215,130
2	Regulatory capital	49,352,137	2,359,374	-	3,862,993	53,215,130
2a	Minority interests not covered by row 2	-	-	-	-	-
3	Other capital instruments	-	-	-	-	-
4	Retail deposits and small business funding:	-	131,782,513	5,338,742	185,691	129,505,159
5	Stable deposits		10,054,476	152,290	697	9,697,125
6	Less stable deposits		127,728,037	5,186,452	184,994	119,808,034
7	Wholesale funding:	-	124,486,293	2,504,534	940,158	49,167,316
8	Operational deposits		-	-	-	-
9	Other wholesale funding	-	124,486,293	2,504,534	940,158	49,167,316
10	Liabilities with matching interdependent assets	-	-	-	-	-
11	Other liabilities:	4,522,221	6,084,885	-	-	-
12	Net derivative liabilities	395,848
13	All other funding and liabilities not included in the above categories	4,126,373	6,084,885	-	-	-
14	Total ASF					231,887,605

1. Required stable funding ("RSF") item

15	Total HQLA for NSFR purposes		56,851,737			11,064,282
16	Deposits held at other financial institutions for operational purposes	-	-	-	-	-
17	Performing loans and securities:	1,038,847	117,573,483	49,586,187	105,082,543	148,520,454
18	Performing loans to financial institutions secured by Level 1 HQLA	-	790,988	-	-	79,099

19 Performing loans to financial institutions secured by non-Level 1

HQLA and unsecured performing loans to financial institutions

-

58,573,095

7,789,689

3,250,787

15,931,596

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:

1,038,847

51,401,600

34,817,043

55,441,692

90,857,795

21With a risk-weight of less than or equal to 35% under the STC

	approach	-	629,277	462,279	1,299,918	1,390,725
22	Performing residential mortgages, of which:	-	627,152	629,456	23,191,259	15,716,774

23With a risk-weight of less than or equal to 35% under the STC

approach

-

625,269

627,585

23,120,506

15,654,756

24 Securities that are not in default and do not qualify as HQLA,

	including exchange-traded equities	-	6,180,648	6,349,999	23,198,805	25,935,190
25	Assets with matching interdependent liabilities	-	-	-	-	-
26	Other assets	6,767,618	1,468,154	23,770	-	7,232,413
27	Physical traded commodities, including gold	-				-

28 Assets posted as initial margin for derivative contracts and

	contributions to default funds of CCPs	50,251				50,251
29	Net derivative assets	-				-
30	Total derivative liabilities before deduction of variation margin posted	-				-
31	All other assets not included in the above categories	6,717,367	1,468,154	23,770	-	7,182,162
32	Off-balance sheet items			92,746,605		303,790
33	Total derivative liabilities				7,551,977	377,599
33	Total RSF					167,498,538
34	Net Stable Funding Ratio (%)					138.4%

17

Regulatory Disclosure Statement (continued)

PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES

CR1: Credit quality of exposures

			(a)	(b)		(c)	(d)	(e)		(f)	(g)
							Of which ECL accounting
							provisions for credit losses on	Of which ECL
			Gross carrying amounts of			STC approach exposures
					accounting
							Allocated in	Allocated in	provisions
							regulatory	regulatory	for credit
							category	category of	losses on IRB
			Defaulted	Non-defaulted		Allowances/	of specific	collective	approach	Net values
			exposures	exposures		impairments	provisions	provisions	exposures	(a+b-c)
At 30 June 2020	HK$' 000	HK$' 000		HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000
1		Loans	4,706,216	187,973,748		(1,530,763)	(258,486)	(1,272,277)		-	191,149,201
2		Debt securities	-	83,103,663		(34)	-	-		-	83,103,629
3		Off-balance sheet exposures	-	7,057,607		(70,531)	-	(70,531)		-	6,987,076
4		Total	4,706,216	278,135,018		(1,601,328)	(258,486)	(1.342,808)		-	281,239,906
CR2: Changes in defaulted loans and debt securities
											(a)
											Amount
At 30 June 2020									HK$' 000
1		Defaulted loans and debt securities at end of the previous reporting period						2,021,970
2		Loans and debt securities that have defaulted since the last reporting period						5,310,301
3		Returned to non-defaulted status									(11)
4		Amounts written off									(2,495,966)
5		Other changes (Note)									(130,078)
6		Defaulted loans and debt securities at end of the current reporting period						4,706,216

Note: Other changes mainly due to repayments from loan customers and settlement for debt securities.

The increase in defaulted loans and advances and debt securities in the first half of 2020 was mainly due to the downgrading of isolated large-size loan exposures.

CR3: Overview of recognised credit risk mitigation

		(a)	(b1)	(b)	(d)	(f)
						Exposures
				Exposures	Exposures	secured by
		Exposures		secured by	secured by	recognized
		unsecured:	Exposures to be	recognized	recognized	credit derivative
		carrying amount	secured	collateral	guarantees	contracts
At 30 June 2020	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000
1	Loans	181,141,010	10,008,191	4,540,049	5,468,142	-
2	Debt securities	83,103,629	-	-	-	-
3	Total	264,244,639	10,008,191	4,540,049	5,468,142	-
4	Of which defaulted	4,058,925	609,305	605,657	3,648	-

18

Regulatory Disclosure Statement (continued)

PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES

CR4: Credit risk exposures and effects of recognised credit risk mitigation - for STC approach

		(a)	(b)	(c)	(d)	(e)	(f)
				Exposures post-CCF and
		Exposures pre-CCF and pre-CRM	post-CRM	RWA and RWA density
		On-balance	Off-balance	On-balance	Off-balance
At 30 June 2020	sheet amount	sheet amount	sheet amount	sheet amount	RWA	RWA density
		HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	%
	Exposure classes
1	Sovereign exposures	23,712,409	-	23,726,496	-	524,214	2%
2	PSE exposures	1,101,961	3,000,000	1,386,545	-	271,616	20%
2a	Of which: domestic PSEs	1,073,497	3,000,000	1,358,081	-	271,616	20%
2b	Of which: foreign PSEs	28,464	-	28,464	-	-	-
3	Multilateral development bank exposures	-	-	-	-	-	-
4	Bank exposures	87,915,092	3,340,482	91,535,375	3,361,223	27,545,478	29%
5	Securities firm exposures	4,175,627	5,745,028	4,291,944	133,126	2,216,551	50%
6	Corporate exposures	174,335,214	67,752,707	166,912,303	4,409,675	159,938,103	93%
7	CIS exposures	-	-	-	-	-	-
8	Cash items	221,078	-	4,155,470	542,286	102,245	2%
9	Exposures in respect of failed delivery on
	transactions entered into on a basis other than a
	delivery-versus-payment basis	-	-	-	-	-	-
10	Regulatory retail exposures	9,388,770	21,163,140	9,239,259	8,901	6,936,120	75%
11	Residential mortgage loans	25,519,730	-	25,262,269	-	8,888,220	35%
12	Other exposures which are not past due
	exposures	13,880,083	3,623,484	13,740,304	-	13,740,304	100%
13	Past due exposures	4,668,230	-	4,668,229	-	6,666,453	143%
14	Significant exposures to commercial entities	-	-	-	-	-	-
15	Total	344,918,194	104,624,841	344,918,194	8,455,211	226,829,304	64%

19

Regulatory Disclosure Statement (continued)

PART III: CREDIT RISK FOR NON-SECURITIZATION EXPOSURES

CR5: Credit risk exposures by asset classes and by risk weights - for STC approach

At 30 June 2020	(a)	(b)	(c)	(d)	(e)	(f)	(g)	(h)	(ha)	(i)	(j)
	Risk Weight											Total credit
												risk exposures
												amount (post
												CCF and post
	Exposure class	0%	10%	20%	35%	50%	75%	100%	150%	250%	Others	CRM)
		HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000
1	Sovereign exposures	21,105,425	-	2,621,071	-	-	-	-	-	-	-	23,726,496
2	PSE exposures	28,464	-	1,358,081	-	-	-	-	-	-	-	1,386,545
2a	Of which: domestic PSEs	-	-	1,358,081	-	-	-	-	-	-	-	1,358,081
2b	Of which: foreign PSEs	28,464	-	-	-	-	-	-	-	-	-	28,464
	Multilateral development bank
3	exposures	-	-	-	-	-	-	-	-	-	-	-
4	Bank exposures	-	-	66,722,457	-	27,946,308	-	227,833	-	-	-	94,896,598
5	Securities firm exposures	-	-	-	-	4,417,038	-	8,032	-	-	-	4,425,070
6	Corporate exposures	-	-	1,741,098	-	24,704,191	-	140,154,493	4,722,196	-	-	171,321,978
7	CIS exposures	-	-	-	-	-	-	-	-	-	-	-
8	Cash items	4,186,667	-	511,055	-	-	-	34	-	-	-	4,697,756
	Exposures in respect of failed
	delivery on transactions entered
	into on a basis other than a
9	delivery-versus-payment basis	-	-	-	-	-	-	-	-	-	-	-
10	Regulatory retail exposures	-	-	-	-	-	9,248,160	-	-	-	-	9,248,160
11	Residential mortgage loans	-	-	-	25,173,281	-	45,663	43,325	-	-	-	25,262,269
	Other exposures which are not
12	past due exposures	-	-	-	-	-	-	13,740,304	-	-	-	13,740,304
13	Past due exposures	30,790	-	560	-	-	-	577,955	4,058,924	-	-	4,668,229
	Significant exposures to
14	commercial entities	-	-	-	-	-	-	-	-	-	-	-
15	Total	25,351,346	-	72,954,322	25,173,281	57,067,537	9,293,823	154,751,976	8,781,120	-	-	353,373,405

20

Regulatory Disclosure Statement (continued)

PART IV: COUNTERPARTY CREDIT RISK

CCR1: Analysis of counterparty default risk exposures (other than those to CCPs) by approaches

		(a)	(b)	(c)	(d)	(e)	(f)
					Alpha (α) used
		Replacement			for computing	Default risk
		cost			default risk	exposure after
		(RC)	PFE	Effective EPE	exposure	CRM	RWA
At 30 June 2020	HK$' 000	HK$' 000	HK$' 000		HK$' 000	HK$' 000
1	SA-CCR (for derivative contracts)	-	-		-	-	-
1a	CEM	6,515,447	10,664,763		-	17,180,210	8,885,190
2	IMM (CCR) approach			-	-	-	-
3	Simple Approach (for SFTs)					1,457,604	280,860
4	Comprehensive Approach (for SFTs)					-	-
5	VaR (for SFTs)					-	-
6	Total						9,166,050

Remark:

Prior to the implementation of SA-CCR, exposures corresponding to the counterparty credit risk reported here are calculated using current exposure method.

CCR2: CVA capital charge

		(a)	(b)
		EAD post CRM	RWA
At 30 June 2020	HK$' 000	HK$' 000
	Netting sets for which CVA capital charge is calculated by the advanced CVA method	-	-
1	(i) VaR (after application of multiplication factor if applicable)		-
2	(ii) Stressed VaR (after application of multiplication factor if applicable)		-
3	Netting sets for which CVA capital charge is calculated by the standardized CVA method	23,981,210	6,218,213
4	Total	23,981,210	6,218,213

21

Regulatory Disclosure Statement (continued)

PART IV: COUNTERPARTY CREDIT RISK

CCR3: Counterparty default risk exposures (other than those to CCPs) by asset classes and by risk weights - STC approach

At 30 June 2020	(a)	(b)	(c)	(ca)	(d)	(e)	(f)	(g)	(ga)	(h)	(i)
	Risk Weight											Total
												default risk
												exposure
	Exposure class	0%	10%	20%	35%	50%	75%	100%	150%	250%	Others	after CRM
		HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000	HK$' 000
1	Sovereign exposures	-	-	55,527	-	-	-	-	-	-	-	55,527
2	PSE exposures	-	-	-	-	-	-	-	-	-	-	-
2a	Of which: domestic PSEs	-	-	-	-	-	-	-	-	-	-	-
2b	Of which: foreign PSEs	-	-	-	-	-	-	-	-	-	-	-
3	Multilateral development bank exposures	-	-	-	-	-	-	-	-	-	-	-
4	Bank exposures	-	-	3,763,266	-	11,928,325	-	23,242	-	-	-	15,714,833
5	Securities firm exposures	-	-	-	-	711,686	-	-	-	-	-	711,686
6	Corporate exposures	-	-	-	-	14,016	-	2,008,250	4,627	-	-	2,026,893
7	CIS exposures	-	-	-	-	-	-	-	-	-	-	-
8	Regulatory retail exposures	-	-	-	-	-	195	-	-	-	-	195
9	Residential mortgage loans	-	-	-	-	-	-	-	-	-	-	-
10	Other exposures which are not past due exposures	91,758	-	279	-	-	-	36,643	-	-	-	128,680
11	Significant exposures to commercial entities	-	-	-	-	-	-	-	-	-	-	-
12	Total	91,758	-	3,819,072	-	12,654,027	195	2,068,135	4,627	-	-	18,637,814

22

Regulatory Disclosure Statement (continued)

PART IV: COUNTERPARTY CREDIT RISK

CCR5: Composition of collateral for counterparty default risk exposures (including those for contracts or transactions cleared through CCPs)

		(a)		(b)	(c)	(d)			(e)		(f)
				Derivative contracts				SFTs
		Fair value of recognized				Fair value of		Fair value
				collateral received	Fair value of posted collateral		recognized
										collateral		of posted
		Segregated		Unsegregated	Segregated	Unsegregated			received		collateral
At 30 June 2020	HK$' 000		HK$' 000	HK$' 000	HK$' 000			HK$' 000		HK$' 000
Cash - domestic currency	11,705		-	232,915		-			-		-
Cash - other currencies	13,131		1,982,276	402,712		1,113,517			-		-
Total		24,836		1,982,276	635,627		1,113,517			-		-
CCR8: Exposures to CCPs
							(a)				(b)
							Exposure after CRM				RWA
At 30 June 2020						HK$' 000				HK$' 000
1	Exposures of the AI as clearing member or client to qualifying CCPs (total)								152,610
2	Default risk exposures to qualifying CCPs (excluding items disclosed in rows 7 to 10), of which:		5,070,804				101,416
3	(i) OTC derivative transactions						5,070,804				101,416
4	(ii) Exchange-traded derivative contracts							-				-
5	(iii) Securities financing transactions							-				-
6	(iv) Netting sets subject to valid cross-product netting agreements					-				-
7	Segregated initial margin							-
8	Unsegregated initial margin							-				-
9	Funded default fund contributions						50,251				3,025
10	Unfunded default fund contributions							-				-
11	Exposures of the AI as clearing member or client to non-qualifying CCPs (total)								-
12	Default risk exposures to non-qualifying CCPs (excluding items disclosed in rows 17 to 20), of which:			-				-
13	(i) OTC derivative transactions						2,408,453				48,169
14	(ii) Exchange-traded derivative contracts							-				-
15	(iii) Securities financing transactions							-				-
16	(iv) Netting sets subject to valid cross-product netting agreements					-				-
17	Segregated initial margin							-
18	Unsegregated initial margin							-				-
19	Funded default fund contributions							-				-
20	Unfunded default fund contributions							-				-

23

Regulatory Disclosure Statement (continued)

PART V: MARKET RISK

MR1: Market risk under STM approach

		(a)
		RWA
At 30 June 2020	HK$' 000
	Outright product exposures
1	Interest rate exposures (general and specific risk)	12,579,425
2	Equity exposures (general and specific risk)	-
3	Foreign exchange (including gold) exposures	1,157,450
4	Commodity exposures	-
	Option exposures
5	Simplified approach	-
6	Delta-plus approach	34,700
7	Other approach	-
8	Securitization exposures	-
9	Total	13,771,575

24