14 Market Risk Capital Requirement - Interest Rate Risk - Maturity Approach B60B2 - MR - Maturity Approach

Transcription

1 # Content Form Name 1 Assets B10A - Assets 2 Off Balance Sheet Exposures B10B - OBS Exposures 3 Liabilities (Domestic) B10C - Liabilities (Domestic) 4 Equity B10D - Equity 5 Liabilities (Branch) B10E - Liabilities (Branch) 6 Profit and Loss B30 - Profit and Loss 7 Expenditure Based Capital Minimum Requirement B50 - Expendiure Based Capital Minimum 8 Credit Risk Capital Requirement - Overview B60A - CR - Overview 9 Credit Risk Capital Requirement - Balance Sheet Exposures B60A1 - CR - BS Exposures 10 Credit Risk Capital Requirement - Counterparty Risk Exposures B60A2- CR - CP Exposures 11 Credit Risk Capital Requirement - Securitisation B60A3 - CR - Securitisation 12 Market Risk Capital Requirement - Overview B60B - MR - Overview 13 Market Risk Capital Requirement - Interest Rate B60B1 - MR - Interest Rate 14 Market Risk Capital Requirement - Interest Rate Risk - Maturity Approach B60B2 - MR - Maturity Approach 15 Market Risk Capital Requirement - Interest Rate Risk - Duration Approach B60B3 - MR - Duration Approach 16 Market Risk Capital Requirement - Equity B60B4 - MR - Equity 17 Market Risk Capital Requirement - Currency B60B5 - MR - Currency 18 Market Risk Capital Requirement - Commodities and Options B60B6 - MR - Optns, Cmdts 19 Market Risk Capital Requirement - VaR B60B7 - MR - VaR 20 Operational Risk Capital Requirement B60C - OR 21 Capital Resources Schedule B60 - Capital Resources Calculation 22 Large Exposure Schedule (Domestic) B70 - Large Exposure (Domestic) 23 Large Exposure Schedule (Branch) B70 - Large Exposure (Branch) 24 Liquidity Schedule (Domestic) B80 - Liquidity (Domestic) 25 Liquidity Schedule (Branch) B80 - Liquidity (Branch) 26 Interest Rate Risk in the Non-Trading Book B120 - IRR NTB 27 Credit Activity Schedule B130 - Credit Activity 28 Exposures in arrears and Provisions taken B140 - Arrears and Provisions 29 Loans Restructured B150 - Loans Restructured 30 Investment Activity Schedule B160 - Investment Activity 31 Investments Fair Value B170 - Investments Fair Value 32 FX Exposure B180 - FX Exposure 33 Funding Activity Schedule B190 - Funding Schedule 34 Funding Sources Concentration B200 - Funding Concentration 35 Wealth Management Activity B210 - Wealth Management 36 Asset Management Services B220 - Asset Mngmt Services 37 Asset Management Services (Schedule - Annual Submission) B220 - Asset Mngmt Services Schedule (Annual Submission) 38 Trading Desk Overview B230 - Trading Desk Overview 39 Trading Desk Trades B240 - Trading and Brokering 40 Outward Remittance B250 - Outward Remittance 41 Inward Remittance B260 - Inward Remittance 42 Insurance Brokerage Activity B270 -Insurance Brokerage 43 Insurance Brokerage - Monies B270 -Insurance Brokerage Schedule (Annual Submssion) 44 Business line staffing and Conduct B280 - Staffing and Conduct 45 Related Party Schedule (Domestic) B290 - RPS (Domestic) 46 Related Party Schedule (Branch) B290 - RPS (Branch)

2 B10A-Assets 1. Balance Sheet Statement [Statement of Financial Position] 1.1. Assets Line Item Cash and cash balances at Banks Cash on hand Deposits Money Market Placements Financial assets held for trading Derivatives Equity instruments Debt securities Loans and advances Islamic Contracts Financial assets designated at fair value through profit or loss Equity instruments Debt securities Loans and advances Islamic Contracts Available-for-sale financial assets Equity instruments Debt securities Loans and advances Islamic Contracts Loans and receivables Debt securities Loans and advances Islamic Contracts Money Market Placements Account Receivables Held-to-maturity investments Debt securities Loans and advances Islamic Contracts Derivatives Hedge accounting Fair value changes of the hedged items in portfolio hedge of interest rate risk Investments in subsidaries, joint ventures and associates Tangible assets Property, Plant and Equipment Investment property Prepayments and Security Deposits Intangible assets Goodwill Other intangible assets Tax assets Other assets Non-current assets and disposal groups classified as held for sale TOTAL ASSETS Amount

3 B10B - OBS Exposures 1. Balance Sheet Statement [Statement of Financial Position] Off Balance Sheet Exposures Direct credit substitutes Transaction -related contingent items Line Item Short-term self-liquidating trade-related contingent items (applicable to both issuing and confirming banks) and commitments to underwrite debt and equity Securities Note issuance facilities and revolving Underwriting facilities Transactions, other than SFTs, involving the posting of Securities held by the Authorised Firm as Collateral Asset sales with recourse, where the Credit Risk remains with the Authorised Firm Other commitments with certain drawdown Other commitments Off-Balance Sheet Exposures Amount Top 10 Committed Lines Granted Counterparty Funding Line Approved Funding Utilised Funding Available of All Counterparties

4 B10C - Liabilities (Domestic) 1. Balance Sheet Statement [Statement of Financial Position] 1.2 Liabilities Line Item Financial liabilities held for trading Derivatives Short positions Debt securities issued Islamic Contracts Other financial liabilities Financial liabilities designated at fair value through profit or loss Debt securities issued Islamic Contracts Other financial liabilities Financial liabilities measured at amortised cost Debt securities issued Islamic Contracts Other financial liabilities Deposits Banks and Financial Institutions Others Derivatives Hedge accounting Fair value changes of the hedged items in portfolio hedge of interest rate risk Provisions Pensions, other post employment defined benefit obligations and other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given Problem Credits (bad and doubtful debt) Other provisions Current Liabilities Creditors Other Payables and Liabilties Tax liabilities Other liabilities Liabilities included in disposal groups classified as held for sale TOTAL LIABILITIES TOTAL EQUITY TOTAL LIABILITIES AND TOTAL EQUITY Amount

5 B10D - Equity 1. Balance Sheet Statement [Statement of Financial Position] 1.3. Equity Line Item Amount 010 Capital 020 Paid up capital 030 Unpaid capital which has been called up 040 Share premium 050 Equity instruments issued other than capital 060 Equity component of compound financial instruments 070 Other equity instruments issued 080 Other equity 090 Accumulated other comprehensive income 100 Tangible assets 110 Intangible assets 120 Actuarial gains or loss on defined benefit pension plans 130 Hedge of net investments in foreign operations [effective portion] 140 Foreign currency translation 150 Hedging derivatives. Cash flow hedges [effective portion] 160 Available-for-sale financial assets 170 Non-current assets and disposal groups classified as held for sale 180 Share of other recognised income and expense of investments in subsidaries, joint ventures and associates 190 Retained earnings 200 Revaluation reserves 210 Other reserves 220 Reserves or accumulated losses of investments in subsidaries, joint ventures and associates 230 Other 240 (-) Treasury shares 250 Profit or loss attributable to owners of the parent 260 (-) Interim dividends 270 Minority interests [Non-controlling interests] 280 Accumulated Other Comprehensive Income 290 Other items 300 TOTAL EQUITY

6 B10E - Liabilities (Branch) 1. Balance Sheet Statement [Statement of Financial Position] 1.2 Liabilities Line Item Financial liabilities held for trading Derivatives Short positions Debt securities issued Islamic Contracts Other financial liabilities Financial liabilities designated at fair value through profit or loss Debt securities issued Islamic Contracts Other financial liabilities Financial liabilities measured at amortised cost Debt securities issued Islamic Contracts Other financial liabilities Deposits Banks and Financial Institutions Others Derivatives Hedge accounting Fair value changes of the hedged items in portfolio hedge of interest rate risk Provisions Pensions, other post employment defined benefit obligations and other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given Other provisions Current Liabilities Creditors Other Payables and Liabilties Tax liabilities Other liabilities Head Office account Other Liabilities included in disposal groups classified as held for sale TOTAL LIABILITIES Amount

7 B30 - Profit and Loss 2. Statement of profit or loss Line Item Net Interest Income Interest income Financial assets held for trading Financial assets designated at fair value through profit or loss Available-for-sale financial assets Loans and receivables Held-to-maturity investments Derivatives - Hedge accounting, interest rate risk Other assets (Interest expenses) (Financial liabilities held for trading (Financial liabilities designated at fair value through profit or loss (Financial liabilities measured at amortised cost) (Debt securities issued) (Other Financial Liabilities) (Derivatives - Hedge accounting, interest rate risk) (Deposits) (Other liabilities) Islamic Contracts Profits Receivable (Profits Payable) Dividend income Net Fee and commission income Fee and commission income Asset/Fund Management Activities Advisory Services Brokerage Activities Trade Finance Arranging Other (Fee and commission expenses) Asset/Fund Management Activities Advisory Services Brokerage Activities Trade Finance Other Gains or (-) losses on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net Gains or (-) losses on financial assets and liabilities held for trading, net Gains or (-) losses on financial assets and liabilities designated at fair value through profit or loss, net Gains or (-) losses from hedge accounting, net Exchange differences [gain or (-) loss], net Gains or (-) losses on derecognition of investments in subsidiaries, joint ventures and associates, net Gains or (-) losses on derecognition of non financial assets other than held for sale, net Net Operating Income Amount

8 B30 - Profit and Loss Other operating income Intergroup Services Other (Other operating expenses) Intergroup Services Other (Administrative expenses) (Staff expenses) (Other administrative expenses) (Depreciation) (Provisions) or Reversal of Provisions (Commitments and guarantees given) (Loans and receivables) (Other provisions) (Impairment) or reversal of impairment on financial assets not measured at fair value through profit or loss (Impairment) or reversal of impairment of investments in subsidaries, joint ventures and associates) (Impairment)or reversal of impairment on non-financial assets (Negative goodwill recognised in profit or loss) Share of the profit or (-) loss of investments in subsidaries, joint ventures and associates PROFIT OR (-) LOSS BEFORE TAX FROM CONTINUING OPERATIONS (Tax expense or (-) income related to profit or loss from continuing operations) PROFIT OR (-) LOSS AFTER TAX FROM CONTINUING OPERATIONS Profit or (-) loss after tax from discontinued operations Profit or (-) loss before tax from discontinued operations (Tax expense or (-) income related to discontinued operations) PROFIT OR (-) LOSS FOR THE REPORTING PERIOD

9 B50 - EBCM Expenditure Based Capital Minimum Amount for the quarter Expenditure Item B500_ expenses of the AF in the normal course of business exc. exceptional items LESS: B500_ Staff bonuses B500_ Employees and directors shares in profits B500_ Other appropriations of profits B500_ Shared commissions payable which are directly related to commissions receivable B500_ Fees, brokerage and other chgs paid for executing, registering or clearing trans B500_ Foreign exchange losses B500_ Contributions to charities B500_ Expenses for which pre-payments/advances have been made (e.g pre-paid rent etc.) B500_ Exceptional Items B500_100T - expenditure B500_ Fraction applied B500_300T - Expenditure based capital minimum (based on Actual expenses) B500_ Expenditure based capital minimum (as notified to the firm) B500_ of liquid assets in accordance with PIB rule (a) cash in hand; (b) money deposited with a regulated bank or deposit-taker which has a short-term credit rating of A1 or P1 (or equivalent) and above from an ECAI; (c) demand deposits with a tenor of 1 year or less with a bank or deposit-taker in (b); (d) time deposits with a tenor of 1 year or less which have an option to redeem the deposit at any time. In such cases, the deposit amount eligible to be included as liquid assets must be calculated as net of any costs associated with such early redemption; (e) cash receivable from a regulated clearing house and cash deposits with such clearing houses, other than any fees or contributions to guarantee or reserve funds of such clearing houses; or (f) any other asset which may be approved by the DFSA as comprising a liquid asset for the purpose of this Rule. B500_ Liquid assets - EBCM (should be positive, only applicable to firms in Category 3B, 3C or 4)

10 B60A - CR - Overview Credit Counterparty Risk Capital Requirements Capital Requirement Credit Risk Capital Requirements Counterparty Risk Capital Requirements Capital Requirements for Securitisation Exposures Credit & Counterparty Risk Capital Requirement

11 B60A1 - CR -BS Exposures CATEGORY OF CREDIT RISK EXPOSURE ORIGINAL ON BALANCE SHEET EXPOSURE ORIGINAL OFF BALANCE SHEET EXPOSURE (PRE CONVERSION) ORIGINAL OFF BALANCE SHEET EXPOSURE (POST CONVERSION) (-) VALUE ADJUSTMENTS AND PROVISIONS ASSOCIATED WITH THE ORIGINAL EXPOSURE EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS GUARANTEES CREDIT DERIVATIVES FINANCIAL COLLATERAL: SIMPLIFIED METHOD CREDIT RISK CAPITAL REQUIREMENT - BALANCE SHEET EXPOSURES CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM OTHER FUNDED CREDIT PROTECTION (-) TOTAL OUTFLOWS (+) TOTAL INFLOWS ` Central governments or central banks Regional governments or local authorities Public sector entities Multilateral developments banks Banking institutions Corporates Small and Medium Size Entities (SME) Retail Residential mortgage Commercial real estate Hedge Funds Other CIFs or Investment vehicles Family Offices High Networth Individuals Others TOTAL NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT: FUNDED CREDIT PROTECTION. FINANCIAL COLLATERAL COMPREHENSIVE METHOD (-) FINANCIAL COLLATERAL VOLATILITY MATURITY FOREX ADJUSTMENT ADJUSTED COLLATERAL VALUE FULLY ADJUSTED EXPOSURE VALUE (E*) OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK RISK WEIGHTED EXPOSURE AMOUNT OF WHICH: Exposures that are unrated OF WHICH: Exposures that are unrated CREDIT RISK CAPITAL REQUIREMENT BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS CATEGORY OF CREDIT RISK EXPOSURE FULLY ADJUSTED EXPOSURE VALUE (E*) RISK WEIGHTS 0% 10% 20% 50% 100% 150% 225% 350% 650% 1000% 1250% RISK WEIGHTED EXPOSURE AMOUNT Central governments or central banks - - Regional governments or local authorities - - Public sector entities - - Multilateral developments banks - - Banking institutions - - Corporates - - Small and Medium Size Entities (SME) - - Retail - - Residential mortgage - - Commercial real estate - - Hedge Funds - - Other CIFs or Investment vehicles - - Family Offices - - High Networth Individuals - - Others - - TOTAL DESCRIPTION OF OFF BALANCE SHEET ITEMS ORIGINAL OFF BALANCE SHEET EXPOSURE (PRE CONVERSION) Direct credit substitutes Transaction -related contingent items CREDIT CONVERSION FOR OFF BALANCE SHEET EXPOSURES Short-term selfliquidating trade-related contingent items (applicable to both issuing and confirming banks) and commitments to underwrite debt and equity Securities Note issuance facilities and revolving Underwriting facilities Transactions, other than SFTs, involving the posting of Securities held by the Authorised Firm as Collateral Asset sales with recourse, where the Credit Risk remains with the Authorised Firm Other commitments with certain drawdown Other commitments Other commitments Other commitments with an Original Maturity of more than one year with an Original Maturity of one year or less CREDIT CONVERSION FACTOR 100% 50% 20% 50% 100% 100% 100% 50% 20% 0% which are unconditionally cancellable by the Authorised Firm without prior notice, or that effectively provide for automatic cancellation due to deterioration in an obligor s creditworthiness OFF BALANCE SHEET EXPOSURE (POST CONVERSION) Central governments or central banks - - Regional governments or local authorities - - Public sector entities - - Multilateral developments banks - - Banking institutions - - Corporates - - Small and Medium Size Entities (SME) - - Retail - - Residential mortgage - - Commercial real estate - - Hedge Funds - - Other CIFs or Investment vehicles - - Family Offices - - High Networth Individuals - - Others - - TOTAL

12 B60A2 - CR - CP Exposures DETAILS OF COUNTERPARTY RISK EXPOSURES Exposure Credit Risk Weight % Multiplier Risk Weighted Assets (RWA) Capital Requirement Unsettled Transactions, Free Deliveries and Other RWA B102_ Unsettled Transactions 0-4 Days Days Days Days or More Days Delivery Vs Payment B102_ Free Deliveries 0-15 Days Days Days or More Days Free Deliveries - - Other Counterparty Risk Exposures Other Counterparty Risk Exposures - - TOTAL - - Replacement Cost PFE Credit Equivalent Amount Credit Risk Weight % Risk Weighted Assets (RWA) Capital Requirement Details of Counterparty Risk Exposures OTC Derivative Contracts OTC Derivatives Market value of securities sold or lent/given and Market Value of Securities bought or borrowed Market value of collat'l taken/securities bought or borrowed and Market value of collat'l sold Exposure Credit Risk Weight % Risk Weighted Assets (RWA) Capital Requirement Details of Counterparty Risk Exposures Securities financing transactions (SFT) SFT Exposure Credit Risk Weight % Multiplier Risk Weighted Assets (RWA) Capital Requirement Details of Counterparty Risk Exposures Deferred Settlement Transactions Contractual settlement more than T Days Days or More Days Deferred Settlement Transactions - - Capital Requirement -

13 B60A3 - CR - Securitisation CREDIT RISK: SECURITISATIONS - STANDARDISED APPROACH TO CAPITAL REQUIREMENTS TOTAL AMOUNT OF SECURITISATI0N EXPOSURES ORIGINATED SYNTHETIC SECURITISATIONS: CREDIT PROTECTION TO THE SECURITISED EXPOSURES (-) FUNDED CREDIT PROTECTION (Cva) (-) TOTAL OUTFLOWS UNFUNDED CREDIT PROTECTION ADJUSTED VALUES (G*) NOTIONAL AMOUNT RETAINED OR REPURCHASED OF CREDIT PROTECTION SECURITISATION POSITIONS ORIGINAL EXPOSURE PRE CONVERSION FACTORS (-) VALUE ADJUSTMENTS AND PROVISIONS EXPOSURE NET OF VALUE ADJUSTMENTS AND PROVISIONS CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE UNFUNDED CREDIT PROTECTION: ADJUSTED VALUES (Ga) FUNDED CREDIT PROTECTION SUBSTITUTION OF THE EXPOSURE DUE TO CRM (-) TOTAL OUTFLOWS TOTAL INFLOWS NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS (-) CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE AMOUNT OF THE EXPOSURE: FUNDED CREDIT PROTECTION FINANCIAL COLLATERAL COMPREHENSIVE METHOD ADJUSTED VALUE (Cvam) FULLY ADJUSTED EXPOSURE VALUE (E*) BREAKDOWN OF THE FULLY ADJUSTED EXPOSURE VALUE (E*) OF OFF BALANCE SHEET ITEMS ACCORDING TO CONVERSION FACTORS 0% >0% and <=20% >20% and <=50% >50% and <=100% EXPOSURE VALUE (-) DEDUCTED FROM CAPITAL RESOURCES SUBJECT TO RISK WEIGHTS = TOTAL EXPOSURES 010 OF WHICH: RE-SECURITISATIONS 020 ORIGINATOR: TOTAL EXPOSURES 030 ON-BALANCE SHEET ITEMS 040 SECURITISATIONS 050 RE-SECURITISATIONS 060 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 070 SECURITISATIONS 080 RE-SECURITISATIONS 090 EARLY AMORTISATION 100 INVESTOR: TOTAL EXPOSURES 110 ON-BALANCE SHEET ITEMS 120 SECURITISATIONS 130 RE-SECURITISATIONS 140 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 150 SECURITISATIONS 160 RE-SECURITISATIONS 170 SPONSOR: TOTAL EXPOSURES 180 ON-BALANCE SHEET ITEMS 190 SECURITISATIONS 200 RE-SECURITISATIONS 210 OFF-BALANCE SHEET ITEMS AND DERIVATIVES 220 SECURITISATIONS 230 RE-SECURITISATIONS 240 BREAKDOWN OF OUTSTANDING POSITIONS ACCORDING TO CQG AT INCEPTION: CQG CQG CQG CQG ALL OTHER CQG AND UNRATED 290

14 B60A3 - CR - Securitisation RATED (CREDIT QUALITY GRADE) BREAKDOWN OF THE EXPOSURE VALUE SUBJECT TO RISK WEIGHTS CQG 1 CQG 2 CQG 3 CQG 4 ALL OTHER CQS UNRATED RISK-WEIGHTED EXPOSURE AMOUNT OVERALL EFFECT ADJUSTMENT TO THE RISK- (ADJUSTMENT) DUE TO WEIGHTED EXPOSURE TOTAL RISK-WEIGHTED 1000% LOOK-THROUGH Capital Requirement INFRINGEMENT OF THE DUE AMOUNT DUE TO MATURITY EXPOSURE AMOUNT DILIGENCE PROVISIONS MISMATCHES OF WHICH: SECOND LOSS IN ABCP OF WHICH: AVERAGE RISK WEIGHT (%) OF WHICH: SYNTHETIC SECURITISATIONS

15 B60B - MR - Overview Market Risk Capital Requirements Capital Requirement Interest Rate Risk Capital Requirment Equity Risk Capital Requirement Foreign Exchange Risk Capital Requirement Commodities Risk Capital Requirement Option Risk Capital Requirement Securities Underwriting Capital Requirement Collective Investment Fund Risk Capital Requirement Market Risk Capital Requirements - Internal Models Sum of Market Risk Capital Components Memo Item: NOTIONAL RISK WEIGHTED ASSETS IN THE TRADING BOOK

16 B60B1 - MR - Interest Rate MARKET RISK: INTEREST RATE RISK CAPITAL REQUIREMENT 010 TRADED DEBT INSTRUMENTS IN TRADING BOOK 011 General risk 012 Simplified Framework 013 Zone A month 0.00% 015 > 1 3 months 0.20% 016 > 3 6 months 0.40% 017 > 6 12 months 0.70% 018 Zone B 019 > 1 2 (1,9 for cupon of less than 3%) years 1.25% 020 > 2 3 (> 1,9 2,8 for cupon of less than 3%) years 1.75% 021 > 3 4 (> 2,8 3,6 for cupon of less than 3%) years 2.25% 022 Zone C 023 > 4 5 (> 3,6 4,3 for cupon of less than 3%) years 2.75% 024 > 5 7 (> 4,3 5,7 for cupon of less than 3%) years 3.25% 025 > 7 10 (> 5,7 7,3 for cupon of less than 3%) years 3.75% 026 > (> 7,3 9,3 for cupon of less than 3%) years 4.50% 027 > (> 9,3 10,6 for cupon of less than 3%) years 5.25% 028 > 20 (> 10,6 12,0 for cupon of less than 3%) years 6.00% 029 (> 12,0 20,0 for cupon of less than 3%) years 8.00% 030 (> 20 for cupon of less than 3%) years 12.50% 031 Maturity-based approach 032 Zone A month 0.00% 034 > 1 3 months 0.20% 035 > 3 6 months 0.40% 036 > 6 12 months 0.70% 037 Zone B 038 > 1 2 (1,9 for cupon of less than 3%) years 1.25% 039 > 2 3 (> 1,9 2,8 for cupon of less than 3%) years 1.75% 040 > 3 4 (> 2,8 3,6 for cupon of less than 3%) years 2.25% 041 Zone C To be completed on an aggregate basis for all currencies POSITIONS GROSS POSITIONS NET POSITIONS POSITIONS SUBJECT LONG SHORT LONG SHORT TO CAPITAL CHARGE 042 > 4 5 (> 3,6 4,3 for cupon of less than 3%) years 2.75% 043 > 5 7 (> 4,3 5,7 for cupon of less than 3%) years 3.25% 044 > 7 10 (> 5,7 7,3 for cupon of less than 3%) years 3.75% 045 > (> 7,3 9,3 for cupon of less than 3%) years 4.50% 046 > (> 9,3 10,6 for cupon of less than 3%) years 5.25% 047 > 20 (> 10,6 12,0 for cupon of less than 3%) years 6.00% 048 (> 12,0 20,0 for cupon of less than 3%) years 8.00% 049 (> 20 for cupon of less than 3%) years 12.00% RISK CAPITAL CHARGE CAPITAL REQUIREMENTS Duration-based approach 051 Zone A month 053 > 1 3 months 054 > 3 6 months 055 > 6 12 months 056 Zone B 057 > 1 2 years 058 > 2 3 years 059 > 3 4 years 060 Zone C 061 > 4 5 years 062 > 5 7 years 063 > 7 10 years 064 > years 065 > years 066 > 20 years 067 Specific risk 068 Capital requirement for non-securitised debt instruments 069 Sovereign Debt with CQG 1 - refer Table in PIB A (3) 0.00% 070 Sovereign Debt with CQG 2 or 3 - refer Table in PIB A (3) 071 With residual term 6 months 0.25% 072 With a residual term > 6 months and 24 months 1.00% 073 With a residual term > 24 months 1.60% 074 Sovereign Debt with CQG 4 or 5 or unrated - refer Table in PIB A (3) 8.00% 075 Sovereign Debt with CQG 6 - refer Table in PIB A (3) 12.00% 076 Qualifying Debt - refer Table in PIB A (3) 077 With residual term 6 months 0.25% 078 With a residual term > 6 months and 24 months 1.00% 079 With a residual term > 24 months 1.60% 080 Other debt category with CQG 4 or unrated - refer Table in PIB A (3) 8.00% 081 Other debt category with CQG 5 or 6 - refer Table in PIB A (3) 12.00% 082 Interest Rate Risk Capital Charge

17 B60B2 - MR - Maturity Approach Calculation Sheet - Associated with form B10A3 - Market Risk_1 Interest Rates - General Market Risk Maturity-based approach Maturity band LONG NET POSITIONS SHORT (value in negative) Risk Percentage Weighted Individual Net Position By Maturity Band By Zone Between Zone Long Short Matched Unmatched Matched Unmatched Matched Unmatched Zone A Zone B 0 1 month % > 1 3 months % > 3 6 months % > 6 12 months % > 1 2 (1,9 for cupon of less than 3%) years % > 2 3 (> 1,9 2,8 for cupon of less than 3%) years % > 3 4 (> 2,8 3,6 for cupon of less than 3%) years % Zone A & B Zone B & C Zone C > 4 5 (> 3,6 4,3 for cupon of less than 3%) years % > 5 7 (> 4,3 5,7 for cupon of less than 3%) years % > 7 10 (> 5,7 7,3 for cupon of less than 3%) years % > (> 7,3 9,3 for cupon of less than 3%) years % > (> 9,3 10,6 for cupon of less than 3%) years % > 20 (> 10,6 12,0 for cupon of less than 3%) years % (> 12,0 20,0 for cupon of less than 3%) years % (> 20 for cupon of less than 3%) years % Zone A & C Capital Requirement

18 B60B3 - MR - Duration Approach Calculation Sheet - Associated with form B10A3 Interest Rates - General Market Risk Duration-based approach Modified Duration NET POSITIONS LONG SHORT (value in negative) Assumed move in interest rates (% p.a.) Modified Duration (years) Weighted Individual Net Position By Time Band By Zone Between Zone Long Short Matched Unmatched Matched Unmatched Matched Unmatch ed Zone A 0 1 month % > 1 3 months % > 3 6 months % > 6 12 months % Zone A & B Zone B > years % > years % > years % Zone B & C Zone C > years % > years % > years % > years % > years % > years % > years % > 20 years % Zone A & C Capital Requirement

19 B60B4 - MR - Equity MARKET RISK: EQUITY RISK CAPITAL REQUIREMENT 010 EQUITIES IN TRADING BOOK 020 Standard Method Specific risk 8% 022 General risk 8% 030 Simplified method 040 Single equitities 16% 050 Broad-based indicies (refer PIB rule A5.3.31) 8% 080 All other indicies (refer PIB rule A5.3.31) 16% 130 TOTAL POSITIONS ALL POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE LONG SHORT LONG SHORT RISK CAPITAL CHARGE (%) CAPITAL REQUIREMENTS

20 B60B5 - MR - Currency MARKET RISK: FOREIGN EXCHANGE RISK CAPITAL REQUIREMENT INDIVIDUAL CURRENCY POSITIONS Currency A Currency B Currency C Currency D Currency E Currency F Currency G Currency H TOTAL ALL POSITIONS NET POSITIONS LONG SHORT LONG SHORT Net Position in Currencies LONG NET POSITIONS SHORT POSITIONS SUBJECT TO CAPITAL CHARGE Max Absolute Position Sum of Net Long/Short Positions 8% 040 Gold 8% 050 TOTAL 0 RISK CAPITAL CHARGE (%) Largest Open Position CAPITAL REQUIREMENTS Copy of PIB Forms-Master-Final v2 B60B5 - MR - Currency 15/12/2013

21 B60B6 - MR - Optns, Cmdts MARKET RISK: COMMODITIES RISK CAPITAL REQUIREMENT 020 Maturity ladder approach 030 Simplified approach: LONG SHORT LONG SHORT General Market Risk Specific Market Risk 0.15 Commodity A Commodity B Commodity C Commodity D Commodity E Commodity F GROSS POSITIONS NET POSITIONS POSITIONS SUBJECT TO CAPITAL CHARGE RISK CAPITAL CHARGE (%) CAPITAL REQUIREMENTS MARKET RISK: OPTION RISK CAPITAL REQUIREMENT 010 Simplified approach: General Market Risk Specific Market Risk Option strike in the money Option Specific Risk: LONG SHORT LONG SHORT Currency Option 3% Commodity Option 15% 020 Delta-plus method Equity Risk Interest Rate Risk Foreign Exchange Risk Commodities Risk Collective Investment Fund Risk ALL POSITIONS NET POSITIONS Amount POSITIONS SUBJECT TO CAPITAL CHARGE RISK CAPITAL CHARGE (%) CAPITAL REQUIREMENTS Copy of PIB Forms-Master-Final v2 B60B6 - MR - Optns, Cmdts 15/12/2013

22 B60B7 - MR - VaR MARKET RISK INTERNAL MODELS Interest rate risk 010 Equities 010 Foreign exchange 010 Commodities 010 Options 010 TOTAL 010 GROSS POSITIONS NET POSITIONS LONG SHORT LONG SHORT MULTIPLICATION FACTOR (m c ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (VaR avg ) VaR PREVIOUS DAY (VaR t-1 ) MULTIPLICATION FACTOR (m s ) x AVERAGE OF PREVIOUS 60 WORKING DAYS (SVaR avg ) STRESSED VaR LATEST AVAILABLE (SVaR t- 1) CAPITAL REQUIREMENTS Number of overshootings during previous 250 working days VaR Multiplication Factor (m c ) SVaR Multiplication Factor (m s ) Copy of PIB Forms-Master-Final v2 B60B7 - MR - VaR 15/12/2013

23 B60C - OR OPERATIONAL RISK CAPITAL REQUIREMENT 010 ACTIVITIES SUBJECT TO BASIC INDICATOR APPROACH (BIA) 15% 020 ACTIVITIES SUBJECT TO STANDARDISED (SA) / ALTERNATIVE STANDARDISED (ASA) APPROACHES SUBJECT TO SA: 030 CORPORATE FINANCE (CF) 18% 040 TRADING AND SALES (TS) 18% 050 RETAIL BROKERAGE (RBr) 12% 060 COMMERCIAL BANKING (CB) 15% 070 RETAIL BANKING (RB) 12% 080 PAYMENT AND SETTLEMENT (PS) 18% 090 AGENCY SERVICES (AS) 15% 100 ASSET MANAGEMENT (AM) 12% SUBJECT TO ASA: ACTIVITIES REVENUES 110 COMMERCIAL BANKING (CB) 15% 120 RETAIL BANKING (RB) 12% LOANS AND ADVANCES (IN CASE OF ASA APPLICATION) YEAR-3 YEAR-2 LAST YEAR Beta YEAR-3 YEAR-2 LAST YEAR Beta CAPITAL REQUIREMENT

24 B60 - Capital Resources Code Item Amount 020 COMMON EQUITY TIER 1 CAPITAL 030 Capital instruments eligible as CET1 Capital 040 Paid up capital instruments 050 (-) Capital instruments not eligible 060 Share premium 070 (-) Own CET1 instruments 080 (-) Direct holdings of CET1 instruments 090 (-) Indirect holdings of CET1 instruments 100 (-) Underlying exposure to own CET1 instruments included in the trading book in the form of index securities 110 (-) CET1 instruments which the group could be contractually obliged to purchase Retained earnings (-) Holdings of CET1 instruments by undertakings in which the institution has participation of 20% or more 140 Previous years retained earnings 150 Profit or loss eligible 160 Profit or loss attributable to owners of the parent 170 (-) Part of interim or year-end profit not eligible 180 Accumulated other comprehensive income 190 Of which: Unrealised gains and losses measured at fair value 200 Other reserves 230 Minority interest given recognition in CET1 capital 250 Adjustments to CET1 260 (-) Increases in equity resulting from securitised assets 270 Cash flow hedge reserve 280 Cumulative gains and losses due to changes in own credit risk on fair valued liabilities 290 (-) Value adjustments due to the requirements for prudent valuation 300 (-) Goodwill 310 (-) Goodwill accounted for as intangible asset 320 (-) Goodwill included in the valuation of significant investments 330 Deferred tax liabilities associated to goodwill 340 (-) Other intangible assets 350 (-) Other intangible assets gross amount 360 Deferred tax liabilities associated to other intangible assets 370 (-) Deferred tax assets that rely on future profitability and do not arise from temporary differences net of associated tax liabilities 390 (-)Defined benefit pension fund assets 400 (-)Defined benefit pension fund assets gross amount 410 Deferred tax liabilities associated to defined benefit pension fund assets 420 Defined benefit pension fund assets which the institution has an unrestricted ability to use 430 (-) Reciprocal cross holdings in CET1 Capital 440 (-) Excess of deduction from AT1 items over AT1 Capital 450 (-) Qualifying holdings outside the financial sector 460 (-) Securitisation positions which can alternatively be subject to a 1250% risk weight 470 (-) Free deliveries (-) CET1 instruments of relevant entites where the institution does not have a significant investment (-) Deductible deferred tax assets that rely on future profitability and arise from temporary differences 500 (-) CET1 instruments of relevant entities where the institution has a significant investment 510 (-) Amount exceeding the 15% threshold 520 Available CET1 Capital Resources 530 ADDITIONAL TIER 1 CAPITAL 540 Capital instruments eligible as AT1 Capital 550 Paid up capital instruments Capital Resources

25 B60 - Capital Resources 560 (-) Capital instruments not eligible 570 Share premium 580 (-) Own AT1 instruments 590 (-) Direct holdings of AT1 instruments 600 (-) Direct holdings of own AT1 instruments that are shares 610 (-) Direct holdings of own AT1 instruments that are not shares 620 (-) Indirect holdings of AT1 instruments 630 (-) Underlying exposure to own AT1 instruments included in indirect holdings in the trading book in the form of holdings of index securities 640 (-) AT1 instruments which the group could be contractually obliged to purchase 650 (-) Holdings of AT1 instruments by undertakings in which the institution has participation of 20% or more 670 Instruments issued by subsidiaries that are given recognition in AT1 Capital 690 (-) Reciprocal cross holdings in AT1 Capital 700 (-) AT1 instruments of relevant entities where the institution does not have a significant investment 710 (-) AT1 instruments of relevant entities where the institution has a significant investment 720 (-) Excess of deduction from T2 items over T2 Capital 740 Excess of deduction from AT1 items over AT1 Capital (deducted in CET1) 745 Available Additional Tier 1 Capital Resources 750 TIER 2 CAPITAL 760 Capital instruments eligible as T2 Capital 770 Paid up capital instruments 780 (-) Capital instruments not eligible 790 Share premium 800 (-) Own T2 instruments 810 (-) Direct holdings of T2 instruments 820 (-) Direct holdings of own T2 instruments that are shares 830 (-) Direct holdings of own T2 instruments that are not shares 840 (-) Indirect holdings of T2 instruments 850 (-) Underlying exposure to own T2 instruments included in indirect holdings in the trading book in the form of holdings of index securities 860 (-) T2 instruments which the group could be contractually obliged to purchase 870 (-) Holdings of T2 instruments by undertakings in which the institution has participation of 20% or more 890 Instruments issued by subsidiaries that are given recognition in T2 Capital 930 (-) Reciprocal cross holdings in T2 Capital 940 (-) T2 instruments of relevant entities where the institution does not have a significant investment 950 (-) T2 instruments of relevant entities where the institution has a significant investment 970 Excess of deduction from T2 items over T2 Capital (deducted in AT1) 980 Available Tier 2 Capital Resources 1000 Capital Resources Base Capital Requirement 1100 Risk Based Capital Requirement (RBC) 1200 Credit and Counterparty Risk Capital Requirement 1300 Displaced Commercial Risk 1400 Market Risk Capital Requirement 1500 Operational Risk Capital Requirement 1600 Risk Based Capital Requirements 1800 Capital Requirement - highest of BCR, EBCM or RBC 1900 Capital Conservation Buffer (CCB) - 25% of Capital Requirement 2100 Add - Individual Capital Requirement (ICR) 2300 Capital Requirement Resources Less Requirement (must be positive)

26 FORM B70: Large Exposures (Domestic) Part I - Exposure Limits 10% of the Authorised Firms capital resources 25% of the Authorised Firms capital resources 50% of the Authorised Firms capital resources 100% of the Authorised Firms capital resources 800% of the Authorised Firms capital resources Parental Guarantees (% of Authorised Capital) Sum of Connected Counterparty Exposures (max 50 % of Authorised Capital) Part II - Exposures Linked Form FORM B70: Large Exposures Counterparty Exposure (Gross) % of Capital Resources prior to applying exemptions and deductions Amount of Exempt Exposure and Deductions (per PIB) Amount of non-exempt exposure (C-G) % of Capital Resources post applying exemptions and deductions Twenty Largest Direct Exposures Counterparty (principal counterparty for a group of closely related institutions) B700_ Large Exposure 1 - #DIV/0! - - #DIV/0! B700_ Large Exposure 2 - #DIV/0! - - #DIV/0! B700_ Large Exposure 3 - #DIV/0! - - #DIV/0! B700_ Large Exposure 4 - #DIV/0! - - #DIV/0! B700_ Large Exposure 5 - #DIV/0! - - #DIV/0! B700_ Large Exposure 6 - #DIV/0! - - #DIV/0! B700_ Large Exposure 7 - #DIV/0! - - #DIV/0! B700_ Large Exposure 8 - #DIV/0! - - #DIV/0! B700_ Large Exposure 9 - #DIV/0! - - #DIV/0! B700_ Large Exposure 10 - #DIV/0! - - #DIV/0! B700_ Large Exposure 11 - #DIV/0! - - #DIV/0! B700_ Large Exposure 12 - #DIV/0! - - #DIV/0! B700_ Large Exposure 13 - #DIV/0! - - #DIV/0! B700_ Large Exposure 14 - #DIV/0! - - #DIV/0! B700_ Large Exposure 15 - #DIV/0! - - #DIV/0! B700_ Large Exposure 16 - #DIV/0! - - #DIV/0! B700_ Large Exposure 17 - #DIV/0! - - #DIV/0! B700_ Large Exposure 18 - #DIV/0! - - #DIV/0! B700_ Large Exposure 19 - #DIV/0! - - #DIV/0! B700_ Large Exposure 20 - #DIV/0! - - #DIV/0! Linked Form - 1 Counterparty Related/ unrelated/unconnected/grou p Sector Country Equity Debt Instrument Derivative Commitments and Guarantees Loans and Receivables Other Exposure (sum of all columns) Direct Exposure Large Exposure 1 - In-Direct Exposure Direct Exposure Large Exposure 2 - In-Direct Exposure Direct Exposure Large Exposure 3 - In-Direct Exposure Direct Exposure Large Exposure 4 - In-Direct Exposure Direct Exposure Large Exposure 5 - In-Direct Exposure Direct Exposure Large Exposure 6 - In-Direct Exposure Direct Exposure Large Exposure 7 - In-Direct Exposure Direct Exposure Large Exposure 8 - In-Direct Exposure Direct Exposure Large Exposure 9 - In-Direct Exposure Direct Exposure Large Exposure 10 - In-Direct Exposure Direct Exposure Large Exposure 11 - In-Direct Exposure Direct Exposure Large Exposure 12 - In-Direct Exposure Direct Exposure Large Exposure 13 - In-Direct Exposure Direct Exposure Large Exposure 14 - In-Direct Exposure Direct Exposure Large Exposure 15 - In-Direct Exposure Direct Exposure Large Exposure 16 - In-Direct Exposure Direct Exposure Large Exposure 17 - In-Direct Exposure Direct Exposure Large Exposure 18 - In-Direct Exposure Direct Exposure Large Exposure 19 - In-Direct Exposure Direct Exposure Large Exposure 20 - In-Direct Exposure Linked Form - 2 Parental Guarantee (Aggregate limit to 800% of Capial Resources) Institutional Exemption (Limited to lower of USD 100M or 75% of Capital Resources) Connected Counterparty Exemption (Max Limited to 25% of capital resources) Credit Risk Mitigation - Simplified Approach (Substitution Effect) Other Exempt Exposures Equity Debt Derivative Commitments and Guarantees Credit Risk Mitigation - Comprehensive Approach Financial Collateral Provisions and Capital deductions Large Exposure 1 - Large Exposure 2 - Large Exposure 3 - Large Exposure 4 - Large Exposure 5 - Large Exposure 6 - Large Exposure 7 - Large Exposure 8 - Large Exposure 9 - Large Exposure 10 - Large Exposure 11 - Large Exposure 12 - Large Exposure 13 - Large Exposure 14 - Large Exposure 15 - Large Exposure 16 - Large Exposure 17 - Large Exposure 18 - Large Exposure 19 - Large Exposure 20 -

27 FORM B70: Large Exposures (Branch) Part I - Exposure Limits 10% of the Authorised Firms capital resources 25% of the Authorised Firms capital resources 50% of the Authorised Firms capital resources 100% of the Authorised Firms capital resources 800% of the Authorised Firms capital resources Parental Guarantees (% of Authorised Capital) #DIV/0! Sum of Connected Counterparty Exposures (max 50 % of Authorised Capital) Part II - Exposures Linked Form FORM B70: Large Exposures Counterparty Exposure (Gross) % of Capital Resources prior to applying exemptions and deductions Amount of Exempt Exposure and Deductions (per PIB) Amount of non-exempt exposure (C-G) % of Capital Resources post applying exemptions and deductions Twenty Largest Direct Exposures Counterparty (principal counterparty for a group of closely related institutions) B700_ Large Exposure 1 - #DIV/0! - - #DIV/0! B700_ Large Exposure 2 - #DIV/0! - - #DIV/0! B700_ Large Exposure 3 - #DIV/0! - - #DIV/0! B700_ Large Exposure 4 - #DIV/0! - - #DIV/0! B700_ Large Exposure 5 - #DIV/0! - - #DIV/0! B700_ Large Exposure 6 - #DIV/0! - - #DIV/0! B700_ Large Exposure 7 - #DIV/0! - - #DIV/0! B700_ Large Exposure 8 - #DIV/0! - - #DIV/0! B700_ Large Exposure 9 - #DIV/0! - - #DIV/0! B700_ Large Exposure 10 - #DIV/0! - - #DIV/0! B700_ Large Exposure 11 - #DIV/0! - - #DIV/0! B700_ Large Exposure 12 - #DIV/0! - - #DIV/0! B700_ Large Exposure 13 - #DIV/0! - - #DIV/0! B700_ Large Exposure 14 - #DIV/0! - - #DIV/0! B700_ Large Exposure 15 - #DIV/0! - - #DIV/0! B700_ Large Exposure 16 - #DIV/0! - - #DIV/0! B700_ Large Exposure 17 - #DIV/0! - - #DIV/0! B700_ Large Exposure 18 - #DIV/0! - - #DIV/0! B700_ Large Exposure 19 - #DIV/0! - - #DIV/0! B700_ Large Exposure 20 - #DIV/0! - - #DIV/0! Linked Form - 1 Counterparty Related/ unrelated/unconnected/grou p Sector Country Equity Debt Instrument Derivative Commitments and Guarantees Loans and Receivables Other Exposure (sum of all columns) Direct Exposure Large Exposure 1 - In-Direct Exposure Direct Exposure Large Exposure 2 - In-Direct Exposure Direct Exposure Large Exposure 3 - In-Direct Exposure Direct Exposure Large Exposure 4 - In-Direct Exposure Direct Exposure Large Exposure 5 - In-Direct Exposure Direct Exposure Large Exposure 6 - In-Direct Exposure Direct Exposure Large Exposure 7 - In-Direct Exposure Direct Exposure Large Exposure 8 - In-Direct Exposure Direct Exposure Large Exposure 9 - In-Direct Exposure Direct Exposure Large Exposure 10 - In-Direct Exposure Direct Exposure Large Exposure 11 - In-Direct Exposure Large Exposure 12 Direct Exposure In-Direct Exposure Direct Exposure Large Exposure 13 - In-Direct Exposure Direct Exposure Large Exposure 14 - In-Direct Exposure Direct Exposure Large Exposure 15 - In-Direct Exposure Direct Exposure Large Exposure 16 - In-Direct Exposure Direct Exposure Large Exposure 17 - In-Direct Exposure Direct Exposure Large Exposure 18 - In-Direct Exposure Direct Exposure Large Exposure 19 - In-Direct Exposure Direct Exposure Large Exposure 20 - In-Direct Exposure - Linked Form - 2 Parental Guarantee (Aggregate limit to 800% of Capial Resources) Institutional Exemption (Limited to lower of USD 100M or 75% of Capital Resources) Connected Counterparty Exemption (Max Limited to 25% of capital resources) Credit Risk Mitigation - Simplified Approach (Substitution Effect) Other Exempt Exposures Equity Debt Derivative Commitments and Guarantees Credit Risk Mitigation - Comprehensive Approach Financial Collateral Provisions and Capital deductions Large Exposure 1 - Large Exposure 2 - Large Exposure 3 - Large Exposure 4 - Large Exposure 5 - Large Exposure 6 - Large Exposure 7 - Large Exposure 8 - Large Exposure 9 - Large Exposure 10 - Large Exposure 11 - Large Exposure 12 - Large Exposure 13 - Large Exposure 14 - Large Exposure 15 - Large Exposure 16 - Large Exposure 17 - Large Exposure 18 - Large Exposure 19 - Large Exposure 20 -

28 B80 - Liquidity (Domestic) Maturity Mismatch Liquidity Schedule - Maturity Mismatch Mark to market Discount currency Discount mark to market Overdue Demand (incl. next day) 8 days & under (excl. next day) Over 8 days to 1 month Over 1 month to 3 months Over 3 months to 6 months from cash basis Over 6 mn to 1 yr Over 1 yr to 3 yrs Over 3 yrs to 5 yrs maturity basis High Liquid / Marketable Assets Cash Cen gov't sec (CQG 1,2 or 3) - 1 yr or less Cen gov't sec (CQG 1,2 or 3) yrs Cen gov't sec (CQG 1,2 or 3) - over 5 yrs Non gov't sec (CQG 1,2 or 3) - 6 mths or less Non gov't sec (CQG 1,2 or 3) - 6 mths - 5 yrs Non gov't sec (CQG 1,2 or 3) - over 5 yrs Other cen gov't debt (active) Expos cen gov't cb (active) Issuer cen gov't cb (active)(expos not to issuer) Non gov't expos (CQG 1,2 or 3) (active) Inflow on Cashflow Basis Non-marketable securities Inter-bank Intergroup / related Corporate Govt / public sector - (CQG 1,2 or 3) Govt / public sector - (CQG 4 or above) Repos / reverse repos Forward sales and purchases Swaps & FRAs Commodities Trade related letters of credit Fees (incl Mudarib) Other funding sources Wholesale Inflows Outflow on Cashflow Basis Non-marketable securities Inter-bank Intergroup / related Corporate Govt / public sector - (CQG 1,2 or 3) Govt / public sector - (CQG 4 or above) Repos / reverse repos Forward foreign exchange Forward sales and purchases Swaps & FRAs Commodities Trade related letters of credit Dividends Ijarah assets purchases Other outflows Other Off-Balance Sheet Wholesale Outflows Liquidity Schedule - Maturity Mismatch B800_ discounted marketable assets B800_ standard inflows B800_ standard outflows B800_ relevant deposits Conventional Business Unrestricted PSIA Business S - 8 Days S - 1 Month S - 8 Days S - 1 Month B800_ Mismatch as a % of total deposits

29 B80 - Liquidity (Branch) Maturity Mismatch Liquidity Schedule - Maturity Mismatch Mark to market Discount currency Discount mark to market Overdue Demand (incl. next day) 8 days & under (excl. next day) Over 8 days to 1 month Over 1 month to 3 months Over 3 months to 6 months from cash basis Over 6 mn to 1 yr Over 1 yr to 3 yrs Over 3 yrs to 5 yrs maturity basis High Liquid / Marketable Assets Cash Cen gov't sec (CQG 1,2 or 3) - 1 yr or less Cen gov't sec (CQG 1,2 or 3) yrs Cen gov't sec (CQG 1,2 or 3) - over 5 yrs Non gov't sec (CQG 1,2 or 3) - 6 mths or less Non gov't sec (CQG 1,2 or 3) - 6 mths - 5 yrs Non gov't sec (CQG 1,2 or 3) - over 5 yrs Other cen gov't debt (active) Expos cen gov't cb (active) Issuer cen gov't cb (active)(expos not to issuer) Non gov't expos (CQG 1,2 or 3) (active) Inflow on Cashflow Basis Non-marketable securities Inter-bank Intergroup / related Corporate Govt / public sector - (CQG 1,2 or 3) Govt / public sector - (CQG 4 or above) Repos / reverse repos Forward Foreign Exchange Forward sales and purchases Swaps & FRAs Commodities Trade related letters of credit Fees (incl Mudarib) Other funding sources Inflow on Cashflow Basis Outflow on Cashflow Basis Non-marketable securities Inter-bank Intergroup / related Corporate Govt / public sector - (CQG 1,2 or 3) Govt / public sector - (CQG 4 or above) Repos / reverse repos Forward foreign exchange Forward sales and purchases Swaps & FRAs Commodities Trade related letters of credit Dividends Ijarah assets purchases Other outflows Other Off-Balance Sheet Outflow on Cashflow Basis Liquidity Schedule - Maturity Mismatch B800_ discounted marketable assets B800_ standard inflows B800_ standard outflows B800_ relevant deposits Conventional Business Unrestricted PSIA Business S - 8 Days S - 1 Month S - 8 Days S - 1 Month B800_ Mismatch as a % of total deposits

30 B120 - IRR NTB Interest Rate Risk Schedule - Gap Analysis Assets Up to 1 month Over 1 month to 3 months Over 3 months to 6 months Over 6 months to 12 months Over 1 year to 2 years Rate Sensitive Over 2 years to 3 years Over 3 years to 4 years Over 4 years to 5 years Over 5 years to 7 years Over 7 years to 10 years Over 10 years Non Rate Sensitive Assets held in the Trading Book Derivatives Equity instruments Debt securities Loans and advances Islamic Contracts Assets held in the Non-Trading Book Assets in the Trading Book Cash and cash balances at Banks Cash on hand Other demand deposits Financial assets designated at fair value through profit or loss Equity instruments Debt securities Loans and advances Islamic Contracts Available-for-sale financial assets Equity instruments Debt securities Loans and advances Islamic Contracts Loans and receivables Debt securities Loans and advances Islamic Contracts Held-to-maturity investments Debt securities Loans and advances Islamic Contracts Derivatives Hedge accounting Fair value changes of the hedged items in portfolio hedge of interest rate risk Investments in subsidaries, joint ventures and associates Tangible assets Property, Plant and Equipment Investment property Prepayments and Security Deposits Intangible assets Goodwill Other intangible assets Tax assets Other assets Non-current assets and disposal groups classified as held for sale Assets in the Non-Trading Book Assets Liabilities Liabilities held in the Trading Book Derivatives Short positions Debt securities issued Other financial liabilities Liabilities held in the Non-Trading Book Liabilities in the Trading Book Financial liabilities designated at fair value through profit or loss Debt securities issued Other financial liabilities Financial liabilities measured at amortised cost Debt securities issued Other financial liabilities Deposits Banks and Financial Institutions Others Derivatives Hedge accounting Fair value changes of the hedged items in portfolio hedge of interest rate risk Provisions Pensions and other post employment defined benefit obligations Other long term employee benefits Restructuring Pending legal issues and tax litigation Commitments and guarantees given Other provisions Current Liabilities Creditors Other Payables and Liabilties Tax liabilities Other liabilities Liabilities included in disposal groups classified as held for sale Liabilities in the Non-Trading Book Liabilities Assets/Liabilities Gap Off Balance Sheet Exposures Direct credit substitutes Transaction-related contingent items Short-term self-liquidating trade-related contingent items (applicable to both issuing and confirming banks) and commitments to underwrite debt and equity Securities Note issuance facilities and revolving Underwriting facilities Transactions, other than SFTs, involving the posting of Securities held by the Authorised Firm as Collateral Asset sales with recourse, where the Credit Risk remains with the Authorised Firm Other commitments with certain drawdown Other commitments Off-Balance Sheet Exposures Interest Rate Gap Cumulative Gap Earnings At Risk (200 bp interest rate shock)