Investor Presentaiton

MORGAN STANLEY BANK ASIA LIMITED UNAUDITED SUPPLEMENTARY FINANCIAL INFORMATION Year ended 31 December 2020 H. PILLAR 3 DISCLOSURE (CONTINUED) Template LR2: Leverage Ratio As at 31 December 2020 As at 30 September 2020 USD'000 USD'000 On-balance sheet exposures 1 On-balance sheet exposures (excluding those arising from derivative contracts and SFTs, but including collateral) 7,409,251 6,680,477 2 Less: Asset amounts deducted in determining Tier 1 capital (25,016) (21,658) 3 Total on-balance sheet exposures (excluding derivative contracts and SFTs) Exposures arising from derivative contracts 7,384,235 6,658,819 4 Replacement cost associated with all derivative contracts (where applicable net of eligible cash variation margin and/or with bilateral netting) 5 Add-on amounts for potential future exposure ("PFE") associated with all derivative 3,130 4,085 contracts 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 8 Less: Exempted Central Counterparty ("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 3,130 4,085 Exposures arising from SFTs 12 Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions 582,265 13 Less: Netted amounts of cash payables and cash receivables of gross SFT assets 14 Counterparty Credit Risk ("CCR") exposure for SFT assets 4,136 15 Agent transaction exposures 16 Total exposures arising from SFTs Other off-balance sheet exposures 586,401 17 Off-balance sheet exposure at gross notional amount 18 Less: Adjustments for conversion to credit equivalent amounts 19 Off-balance sheet items Capital and total exposures 20 Tier 1 capital 999,061 20a Total exposures before adjustments for specific and collective provisions 20b Adjustments for specific and collective provisions 7,973,766 (37) 975,975 6,662,904 (9) 21 Total exposures after adjustments for specific and collective provisions Leverage ratio 7,973,729 6,662,895 22 Leverage ratio 13% 15% 888

View entire presentation