Investor Presentaiton

MORGAN STANLEY BANK ASIA LIMITED UNAUDITED SUPPLEMENTARY FINANCIAL INFORMATION Year ended 31 December 2020 H. PILLAR 3 DISCLOSURE (CONTINUED) Template CCR2: CVA capital charge As at 31 December 2020 Netting sets for which CVA capital charge is calculated by the advanced CVA method Exposure at default ("EAD") post CRM US$'000 RWA US$'000 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 standardised CVA method 4 Total 3,130 3,130 711 711 101

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