MORGAN STANLEY HONG KONG SECURITIES LIMITED

MORGAN STANLEY BANK ASIA LIMITED(FORMERLY KNOWN AS “MORGAN STANLEY ASIA INTERNATIONALLIMITED”)Unaudited Quarterly Financial Disclosure StatementAs at 30 September 2019

MORGAN STANLEY BANK ASIA LIMITED(FORMERLY KNOWN AS “MORGAN STANLEY ASIA INTERNATIONALLIMITED”)UNAUDITED QUARTERLY FINANCIAL DISCLOSURE STATEMENTAs at 30 September 2019CONTENTSPAGETemplate KM1: Key Prudential Ratios1Template OV1: Overview of Risk-Weighted Amount2Template LR2: Leverage Ratio4

MORGAN STANLEY BANK ASIA LIMITED(FORMERLY KNOWN AS “MORGAN STANLEY ASIA INTERNATIONALLIMITED”)UNAUDITED QUARTERLY FINANCIAL DISCLOSURE STATEMENTAs at 30 September 20191.PILLAR 3 DISCLOSUREThe following templates for Morgan Stanley Bank Asia Limited (the “Company”), formerly known as“Morgan Stanley Asia International Limited”, show the standard disclosure templates specified by theHong Kong Monetary Authority (“HKMA”) in relation to the Pillar 3 disclosure required under theBanking (Disclosure) Rules.Other Pillar 3 templates or tables not disclosed below either are not applicable to the Company or haveno reportable amount for the period.a.Template KM1: Key Prudential RatiosAs at30September2019USD’000As at30June2019USD’000As at31March2019USD’000As at31December2018USD’000As at30September2018USD’000Regulatory capital (amount)1Common Equity Tier 1 er 1846,872825,606808,927287,225273,3663Total 21,600,7871,295,3391,135,9871,047,309Risk-weighted amount (“RWA”) (amount)4Total RWARisk-based regulatory capital ratios (as a percentage of RWA)5CET1 ratio (%)42%52%62%25%26%6Tier 1 ratio (%)42%52%62%25%26%7Total capital ratio (%)43%52%63%26%27%Additional CET1 buffer requirements (as a percentage of RWA)8Capital conservation buffer requirement (%)2.500%2.500%2.500%1.875%1.875%9Countercyclical capital buffer requirement (%)1.128%1.124%1.072%0.935%0.772%10Higher loss absorbency requirements (%)(applicable only to G-SIBs or D-SIBs)0%0%0%0%0%11Total Authorised Institution (“AI”)-specificCET1 buffer requirements (%)3.628%3.624%3.572%2.810%2.647%12CET1 available after meeting the AI’sminimum capital requirements 39%240%247%Basel III leverage ratio13Total leverage ratio (“LR”) exposure measure14LR (%)Liquidity Maintenance Ratio (“LMR”)17aLMR (%) (1)Core Funding Ratio (“CFR”)20aNote 1:CFR (%) (1)The LMR and CFR disclosed above represent the arithmetic mean of the average LMR and average CFR of the 3calendar months within each quarter respectively. The Company is not required, under the Banking (Liquidity) Rules,to calculate Liquidity Coverage Ratio or Net Stable Funding Ratio for its liquidity risk.1

MORGAN STANLEY BANK ASIA LIMITED(FORMERLY KNOWN AS “MORGAN STANLEY ASIA INTERNATIONALLIMITED”)UNAUDITED QUARTERLY FINANCIAL DISCLOSURE STATEMENTAs at 30 September 20191.PILLAR 3 DISCLOSURE (CONTINUED)b.Template OV1: Overview of RWAThe capital adequacy ratios of the Company were calculated in accordance with Banking (Capital)Rules of the Banking Ordinance. The Company uses the following approaches to calculate its capitalcharge for:(a) credit risk: Standardised (Credit Risk) Approach (“STC approach”); and(b) operational risk: Basic Indicator Approach (“BIA approach”).There was no RWA for market risk for the Company because the Company was exempted by theHKMA from the calculation of market risk.The disclosure on minimum capital requirement is made by multiplying the Company’s RWA derivedfrom the relevant calculation approach by 8%, not the Company’s actual “regulatory capital”.2

MORGAN STANLEY BANK ASIA LIMITED(FORMERLY KNOWN AS “MORGAN STANLEY ASIA INTERNATIONALLIMITED”)UNAUDITED QUARTERLY FINANCIAL DISCLOSURE STATEMENTAs at 30 September 20191.PILLAR 3 DISCLOSURE (CONTINUED)b.Template OV1: Overview of RWA (Continued)MinimumcapitalrequirementsRWAAs at 919a202122232424a252626a26b26c27Credit risk for non-securitization exposuresOf which STC approachOf which Basic Approach (“BSC approach”)Of which foundation Internal Ratings-Based (“IRB”) ApproachOf which supervisory slotting criteria approachOf which advanced IRB approachCounterparty default risk and default fund contributionsOf which Standardised Approach for measuring Counterparty Credit Risk(“SA-CCR”)Of which Current Exposure Method (“CEM”)Of which Internal Models (Counterparty Credit Risk)Approach (“IMM(CCR) approach”)Of which othersCredit Valuation Adjustment (“CVA”) riskEquity positions in banking book under the simple risk-weight method and internalmodels methodCollective investment scheme (“CIS”) exposures – Look-Through Approach (“LTA”)CIS exposures – Mandate-Based Approach (“MBA”)CIS exposures – Fall-Back Approach (“FBA”)CIS exposures – combination of approachesSettlement riskSecuritization exposures in banking bookOf which Securitization Internal Ratings-Based Approach (“SEC-IRBA”)Of which Securitization External Ratings-Based Approach (“SEC-ERBA”)(including Internal Assessment Approach (“IAA”))Of which Securitization Standardised Approach (“SEC-SA”)Of which Securitization Fall-Back Approach (“SEC-FBA”)Market riskOf which Standardised (Market Risk) Approach (“STM approach”)Of which Internal Models Approach (“IMM approach”)Capital charge for switch between exposures in trading book and banking book (notapplicable before the revised market risk framework takes effect)Operational riskSovereign concentration riskAmounts below the thresholds for deduction (subject to 250% Risk-Weight (“RW”))Capital floor adjustmentDeduction to RWAOf which portion of regulatory reserve for general banking risks and collectiveprovisions which is not included in Tier 2 CapitalOf which portion of cumulative fair value gains arising from the revaluation ofland and buildings which is not included in Tier 2 CapitalTotalAs at 01,084,6771,084,6775,106As at 30September2019USD’000117,752117,752446Not 54---Not applicableNot applicableNot applicableNot applicable--------Not 211567---2,016,3221,600,787161,306Increase in total RWA during the third quarter in 2019 was US 415,535,000. The key driver wasincrease in RWA for credit risk for non-securitization exposures arising from increase in loans andadvances to customers.3

MORGAN STANLEY BANK ASIA LIMITED(FORMERLY KNOWN AS “MORGAN STANLEY ASIA INTERNATIONALLIMITED”)UNAUDITED QUARTERLY FINANCIAL DISCLOSURE STATEMENTAs at 30 September 20191.PILLAR 3 DISCLOSURE (CONTINUED)c.Template LR2: Leverage RatioAs at30 September2019USD’000As at30 June 2019USD’000On-balance sheet exposures1On-balance sheet exposures (excluding those arising from derivative contracts andsecurities financing transaction (“SFTs”), but including collateral)2Less: Asset amounts deducted in determining Tier 1 capital3Total on-balance sheet exposures (excluding derivative contracts and 388,470Exposures arising from derivative contracts4Replacement cost associated with all derivative contracts (where applicable net ofeligible cash variation margin and/or with bilateral netting)1,793-5Add-on amounts for potential future exposure (“PFE”) associated with allderivative contracts8,3365,0316Gross-up for derivatives collateral provided where deducted from the balance sheetassets pursuant to the applicable accounting framework--7Less: Deductions of receivables assets for cash variation margin provided underderivative contracts--8Less: Exempted Central Counterparty (“CCP”) leg of client-cleared trade exposures--9Adjusted effective notional amount of written credit derivative contracts--10Less: Adjusted effective notional offsets and add-on deductions for written creditderivative contracts--11Total exposures arising from derivative contracts10,1295,031741,959807,512Exposures arising from SFTs12Gross SFT assets (with no recognition of netting), after adjusting for saleaccounting transactions13Less: Netted amounts of cash payables and cash receivables of gross SFT assets14Counterparty Credit Risk (“CCR”) exposure for SFT assets15Agent transaction exposures16Total exposures arising from SFTs--1,9134,368--743,872811,880Other off-balance sheet exposures17Off-balance sheet exposure at gross notional amount--18Less: Adjustments for conversion to credit equivalent amounts--19Off-balance sheet items--846,872825,6064,642,6094,205,381Capital and total exposures20Tier 1 capital20aTotal exposures before adjustments for specific and collective provisions20bAdjustments for specific and collective provisions21Total exposures after adjustments for specific and collective provisions--4,642,6094,205,38118%20%Leverage ratio22Leverage ratioThe decrease in leverage ratio during the third quarter in 2019 is mainly due to an increase in total onbalance sheet exposures which was driven by an increase in deposits during the quarter ended 30September 2019.4

As at 30 September 2019 3 1. PILLAR 3 DISCLOSURE (CONTINUED) b. Template OV1: Overview of RWA (Continued) RWA Minimum capital requirements As at 30 September 2019 As at 30 June 2019 As at 30 September 2019 USD’000 USD’000 USD’000 1 Credit risk for