Guiding-centre orbit-following simulations of the charge exchange (CX) loss of neutral beam injection (NBI) ions are presented. The finite Larmor radius (FLR) effect in the fast ion–neutral collision can be included in guiding-centre orbit-following simulations by using the gyroaverage method. It is proved that the neutralization probability of fast ions computed by using the gyroaverage method in the guiding-centre orbit simulation is roughly the same as that computed in the full-orbit simulation when the time step in the guiding-centre simulation is the order of the gyroperiod. The CX losses of NBI fast ions for two NBIs in the EAST tokamak have been simulated by the guiding-centre orbit-following code GYCAVA, and the FLR effect in the fast ion–neutral collision on CX losses has been numerically studied. The CX effect of the fast ion–neutral collision can significantly enhance NBI ion losses on EAST. The FLR effect in the fast ion–neutral collision can enhance the CX loss. Vertical asymmetry of localized heat loads induced by CX losses is found, which is related to the FLR effect of fast ions and the strong radial gradient of the neutral density near the plasma edge. Heat loads induced by CX losses are localized in the regions near the poloidal angle $\theta =-60^\circ$ , because the likelihood of exchanging charge is the largest at gyrophase $\xi ={\rm \pi}$ , and this leads to fast downwards moving neutrals. Fast ion loss fractions induced by CX increase with the neutral density increasing.