Standard Chartered : Full Year 2023 Pillar 3 Disclosures to replace the document filed on 26/02/2024

1. Introduction

1

1.1. Purpose

1

1.2. Highlights

1

1.3. Key prudential metrics

2

1.4. Regulatory disclosure framework

4

1.5. Risk management

5

1.6. Accounting and regulatory consolidation

7

1.7. Significant subsidiaries

8

1.8. Comparison of accounting balance sheet

and exposure at default

9

2. Capital

14

2.1. Capital management

14

2.2. Capital resources

14

2.3. Minimum requirement for own funds

and eligible liabilities

18

2.4. Countercyclical capital buffer

26

2.5. Capital requirements

28

2.6. Leverage ratio

32

3. Credit risk

35

3.1. Internal Ratings Based Approach to credit risk

35

3.2. Standardised Approach to credit risk

35

3.3. Internal Ratings Based models

35

3.4. Credit risk quality

58

3.5. Risk grade profile

69

3.6. Credit risk mitigation

86

3.7. Standardised risk weight profile

87

3.8. Securitisation

89

4. Traded risk

101

4.1. Market risk

101

4.2. Counterparty credit risk

107

5. Operational risk

118

6. Interest rate risk in the banking book

119

7. Liquidity risk

121

7.1. Encumbered and unencumbered assets

127

8. Remuneration

130

9. Forward looking statements

136

Annex 1. Standard Chartered Significant Subsidiaries

137

Acronyms

171

Glossary

172

Prudential disclosure reference table

177

Summary of differences between the Pillar 3 Disclosures

and the Risk and capital review sections of the

Annual Report

195

Standard Chartered - Pillar 3 Disclosures 2023

1

Pillar 3 disclosures

Introduction

31.12.23

30.09.23

30.06.23

31.03.23

31.12.22

$million

$million

$million

$million

$million

Available own funds1

1

Common Equity Tier 1 (CET1) capital

34,314

33,569

34,896

34,402

34,157

Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous

34,314

ECLs transitional arrangements had not been applied

33,569

34,896

34,402

34,051

2

Tier 1 capital

39,806

39,061

40,388

39,894

40,641

Tier 1 capital as if IFRS 9 or analogous ECLs transitional

39,806

arrangements had not been applied

39,061

40,388

39,894

40,535

3

Total capital

51,741

51,112

52,669

52,318

53,151

Total capital as IFRS 9 or analogous ECLs transitional

51,741

arrangements had not been applied

51,112

52,669

52,318

53,035

Risk-weighted exposure amounts1

4

Total risk-weighted exposure amount

244,151

241,506

249,117

250,893

244,711

Total risk-weighted exposure amount if IFRS 9 or analogous ECLs

244,151

transitional arrangements had not been applied

241,506

249,117

250,893

244,766

Risk-based capital ratios as a percentage of RWA

5

Common Equity Tier 1 ratio

14.1%

13.9%

14.0%

13.7%

14.0%

Common Equity Tier 1 ratio as if IFRS 9 or analogous ECLs

14.1%

transitional arrangements had not been applied

13.9%

14.0%

13.7%

13.9%

6

Tier 1 ratio

16.3%

16.2%

16.2%

15.9%

16.6%

Tier 1 ratio as if IFRS 9 or analogous ECLs transitional

16.3%

arrangements had not been applied

16.2%

16.2%

15.9%

16.6%

7

Total capital ratio

21.2%

21.2%

21.1%

20.9%

21.7%

Total capital ratio as if IFRS 9 or analogous ECLs transitional

21.2%

arrangements had not been applied

21.2%

21.1%

20.9%

21.7%

Additional CET1 buffer requirements as a percentage of RWA1

8

Capital conservation buffer

2.50%

2.50%

2.50%

2.50%

2.50%

9

Institution specific countercyclical capital buffer

0.39%

0.37%

0.29%

0.28%

0.27%

10

Global Systemically Important Institution buffer

1.00%

1.00%

1.00%

1.00%

1.00%

11

Combined buffer requirement

3.89%

3.87%

3.79%

3.78%

3.77%

UK 11a

Overall capital requirements

10.51%

10.48%

10.39%

10.38%

10.37%

12

CET1 available after meeting the total SREP own funds

7.43%

requirements

7.29%

7.40%

7.09%

7.35%

UK leverage ratio

13

Leverage ratio total exposure measure

847,142

823,546

844,979

857,214

854,311

14

Leverage ratio

4.7%

4.7%

4.8%

4.7%

4.8%

Additional leverage ratio disclosure requirements

14a

Fully loaded ECL accounting model leverage ratio excluding

4.7%

claims on central banks (%)

4.7%

4.8%

4.7%

4.8%

14b

Leverage ratio including claims on central banks (%)

4.2%

4.2%

4.3%

4.2%

4.4%

14c

Average leverage ratio excluding claims on central banks (%)

4.6%

4.7%

4.7%

4.6%

4.7%

14d

Average leverage ratio including claims on central banks (%)

4.1%

4.2%

4.2%

4.2%

4.3%

14e

Countercyclical leverage ratio buffer (%)

0.1%

0.1%

0.1%

0.1%

0.1%

Liquidity Coverage Ratio

15

Total high-quality liquid assets (HQLA) (Weighted value

185,986

-average)

181,663

177,767

178,289

178,203

UK 16a

Cash outflows - Total weighted value

182,716

181,470

180,200

182,573

184,698

UK 16b

Cash inflows - Total weighted value

66,652

66,418

66,341

64,371

62,294

16

Total net cash outflows (adjusted value)

116,064

115,052

113,859

118,202

122,404

17

Liquidity coverage ratio

160.4%

158.0%

156.2%

151.2%

145.9%

Net Stable Funding Ratio

18

Total available stable funding

403,238

400,424

396,309

392,258

389,120

19

Total required stable funding

296,467

296,235

296,814

298,838

300,340

20

NSFR ratio (%)

136.0%

135.2%

133.5%

131.3%

129.6%

31.12.23

30.09.23

30.06.23

31.03.23

31.12.22

$million

$million

$million

$million

$million

Resolution group

Total loss-absorbing capacity (TLAC) available

81,310

80,460

79,847

78,424

78,480

Fully loaded ECL accounting model TLAC available

81,310

80,460

79,847

78,424

78,374

Total RWA at the level of the resolution group

244,151

241,506

249,117

250,893

244,711

TLAC as a percentage of RWA

33.3%

33.3%

32.1%

31.3%

32.1%

Fully loaded ECL accounting model TLAC as a

percentage of fully loaded ECL accounting model

33.3%

RWA (%)

33.3%

32.1%

31.3%

32.0%

UK Leverage ratio exposure measure at the level of the

847,142

resolution group

823,546

844,979

857,214

854,311

TLAC as a percentage of UK Leverage exposure measure

9.6%

9.8%

9.4%

9.1%

9.2%

Fully loaded ECL accounting model TLAC as a

percentage of fully loaded ECL accounting model

9.6%

UK Leverage exposure measure

9.8%

9.4%

9.1%

9.2%

Does the subordination exemption in the

antepenultimate paragraph of Section 11 of the

Yes

FSB TLAC Term Sheet apply?

Yes

Yes

Yes

Yes

Does the subordination exemption in the penultimate

paragraph of Section 11 of the FSB TLAC Term Sheet

No

apply?

No

No

No

No

If the capped subordination exemption applies, the

amount of funding issued that ranks pari passu with

Excluded Liabilities and that is recognised as external

TLAC, divided by funding issued that ranks pari passu

with Excluded Liabilities and that would be recognised

N/A

as external TLAC if no cap was applied (%)

N/A

N/A

N/A

N/A

Standard Chartered - Pillar 3 Disclosures 2023

3

Principal Risk Types

Risk Appetite Statement

Credit Risk

The Group manages its credit exposures following the principle of diversification across products,

geographies, client segments and industry sectors. (refer to section Credit risk in pages 320 to 322 of the

2023 Annual Report and Accounts)

Traded Risk

The Group should control its financial markets and activities to ensure that market and counterparty credit

risk losses do not cause material damage to the Group's franchise. (refer to section Traded risk on pages

323 to 324 of the 2023 Annual Report and Accounts)

Treasury Risk

The Group should maintain sufficient capital, liquidity and funding to support its operations, and an

interest rate profile ensuring that the reductions in earnings or value from movements in interest rates

impacting banking book items does not cause material damage to the Group's franchise. In addition, the

Group should ensure its Pension plans are adequately funded. (refer to section Treasury risk on pages 325

to 326 of the 2023 Annual Report and Accounts)

Operational and

The Group aims to control operational and technology risks to ensure that operational losses (financial or

Technology Risk

reputational), including those related to the conduct of business matters, do not cause material damage to

the Group's franchise. (refer to section Operational and Technology risk on pages 327 to 328 of the 2023

Annual Report and Accounts)

Financial Crime Risk

The Group has no appetite for breaches of laws and regulations related to Financial Crime, recognising

that whilst incidents are unwanted, they cannot be entirely avoided. (refer to section Financial Crime risk on

page 329 of the 2023 Annual Report and Accounts)

Compliance Risk

The Group has no appetite for breaches of laws and regulations related to regulatory non-compliance;

recognizing that whilst incidents are unwanted, they cannot be entirely avoided. (refer to section

Compliance risk on page 330 of the 2023 Annual Report and Accounts)

Information and Cyber

The Group aims to mitigate and control ICS risks to ensure that incidents do not cause the Bank material

Security Risk

harm, business disruption, financial loss or reputational damage - recognising that whilst incidents are

unwanted, they cannot be entirely avoided. (refer to section Information and Cyber Security risk on page

331 of the 2023 Annual Report and Accounts)

Reputational and

The Group aims to protect the franchise from material damage to its reputation by ensuring that any

Sustainability Risk

business activity is satisfactorily assessed and managed with the appropriate level of management and

governance oversight. This includes a potential failure to uphold responsible business conduct in striving to

do no significant environmental and social harm. (refer to section Reputational Sustainability risk on pages

332 to 333 of the 2023 Annual Report and Accounts)

Model Risk

The Group has no appetite for material adverse implications arising from misuse of models or errors in the

development or implementation of models; whilst accepting some model uncertainty. (refer to section

Model risk on pages 334 to 335 of the 2023 Annual Report and Accounts)

Standard Chartered - Pillar 3 Disclosures 2023

5