Standard Chartered PLC

Annual Report • Mar 11, 2025

Connecting the world's most dynamic markets Pillar 3 Disclosures Annual Report 2024 31 December 2024

Contents

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	68
3.6. Credit risk mitigation	86
3.7. Standardised risk weight profile	89
3.8. Securitisation	91
4. Traded risk	102
4.1. Market risk	102
4.2. Counterparty credit risk	108
5. Operational risk	119
6. Interest rate risk in the banking book	120
7. Liquidity risk	122
7.1. Encumbered and unencumbered assets	128
8. Remuneration	131
9. Forward looking statements	138
Annex 1 Standard Chartered Significant Subsidiaries	139
Acronyms	173
Glossary	174
Prudential disclosure reference table	179
Summary of differences between the Pillar 3 Disclosures and the Risk and capital review sections of the Annual Report	197

Standard Chartered Bank is headquartered in London where it is authorised by the UK's Prudential Regulation Authority (PRA), and Standard Chartered PLC Group and Standard Chartered Bank are regulated by the Financial Conduct Authority (FCA) and the PRA. Within this document 'the Group' refers to Standard Chartered PLC together with its subsidiary undertakings. Unless the context requires, within this document, 'China' refers to the People's Republic of China and, for the purposes of this document only, excludes Hong Kong Special Administrative Region (Hong Kong), Macau Special Administrative Region (Macau) and Taiwan. 'Korea' or 'South Korea' refers to the Republic of Korea. Greater China & North Asia (GCNA) includes China, Hong Kong, Japan, Korea, Macau and Taiwan; ASEAN & South Asia (ASA) includes Australia, Bangladesh, Brunei, Cambodia, India, Indonesia, Laos, Malaysia, Myanmar, Nepal, Philippines, Singapore, Sri Lanka, Thailand and Vietnam; and Africa & Middle East (AME) includes Bahrain, Egypt, Iraq, Jordan, Lebanon, Oman, Pakistan, Qatar, Saudi Arabia and the United Arab Emirates (UAE). Throughout this document unless specified the disclosures are at Group level. Throughout this document, unless another currency is specified, the word 'dollar' or symbol \$ means United States dollar. Throughout this document IRB refers to internal ratings based models. The Group does not use the Foundation IRB approach..

Tables

1. Key metrics template (UK KM1)	2
2. Key metrics – TLAC requirements (KM2)	3
3. Regulatory consolidation	7
4. Outline of the differences in the scopes of consolidation (UK LI3)	7
5. Differences between accounting and regulatory scopes of consolidation and the mapping of financial
statement categories with regulatory risk categories
(UK LI1)	9
6. Main sources of differences between regulatory exposure amounts and carrying values in financial
statements (UK LI2)	11
7. Prudent valuation adjustments (PVA) (UK PV1)	12
8. Reconciliation between financial total equity and
regulatory CET1 before regulatory adjustments	14
9. Composition of regulatory own funds (UK CC1)	15
10. Reconciliation of regulatory own funds to balance sheet in the audited financial statements (UK CC2)	17
11. TLAC composition for G-SIBs (TLAC1)	19
12. Resolution entity – creditor ranking at legal entity level
(TLAC3)	20
13. Standard Chartered Bank – creditor ranking (TLAC2)	21
14. Standard Chartered Bank (Hong Kong) Limited – creditor ranking (TLAC2)	22
15. Standard Chartered Bank Korea Limited – creditor
ranking (TLAC2)	23
16. Standard Chartered Bank (Singapore) Limited
– creditor ranking (TLAC2) 17. Standard Chartered Bank (China) Limited – creditor	24
ranking (TLAC2)	25
18. Geographical distribution of credit exposures relevant
for the calculation of the countercyclical buffer (UK CCyB1)	26
19. Amount of institution-specific countercyclical capital buffer (UK CCyB2)	27
20. Overview of risk weighted exposure amounts (UK OV1)	28
21. Movement analysis for RWA	29
22. RWEA flow statements of credit risk exposures under the IRB approach (UK CR8)	30
23. RWEA flow statements of CCR exposures under the IMM (UK CCR7)	30
24. RWA flow statements of market risk exposures under the IMA (UK MR2-B)	31
25. Leverage and CRR Leverage Ratio	32
26. LRSum: Summary reconciliation of accounting assets
and leverage ratio exposures (UK LR1)	32
27. LRCom: Leverage ratio common disclosure (UK LR2)	33
28. LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
(UK LR3) 29. Corporate, institutions and commercial model results	34 37
30. Retail model results	37
31. IRB approach – Back-testing of PD per exposure class
for central governments or central banks (fixed PD
scale) (UK CR9) 32. IRB approach – Back-testing of PD per exposure class	38
for institutions (fixed PD scale) (UK CR9)	39
33. IRB approach – Back-testing of PD per exposure class
for corporates – other (fixed PD scale) (UK CR9)	40
34. IRB approach – Back-testing of PD per exposure class for corporates – specialised lending (fixed PD scale)
(UK CR9) 35. IRB approach – Back-testing of PD per exposure class	41
for corporates – SME (fixed PD scale) (UK CR9)	42

36. IRB approach – Back-testing of PD per exposure class for retail other – non SME (fixed PD scale) (UK CR9)	43
37. IRB approach – Back-testing of PD per exposure class for retail other – SME (fixed PD scale) (UK CR9)	44
38. IRB approach – Back-testing of PD per exposure class for retail – secured by real estate property – non SME (fixed PD scale) (UK CR9)	45
39. IRB approach – Back-testing of PD per exposure class for retail – secured by real estate property – SME (fixed PD scale) (UK CR9)	46
40. IRB approach – Back-testing of PD per exposure class for retail – qualifying revolving (fixed PD scale) (UK
CR9) 41. IRB – Backtesting of probability of default (PD) for	47
central governments or central banks (UK CR9.1) 42. IRB – Backtesting of probability of default (PD) for institutions (CR9.1)	48 50
43. IRB – Backtesting of probability of default (PD) for corporates (CR9.1)	52
44. IRB – Backtesting of probability of default (PD) for corporates – specialised lending (CR9.1)	54
45. IRB – Backtesting of probability of default (PD) for corporates – SME (CR9.1)	56
46. Performing and non-performing exposures and related provisions (UK CR1)	59
47. Maturity of exposures (UK CR1-A)	61
48. Changes in the stock of non-performing loans and advances (UK CR2)	61
49. Credit quality of forborne exposures (UK CQ1)	62
50. Credit quality of performing and non-performing exposures by past due days (UK CQ3)	63
51. Quality of non-performing exposures by geography (UK CQ4)	65
52. Credit quality of loans and advances to non-financial corporations by industry (UK CQ5)	66
53. IRB – Credit risk exposures by exposure class	69
54. Internal ratings mapping to external ratings	71
55. IRB approach – Credit risk exposures by exposure class and PD range for central governments or central banks (UK CR6)	72
56. IRB approach – Credit risk exposures by exposure class and PD range for institutions (UK CR6)	73
57. IRB approach – Credit risk exposures by exposure class and PD range for Corporates (UK CR6)	74
58. IRB approach – Credit risk exposures by exposure class and PD range for Corporates – other (UK CR6)	75
59. IRB approach – Credit risk exposures by exposure class and PD range for corporates – specialised lending (UK CR6)	76
60. IRB approach – Credit risk exposures by exposure class
and PD range for corporates – SME (UK CR6) 61. IRB approach – Credit risk exposures by exposure class	77
and PD range for retail (UK CR6) 62. IRB approach – Credit risk exposures by exposure class and PD range for retail – secured by real estate	78
property – SME (UK CR6) 63. IRB approach – Credit risk exposures by exposure class and PD range for retail – secured by real estate	79
property – Non SME (UK CR6) 64. IRB approach – Credit risk exposures by exposure class	80
and PD range for retail – qualifying revolving (UK CR6)	81
65. IRB approach – Credit risk exposures by exposure class and PD range for retail – SME (UK CR6)	82
66. IRB approach – Credit risk exposures by exposure class and PD range for retail – Non SME (UK CR6)	83

67. Scope of the use of IRB and SA approaches (UK CR6-A)	84
68. Specialised lending and equity exposures under the simple risk-weighted approach (UK CR10.2)	85
69. CRM techniques overview: Disclosure of the use of credit risk mitigation techniques (UK CR3)	86
70. Standardised approach – Credit risk exposure and CRM effects (UK CR4)	87
71. IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques (UK CR7)	88
72. IRB approach – Disclosure of the extent of the use of CRM techniques (UK CR7-A)	88
73. Standardised approach (UK CR5)	90
74. Securitisation exposures in the non-trading book
(UK-SEC1)	93
75. Securitisation exposures in the trading book (UK-SEC2)	95
76: Securitisation exposures in the non-trading book and associated regulatory capital requirements – institution acting as originator or as sponsor (UK-SEC3)	97
77. Securitisation exposures in the non-trading book and
associated regulatory capital requirements – institution acting as investor (UK-SEC4)	99
78. Exposures securitised by the institution – Exposures in
default and specific credit risk adjustments (UK-SEC5)	101
79. Daily value at risk (VaR at 97.5%, one day)	104
80. Daily value at risk (VaR at 97.5%, one day) by products	104
81. Market risk regulatory capital requirements	105
82. Market risk under standardised approach (UK MR1)	105
83. IMA values for trading portfolios (UK MR3)	106
84. Market risk under the internal Model Approach (IMA) (UK MR2-A)	106
85. 2024 Backtesting chart for Internal Model Approach
regulatory trading book at Group level with hypothetical profit and loss (P&L) versus VaR (99 per
cent, one day) (MR4))	107
86. 2024 Backtesting chart for Internal Model Approach regulatory trading book at Group level with actual profit and loss (P&L) versus VaR (99 per cent, one day)
(MR4)	107
87. Composition of collateral for CCR exposures (UK CCR5)	109
88. Analysis of CCR exposure by approach (UK CCR1)	110
89. Exposures to CCPs (UK CCR8)	111
90. Credit derivatives exposures (UK CCR6)	111
91. Transactions subject to own funds requirements for CVA risk (UK CCR2)	111
92. Standardised approach – CCR exposures by regulatory exposure class and risk weights (UK CCR3)	112
93. IRB – CCR exposures by exposure class	113
94. IRB approach – CCR exposures by exposure class and PD scale for central governments or central banks (UK CCR4)	114
95. IRB approach – CCR exposures by exposure class and
PD scale for institutions (UK CCR4) 96. IRB approach – CCR exposures by exposure class and	115
PD scale for corporates (UK CCR4) 97. IRB approach – CCR exposures by exposure class and	116
PD scale for corporates – specialised lending (UK CCR4) 98. IRB approach – CCR exposures by exposure class and	117
PD scale for corporates – SME (UK CCR4) 99. Operational risk own funds requirements and	118
risk-weighted exposure amounts (UK OR1)	119
100. Quantitative information on IRRBB (UK IRRBB1)	121
101. Liquidity Coverage Ratio (LCR) (UK LIQ1)	123
102. Net Stable Funding Ratio (UK LIQ2)	125
103. Total eligible high-quality liquid assets (HQLA)	127
104. Encumbered and unencumbered assets (UK AE1)	128
105. Collateral received and own debt securities issued (UK AE2)	129
106. Sources of encumbrance (UK AE3)	129
107. Remuneration awarded for the financial year (UK
REM1)	132

108. Special payments to staff whose professional
activities have a material impact on institutions' risk profile (identified staff) (UK REM2)	133
109. Deferred remuneration (UK REM3)	134
110. Remuneration of 1 million EUR or more per year (UK REM4)	136
111. Information on remuneration of staff whose
professional activities have a material impact on
institutions' risk profile (identified staff) (UK REM5)	137
Annex 1. Standard Chartered Significant Subsidiaries
112. Capital resources of significant subsidiaries	139
113. Composition of regulatory own funds (UK CC1) – Solo consolidation	140
114. Reconciliation of regulatory own funds to balance
sheet in the audited financial statements (UK CC2)
– Solo consolidation	142
115. Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (UK
CCyB1) – Solo consolidation	143
116. Amount of institution-specific countercyclical capital
buffer (UK CCyB2) – Solo consolidation	144
117. LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1) – Solo
consolidation	145
118. LRCom: Leverage ratio common disclosure (UK LR2)
– Solo consolidation	146
119. LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
(UK LR3) – Solo consolidation	147
120. Performing and non-performing exposures and
related provisions (UK CR1) – Standard Chartered – Solo Consolidation	148
121. Maturity of exposures (UK CR1-A) – Solo Consolidation	152
122. Changes in the stock of non-performing loans and
advances (UK CR2) – Solo Consolidation	152
123. Credit quality of forborne exposures (UK CQ1) – Solo
Consolidation 124. Credit quality of performing and non-performing	152
exposures by past due days (UK CQ3) – Solo
Consolidation	154
125. Quality of non-performing exposures by geography (UK CQ4) – Solo Consolidation	156
126. Credit quality of loans and advances to non-financial
corporations by industry (UK CQ5) – Solo
Consolidation	158
127. CRM techniques overview: Disclosure of the use of credit risk mitigation techniques (UK CR3) – Solo
Consolidation	158
128. Standardised approach – Credit risk exposure and
CRM effects (UK CR4) – Solo consolidation	159
129. Liquidity Coverage Ratio (LCR) (UK LIQ1) – Solo consolidation	160
130. Net Stable Funding Ratio (UK LIQ2) – Solo
consolidation	162
131. Remuneration awarded for the financial year (UK REM1) – Solo Consolidation	164
132. Special payments to staff whose professional
activities have a material impact on institutions' risk
profile (identified staff) – Solo Consolidation (UK
REM2) 133. Deferred remuneration (UK REM3) – Solo	165
Consolidation	166
134. Remuneration of 1 million EUR or more per year (UK
REM4) – Solo Consolidation	168
135. Information on remuneration of staff whose professional activities have a material impact on
institutions' risk profile (identified staff) (UK REM5)
– Solo Consolidation	169
136. Overview of RWA – Significant Subsidiaries	170
137. Leverage ratio common disclosure – Significant Subsidiaries	172
138. Market risk regulatory capital requirements for
significant subsidiaries	172

1. Introduction

1.1 Purpose and basis of preparation

The Pillar 3 disclosures comprise information on the underlying drivers of risk-weighted assets (RWA), capital, leverage and liquidity ratios as at 31 December 2024 in accordance with the United Kingdom's (UK) onshored Capital Requirements Regulation (CRR) and the Prudential Regulation Authority's (PRA) Rulebook.

The disclosures have been prepared in line with the disclosure templates introduced by the PRA Policy Statement PS22/21 'Implementation of Basel standards: Final rules published in October 2021.

This report presents the annual Pillar 3 disclosures of Standard Chartered PLC ('the Group') as at 31 December 2024 and should be read in conjunction with the Group's Annual Report and Accounts.

The information presented in this Pillar 3 report is not required to be, and has not been, subjected to external audit.

1.2 Highlights

• The Group's capital and leverage position is managed within the Board-approved risk appetite. The Group is well capitalised with low leverage and high levels of lossabsorbing capacity
• The Group is well capitalised with a Common Equity Tier 1 (CET1) ratio of 14.2 per cent, well ahead of the current requirement of 10.5 per cent
• The Group is not highly leveraged and its leverage ratio of 4.8 per cent is well ahead of the current leverage requirement of 3.7 per cent
• The Group continues to manage its balance sheet proactively, with a particular focus on the efficient management of RWA

RWA by risk type 2024 \$million

Credit risk 186,597 76% Credit valuation adjustment risk 2,706 1% Operational risk 29,479 12%

RWA by risk type 2023 \$million

1.3 Key prudential metrics

Table 1: Key metrics template (UK KM1)

		31.12.24 \$million	30.09.24 \$million	30.06.24 \$million	31.03.24 \$million	31.12.23 \$million
	Available own funds1
1	Common Equity Tier 1 (CET1) capital	35,190	35,425	35,418	34,279	34,314
	Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied	35,188	35,424	35,418	34,279	34,37.14
2	Tier 1 capital	41,672	41,932	41,902	40,765	39,806
	Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied	41,670	41,931	41,902	40,765	39,806
3	Total capital	53,091	53,658	53,569	52,538	51,741
	Total capital as IFRS 9 or analogous ECLs transitional arrangements had not been applied	53,089	53,657	53,569	52,538	51,741
	Risk-weighted exposure amounts1
4	Total risk-weighted exposure amount	247,065	248,924	241,926	252,116	244,151
	Total risk-weighted exposure amount if IFRS 9 or analogous ECLs transitional arrangements had not been applied	247,068	248,929	241,926	252,119	244,151
	Risk-based capital ratios as a percentage of RWA
5	Common Equity Tier 1 ratio	14.2%	14.2%	14.6%	13.6%	14.1%
	Common Equity Tier 1 ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied	14.2%	14.2%	14.6%	13.6%	14.1%
6	Tier 1 ratio	16.9%	16.8%	17.3%	16.2%	16.3%
	Tier 1 ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied	16.9%	16.8%	17.3%	16.2%	16.3%
7	Total capital ratio	21.5%	21.6%	22.1%	20.8%	21.2%
	Total capital ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied	21.5%	21.6%	22.1%	20.8%	21.2%
	Additional CET1 buffer requirements as a percentage of RWA
8	Capital conservation buffer	2.50%	2.50%	2.50%	2.50%	2.50%
9	Institution specific countercyclical capital buffer	0.37%	0.43%	0.43%	0.38%	0.39%
10	Global Systemically Important Institution buffer	1.00%	1.00%	1.00%	1.00%	1.00%
11	Combined buffer requirement	3.87%	3.93%	3.93%	3.88%	3.89%
	UK 11a Overall capital requirements	10.48%	10.56%	10.56%	10.50%	10.51%
12	CET1 available after meeting the total SREP own funds requirements	7.64%	7.61%	8.02%	6.97%	7.43%
	UK leverage ratio
13	Leverage ratio total exposure measure	868,344	899,169	877,773	854,711	847,142
14	Leverage ratio	4.8%	4.7%	4.8%	4.8%	4.7%
	Additional leverage ratio disclosure requirements
14a	Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%)	4.8%	4.7%	4.8%	4.8%	4.7%
14b	Leverage ratio including claims on central banks (%)	4.4%	4.2%	4.4%	4.4%	4.2%
14c	Average leverage ratio excluding claims on central banks (%)	4.7%	4.6%	4.7%	4.6%	4.6%
14d	Average leverage ratio including claims on central banks (%)	4.2%	4.2%	4.3%	4.1%	4.1%
14e	Countercyclical leverage ratio buffer (%)	0.1%	0.2%	0.2%	0.1%	0.1%
	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (Weighted value -average)	178,676	180,914	184,937	187,777	185,986
	UK 16a Cash outflows – Total weighted value	185,890	185,227	183,559	183,826	182,716
	UK 16b Cash inflows – Total weighted value	66,896	66,472	65,674	66,037	66,652
16	Total net cash outflows (adjusted value)	118,995	118,755	117,885	117,790	116,064
17	Liquidity coverage ratio	150.3%	152.6%	157.1%	159.7%	160.4%
	Net Stable Funding Ratio
18	Total available stable funding	417,646	414,401	407,885	404,275	403,238
19	Total required stable funding	308,948	307,517	300,630	297,556	296,467
20	NSFR ratio (%)	135.2%	134.8%	135.7%	135.9%	136.0%

1.3 Key prudential metrics continued

Standard Chartered applies regulatory transitional arrangements to accounting provisions recognised from 1 January 2018 under IFRS 9, as permitted by paragraph 4 of article 473a of the Capital Requirements Regulation, introduced by Regulation (EU) 2017/2395 and amended by Regulation (EU) 2020/873 of the European Parliament and of the Council.

Under this approach, the balance of expected credit loss (ECL) provisions in excess of the regulatory defined expected loss (EL) and additional ECL on standardised portfolios, net of related tax, are phased into the CET1 capital base over five years. The proportion phased in for the increase in the balance on day one of IFRS 9 adoption, and any subsequent increase to 31 December 2019 is 2020, 30 per cent; 2021, 50 per cent; and 2022, 75 per cent. From 2023 onwards there is no transitional relief on these components. The proportion phased in for any increase in the balance from 1 January 2020 at each reporting date is 2020, 0 per cent; 2021, 0 per cent; 2022, 25 per cent; 2023, 50%; 2024, 75%. From 2025 there is no transitional relief.

Table 2 shows information about the Group's total loss-absorbing capacity (TLAC) available, and TLAC requirements, applied at the resolution group level under a Single Point of Entry resolution strategy.

	31.12.24 \$million	30.09.24 \$million	30.06.24 \$million	31.03.24 \$million	31.12.23 \$million
Resolution group
Total loss-absorbing capacity (TLAC) available	84,563	86,983	85,746	84,417	81,310
Fully loaded ECL accounting model TLAC available	84,563	86,983	85,746	84,417	81,310
Total RWA at the level of the resolution group	247,065	248,924	241,926	252,116	244,151
TLAC as a percentage of RWA	34.2%	34.9%	35.4%	33.5%	33.3%
Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%)	34.2%	34.9%	35.4%	33.5%	33.3%
UK Leverage ratio exposure measure at the level of the resolution group	868,344	899,169	877,773	854,711	847,142
TLAC as a percentage of UK Leverage exposure measure	9.7%	9.7%	9.8%	9.9%	9.6%
Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model UK Leverage exposure measure	9.7%	9.7%	9.8%	9.9%	9.6%
Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?	Yes	Yes	Yes	Yes	Yes
Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?	No	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 as external TLAC if no cap was applied (%)	N/A	N/A	N/A	N/A	N/A

1.4 Regulatory disclosure framework

The Group complies with the Basel III framework as implemented in the United Kingdom. The Basel III framework is built on the three pillars of the Basel II framework.

• Pillar 1: Sets the minimum capital requirements for credit risk, market risk and operational risk
• Pillar 2: Considers through the Supervisory Review and Evaluation Process whether further capital is required in addition to Pillar 1 calculations
• Pillar 3: Aims to provide a consistent and comprehensive disclosure framework that enhances comparability between banks and further promotes improvements in risk management. Pillar 3 requires all material risks to be disclosed, enabling a comprehensive view of the bank's risk profile

The Pillar 3 Disclosures 2024 comprise all information required to be included in the UK and are prepared at the Group consolidated level. Where disclosure has been withheld as proprietary or non-material, as permitted by the rules, appropriate comment has been included. It is the Group's intention that the Pillar 3 Disclosures be viewed as an integral, albeit separately reported, element of the Annual Report and Accounts. The Group considers a number of factors in determining where disclosure is made between the Annual Report and Accounts and Pillar 3, including International Financial Reporting Standards (IFRS), regulatory requirements and industry best practice. Pages 8 to 11 of this document provide a summary of differences and cross references between the Annual Report and Accounts and the Pillar 3 Disclosures.

Remuneration

The qualitative Pillar 3 remuneration disclosures for the 2024 performance year are set out on pages 143 to 174 of the Directors' remuneration report in the 2024 Annual Report and Accounts. Information is provided on the key components of our remuneration approach and how we develop our approach. The disclosures follow the requirements set out in Part 8 of the CRR and the Basel Committee on Banking Supervision (BCBS) standards issued in March 2017.

G-SIB

The Group has been identified as a Global Systemically Important Bank (G-SIB) by the Financial Stability Board (FSB) since November 2012. The Group's score from the BCBS's methodology for assessing and identifying G-SIBs has resulted in an additional loss-absorbency requirement of 1 per cent of CET1. The EU's Capital Requirements Directive (CRD) mandates the Group to publicly disclose the value of its Global Systemically Important Institution (G-SII) indicators on an annual basis. The terms 'G-SIB' and 'G-SII' are interchangeable – 'G-SIB' is used by the FSB and Basel Committee, whereas CRD refers to 'G-SII'. The Standard Chartered PLC 2022 G-SII disclosure is published on: https:// www.sc.com/en/investors/financial-results/.

Frequency

In accordance with Group policy the Pillar 3 Disclosures are made quarterly as at 31 March, 30 June, 30 September and 31 December in line with Article 432 of the CRR. Disclosures are published on the Standard Chartered PLC website aligning with the publication date of the Group's Interim, Half Year and Annual Report and Accounts.

Verification

Whilst the Pillar 3 Disclosures 2024 are not required to be externally audited, the document has been verified internally in accordance with the Group's policies on disclosure and its financial reporting and governance processes. Controls comparable to those for the 2024 Annual Report and Accounts have been applied to confirm compliance with PRA regulations.

• Items excluded on the grounds of materiality:
  • Quantitative disclosures of non-deducted participations in insurance undertakings and Collateral obtained by taking possession and execution processes
  • Qualitative and quantitative disclosures on exposures to equities not included in the trading book

1.5 Risk management

Effective risk management is essential in delivering consistent and sustainable performance for all our stakeholders and is a central part of the financial and operational management of the Group. One of the main risks we incur arises from extending credit to customers through our trading and lending operations. Beyond Credit Risk, we are also exposed to a range of other risk types such as Traded Risk, Treasury Risk, Operational & Technology Risk, Reputational & Sustainability,

Principal Risk Types (PRTs)

Compliance Risk, Information and Cyber Security Risk, Financial Crime Risk, Model Risk.

In the Risk management approach section of the 2024 Annual Report and Accounts, we outline our approach and strategy for managing risk. We discuss our risk management practices, monitoring and mitigation, and governance in relation to our main activities and significant risks.

PRTs are risks inherent in our strategy and business model. These are formally defined in our ERMF, which provides a structure for monitoring and controlling these risks through the Risk Appetite Statement. We will not compromise compliance with our Risk Appetite in order to pursue revenue growth or higher returns.

The table below provides an overview of the Group's PRTs and their corresponding risk appetite statements.

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 201 to 202 of the 2024 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 202 to 203 of the 2024 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 203 to 204 of the 2024 Annual Report and Accounts)
Operational and Technology Risk	The Group aims to control operational and technology risks to ensure that operational losses (financial or 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 page 204 of the 2024 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 205 of the 2024 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 205 of the 2024 Annual Report and Accounts)
Information and Cyber Security (ICS) Risk	The Group aims to mitigate and control ICS risks to ensure that incidents do not cause the Bank material 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 204 of the 2024 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 page 206 of the 2024 Annual Report and Accounts)
Environmental, Social and Governance and Reputational (ESGR) Risk	The Group aims to measure and manage financial and non-financial risks arising from climate change, reduce emissions in line with our net zero strategy and protect the Group from material reputational damage by upholding responsible conduct and striving to do no significant environmental and social harm. (refer to section Environment, Social, Governance and Reputational (ESGR) Risk: on page 206 of the 2024 Annual Report and Accounts)

Credit Risk

Credit risk is the potential for loss due to the failure of a counterparty to meet its obligations to pay the Group. Credit exposures arise from both the banking and trading books.

Credit risk is managed through a framework that sets out policies and procedures covering the measurement and management of credit risk. The Credit Risk Function, as a second line control function, performs independent challenge, monitoring and oversight of the credit risk management practices of the Business and Functions engaged in or supporting revenue generating activities which constitute the First Line of defence. Risk appetite is defined by the Group and approved by the Board. It is the maximum amount and type of risk that the Group is willing to assume in pursuit of its strategies. Credit exposure limits are approved within a defined credit approval authority framework.

The Group manages its credit exposures following the principle of diversification across products, geographies, client segments and industry sectors.

The Group uses the Advanced Internal Ratings Based (IRB) approach to calculate credit risk capital requirements with the approval of our relevant regulators. This approach builds on the Group's risk management practices and is the result of a continuing investment in data warehouses and risk models.

For portfolios where the Group does not have IRB approval, or where the exposures are permanently exempt from the IRB approach, the Standardised Approach (SA) is used.

Refer to Credit Risk (pages 201 to 202) in the 2024 Annual Report and Accounts where we describe the main components of credit risk management, including our credit risk profile, credit risk measurement and policies set in line with risk appetite. For the scope and main content of reporting to senior management, refer to page 201 in the 2024 Annual Report and Accounts.

1.5 Risk management continued

Traded Risk

Traded Risk is the potential for loss resulting from activities undertaken by the bank in financial markets. Under the Enterprise Risk Management Framework, the Traded Risk Framework brings together Market Risk and Counterparty Credit Risk. Market Risk is the potential for fair value loss due to adverse moves in financial markets. The Group's exposure to Market Risk arises predominantly from the following sources:

• Trading book:
  • The Group provides clients access to financial markets, facilitation of which entails the Group's taking moderate market risk positions. All trading teams support client activity; there are no proprietary trading teams. Hence, income earned from market risk-related activities is primarily driven by the volume of client activity rather than risk-taking
• Non-trading book:
  • Treasury is required to hold a liquid assets buffer, much of which is held in high-quality marketable debt securities
  • The Group has capital invested and related income streams denominated in currencies other than US dollars. To the extent that these are not hedged, the Group is subject to structural foreign exchange risk which is reflected in reserves

The primary categories of market risk for the Group are interest rate risk, foreign exchange rate risk, commodity risk, credit spread risk and equity risk.

We use a value at risk (VaR) model for the measurement of the market risk capital requirements for part of the trading book exposures where permission to use such model has been granted by the PRA. Where our market risk exposures are not approved for inclusion in a VaR model, the capital requirements are determined using the standard rules set by the regulatory framework.

Counterparty credit risk is the risk that a counterparty defaults before satisfying its obligations under a derivative, a securities financing transaction (SFT) or a similar contract.

Refer to Traded risk 202 to 203 in the 2024 Annual Report and Accounts where we describe the main components of traded risk management, including our traded risk profile.

Introduction

1.6 Accounting and regulatory consolidation

The Pillar 3 Disclosures are prepared at the Group consolidated level. The accounting policy for financial consolidation is provided in the notes to the financial statements in the 2024 Annual Report and Accounts. All banking subsidiaries are fully consolidated for both regulatory and accounting purposes. For associates and joint ventures,

the regulatory treatment may differ from the accounting policy, which applies the equity accounting method.

The regulatory consolidation approaches used by the Group are shown in the following table, which identifies the principal undertakings, including investments, associates and joint ventures, which are all principally engaged in the business of banking and provision of other financial services.

		Table 3: Regulatory consolidation
--	--	-----------------------------------

Type	Description	Regulatory consolidation	Principal undertakings within each category
Investment (non significant)	The Group holds no more than 10 per cent of the issued share capital	The Group risk-weights the investment subject to the CRD threshold calculation	–
Associate	The Group holds more than 10 per cent and less than 20 per cent of the issued share capital	The Group risk-weights the investment subject to the CRD threshold calculation	China Bohai Bank
Joint Venture	The Group enters into a contractual arrangement to exercise joint control over an undertaking	Where the Group's liability to the joint venture is greater than the capital held, full consolidation is undertaken. Otherwise joint ventures are proportionately consolidated	Olea Global Pte. Ltd CurrencyFair Limited Exchange Ireland
Subsidiary	The Group holds more than 50 per cent of the issued share capital of a financial entity	The Group fully consolidates the undertaking	Standard Chartered Bank Standard Chartered Bank Korea Limited Standard Chartered Bank Malaysia Berhad Standard Chartered Bank (Pakistan) Limited Standard Chartered Bank (Taiwan) Limited Standard Chartered Bank (Hong Kong) Limited Standard Chartered Bank (China) Limited Standard Chartered Bank (Singapore) Limited Standard Chartered Bank (Thai) Public Company Limited Standard Chartered Bank Nigeria Limited Standard Chartered Bank Kenya Limited Standard Chartered Private Equity Managers (Hong Kong) Limited
Excluded entities	Insurance or corporate entities excluded from the scope of banking prudential consolidation	The Group risk-weights the investment subject to the CRD threshold calculation	Standard Chartered Assurance Ltd Standard Chartered Isle of Man Limited

Table 4: Outline of the differences in the scopes of consolidation (UK LI3)

			2024
			Method of regulatory consolidation
Name of the entity	Description of the entity	Method of accounting consolidation	Full consolidation	Proportional consolidation	Neither consolidated nor deducted	Deducted
Standard Chartered
Assurance Ltd	Insurance entity	Full consolidation			√
Standard Chartered Insurance Ltd	Insurance entity	Full consolidation			√

1.7 Significant subsidiaries

Under Part 2, rule 2.3 of the CRR requires the application of disclosure requirements of Large subsidiaries of UK parent institutions, UK parent financial holding companies.

These subsidiaries are Standard Chartered – solo consolidated, a UK regulated banking entity, Standard Chartered Bank (Hong Kong) Limited (regulated by the Hong Kong Monetary Authority), Standard Chartered Bank Korea Limited (regulated by the Financial Supervisory Service (FSS) in Korea), and Standard Chartered Bank (Singapore) Limited (regulated by the Monetary Authority of Singapore).

The capital resources of these subsidiaries are calculated in accordance with the regulatory requirements applicable in the countries in which they are incorporated, and therefore cannot be aggregated, but are presented to align with the Group format.

Annex 1 provides a summary of the disclosure for the significant subsidiaries.

The chart below represents a simplified regulatory structure of the Group, including the subsidiaries covered by CRR Part 2.

Introduction

1.8 Comparison of accounting balance sheet and exposure at default

The differences between the financial and prudential consolidated balance sheets arise primarily from differences in the basis of consolidation and the requirement to not consolidate for prudential purposes insurance entities which are subject to full consolidation for financial purposes.

Table 5 splits the regulatory balance sheet measured under IFRS into each regulatory risk category. The regulatory risk category drives the approach applied in the calculation of regulatory exposures and RWA.

Table 5: Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories (UK LI1)

				2024
	Carrying values as reported in published financial statements \$million	Carrying values under the scope of regulatory consolidation \$million	Subject to the credit risk framework \$million	Subject to the CCR framework \$million	Subject to the securitisation framework \$million	Subject to the market risk framework \$million	Not subject to own funds requirements or subject to deduction from own funds \$million
Assets
Cash and balances at central banks	63,447	63,500	63,500	–	–	–	–
Financial assets held at fair value through profit or
loss	177,517	177,515	9,297	162,734	824	168,220	–
Derivative financial instruments	81,472	81,472	–	81,472	–	81,472	–
Loans and advances to banks	43,593	43,593	43,593	–	–	4,852	–
Loans and advances to customers	281,032	281,032	255,773	5,247	18,335	5,247	–
Investment securities	144,556	145,568	111,267	20,634	13,668	44,502	–
Other assets	43,468	43,794	34,446	9,344	–	8,479	–
Current tax assets	663	663	663	–	–	–	–
Prepayments and accrued income	3,207	3,209	3,209	–	–	–	–
Interests in associates and joint ventures	1,020	996	996	–	–	–	–
Goodwill and intangible assets	5,791	5,814	–	–	–	–	5,814
Property, plant and equipment	2,425	2,424	2,424	–	–	–	–
Deferred tax assets	414	414	315	–	–	–	99
Retirement benefit schemes in surplus	151	151	151	–	–	–	–
Asset classified as held for sale	932	932	932	–	–	–	–
Total assets	849,688	851,077	526,566	279,430	32,827	312,773	5,913
Liabilities
Deposits by banks	25,400	25,400	–	–	–	–	25,400
Customer accounts	464,489	464,489	–	–	–	–	464,489
Repurchase agreements and other similar secured borrowing	12,132	12,132	–	12,132	–	–	–
Financial liabilities held at fair value through profit or loss	85,462	85,462	–	66,307	–	–	19,155
Derivative financial instruments	82,064	82,064	–	82,064	–	82,064	–
Debt securities in issue	64,609	64,609	–	–	–	–	64,609
Other liabilities	44,681	46,148	6,550	14,527	–	14,527	31,621
Current tax liabilities	726	727	–	–	–	–	727
Accruals and deferred income	6,896	6,768	–	–	–	–	6,768
Subordinated liabilities and other borrowed funds	10,382	10,382	–	–	–	–	10,382
of which: considered as Additional Tier 1 capital	–	–	–	–	–	–	–
of which: considered as Tier 2 capital	10,382	10,382		–	–	–	10,382
Deferred tax liabilities	567	567	–	–	–	–	567
Provisions for liabilities and charges	349	349	–	–	–	–	349
Retirement benefit obligation	266	266	–	–	–	–	–
Liabilities included in disposal groups held for sale	381	381	–	–	–	–	–
Total liabilities	798,404	799,744	6,550	175,030	–	96,591	624,067
Equity
Share capital and share premium account	6,695	6,695	–	–	–	–	–
Other reserves & retained earnings	37,693	37,745	–	–	–	–	–
Total parent company shareholders' equity	44,388	44,440	–	–	–	–	–
Other equity instruments	6,502	6,502	–	–	–	–	–
Total equity excluding non-controlling interests	50,890	50,942	–	–	–	–	–
Non-controlling interest	394	391	–	–	–	–	–
Total equity	51,284	51,333	–	–	–	–	–
Total equity and liabilities	849,688	851,077	6,550	175,030	–	96,591	624,067

Table 5: Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories (UK LI1) continued

	2023
	Carrying values as reported in published financial statements \$million	Carrying values under the scope of regulatory consolidation \$million	Subject to the credit risk framework \$million	Subject to the CCR framework \$million	Subject to the securitisation framework \$million	Subject to the market risk framework \$million	Not subject to own funds requirements or subject to deduction from own funds \$million
Assets
Cash and balances at central banks	69,905	69,957	69,957	–	–	–	–
Financial assets held at fair value through profit or loss	147,222	147,356	9,477	134,799	954	137,745	–
Derivative financial instruments	50,434	50,434	–	50,434	–	50,434	–
Loans and advances to banks	44,977	44,977	44,925	647	–	647	–
Loans and advances to customers	286,975	286,975	275,632	4,789	28,937	4,789	–
Investment securities	161,255	161,254	125,282	35,972	2,443	44,700	–
Other assets	47,594	48,028	23,192	9,815	–	15,022	–
Current tax assets	484	484	484	–	–	–	–
Prepayments and accrued income	3,033	3,031	3,031	–	–	–	–
Interests in associates and joint ventures	966	772	772	–	–	–	–
Goodwill and intangible assets	6,214	6,244	–	–	–	–	6,244
Property, plant and equipment	2,274	2,273	2,273	–	–	–	–
Deferred tax assets	702	702	612	–	–	–	90
Asset classified as held for sale	809	809	809	–	–	–	–
Total assets	822,844	823,296	556,445	236,456	32,334	253,337	6,334
Liabilities
Deposits by banks	28,030	28,030	–	–	–	–	28,030
Customer accounts	469,418	469,421	–	–	–	–	469,421
Repurchase agreements and other similar secured borrowing	12,258	12,258	–	12,258	–	–	–
Financial liabilities held at fair value through profit or loss	83,096	83,094	–	61,856	–	–	21,238
Derivative financial instruments	56,061	56,061	–	56,061	–	56,061	–
Debt securities in issue	62,546	62,413	–	–	–	–	62,413
Other liabilities	39,221	39,905	6,568	8,440	–	8,440	31,329
Current tax liabilities	811	812	–	–	–	–	812
Accruals and deferred income	6,975	6,859	–	–	–	–	6,859
Subordinated liabilities and other borrowed funds	12,036	12,036	–	–	–	–	12,036
of which: considered as Additional Tier 1 capital	–	–	–	–	–	–	–
of which: considered as Tier 2 capital	12,036	12,036	–	–	–	–	12,036
Deferred tax liabilities	770	770	–	–	–	–	770
Provisions for liabilities and charges	299	302	–	–	–	–	302
Retirement benefit obligation	183	183	–	–	–	–	183
Liabilities included in disposal groups held for sale	787	787	–	–	–	–	787
Total liabilities	772,491	772,931	6,568	138,615	–	64,501	646,216
Equity
Share capital and share premium account	6,815	6,815	–	–	–	–	–
Other reserves	9,171	9,174	–	–	–	–	–
Retained earnings	28,459	28,469	–	–	–	–	–
Other equity instruments	5,512	5,512	–	–	–	–	–
Non-controlling interest	396	395	–	–	–	–	–
Total equity	50,353	50,365	–	–	–	–	–
Total equity and liabilities	822,844	823,296	6,568	138,615	–	64,501	646,216

Table 6 shows the effect of regulatory adjustments required to derive the Group's exposure at default (EAD) for the purposes of calculating its credit risk capital requirements. The differences between the carrying values under regulatory scope of consolidation and amounts considered for regulatory purposes shown in Table 6 are mainly due to derivatives netting benefits, provisions, collateral and off-balance sheet

exposures. The standardised credit risk before and after the effect of CRM is presented in Table 70; standardised credit and counterparty credit risk by risk weight is presented in Tables 73 and 92 and IRB credit and counterparty credit risk before and after the effect of Credit Risk Mitigation (CRM) is presented in Table 53. Information on the standardised and IRB counterparty credit risk exposures can be found in section 4.2. Further detail on the EAD under the securitisation framework can be found in Tables 74 and 75.

Table 6: Main sources of differences between regulatory exposure amounts and carrying values in financial statements (UK LI2)

		2024
		Subject to Credit risk framework \$million	Subject to CCR framework \$million	Subject to Securitisation framework \$million	Subject to Market risk framework \$million
1	Assets carrying value amount under the scope of regulatory consolidation (as per template LI1)	526,566	279,430	32,827	312,773
2	Liabilities carrying value amount under the regulatory scope of consolidation (as per template LI1)	6,550	175,030	–	96,591
3	Total net amount under the regulatory scope of consolidation	520,016	104,400	32,827	216,182
4	Off-balance-sheet amounts	101,055	–	–
5	Differences in valuations	–	79,094	–
6	Differences due to different netting rules, other than those already included in row2	–	–	–
7	Differences due to consideration of provisions	4,579	–	–
8	Differences due to the use of credit risk mitigation techniques (CRMs)	883	106,339	1,498
9	Differences due to credit conversion factors	–	–	–
10	Differences due to Securitisation with risk transfer	–	31,479	–
11	Other differences	(657)	137	(1)
12	Regulatory exposure at default pre credit risk mitigation	625,877	321,449	34,324	216,182

		2023
		Subject to Credit risk framework \$million	Subject to CCR framework \$million	Subject to Securitisation framework \$million	Subject to Market risk framework \$million
1	Assets carrying value amount under the scope of regulatory consolidation (as per template LI1)	556,445	236,456	32,334	253,337
2	Liabilities carrying value amount under the regulatory scope of consolidation (as per template LI1)	6,568	138,615	–	64,501
3	Total net amount under the regulatory scope of consolidation	549,877	97,841	32,334	188,835
4	Off-balance-sheet amounts	101,137	–	–
5	Differences in valuations	–	64,340	–
6	Differences due to different netting rules, other than those already included in row2	–	–	–
7	Differences due to consideration of provisions	4,980	–	–
8	Differences due to the use of credit risk mitigation techniques (CRMs)	4,724	62,626	1,588
9	Differences due to credit conversion factors	–	–	–
10	Differences due to Securitisation with risk transfer	–	23,753	–
11	Other differences	(505)	(1,897)	–
12	Regulatory exposure at default pre credit risk mitigation	660,213	246,662	33,922	188,835

2 Reflects the effect of master netting agreements in addition to the netting permitted under International Accounting Standard (IAS) 32 requirement

The CRR provisions on prudential valuation require banks to quantify several valuation uncertainties pertaining to the valuation of assets and liabilities recorded at fair value for accounting purposes. The amounts by which the resulting Prudent Valuation Adjustments (PVA) exceed any associated Fair Value Adjustments are referred to as the Additional Valuation Adjustments (AVAs) and their aggregate is deducted from CET1 capital. AVAs arise from uncertainties related to market prices, close-out costs, model risk, unearned credit spreads, investing and funding costs, concentrated positions, future administrative costs, early terminations and operational risks.

Table 7: Prudent valuation adjustments (PVA) (UK PV1)

					2024
			Risk category					Category level AVA – Valuation uncertainty
		Equity \$million	Interest rates \$million	FX \$million	Credit \$million	Commodities \$million	Unearned credit spreads AVA \$million	Investment and funding costs AVA \$million
1	Market price uncertainty	35.9	115.2	20.1	53.4	11.3	30.3	2.3
3	Close-out cost	2.3	87.4	3.6	4.0	6.0	1.2	0.7
4	Concentrated positions	63.8	74.9	3.8	32.4	2.9	–	–
5	Early termination	–	–	–	–	–	–	–
6	Model risk	0.0	9.4	0.1	0.5	0.1	1.0	–
7	Operational risk	3.8	20.6	4.0	4.7	1.7	3.1	0.3
10	Future administrative costs	0.8	2.6	0.3	18.7	0.1	–	–

12 Total Additional Valuation Adjustments (AVAs)

			2024
		Total category level post diversification \$million	Of which: Total core approach in the trading book \$million	Of which: Total core approach in the banking book \$million
1	Market price uncertainty	268.5	168.3	100.2
3	Close-out cost	105.3	77.9	27.4
4	Concentrated positions	177.9	58.2	119.7
5	Early termination	–	–	–
6	Model risk	11.1	11.1	–
7	Operational risk	38.3	26.2	12.1
10	Future administrative costs	22.4	21.7	0.7
12	Total Additional Valuation Adjustments (AVAs)	623.5	363.4	260.1

Table 7: Prudent valuation adjustments (PVA) (UK PV1) continued

					2023
		Risk category			Category level AVA – Valuation uncertainty
		Equity \$million	Interest rates \$million	FX \$million	Credit \$million	Commodities \$million	Unearned credit spreads AVA \$million	Investment and funding costs AVA \$million
1	Market price uncertainty	38.1	122.9	17.2	81.1	12.4	20.3	2.1
3	Close-out cost	1.3	79.0	3.7	2.1	7.1	1.0	–
4	Concentrated positions	124.4	143.7	3.1	6.9	1.8	–	–
5	Early termination	–	–	–	–	–	–	–
6	Model risk	–	8.2	–	–	–	0.8	–
7	Operational risk	3.9	20.2	2.1	7.3	1.9	2.1	–
10	Future administrative costs	1.5	1.6	–	11.2	–	–	–

12 Total Additional Valuation Adjustments (AVAs)

		2023
		Total category level post diversification \$million	Of which: Total core approach in the trading book \$million	Of which: Total core approach in the banking book \$million
1	Market price uncertainty	294.0	156.2	137.8
3	Close-out cost	94.8	71.3	23.5
4	Concentrated positions	279.9	46.3	233.6
5	Early termination	–	–	–
6	Model risk	9.5	9.5	–
7	Operational risk	37.9	22.8	15.1
10	Future administrative costs	14.4	12.8	1.7
12	Total Additional Valuation Adjustments (AVAs)	730.5	318.8	411.7

Introduction

2. Capital

2.1 Capital management

The Group's capital, leverage and Minimum Requirements for own funds and Eligible Liabilities (MREL) positions are managed within the Board-approved risk appetite. The Group is well capitalised with low leverage and high levels of loss-absorbing capacity.

The Risk management approach section of the 2024 Annual Report and Accounts sets out our approach to capital management (pages 202 to 203).

2.2 Capital resources

All capital instruments included in the capital base meet the requirements set out in the CRR for their respective tier of capital.

For regulatory purposes, capital is categorised into two tiers, depending on the degree of permanence and lossabsorbency exhibited. These are Tier 1 and Tier 2 capital which are described below.

Tier 1 capital

• Tier 1 capital is going concern capital and is available for use to cover risks and losses whilst enabling the organisation to continue trading
• Tier 1 capital comprises permanent share capital, profit and loss account and other eligible reserves, equity noncontrolling interests and Additional Tier 1 instruments, after the deduction of certain regulatory adjustments
• Permanent share capital is an item of capital issued by an organisation to an investor, which is fully paid-up and where the proceeds of issue are immediately and fully available. It can only be redeemed on the winding-up of the organisation. Profit and loss account and other eligible reserves are accumulated resources included in shareholders' funds in an organisation's balance sheet, with certain regulatory adjustments applied
• Equity non-controlling interests represent the equity stakes held by non-controlling shareholders in the Group's undertakings
• Additional Tier 1 securities are deeply subordinated instruments which have loss-absorbing qualities such as discretionary coupons, principal write-down or conversion to equity and can therefore be included as Tier 1 capital

Tier 2 capital

Tier 2 capital is gone concern capital to help ensure senior creditors and depositors can be repaid if the organisation fails. Tier 2 capital consists of capital instruments which are normally of medium to long-term maturity with an original maturity of at least five years. For regulatory purposes, it is a requirement that these instruments be amortised on a straight-line basis in their final five years of maturity.

Details of the Group's capital instruments (both Tier 1 and 2 capital) are set out in the Standard Chartered PLC Main Features of Capital Instruments document available on the Group's website at https://www.sc.com/en/investors/ credit-ratings-fixed-income/#capitalsecurities.

Table 8 summarises the consolidated capital position of the Group.

Table 8: Reconciliation between financial total equity and regulatory CET1 before regulatory adjustments

	2024 \$million	2023 \$million
Total equity per balance sheet (financial view)	51,284	50,353
Consolidation and regulatory adjustments	53	12
Total equity per balance sheet (regulatory view)	51,337	50,365
Foreseeable dividend	(923)	(768)
Other equity instruments (included in AT1)	(7,996)	(7,006)
Non-controlling interests	(159)	(178)
Common Equity Tier 1 capital before regulatory adjustments	42,259	42,413

Table 9: Composition of regulatory own funds (UK CC1)

		2024 \$million	2023 \$million
	Common Equity Tier 1 (CET1) capital: instruments and reserves
1	Capital instruments and the related share premium accounts	5,201	5,321
	Of which: Share premium accounts	3,989	3,989
2	Retained earnings1	24,950	24,931
3	Accumulated other comprehensive income (and other reserves)	8,724	9,170
5	Minority interests (amount allowed in consolidated CET1)	235	217
5a	Independently reviewed interim and year-end profits/(loss)2	4,072	3,542
	Foreseeable dividends3	(923)	(768)
6	Common Equity Tier 1 (CET1) capital before regulatory adjustments	42,259	42,413
	Common Equity Tier 1 capital: regulatory adjustments
7	Additional value adjustments	(624)	(730)
8	Intangible assets (net of related tax liability)	(5,696)	(6,128)
10	Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met)	(31)	(41)
11	Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value	(4)	(91)
12	Negative amounts resulting from the calculation of expected loss amounts	(702)	(754)
14	Gains or losses on liabilities valued at fair value resulting from changes in own credit standing	278	(100)
15	Defined-benefit pension fund assets	(149)	(95)
	Fair value gains and losses from own credit risk related to derivative liabilities	(97)	(116)
	UK-20aExposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative	(44)	(44)
UK-20c	of which: securitisation positions	(8)	(33)
UK-20d	of which: free deliveries	(36)	(11)
27a	Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant)		–
28	Total regulatory adjustments to Common Equity Tier 1 (CET1)	(7,069)	(8,099)
29	Common Equity Tier 1 (CET1) capital	35,190	34,314
	Additional Tier 1 (AT1) capital: instruments
30	Capital instruments and the related share premium accounts	6,502	5.512
31	of which: classified as equity under applicable accounting standards	6,502	5.512
32	of which: classified as liabilities under applicable accounting standards	–	–
36	Additional Tier 1 (AT1) capital before regulatory adjustments	6,502	5.512
	Additional Tier 1 capital: regulatory adjustments
37	Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount)	(20)	(20)
43	Total regulatory adjustments to Additional Tier 1 (AT1) capital	(20)	(20)
44	Additional Tier 1 (AT1) capital	6,482	5,492
45	Tier 1 capital (T1 = CET1 + AT1)	41,672	39,806
	Tier 2 (T2) capital: instruments and provisions
46	Capital instruments and the related share premium accounts	11,231	11,744
47	Amount of qualifying items referred to in Article 484 (5) CRR and the related share premium accounts subject to phase out from T2 as described in Article 486(4) CRR	–	–
48	Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by
	third parties	218	221
51	Tier 2 (T2) capital before regulatory adjustments	11,449	11,965
	Tier 2 capital: regulatory adjustments
52	Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans	(30)	(30)
57	Total regulatory adjustments to Tier 2 (T2) capital	(30)	(30)
58	Tier 2 (T2) capital	11,419	11,935
59	Total capital (TC = T1 + T2)	53,091	51,741
60	Total Risk exposure amount	247,065	244,151

Table 9: Composition of regulatory own funds (UK CC1) continued

		2024 \$million	2023 \$million
	Capital ratios and buffers
61	Common Equity Tier 1 (as a percentage of total risk exposure amount)	14.2%	14.1%
62	Tier 1 (as a percentage of total risk exposure amount)	16.9%	16.3%
63	Total capital (as a percentage of total risk exposure amount)	21.5%	21.2%
64	Institution CET1 overall capital requirement (CET1 requirement in accordance with Article 92 (1) CRR, plus additional CET1 requirement which the institution is required to hold in accordance with point (a) of Article 104(1) CRD, plus combined buffer requirement in accordance with Article 128(6) CRD) expressed as a percentage of risk exposure amount)	10.5%	10.5%
65	of which: capital conservation buffer requirement	2.5%	2.5%
66	of which: countercyclical buffer requirement	0.4%	0.4%
67	of which: systemic risk buffer requirement	–	–
UK-67a	of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer	1.0%	1.0%
68	Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount)	7.6%	7.4%
	Amounts below the thresholds for deduction (before risk weighting)
72	Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)	2,560	2,035
73	Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions)	868	973
75	Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met)	480	750
	Applicable caps on the inclusion of provisions in Tier 2
76	Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)	–	–
77	Cap on inclusion of credit risk adjustments in T2 under standardised approach	500	517
78	Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)	–	–
79	Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach	845	852

1 Retained earnings under CRD IV include the effect of regulatory consolidation adjustments

2 Independently reviewed year-end profits are in accordance with regulatory consolidation rules

3 Foreseeable dividends as at FY 2024 represent ordinary dividends and preference dividends

The main movements in capital in the period were:

• CET1 capital increased by \$0.9 billion as retained profits of \$4.1 billion, movement in FVOCI of \$0.6 billion were partly offset by share buy-backs of \$2.5 billion, distributions paid and foreseeable of \$1.4 billion, foreign currency translation impact of \$0.5 billion and a reduction in regulatory deductions and other movements of \$0.6 billion.
• AT1 capital increased by \$1.0 billion following the issuance of \$1.0 billion of 7.88 per cent securities and \$0.6 billion of 5.30 per cent securities partly offset by the redemption of \$0.6 billion of 5.38 per cent securities.
• Tier 2 capital decreased by \$0.5 billion due to the redemption of \$1.6 billion of Tier 2 during the year partly offset by the reversal of regulatory amortisation and foreign currency translation impact.

The Group's current CET1 requirement is 10.5 per cent, comprising:

• A minimum Pillar 1 CET1 requirement of 4.5 per cent.
• A Pillar 2A CET1 requirement of 2.1 per cent being 56 per cent of the total Pillar 2A requirement of 3.7 per cent.
• A capital conservation buffer of 2.5 per cent.
• A G-SII buffer of 1.0 per cent.
• A countercyclical capital buffer of 0.4 per cent.

Table 10: Reconciliation of regulatory own funds to balance sheet in the audited financial statements (UK CC2)

		2024		2023
	Balance sheet as in published financial statements \$million	Under regulatory scope of consolidation \$million	Balance sheet as in published financial statements \$million	Under regulatory scope of consolidation \$million
Assets
Cash and balances at central banks	63,447	63,500	69,905	69,957
Financial assets held at fair value through profit or loss	177,517	177,515	147,222	147,356
Derivative financial instruments	81,472	81,472	50,434	50,434
Loans and advances to banks	43,593	43,593	44,977	44,977
Loans and advances to customers	281,032	281,032	286,975	286,975
Investment securities	144,556	145,568	161,255	161,254
Other assets	43,468	43,794	47,594	48,028
Current tax assets	663	663	484	484
Prepayments and accrued income	3,207	3,209	3,033	3,031
Interests in associates and joint ventures	1,020	996	966	772
Goodwill and intangible assets	5,791	5,814	6,214	6,244
Of which: goodwill	5,791	5,810	6,202	6,223
Of which: other intangibles (excluding MSRs)	–	4	12	21
Of which: MSRs	–	–	–	–
Property, plant and equipment	2,425	2,424	2,274	2,273
Deferred tax assets	414	414	702	702
Retirement benefit schemes in surplus	151	151	–	–
Assets classified as held for sale	932	932	809	809
Total assets	849,688	851,077	822,844	823,296
Liabilities
Deposits by banks	25,400	25,400	28,030	28,030
Customer accounts	464,489	464,489	469,418	469,421
Repurchase agreements and other similar secured borrowing	12,132	12,132	12,258	12,258
Financial liabilities held at fair value through profit or loss	85,462	85,462	83,096	83,094
Derivative financial instruments	82,064	82,064	56,061	56,061
Debt securities in issue	64,409	64,609	62,546	62,413
Other liabilities	44,681	46,148	39,221	39,905
Current tax liabilities	726	727	811	812
Accruals and deferred income	6,896	6,768	6,975	6,859
Subordinated liabilities and other borrowed funds	10,382	10,382	12,036	12,036
of which: considered as Additional Tier 1 capital	–	–	–	–
of which: considered as Tier 2 capital	10,382	10,382	12,036	12,036
Deferred tax liabilities	567	567	770	770

Table 10: Reconciliation of regulatory own funds to balance sheet in the audited financial statements (UK CC2) continued

		2024		2023
	Balance sheet as in published financial statements \$million	Under regulatory scope of consolidation \$million	Balance sheet as in published financial statements \$million	Under regulatory scope of consolidation \$million
Provisions for liabilities and charges	349	349	299	302
Retirement benefit obligations	266	266	183	183
Liabilities included in disposal groups held for sale	381	381	787	787
Total liabilities	798,404	799,744	772,491	772,931
Shareholders' Equity
Share capital and share premium account	6,695	6,695	6,815	6,815
Other reserves & Retained earnings	37,693	37,745	37,630	37,643
Total parent company shareholders' equity	44,388	44,440	44,445	44,458
Other equity instruments	6,502	6,502	5,512	5,512
Total equity excluding non-controlling interests	50,890	50,942	49,957	49,970
Non-controlling interest	394	391	396	395
Total equity	51,284	51,333	50,353	50,365
Total equity and liabilities	849,688	851,077	822,844	823,296

2.3 Minimum requirement for own funds and eligible liabilities

From 1 January 2019, a requirement for total loss-absorbing capacity (TLAC) was introduced, as defined in the final standards adopted by the Financial Stability Board (FSB). In the EU, TLAC requirements were implemented by the Capital Requirements Regulation II (CRR II) which was published in the Official Journal of the European Union on the 7 June 2019 and came into effect on 27 June 2019 and included a new framework on MREL.

MREL is intended to ensure that there is sufficient equity and specific types of liabilities to facilitate an orderly resolution that minimises any impact on financial stability and ensures the continuity of critical functions and avoids exposing taxpayers to loss. The new framework is complemented with new disclosure requirements. As the specific EU format for disclosure is yet to be agreed, the disclosures are based on the formats provided in the Basel Committee Standards for Pillar 3 Phase 2 disclosures requirements.

The Group's MREL leverage requirement as at 31 December 2024 was 27.6 per cent of RWA. This is composed of a minimum requirement of 23.7 per cent of RWA and the Group's combined buffer (comprising the capital conservation buffer, the G-SII buffer and the countercyclical buffer). The Group's MREL ratio was 34.2 per cent of RWA and 9.7 per cent of leverage exposure at 31 December 2024.

During 2024, the Group successfully raised \$9.1 billion of MREL eligible securities from its holding company, Standard Chartered PLC. Issuance include \$1.6 billion of Additional Tier 1 and \$7.5 billion of callable senior debt.

Details of the Group's MREL eligible instruments are set out in the Standard Chartered PLC Main Features of Capital Instruments document available on the Group's website at https://www.sc.com/en/investors/credit-ratings-fixedincome/#capitalsecurities.

Table 11 shows details of the composition of the Groups MREL.

Table 11: TLAC composition for G-SIBs (TLAC1)

	2024 \$million	2023 \$million
Regulatory capital elements of TLAC and adjustments
Common Equity Tier 1 capital (CET1)	35,190	34,314
Additional Tier 1 capital (AT1) before TLAC adjustments	6,482	5,492
AT1 ineligible as TLAC as issued out of subsidiaries to third parties	–	–
Other adjustments	–	–
AT1 instruments eligible under the TLAC framework	6,482	5,492
Tier 2 capital (T2) before TLAC adjustments	11,419	11,935
Amortised portion of T2 instruments where remaining maturity > 1 year	714	464
T2 capital ineligible as TLAC as issued out of subsidiaries to third parties	(218)	(217)
Other adjustments	–	(112)
T2 instruments eligible under the TLAC framework	11,915	12,070
TLAC arising from regulatory capital	53,587	51,877
Non-regulatory capital elements of TLAC
External TLAC instruments issued directly by the bank and subordinated to excluded liabilities	–	–
External TLAC instruments issued directly by the bank which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements	30,987	29,448
Of which: amount eligible as TLAC after application of the caps	30,987	29,448
External TLAC instruments issued by funding vehicles prior to 1 January 2022	–	–
Eligible ex ante commitments to recapitalise a G-SIB in resolution	–	–
TLAC arising from non-regulatory capital instruments before adjustments	30,987	29,448
Non-regulatory capital elements of TLAC: adjustments
TLAC before deductions	84,574	81,324
Deductions of exposures between MPE resolution groups that correspond to items eligible for TLAC (not applicable to SPE G-SIBs)	–	–
Deduction of investments in own other TLAC liabilities	(11)	(14)
Other adjustments to TLAC	–	–
TLAC after deductions	84,563	81,310
Risk-weighted assets and leverage exposure measure for TLAC purposes
Total risk-weighted assets adjusted as permitted under the TLAC regime	247,065	244,151
UK Leverage exposure measure	868,344	847,142
TLAC ratios and buffers
TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime)	34.2%	33.3%
TLAC (as a percentage of leverage exposure)	9.7%	9.6%
CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group's minimum capital and TLAC requirements	7.6%	7.4%
Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)	3.9%	3.9%
Of which: capital conservation buffer requirement	2.5%	2.5%
Of which: bank specific countercyclical buffer requirement	0.4%	0.4%
Of which: higher loss absorbency requirement	1.0%	1.0%

Capital

Table 12 shows information regarding the ranking of the Group's liabilities at the resolution group level.

Table 12: Resolution entity – creditor ranking at legal entity level (TLAC3)

	2024
	Creditor ranking
	1 \$million	2 \$million	3 \$million	Total \$million
Description of creditor ranking	Tertiary non preferential debt2	Tertiary non preferential debt – Tier 2 securities	Ordinary non preferential debt3
Total capital and liabilities net of credit risk mitigation1	6,580	11,975	31,346	49,902
Of which: are excluded liabilities	–	–	(650)	(650)
Total capital and liabilities less excluded liabilities	6,580	11,975	31,996	50,552
Of which: are potentially eligible as TLAC	6,580	11,975	31,996	50,552
Of which: with 1 year ≤ residual maturity < 2 years	–	–	5,032	5,032
Of which: with 2 years ≤ residual maturity < 5 years	–	1,250	12,934	14,184
Of which: with 5 years ≤ residual maturity < 10 years	–	4,980	10,004	14,984
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	4,000	4,027	8,027
Of which: perpetual securities	6,580	1,745	–	8,325

	2023
	Creditor ranking
	1 \$million	2 \$million	3 \$million	Total \$million
Description of creditor ranking	Tertiary non preferential debt2	Tertiary non preferential debt – Tier 2 securities	Ordinary non preferential debt3
Total capital and liabilities net of credit risk mitigation1	5,553	12,504	34,136	52,193
Of which: are excluded liabilities	–	–	(1,754)	(1,754)
Total capital and liabilities less excluded liabilities	5,553	12,504	31,741	50,439
Of which: are potentially eligible as TLAC	5,553	12,504	32,382	50,439
Of which: with 1 year ≤ residual maturity < 2 years	–	–	7,380	7,380
Of which: with 2 years ≤ residual maturity < 5 years	–	1,250	14,417	15,667
Of which: with 5 years ≤ residual maturity < 10 years	–	4,575	8,447	13,022
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	4,883	2,136	7,020
Of which: perpetual securities	5,553	1,796	–	7,349

1 Excludes CET1 and is based on accounting values

2 AT1 Preference shares and Contingent Convertible Capital Instruments

3 Senior bonds, derivative liabilities, tax claims etc

TLAC 2 is a G-SII disclosure requirement to provide the ranking of the liability structure of all of the Group's material sub-groups in as defined by the FSB TLAC Term Sheet. The group has 5 material sub-groups; Standard Chartered Bank, Standard Chartered Bank (Hong Kong) Limited, Standard Chartered Bank Korea Limited, Standard Chartered Bank (China) Limited, and Standard Chartered Bank (Singapore) Limited for which disclosure would be required.

Table 13: Standard Chartered Bank – creditor ranking (TLAC2)

	2024
	Creditor ranking
	1 \$million	2 \$million	2 \$million	3 \$million	3 \$million	Total \$million
Is the resolution entity the creditor/ investor?	No1	Yes	No	Yes	Yes
Description of creditor ranking	Tertiary non preferential debt – common shares	Tertiary non preferential debt – AT1 cocos	Tertiary non preferential debt – Tier 2 securities	Tertiary non preferential debt – Tier 2 securities	Secondary non preferential debt
Total capital and liabilities net of credit risk mitigation2	20,597	5,722	291	10,826	8,165	45,601
Of which: are excluded liabilities	–	–	–	–	–	–
Total capital and liabilities less excluded liabilities	20,597	5,722	291	10,826	8,165	45,601
Of which: are potentially eligible as TLAC	20,597	5,722	291	10,826	8,165	45,601
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–	–	280	280
Of which: with 2 years ≤ residual maturity < 5 years	–	–	–	–	5,544	5,544
Of which: with 5 years ≤ residual maturity < 10 years	–	–	291	4,035	841	5,167
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–	6,041	1,500	7,541
Of which: is perpetual securities	20,597	5,722	–	750	–	27,069

			2023
	Creditor ranking
	1	2	2	3	3	Total
	\$million	\$million	\$million	\$million	\$million	\$million
Is the resolution entity the
creditor/investor?	No1	Yes	No	Yes	Yes
Description of creditor ranking	Tertiary	Tertiary	Tertiary	Tertiary	Secondary
	non	non	non	non	non
	preferential	preferential	preferential	preferential	preferential
	debt –	debt – AT1	debt – Tier 2	debt – Tier 2	debt
	common	cocos	securities	securities
	shares
Total capital and liabilities net of credit
risk mitigation2	20,597	4,742	291	11,974	9,831	47,434
Of which: are excluded liabilities	–	–	–	–	–	–
Total capital and liabilities less excluded
liabilities	20,597	4,742	291	11,974	9,831	47,434
Of which: are potentially eligible as
TLAC	20,597	4,742	291	11,974	9,831	47,434
Of which: with 1 year ≤ residual
maturity < 2 years	–	–	–	–	3,989	3,989
Of which: with 2 years ≤ residual
maturity < 5 years	–	–	–	–	2,929	2,929
Of which: with 5 years ≤ residual
maturity < 10 years	–	–	291	5,134	2,913	8,338
Of which: with residual maturity
≥ 10 years, but excluding perpetual
securities	–	–	–	6,090	–	6,090
Of which: is perpetual securities	20,597	4,742	–	750	–	26,089

1 Held by Standard Chartered Holdings Limited

Table 14: Standard Chartered Bank (Hong Kong) Limited – creditor ranking (TLAC2)

	2024
	1 \$million	2 \$million	3 \$million	4 \$million	Total \$million
Is the resolution entity the creditor/investor?	Yes	Yes	Yes	Yes
Description of creditor ranking	Common Shares	Securities and preference shares qualifying as AT1	Dated subordinated notes qualifying as Tier 2	Loss absorbing non-preferred notes
Total capital and liabilities net of credit risk mitigation1	8,374	3,000	1,290	3,790	16,454
Of which: are excluded liabilities	–	–	–	–	–
Total capital and liabilities less excluded liabilities	8,374	3,000	1,290	3,790	16,454
Of which: are potentially eligible as TLAC	8,374	3,000	1,290	3,790	16,454
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	–	2,750	2,750
Of which: with 5 years ≤ residual maturity < 10 years	–	–	1,290	1,040	2,330
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–	–	–
Of which: perpetual securities	8,374	3,000	–	–	11,374
	2023

	Creditor ranking
	1 \$million	2 \$million	3 \$million	4 \$million	Total \$million
Is the resolution entity the creditor/investor?	Yes	Yes	Yes	Yes
Description of creditor ranking	Common Shares	Securities and preference shares qualifying as AT1	Dated subordinated notes qualifying as Tier 2	Loss absorbing non-preferred notes
Total capital and liabilities net of credit risk mitigation1	8,329	2,650	1,808	2,750	15,537
Of which: are excluded liabilities	–	–	–	–	–
Total capital and liabilities less excluded liabilities	8,329	2,650	1,808	2,750	15,537
Of which: are potentially eligible as TLAC	8,329	2,650	1,808	2,750	15,537
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	–	2,750	2,750
Of which: with 5 years ≤ residual maturity < 10 years	–	–	1,808	–	1,808
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–	–	–
Of which: perpetual securities	8,329	2,650	–	–	10,979

Table 15: Standard Chartered Bank Korea Limited – creditor ranking (TLAC2)

	2024
	Creditor ranking
	1 \$million	2 \$million	3 \$million	Total \$million
Is the resolution entity the creditor/investor?	No1	No2	No3
Description of creditor ranking	Common shares	Additional Tier 1 securities	Tier 2 securities
Total capital and liabilities net of credit risk mitigation4	1,302	266	679	2,247
Of which: are excluded liabilities	–	–	–	–
Total capital and liabilities less excluded liabilities	1,302	266	679	2,247
Of which: are potentially eligible as TLAC	1,302	266	679	2,247
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	679	679
Of which: with 5 years ≤ residual maturity < 10 years	–	–	–	–
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–	–
Of which: perpetual securities	1,302	266	–	1,568

	2023
		Creditor ranking
	1 \$million	2 \$million	3 \$million	Total \$million
Is the resolution entity the creditor/investor?	No1	No2	No3
Description of creditor ranking	Common shares	Additional Tier 1 securities	Tier 2 securities
Total capital and liabilities net of credit risk mitigation4	1,302	233	776	2,311
Of which: are excluded liabilities	–	–	–	–
Total capital and liabilities less excluded liabilities	1,302	233	776	2,311
Of which: are potentially eligible as TLAC	1,302	233	776	2,311
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	311	311
Of which: with 5 years ≤ residual maturity < 10 years	–	–	466	466
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–	–
Of which: perpetual securities	1,302	233	–	1,535

1 Held by Standard Chartered NEA Limited

2 Held by Standard Chartered Bank (Hong Kong) Limited

2 Held by Standard Chartered Bank

Table 16: Standard Chartered Bank (Singapore) Limited – creditor ranking (TLAC2)

				2024
	Creditor ranking 1 2 2				3	3	Total
	\$million	\$million	\$million		\$million	\$million	\$million
Is the resolution entity the creditor/ investor?	No1	Yes	No2	No2	Yes	No2
Description of creditor ranking	Common Shares	AT1 Non cumulative Preference Shares	AT1 Non cumulative Preference Shares	AT1 Non cumulative Capital Securities	Tier 2 Subordinated Notes	Tier 2 Subordinated Notes
Total capital and liabilities net of credit risk mitigation3	5,770	500	298	580	540	2,096	9,785
Of which: are excluded liabilities	–	–	–	–	–	–	–
Total capital and liabilities less excluded liabilities	5,770	500	298	580	540	2,096	9,785
Of which: are potentially eligible as TLAC	5,770	500	298	580	540	2,096	9,785
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–	–	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	–	–	–	–	–
Of which: with 5 years ≤ residual maturity < 10 years	–	–	–	–	540	2,096	2,636
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–	–	–	–	–
Of which: perpetual securities	5,770	500	298	580	–	–	7,149
	1 \$million	2 \$million	2 \$million	2023 Creditor ranking 2 \$million	3 \$million	3 \$million	Total \$million
Is the resolution entity the creditor/ investor?	No1	Yes	No2	No2	Yes	No2
Description of creditor ranking	Common Shares	AT1 Non cumulative Preference Shares	AT1 Non cumulative Preference Shares	AT1 Non cumulative Capital Securities	Tier 2 Subordinated Notes	Tier 2 Subordinated Notes
Total capital and liabilities net of credit risk mitigation3	5,680	1,068	303	–	540	1,850	9,441
Of which: are excluded liabilities	–	–	–	–	–	–	–
Total capital and liabilities less excluded liabilities	5,680	1,068	303	–	540	1,850	9,441
Of which: are potentially eligible as TLAC	5,680	1,068	303	–	540	1,850	9,441
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–	–	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	–	–	–	–	–
Of which: with 5 years ≤ residual maturity < 10 years	–	–	–	–	540	1,850	2,390
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–	–	–	–	–
Of which: perpetual securities	5,680	1,068	303	–	–	–	7,051

1 Held by Standard Chartered Holdings (Singapore) Private Limited (\$3,963 million), Standard Chartered Bank Malaysia Berhad (\$1,273 million), Standard Chartered Bank Vietnam Limited (\$333 million), and Standard Chartered Bank (Thai) PCL (\$203 million)

2 Held by Standard Chartered Bank

Table 17: Standard Chartered Bank (China) Limited – creditor ranking (TLAC2)

		2024
	Creditor ranking		Total \$million
	1 \$million	2 \$million
Is the resolution entity the creditor/investor?	No1	Yes
Description of creditor ranking	Common Shares	Tier 2 capital
Total capital and liabilities net of credit risk mitigation2	1,446	557	2,003
Of which: are excluded liabilities	–	–	–
Total capital and liabilities less excluded liabilities	1,446	557	2,003
Of which: are potentially eligible as TLAC	1,446	557	2,003
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	–
Of which: with 5 years ≤ residual maturity < 10 years	–	557	557
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–
Of which: perpetual securities	1,446	–	1,446
		2023
	Creditor ranking
	1 \$million	2 \$million	Total \$million
Is the resolution entity the creditor/investor?	No1	Yes
Description of creditor ranking	Common Shares	Tier 2 capital
Total capital and liabilities net of credit risk mitigation2	1,446	565	2,011
Of which: are excluded liabilities	–	–	–
Total capital and liabilities less excluded liabilities	1,446	565	2,011
Of which: are potentially eligible as TLAC	1,446	565	2,011
Of which: with 1 year ≤ residual maturity < 2 years	–	–	–
Of which: with 2 years ≤ residual maturity < 5 years	–	–	–
Of which: with 5 years ≤ residual maturity < 10 years	–	565	565
Of which: with residual maturity ≥ 10 years, but excluding perpetual securities	–	–	–
Of which: perpetual securities	1,446	–	1,446

1 Held by Standard Chartered Bank (Hong Kong) Limited

2.4 Countercyclical capital buffer

The Group's countercyclical capital buffer (CCyB) requirement is determined by applying various country-specific CCyB rates to the Group's qualifying credit exposures in the relevant country (based on the jurisdiction of the obligor) on a weighted average basis.

The Group's current CCyB requirement is 37 basis points, representing a decrease of 1 basis point compared to 31 December 2023.

Countries are included in the table if the relevant own funds requirements of that country are greater than 1 per cent of the Group's total relevant own funds requirements for CCyB calculation.

Table 18: Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (UK CCyB1)

	2024
	General credit			Relevant credit	Own funds requirements
	exposures			exposures – Market risk					Relevant
			Sum of						credit
			long and short	Value of trading	Securitisation				exposures –
	Exposure	Exposure	positions of trading	book exposures	exposures Exposure		Relevant credit risk	Relevant credit	Securitisation positions in		Risk
	value under	value	book	for	value for	Total	exposures	exposures	the		weighted	Own fund
Breakdown by	the standardised	under the IRB	exposures for SA	internal models	non-trading book	exposure value	– Credit risk	– Market risk	non-trading book	Total	exposure amounts	requirements weights	Countercyclical buffer rate
country	approach	approach	\$million	\$million	\$million	\$million	\$million	\$million	\$million	\$million	\$million	(%)	(%)
Armenia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
Australia	156	2,333	144	–	34	2,667	82	11	–	94	1,170	0.7%	1.0%
Austria	7	171	–	–	–	178	3	–	–	3	40	0.0%	0.0%
Bangladesh	1,052	4,501	32	–	–	5,585	224	4	–	229	2,857	1.8%	0.0%
Belgium	–	757	4	–	–	761	4	–	–	5	59	0.0%	1.0%
Bulgaria	–	–	–	–	–	–	–	–	–	–	–	0.0%	2.0%
Chile	–	129	25	–	–	154	3	3	–	6	78	0.0%	0.5%
China	5,612	21,013	3,946	–		167 30,738	1,004	160	2	1,166	14,573	9.2%	0.0%
Croatia	–	7	–	–	–	7	–	–	–	–	4	0.0%	1.5%
Cyprus	2	134	–	–	–	136	4	–	–	4	55	0.0%	1.0%
Czech
Republic	–	–	3	–	–	3	–	–	–	–	4	0.0%	1.3%
Denmark	6	665	1	–	–	672	20	–	–	20	248	0.2%	2.5%
Estonia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
France	14	4,117	221	–	–	4,352	66	10	–	76	946	0.6%	1.0%
Germany	31	6,709	329	–	3,152	10,220	85	8	47	140	1,747	1.1%	0.8%
Ghana	167	708	14	–	–	888	135	4	–	139	1,737	1.1%	0.0%
Hong Kong		5,692 72,370	620	–		3,902 82,583	1,776	8	60		1,844 23,048	14.6%	0.5%
Hungary	–	553	196	–	–	749	15	–	–	15	190	0.1%	0.5%
Ireland	–	–	–	–	–	–	–	–	–	–	–	0.0%	2.5%
India	5,451	18,082	573	–	–	24,106	1,111	24	–	1,135	14,191	9.0%	0.0%
Indonesia	505	2,519	658	–	–	3,682	116	14	–	129	1,616	1.0%	0.0%
Ireland	53	2,113	33	–	78	2,278	32	50	1	83	1,041	0.7%	1.5%
Korea	910	34,811	292	–	–	36,014	789	3	–	792	9,895	6.3%	1.0%
Lithuania	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.0%
Luxembourg	134	6,519	12	–	332	6,997	110	2	4	116	1,450	0.9%	0.5%
Malaysia	704	9,401	674	–	–	10,780	330	10	–	340	4,246	2.7%	0.0%
Netherlands	20	2,261	31	–	–	2,312	86	2	–	88	1,099	0.7%	2.0%
Norway	1	239	4	–	–	244	10	–	–	11	131	0.1%	2.5%
Pakistan	328	2,251	1,602	–	–	4,181	201	192	–	394	4,921	3.1%	0.0%
Romania	1	–	–	–	–	1	–	–	–	–	–	0.0%	1.0%
Singapore	9,221	33,970	6,199	–		– 49,390	1,193	10	–	1,203	15,035	9.5%	0.0%
Slovakia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
Slovenia	–	–	–	–	–	–	–	–	–	–	–	0.0%	0.5%
Sri Lanka	120	924	18	–	–	1,062	132	2	–	135	1,683	1.1%	0.0%
Sweden	–	1,229	8	–	–	1,238	28	1	–	30	374	0.2%	2.0%
Taiwan	723	12,142	384	–	–	13,249	251	1	–	253	3,159	2.0%	0.0%
United Arab
Emirates	2,527	10,917	400	–	–	13,845	318	6	–	324	4,053	2.6%	0.0%
United
Kingdom	3,780	41,306	1,054	–		18,348 64,487	822	27	265	1,114	13,926	8.8%	2.0%
United States		1,912 63,864	577	–	5,315	71,667	785	26	77	888	11,100	7.0%	0.0%
Other
Countries	7,927	49,124	1,689	–		– 58,740	1,729	119	–		1,847 23,092	14.6%	0.0%

2.4 Countercyclical capital buffer continued

Table 18: Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (UK CCyB1) continued

							2023
	General credit exposures			Relevant credit exposures – Market risk					Own funds requirements
			Sum of long and						Relevant credit exposures
	Exposure value under the	Exposure value under the	short positions of trading book	Value of trading book exposures	Securitisation exposures Exposure value for	Total	Relevant credit risk exposures	Relevant credit exposures	– Securitisation positions in the		Risk weighted	Own fund
	standardised	IRB	exposures	for internal	non-trading	exposure	– Credit	– Market	non-trading		exposure	requirements	Countercyclical
Breakdown by country	approach \$million	approach \$million	for SA \$million	models \$million	book \$million	value \$million	risk \$million	risk \$million	book \$million	Total \$million	amounts %	weights (%)	buffer rate (%)
Australia	98	1,999	25	–	–	2,122	67	7	–	74	926	0.6%	1.0%
Austria	–	139	–	–	–	139	2	–	–	2	25	0.0%	0.0%
Bangladesh	1,104	2,543	216	–	–	3,863	188	17	–	205	2,568	1.8%	0.0%
Belgium	–	1,266	14	–	–	1,280	6	2	–	8	98	0.1%	0.0%
Bulgaria	–	–	–	–	–	–	–	–	–	–	1	0.0%	2.0%
China		5,715 20,105	8,545	–	2,929	37,293	961	138	45	1,144	14,298	9.8%	0.0%
Croatia	–	16	–	–	–	16	1	–	–	1	13	0.0%	1.0%
Cyprus	2	65	–	–	–	67	4	–	–	4	55	0.0%	0.5%
Czech Republic	–	–	23	–	–	23	–	3	–	3	33	0.0%	2.0%
Denmark	7	330	3	–	–	340	18	–	–	19	234	0.2%	2.5%
Estonia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
France	151	3,804	125	–	–	4,080	74	15	–	89	1,119	0.8%	0.5%
Germany	42	5,649	134	–	–	5,825	76	14	–	90	1,128	0.8%	0.8%
Hong Kong		6,666 73,449	346	–		3,679 84,140	1,879	9	56	1,945	24,313	16.6%	1.0%
Hungary	–	295	199	–	–	494	18	1	–	19	237	0.2%	0.0%
Iceland	–	–	–	–	–	–	–	–	–	–	–	0.0%	2.0%
India	5,616	17,301	2,292	–		– 25,209	1,073	46	–	1,119	13,990	9.6%	0.0%
Ireland	48	2,814	455	–	–	3,317	37	37	–	74	925	0.6%	1.0%
Korea	1,050	40,127	541	–	–	41,718	814	4	–	817	10,216	7.0%	0.0%
Lithuania	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.0%
Luxembourg	166	5,712	42	–	257	6,178	124	5	3	132	1,655	1.1%	0.5%
Malaysia	755	8,969	343	–		– 10,067	352	11	–	363	4,538	3.1%	0.0%
Netherlands	15	2,191	103	–	–	2,309	89	9	–	98	1,230	0.8%	1.0%
Nigeria	572	925	77	–	–	1,575	115	19	–	134	1,675	1.1%	0.0%
Norway	–	159	6	–	–	165	3	1	–	4	48	0.0%	2.5%
Romania	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.0%
Singapore		8,430 34,091	2,707	–		– 45,228	1,022	9	–	1,030	12,879	8.8%	0.0%
Slovakia	–	1	–	–	–	1	–	–	–	–	1	0.0%	1.5%
Slovenia	1	–	2	–	–	3	–	–	–	–	4	0.0%	0.5%
Sweden	428	1,274	16	–	–	1,718	37	2	–	39	483	0.3%	2.0%
Taiwan	756	12,071	274	–	–	13,101	257	1	–	258	3,226	2.2%	0.0%
United Arab Emirates	2,358	8,872	320	–	–	11,550	321	7	–	329	4,107	2.8%	0.0%
United Kingdom		3,009 39,472	366	–	21,332	64,179	663	31	317	1,011	12,638	8.7%	2.0%
United States	1,334	59,412	524	–		5,724 66,994	660	34	86	780	9,749	6.7%	0.0%
Virgin Islands, British	1,621	133	–	–	–	1,753	125	–	–	125	1,562	1.1%	0.0%
Other Countries		7,691 43,842	2,169	–		– 53,702	1,656	109	–		1,766 22,074	15.1%	0.0%

Table 19: Amount of institution-specific countercyclical capital buffer (UK CCyB2)

		2024 \$million	2023 \$million
1	Total risk exposure amount (see Table 20: Overview of RWA (OV1))	247,065	244,151
2	Institution specific countercyclical capital buffer rate	0.37%	0.39%
3	Institution specific countercyclical capital buffer requirement	926	948

2.5 Capital Requirements

Pillar 1 and Pillar 2A CET1 requirements and the Combined Buffer requirement together represent the Group's Maximum Distributable Amount threshold. The Group will be subject to restrictions on discretionary distributions if the CET1 ratio falls below this threshold. The Group expects to continue to operate with a prudent management buffer above this threshold.

Over time, the Group may also be subject to a PRA buffer. The PRA buffer is intended to ensure the Group remains well capitalised during periods of stress. When setting the Group's PRA buffer, it is understood that the PRA considers results from the Bank of England (BoE) stress test, the biennial exploratory scenario, and bank-specific scenarios undertaken as part of Internal Capital Adequacy Assessment Processes (ICAAPs), as

well as other relevant information. The PRA buffer is additional to the existing CRD IV buffer requirements and is applied if and to the extent that the PRA considers the existing CRD IV buffers do not adequately address the Group risk profile. The PRA buffer is not disclosed.

The table below presents the Group's RWA and capital requirements (calculated as 8 per cent of RWA).

Further information on credit RWAs can be found in Table 53 for credit risk exposures under IRB (which include counterparty credit risk); Table 22 for the RWA flow statements for credit risk exposures under IRB (which excludes securitisation balances below); Table 70 for exposures under the SA (which include amounts below the threshold for deduction) and section 4.2 for exposures subject to counterparty credit risk.

Table 20: Overview of risk weighted exposure amounts (UK OV1)

		31.12.24		30.09.24		31.12.23
		Risk weighted assets \$million	Regulatory capital requirement1 \$million	Risk weighted assets \$million	Regulatory capital requirement1 \$million	Risk weighted assets \$million	Regulatory capital requirement1 \$million
1	Credit risk (excluding CCR)2	158,107	12,649	159,241	12,739	160,359	12,829
2	Of which the standardised approach (Table 70)	34,063	2,725	36,140	2,891	35,039	2,803
4	Of which slotting approach	5,868	469	4,226	338	4,112	329
5	Of which the advanced IRB (AIRB) approach (Table 53)	118,175	9,454	118,875	9,510	121,208	9,697
6	Counterparty credit risk – CCR3	22,128	1,770	20,081	1,606	20,801	1,664
7	Of which the standardised approach	3,583	287	3,436	275	3,457	277
8	Of which internal model method (IMM)	11,322	906	10,040	803	9,085	727
UK 8a	Of which exposures to a CCP	1,051	84	1,040	83	918	73
UK 8b	Of which credit valuation adjustment – CVA (Table 91)	2,706	216	2,407	193	2,046	164
9	Of which other CCR	3,467	277	3,158	253	5,295	424
15	Settlement risk	–	–	–	–	–	–
16	Securitisation exposures in the non-trading book	5,697	456	5,596	448	6,337	507
17	Of which SEC-IRBA approach	2,843	227	2,960	237	3,123	250
18	Of which SEC-ERBA (including IAA)	2,188	175	2,019	162	2,879	230
19	Of which SEC-SA approach	666	53	617	49	335	27
UK 19a	Of which 1250%/deduction	–	–	–	–	–	–
20	Position, foreign exchange and commodities risks (Market risk) (Table 81)	28,283	2,263	30,601	2,448	24,867	1,989
21	Of which the standardised approach	13,810	1,105	16,225	1,298	11,960	957
22	Of which IMA	14,474	1,158	14,376	1,150	12,908	1,033
	UK 22a Large exposures	–	–	–	–	–	–
23	Operational risk4	29,479	2,358	29,479	2,358	27,861	2,229
25	Of which standardised approach	29,479	2,358	29,479	2,358	27,861	2,229
27	Amounts below the thresholds for deduction (subject to 250% risk weight) (Table 70)	3,371	270	3,926	314	3,926	314
28	Floor Adjustment	–	–	–	–	–	–
29	Total	247,065	19,765	248,924	19,914	244,151	19,532

1 The regulatory capital requirement is calculated as 8 per cent of the RWA, and represents the minimum total capital ratio in accordance with CRR Article 92 (1)

2 Credit risk (excluding counterparty credit risk) includes non-credit obligation assets

3 Counterparty credit risk includes assets which are assessed under IRB and SA

4 To calculate operational risk standardised risk-weighted assets, a regulatory defined beta co-efficient is applied to average gross income for the previous three years, across each of the eight business lines prescribed in the CRR

2.5 Capital Requirements continued

RWA increased by \$2.9 billion, or 1.2 per cent from 31 December 2023 to \$247.1 billion. This was mainly due to decrease in Credit Risk RWA of \$2.1 billion, an increase in Market Risk RWA of \$3.4 billion and Operational Risk RWA of \$1.6 billion.

• Total Credit Risk RWA decreased by \$2.1 billion, or 1.1 per cent from 31 December 2023 to \$189.3 billion due to:
  • \$4.2 billion increase from changes in asset growth & mix partially offset by optimisation activities and reporting enhancements
  • \$3.2 billion decrease due to improvement in asset quality
  • \$4.9 billion decrease from foreign currency translation
  • \$1.6 billion increase driven by industry-wide regulatory changes to align IRB model performance from adjustment to commercial real estate counterparties
• Total Market Risk RWA increased by \$3.4 billion, or 13.7 per cent from 31 December 2023 to \$28.3 billion primarily driven by:
• \$1.7 billion increase in Standardised Approach (SA) Specific Interest Rate Risk RWA mainly due to increases in the Trading Book government bond portfolio
• \$2.7 billion increase in Internal Models Approach (IMA) RWA from increases in VaR and Stressed VaR RWA due mainly to increased interest rate exposures, offset by a reduction of addons for Risks not in VaR
• \$1.3 billion in the first quarter decrease due to a reduction in the IMA RWA multiplier resulting from fewer backtesting exceptions
• Operational Risk RWA increased by \$1.6 billion, or 5.8 per cent from 31 December 2023 to \$29.5 billion, mainly due to a marginal increase in average income as measured over a rolling three-year time horizon for certain products

Table 21 shows the significant drivers of credit risk, market risk and operational risk RWA movements from 1 January 2024.

Table 21: Movement analysis for RWA
-------------------------------------	--

					Total Credit &
	Credit risk IRB \$million	Credit risk SA \$million	Credit risk Total \$million	Counterparty Credit risk \$million	Counterparty Credit risk \$million	Operational risk \$million	Market risk \$million	Total \$million
As at 1 January 2024	131,657	38,965	170,622	20,801	191,423	27,861	24,867	244,151
Asset size	(2,359)	2,393	35	(222)	(187)	–	–	(187)
Asset quality	(1,813)	–	(1,813)	(587)	(2,400)	–	–	(2,400)
Model updates	473	–	473	–	473	–	(1,300)	473
Methodology and policy	–	501	501	–	501	–	–	(799)
Acquisitions and disposals	–	–	–	–	–	–	–	–
Foreign exchange movements	122	58	180	89	269	–	–	269
Other, including non-credit risk movements1	–	(1,234)	(1,234)	–	(1,234)	1,618	7,003	7,417
As at 30 September 2024	128,079	40,683	168,763	20,081	188,844	29,479	30,601	248,924
Asset size	4,955	(1,125)	3,830	2,665	6,495	–	(1)	6,494
Asset quality	(736)	–	(736)	(35)	(772)	–	–	(772)
Model updates	1,146	–	1,146	–	1,146	–	(400)	746
Methodology and policy	–	(424)	(424)	–	(424)	–	–	(424)
Acquisitions and disposals	–	–	–	–	–	–	–	–
Foreign exchange movements	(3,530)	(1,033)	(4,563)	(582)	(5,145)	–	–	(5,145)
Other, including non-credit risk movements1	(841)	–	(841)	–	(841)	–	(1,918)	(2,759)
As at 31 December 2024	129,074	38,101	167,175	22,128	189,303	29,479	28,283	247,065

1 RWA efficiencies are disclosed against 'Other, including non-credit risk movements'

2 See Table 20: Overview of risk weighted exposure amounts (UK OV1). To note that 'Securitisation exposures in the non-trading book', 'Settlement risk' and 'Amounts below the threshold for deduction (subject to 250% risk-weight)' are included in credit risk

2.5 Capital Requirements continued

Table 22 shows the significant drivers of credit risk, IRB RWA movements (excluding counterparty credit risk and standardised credit risk) from 1 January 2024.

Table 22: RWEA flow statements of credit risk exposures under the IRB approach (UK CR8)

		Risk weighted assets \$million	Regulatory capital requirement \$million
	As at 1 January 2024	125,609	10,049
	Asset size	(1,380)	(110)
	Asset quality	(1,831)	(145)
	Model updates	473	38
	Methodology and policy	–	–
	Acquisitions and disposals	–	–
	Foreign exchange movements	163	13
	Other	–	–
1	As at 30 September 2024	123,052	9,844
2	Asset size	4,302	344
3	Asset quality	(736)	(59)
4	Model updates	1,146	92
5	Methodology and policy	–	–
6	Acquisitions and disposals	–	–
7	Foreign exchange movements	(3,721)	(298)
8	Other	–	–
9	As at 31 December 2024	124,043	9,923

IRB credit RWA decreased by \$1.6 billion from 31 December 2023 driven by:

• \$2.9 billion net increase in asset balance growth
• \$2.5 billion decrease due to improvements in asset quality

• \$1.6 billion net increase from model and methodology changes

• \$3.6 billion decrease from foreign currency translation

Table 23 shows the significant drivers of credit counterparty risk under IMM RWA movements from 1 January 2024.

Table 23: RWEA flow statements of CCR exposures under the IMM (UK CCR7)

		Risk weighted assets \$million	Regulatory capital requirement \$million
	As at 1 January 2024	9,085	727
	Asset size	1,168	93
	Credit quality of counterparties	(240)	(19)
	Model updates (IMM only)	–	–
	Methodology and policy (IMM only)	–	–
	Acquisitions and disposals	–	–
	Foreign exchange movements	27	2
	Other1	–	–
1	As at 30 September 2024	10,040	803
2	Asset size	1,765	141
3	Credit quality of counterparties	(50)	(4)
4	Model updates (IMM only)	–	–
5	Methodology and policy (IMM only)	–	–
6	Acquisitions and disposals	–	–
7	Foreign exchange movements	(433)	(35)
8	Other1	–	–
9	As at 31 December 2024	11,322	906

1 RWA efficiencies are disclosed against 'Other'

2.5 Capital Requirements continued

Table 24 shows the RWA flow statements of market risk RWA exposures under the Internal Model Approach (IMA) from 1 January 2024.

Table 24: RWA flow statements of market risk exposures under the IMA (UK MR2-B)

		VaR \$million	SVaR \$million	IRC \$million	Comprehensive risk measure \$million	Other1 \$million	Total RWAs \$million	Total own funds requirements \$million
	At 1 January 2024	2,965	4,240	–	–	5,703	12,908	1,033
	Regulatory adjustment	–	–	–	–	–	–	–
	RWAs post adjustment at 1 January 2024	2,965	4,240	–	–	5,703	12,908	1,033
	Movement in risk levels	(311)	2,408	–	–	671	2,768	221
	Model updates/changes	–	–	–	–	–	–	–
	Methodology and policy	(300)	(800)	–	–	(200)	(1,300)	(104)
	Acquisitions and disposals	–	–	–	–	–	–	–
	Foreign exchange movements	–	–	–	–	–	–	–
	Other	–	–	–	–	–	–	–
1	At 30 September 2024	2,354	5,848	–	–	6,174	14,376	1,150
1a	Regulatory adjustment	–	–	–	–	–	–	–
	1b RWAs post adjustment at 30 September 2024	2,354	5,848	–	–	6,174	14,376	1,150
2	Movement in risk levels	1,630	(319)	–	–	(813)	498	40
3	Model updates/changes	–	–	–	–	(400)	(400)	(32)
4	Methodology and policy	–	–	–	–	–	–	–
5	Acquisitions and disposals	–	–	–	–	–	–	–
6	Foreign exchange movements	–	–	–	–	–	–	–
7	Other	–	–	–	–	–	–	–
	8a At 31 December 2024	3,984	5,529	–	–	4,960	14,474	1,158
	8b Regulatory adjustment	–	–	–	–	–	–	–
8	RWAs post adjustment at 31 December 2024	3,984	5,529	–	–	4,960	14,474	1,158

1 Other IMA capital add-ons for market risks not fully captured in either VaR or SVar. More details on Risks not in VaR can be found in the Group's Year End Report 2024 on page 248

Market risk RWA under an IMA approach increased by \$1.6 billion from 31 December 2023 reflecting:

• \$2.7 billion increase in Internal Models Approach (IMA) RWA from increases in VaR and Stressed VaR RWA due mainly to increased interest rate exposures, offset by a reduction of addons for Risks not in VaR

• \$1.3 billion in the first quarter decrease due to a reduction in the IMA RWA multiplier resulting from fewer back-testing exceptions

2.6 Leverage ratio

UK banks are currently subject to a minimum leverage ratio of 3.25 per cent. In addition, a supplementary leverage ratio buffer is applicable, set at 35 per cent of the corresponding G-SII capital buffer and the countercyclical capital buffer. Following the FPC's recommendation to the PRA to exclude qualifying claims on central bank exposures from the leverage exposure measure in the UK leverage ratio framework, and the corresponding waiver granted by the PRA, the Group has been reporting the leverage ratio on a UK basis (excluding qualifying claims on central banks exposures) from March 2017.

In October 2021, the PRA published a policy statement outlining changes to the leverage ratio framework. The UK's minimum leverage ratio requirement is maintained at 3.25 per cent and must be met by at least 75 per cent of CET1. Additional buffers based on the countercyclical and global systemically important bank (G'SIB') buffers are set at 35 per cent of their risk-weighted equivalent and must be met with 100 per cent of CET1. Firms who breach their leverage ratio buffers will not face any capital distribution restrictions. The exposure value of derivative contracts will be based on the standardised approach to counterparty credit risk, whilst central bank reserves continue to be excluded from the leverage ratio exposure measure. The rules came into force on 1 January 2022.

At 31 December 2024, the Group's current minimum requirement inclusive of leverage buffers was 3.7 per cent:

• (i) The minimum 3.25 per cent
• (ii) A 0.35 per cent G-SII leverage ratio buffer and
• (iii) A 0.1 per cent countercyclical capital leverage ratio buffer, based on FY 2024 countercyclical capital buffer rates

The Group's leverage ratio, which excludes qualifying claims on central banks, was 4.8 per cent at FY2024, which was above the current minimum requirement of 3.7 per cent. The leverage ratio was 10 basis points higher than FY2023. Leverage exposure increased by \$21.2 billion from decrease in claims on central banks of \$15.5 billion, an increase in Derivatives of \$15.9 billion, securities financing transactions of \$1.2 billion, decrease in asset amounts deducted in determining Tier 1 capital (Leverage) of \$0.6 billion, partly offset by decrease in Off-balance sheet items of \$5.0 billion, Other Assets of \$4.7 billion, and securities financing transaction add-on of \$2.4 billion. Tier 1 capital increased by \$1.9 billion as CET1 capital increased by \$0.9 billion and AT1 capital increased by \$1.0 billion following the issuance of \$1.6 billion partly offset by the redemption of \$0.6 billion AT1 securities.

31.12.24

30.09.24

31.12.23

Table 25: Leverage ratio

	\$million	\$million	\$million
Tier 1 capital (end point)	41,672	41,932	39,806
Leverage exposure	868,344	899,169	847,142
Leverage ratio	4.8%	4.7%	4.7%
Leverage exposure quarterly average	894,296	887,398	853,968
Leverage ratio quarterly average	4.7%	4.6%	4.6%
Countercyclical leverage ratio buffer	0.1%	0.2%	0.1%
G-SII additional leverage ratio buffer	0.4%	0.4%	0.4%

CRR leverage ratio

Table 26, 27 and 28 present the leverage ratio based on CRR basis requirements.

Table 26: LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1)

		2024 \$million	2023 \$million
1	Total assets as per published financial statements	849,688	822,844
2	Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation	1,390	455
3	(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference)	–	–
4	(Adjustment for exemption of exposures to central banks)	(77,730)	(93,218)
5	(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of Article 429a(1) of the CRR)	–	–
6	Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting	(84)	(95)
7	Adjustment for eligible cash pooling transactions	–	–
8	Adjustment for derivative financial instruments	(10,536)	4,512
9	Adjustment for securities financing transactions (SFTs)	4,198	6,639
10	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off balance sheet exposures)	118,607	123,572
11	(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced tier 1 capital (leverage))	(1,326)	(1,485)
	UK-11a (Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR)	–	–
	UK-11b (Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) of the CRR)	–	–
12	Other adjustments1	(15,863)	(16,082)
13	Total exposure measure	868,344	847,142

1 Other Adjustments include Cash Collateral posted \$(10,169) million, Tier 1 Capital deduction other than disclosed in above row 11 \$(5,921) million, DTA \$227 million

2.6 Leverage ratio continued

Table 27: LRCom: Leverage ratio common disclosure (UK LR2)

On-balance sheet exposures (excluding derivatives and SFTs) 1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) 670,948 675,338 2 Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework – – 3 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) (10,169) (9,833) 4 (Adjustment for securities received under securities financing transactions that are recognised as an asset) – – 5 (General credit risk adjustments to on-balance sheet items) – – 6 (Asset amounts deducted in determining tier 1 capital (leverage)) (7,247) (7,883) 7 Total on-balance sheet exposures (excluding derivatives and SFTs) 653,532 657,622 Derivative exposures 8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) 22,550 14,660 UK-8a Derogation for derivatives: replacement costs contribution under the simplified standardised approach – – 9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions 52,346 43,041 UK-9a Derogation for derivatives: potential future exposure contribution under the simplified standardised approach – – UK-9b Exposure determined under the original exposure method – – 10 (Exempted CCP leg of client-cleared trade exposures) (SA-CCR) (6,035) (4,114) UK-10a (Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach) – – – UK-10b (Exempted CCP leg of client-cleared trade exposures) (original exposure method) – 11 Adjusted effective notional amount of written credit derivatives 97,504 130,300 12 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) (95,429) (128,941) 13 Total derivatives exposures 70,936 54,946 Securities financing transaction exposures 137,115 14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions 107,876 15 (Netted amounts of cash payables and cash receivables of gross SFT assets) (38,314) (10,295) 16 Counterparty credit risk exposure for SFT assets 4,198 6,639 UK-16a Derogation for SFTs: counterparty credit risk exposure in accordance with Articles 429e(5) and 222 of the CRR – – 17 Agent transaction exposures – – UK-17a (Exempted CCP leg of client-cleared SFT exposures) – – 18 Total securities financing transaction exposures 102,999 104,220 Other off-balance sheet exposures 19 Off-balance sheet exposures at gross notional amount 468,134 509,093 20 (Adjustments for conversion to credit equivalent amounts) (349,527) (385,521) 21 (General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures) – – 22 Off-balance sheet exposures 118,607 123,572 Excluded exposures UK-22a (Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR) – – UK-22b (Exposures exempted in accordance with point (j) of Article 429a(1) of the CRR (on- and off- balance sheet)) – – UK-22g (Excluded excess collateral deposited at triparty agents) – – UK-22k (Total exempted exposures) – – Capital and total exposures 23 Tier 1 capital (leverage) 41,672 39,806 24 Total exposure measure including claims on central banks 946,074 940,360 (77,730) UK-24a (–) Claims on central banks excluded (93,218) UK-24b Total exposure measure excluding claims on central banks 868,344 847,142 Leverage ratio 25 Leverage ratio excluding claims on central banks (%) 4.8% 4.7% UK-25a Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) 4.8% 4.7% UK-25b Leverage ratio excluding central bank reserves as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income had not been applied (%) 4.8% 4.7% UK-25c Leverage ratio including claims on central banks (%) 4.4% 4.2% 26 Regulatory minimum leverage ratio requirement (%) 3.3% 3.3%		2024 \$million	2023 \$million

2.6 Leverage ratio continued

Table 27: LRCom: Leverage ratio common disclosure (UK LR2) continued

		2024 \$million	2023 \$million
	Additional leverage ratio disclosure requirements – leverage ratio buffers
27	Leverage ratio buffer (%)	0.5%	0.5%
	UK-27a Of which: G-SII or O-SII additional leverage ratio buffer (%)	0.4%	0.4%
	UK-27b Of which: countercyclical leverage ratio buffer (%)	0.1%	0.1%
	Additional leverage ratio disclosure requirements – disclosure of mean values
28	Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable	101,902	91,360
29	Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables	98,801	97,581
UK-31	Average total exposure measure including claims on central banks	982,761	952,997
UK-32	Average total exposure measure excluding claims on central banks	894,296	853,968
UK-33	Average leverage ratio including claims on central banks	4.2%	4.1%
	UK-34 Average leverage ratio excluding claims on central banks	4.7%	4.6%

Table 28: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (UK LR3)

		2024 \$million	20231 \$million
UK-1	Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:	660,779	665,505
UK-2	Trading book exposures	88,194	55,193
UK-3	Banking book exposures, of which:	572,585	610,312
UK-4	Covered bonds	3,901	8,020
UK-5	Exposures treated as sovereigns	204,143	216,873
UK-6	Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns	15,595	14,680
UK-7	Institutions	49,414	67,016
UK-8	Secured by mortgages of immovable properties	83,859	90,188
UK-9	Retail exposures	28,845	29,674
UK-10	Corporates	129,903	119,570
UK-11	Exposures in default	5,761	7,323
UK-12	Other exposures (e.g. equity, securitisations, and other non-credit obligation assets)	51,164	56,967

1 The 2023 comparatives have been restated to reflect exposures pre-credit risk mitigation, and classification between sovereigns, regional governments and PSEs

3. Credit risk

Our approach to credit risk can be found in the Risk management approach section in the 2024 Annual Report and Accounts on page 201 to 202.

3.1. Internal Ratings Based Approach (IRB) to credit risk

The Group uses the Advanced IRB approach to measure credit risk for the majority of its portfolios. This allows the Group to use its own internal estimates of Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD) to determine an asset risk-weighting. The IRB models cover 78 per cent of the Group's credit RWA (2023: 78 per cent).

PD is the likelihood that an obligor will default on an obligation within the next 12 months. Banks utilising the IRB approach must assign an internal PD to all borrowers. EAD is the expected amount of exposure to a particular facility at the point of default; it is modelled based on historical experience to determine the amount that is expected to be further drawn down from the undrawn portion of a facility. LGD is the percentage of EAD that a lender expects to lose in the event of obligor default. EAD and LGD are measured based on historical experience in economic downturn periods, if these were more conservative than the long-run average, else the long-run average is used.

All assets under the Advanced IRB approach have internal PD, LGD and EAD models developed to support the credit decision making process as well as RWA and capital estimate. RWA under the Advanced IRB approach is determined by regulatory specified formulae dependent on the Group's estimates of PD, LGD, EAD, and residual maturity. The development, use and governance of Corporate and Investment Banking (CIB) and Wealth and Retail Banking (WRB) models under the Advanced IRB approach are covered in more detail in Section 3.3 Internal Ratings Based models.

3.2. Standardised Approach to credit risk

The Standardised Approach is applied to portfolios that are classified as permanently exempted from the IRB approach, and those portfolios for which an IRB approach has yet to be developed, for instance due to insufficient data availability.

CRR Article 150 allows IRB banks to elect to permanently exclude certain exposures from the IRB approach and use the Standardised Approach. These are known as permanent exemptions.

The permanent exemptions apply to:

• Africa all retail portfolios (excluding Wealth Management)
• Wealth Management
• Private Banking
• Private Equity
• Development organisations
• Jordan and Lebanon
• Purchased receivables
• Exposures to, or guaranteed by, central governments and central banks of EEA States, provided they are eligible for a zero per cent risk weighting under the Standardised Approach

The Standardised Approach measures credit risk pursuant to fixed risk-weights and is the least sophisticated of the capital requirement calculation methodologies under Basel III. The risk-weight applied under the Standardised Approach is prescribed within the CRR and is based on the asset class to which the exposure is assigned.

3.3 Internal Ratings Based models

Model Governance

All IRB models are developed by independent model analytics teams aligned to the CIB and WRB business functions. Both new models and changes to the existing models, are subject to independent validation by Group Model Validation (GMV), a separate department within Group Risk, and are reviewed and approved by the Credit Model Assessment Committee (CMAC) and the Model Risk Committee (MRC) based on materiality. The Model Risk Policy and Governance team (MRPG) was established to provide ongoing assessment and independent oversight of model risk management.

The performance of existing IRB models, including metrics on actual against predicted, is monitored regularly by the Model Monitoring teams and reported to CMAC on a quarterly basis. MRPG independently reviews model performance monitoring results based on applicable standards. In addition, existing models are subject to annual independent validation by GMV. The Group Model Risk Policy and associated standards set out internal requirements and operating guidelines for model development, validation, and performance monitoring. The Board Risk Committee is updated on the status and performance of IRB models on an annual basis. Rating overrides are tracked, and threshold breaches are escalated to the relevant risk management committees, and model issues are tracked at CMAC. An annual self-assessment on IRB models' regulatory compliance is carried out as part of the Senior Management Function attestation.

The Group has a strong monitoring and governance framework in place to identify and mitigate model performance issues. While most models are conservative and over predict PD, LGD and EAD, in cases where the models under predict, a post model adjustment may be taken to ensure adequate capitalisation, in addition to having a remediation plan in place.

Group Internal Audit is responsible for carrying out independent reviews on the effectiveness of the controls supporting IRB models' development, validation, approval and monitoring.

Probability of Default

PDs are estimated based on one of the three industry standard approaches, namely the good-bad approach where a sufficient number of internal defaults is available, the shadow-bond approach where there are no sufficient internal defaults but there are external ratings for a large number of obligors, or the constrained expert judgement approach where neither internal defaults nor external ratings are available.

In CIB, the largest portfolios are rated based on the shadow bond approach (Sovereigns, Large Corporates) or the good-bad approach (Banks, Mid Corporates). Central governments and central banks are rated using the Sovereign model. Non-bank financial institutions are rated using one of six constrained expert judgement models depending on their line of business, with the largest being Funds, Finance & Leasing, and Broker Dealers. Corporate clients are differentiated by their annual sales turnover and rated using one of the corporate models unless they are commodity buyers and traders (for which a separate model has been developed) or are classified under Specialised Lending and Supply Chain Finance. Excluding the Sovereign model, all other CIB IRB PD models are subject to the 0.03 per cent regulatory PD floor.

Within CIB, each client is assigned a credit grade, regardless of whether the client is under standardised or IRB capital estimate method, and exposures to each client or client group are aggregated consistently with the regulatory Large Exposures requirements.

The CIB PD models are calibrated following a hybrid throughthe-cycle rating philosophy based on historical data that includes a full economic cycle.

Estimates of PD are computed as of 1 January 2024 (including additional exposures that are valid January through March) and are compared with default observations through 31 December 2024.

PD models for retail clients under each asset class are developed based on a combination of product and geography following the good-bad approach.

The same PD modelling approach is taken across the four key retail client product types: Residential Mortgages, Credit Cards (Qualifying Revolving Retail), Personal Instalment Loans (Other Retail) and Retail SME (Other Retail). The approach is based on using the country and product specific application scores for new to bank clients and behaviour scores for existing clients. The scorecards are built using demographic information, credit bureau data, observed client performance data (for behaviour scores), and where available, financial information. Statistical techniques are used to develop a relationship between this information and the probability of default. The scorecards are used to make credit decisions. In addition, the PD models are segmented by delinquency status. All retail client PD models are built and validated using internal default data and are subject to the 0.03 per cent regulatory floor.

Loss Given Default

The CIB LGD model is a component-based model reflecting the Bank's recovery and workout process, which takes into account risk drivers such as portfolio segment, jurisdiction, product, and collateral attached to the exposure. The model is calibrated based on downturn experience if that is more conservative than the long-run experience. Regulatory floors are applied to both unsecured and secured facilities (except for those secured by cash) if the LGD parameters are based on fewer than 20 defaults or by regulatory mandate (Sovereign, Financial Institutions, and Covered Bonds). This is in accordance with the PRA's low-default framework which states that where there are insufficient defaults to estimate a parameter at granular level an LGD floor must be applied.

The calculation of realised versus predicted LGD is affected by the fact that it may take a number of years for the workout process to be completed. As such, an observed recovery value cannot be assigned to the majority of the 2023 defaults, making it meaningless to compare realised versus predicted outcomes in a manner similar to that for PD and EAD.

To address this for corporates and institutions we have adopted an approach based on a four-year rolling period of predicted and realised LGD, which for the current reporting year includes 2020 to 2023 defaults that have completed their workout process as at the end of 2023. This approach compares the four-year rolling predicted LGD, providing the predicted outcome of these resolved defaults one year prior to default, against the realised LGD for the same set of defaults. These two figures are fully comparable, thereby providing a meaningful assessment of the LGD model's performance.

Under this approach, realised LGD values for Corporates are lower than the predicted. This is explained by the regulatory guidance to calibrate LGD models to downturn conditions. There were no defaults that had resolved in the previous four years for Central Governments, Central Banks and Institutions.

LGDs for retail portfolios follow two approaches:

• (i) LGDs for unsecured products are based on historical loss experience of defaults during a downturn; these are portfolio-specific LGD estimates segmented by default status (including restructuring)
• (ii) LGDs for secured products are parameter-based estimates mainly driven by how the default is resolved (cure, sale or charge-off). Key LGD parameters are differentiated by segments such as loan-to-value, property type and default status. These parameters are calibrated based on the portfolio's downturn experience

Retail LGD model monitoring considers defaults from a cohort and the actual recoveries up to the end of the workout window which is typically two to three years. For retail asset classes, the observed LGD from the December 2020 cohort (existing defaults and those defaulted in the next 12 months) was calculated based on actual recoveries observed from January 2021 until December 2023. This is compared to the predicted outcome of the same set of defaults.

Under this approach, realised LGD values for all retail asset classes are lower than predicted, primarily due to the regulatory guidance to calibrate LGD models to downturn conditions. This is most evident in the mortgage portfolios, where predicted LGD values include a significant assumed reduction in property values.

Credit risk

Exposure at Default

EAD takes into consideration the potential drawdown of a commitment as an obligor moves towards default by estimating the Credit Conversion Factor (CCF) of undrawn commitments.

EAD for sovereign, corporate and institutional clients is determined by product but on a global basis, while the commercial and retail EAD is dependent on the combination of country and product.

The sovereign, corporate and institutional EAD model has adopted the momentum approach to estimate the CCF, with the type of facility and the level of utilisation being key drivers of CCF. The model is calibrated based on the Bank's internal downturn experience and CCF is floored at 0 percent.

EAD for retail products differs between revolving products and term products. For revolving products, EAD is computed by estimating the CCF of undrawn commitments, with a floor at 0 percent. For term products, EAD is set at the outstanding balance plus any undrawn portion. All the retail client EAD models are built and validated using internal default data.

The comparison of realised versus predicted EAD is summarised in the ratio of EAD of assets that defaulted in 2024 to the outstanding amount at the time of default. The ratios for all models are larger than one, indicating that the predicted EAD is higher than the realised outstanding amount at default. This is explained by the regulatory guidance to assign conservatism to the CCF of certain exposure types and to calibrate the models to downturn conditions, as well as by the impact of management action leading to a reduction in actual exposure prior to default.

The estimates provided in the table are before the application of any conservative adjustment.

Table 29: Corporate, Institutions and Commercial model results

	PD Predicted 1 January 2024 %	PD Observed 31 December 2024 %	LGD Predicted (2021-2024) %	LGD Realised (2021-2024) %	EAD Predicted/ Realised %	Proportion of total IRB portfolio1 %
Corporate, Institutions and Commercial
Central governments or central banks	3.07	–	–	–	–	24.59
Institutions	0.55	0.15	38.19	100.00	2.17	20.91
Corporates	2.87	0.36	33.35	9.64	1.14	40.57
Corporate SME	5.24	3.80	–	–	1.02	0.42

1 Proportion of EAD (before the effect of collateral but after substitution) as a per cent of total IRB EAD

Table 30: Retail model results

	PD Predicted 1 January 2024 %	PD Observed 31 December 2024 %	LGD Predicted (2021-2024) %	LGD Realised (2021-2024) %	EAD Predicted/ Realised %	Proportion of total IRB portfolio1 %
Retail
Qualifying revolving retail	2.51	1.94	77.11	62.67	1.13	2.17
Other retail	4.15	3.31	68.92	52.39	1.05	1.46
Residential mortgages	0.49	0.36	21.20	6.91	1.03	9.60
Retail SME	4.22	4.80	41.05	35.33	1.08	0.27

1 Proportion of EAD (before the effect of collateral but after substitution) as a per cent of total IRB EAD

Table 31: IRB approach – Back-testing of PD per exposure class for central governments or central banks (fixed PD scale) (UK CR9)

2024
Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	77	–	–	0.03	0.05	–
0.00 to <0.10	68	–	–	0.02	0.04	–
0.10 to <0.15	9	–	–	0.15	0.13	–
0.15 to <0.25	6	–	–	0.22	0.22	–
0.25 to <0.50	1	–	–	0.39	0.39	–
0.50 to <0.75	9	–	–	–	0.56	–
0.75 to <2.50	21	–	–	1.28	1.22	–
0.75 to <1.75	17	–	–	1.24	1.02	–
1.75 to <2.50	4	–	–	2.03	2.03	–
2.50 to <10.00	25	–	–	3.98	4.25	1.38
2.50 to <5.00	22	–	–	3.98	3.82	2.11
5.00 to <10.00	4	–	–	–	7.04	–
10.00 to <100.00	13	–	–	21.86	22.81	10.66
10.00 to <20.00	6	–	–	17.09	12.32	5.00
20.00 to <30.00	1	–	–	–	24.55	10.00
30.00 to <100.00	6	–	–	33.00	33.00	25.00
100.00 (Default)	–	–	–	100.00	100.00	–
			2023
	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %

0.00 to <0.15	79	–	–	0.02	0.04	–
0.00 to <0.10	76	–	–	0.02	0.03	–
0.10 to <0.15	4	–	–	0.13	0.13	–
0.15 to <0.25	10	–	–	0.22	0.22	–
0.25 to <0.50	3	–	–	–	0.39	–
0.50 to <0.75	11	–	–	0.51	0.58	–
0.75 to <2.50	23	–	–	1.07	1.48	–
0.75 to <1.75	16	–	–	1.05	1.22	–
1.75 to <2.50	9	–	–	2.03	2.03	–
2.50 to <10.00	27	–	–	4.11	4.61	1.38
2.50 to <5.00	19	–	–	4.08	3.58	2.11
5.00 to <10.00	8	–	–	7.37	7.06	–
10.00 to <100.00	13	1	7.69	28.60	17.87	9.12
10.00 to <20.00	10	–	–	10.64	14.17	5.00
20.00 to <30.00	1	–	–	–	24.55	10.00
30.00 to <100.00	2	1	50.00	33.00	33.00	15.00
100.00 (Default)	–	–	–	100.00	100.00	–

Table 32: IRB approach – Back-testing of PD per exposure class for institutions (fixed PD scale) (UK CR9)

			2024
	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	618	–	–	0.05	0.06	0.06
0.00 to <0.10	525	–	–	0.04	0.05	0.03
0.10 to <0.15	93	–	–	0.13	0.13	0.22
0.15 to <0.25	114	–	–	0.22	0.22	–
0.25 to <0.50	71	–	–	0.39	0.39	–
0.50 to <0.75	124	–	–	0.52	0.56	–
0.75 to <2.50	160	–	–	1.30	1.32	0.06
0.75 to <1.75	126	–	–	1.19	1.13	0.09
1.75 to <2.50	34	–	–	2.03	2.03	–
2.50 to <10.00	144	–	–	4.66	4.98	3.10
2.50 to <5.00	89	–	–	4.02	3.70	0.61
5.00 to <10.00	55	–	–	6.73	7.06	7.06
10.00 to <100.00	61	8	13.11	19.48	26.96	5.73
10.00 to <20.00	18	–	–	17.88	12.98	9.63
20.00 to <30.00	1	–	–	–	24.55	10.00
30.00 to <100.00	42	8	19.05	33.00	33.00	3.15
100.00 (Default)	–	–	–	100.00	100.00	–
			2023
	Number of obligors at the end of previous year
		Of which number of	Observed average	Exposures weighted		Average historical
PD Range %		obligors which defaulted in the year	default rate %	average PD %	Average PD %	annual default rate %
0.00 to <0.15	626	1	0.16	0.04	0.06	0.03
0.00 to <0.10	544	–	–	0.04	0.05	0.03
0.10 to <0.15	89	1	1.12	0.13	0.13	–
0.15 to <0.25	131	–	–	0.22	0.22	–
0.25 to <0.50	84	–	–	0.39	0.38	–
0.50 to <0.75	139	–	–	0.55	0.59	–
0.75 to <2.50	151	–	–	1.31	1.45	0.06
0.75 to <1.75	103	–	–	1.18	1.18	0.09
1.75 to <2.50	49	–	–	2.03	2.03	–
2.50 to <10.00	169	–	–	4.74	3.88	3.10
2.50 to <5.00	140	–	–	3.84	3.11	0.61
5.00 to <10.00	32	–	–	6.84	7.36	7.06
10.00 to <100.00	65	1	1.54	26.20	18.33	5.42
10.00 to <20.00	53	–	–	13.96	15.17	9.63
20.00 to <30.00	1	–	–	–	24.55	10.00
30.00 to <100.00	11	1	9.09	33.00	33.00	1.33
100.00 (Default)	–	–	–	100.00	100.00	–

Table 33: IRB approach – Back-testing of PD per exposure class for corporates – other (fixed PD scale) (UK CR9)

			2024
	Number of obligors at the end of previous year
		Of which number of obligors which	Observed average default rate	Exposures weighted average PD	Average PD	Average historical annual default rate
PD Range %		defaulted in the year	%	%	%	%
0.00 to <0.15	3,609	1	0.03	0.07	0.09	0.03
0.00 to <0.10	2,482	–	–	0.06	0.07	0.05
0.10 to <0.15	1,128	1	0.09	0.13	0.13	–
0.15 to <0.25	1,856	2	0.11	0.22	0.22	0.10
0.25 to <0.50	1,303	1	0.08	0.39	0.39	0.20
0.50 to <0.75	2,047	1	0.05	0.56	0.58	0.29
0.75 to <2.50	2,928	9	0.31	1.29	1.40	0.69
0.75 to <1.75	2,207	5	0.23	1.14	1.20	0.69
1.75 to <2.50	723	4	0.55	2.03	2.01	0.68
2.50 to <10.00	1,367	20	1.46	4.29	4.44	1.85
2.50 to <5.00	1,050	13	1.24	3.66	3.60	1.68
5.00 to <10.00	317	7	2.21	6.83	7.21	2.54
10.00 to <100.00	1,656	20	1.21	17.52	17.40	4.92
10.00 to <20.00	1,378	6	0.44	14.98	13.41	2.99
20.00 to <30.00	58	–	–	24.55	24.48	18.49
30.00 to <100.00	222	14	6.31	33.26	40.38	20.67
100.00 (Default)	–	–	–	100.00	100.00	–
			2023
	Number of obligors at the end of previous year
		Of which number of obligors which	Observed average default rate	Exposures weighted average PD	Average PD	Average historical annual default rate

		obligors which	default rate	average PD	Average PD	annual default rate
PD Range %		defaulted in the year	%	%	%	%
0.00 to <0.15	3,609	6	0.17	0.07	0.09	0.01
0.00 to <0.10	2,487	6	0.24	0.06	0.07	0.01
0.10 to <0.15	1,135	–	–	0.13	0.13	–
0.15 to <0.25	1,887	4	0.21	0.22	0.22	0.06
0.25 to <0.50	1,420	5	0.35	0.39	0.39	0.13
0.50 to <0.75	2,120	12	0.57	0.56	0.58	0.22
0.75 to <2.50	2,878	20	0.69	1.35	1.40	0.61
0.75 to <1.75	2,159	15	0.69	1.16	1.19	0.60
1.75 to <2.50	727	5	0.69	2.03	2.04	0.67
2.50 to <10.00	1,818	39	2.15	4.40	5.00	1.80
2.50 to <5.00	934	24	2.57	3.60	3.45	1.52
5.00 to <10.00	888	15	1.69	7.10	6.63	2.65
10.00 to <100.00	1,851	27	1.46	21.47	15.23	5.64
10.00 to <20.00	1,727	13	0.75	13.59	13.91	3.37
20.00 to <30.00	74	8	10.81	25.46	24.34	18.70
30.00 to <100.00	60	6	10.00	33.04	50.34	27.01
100.00 (Default)	–	–	–	100.00	100.00	–

		Table 34: IRB approach – Back-testing of PD per exposure class for corporates – specialised lending (fixed PD scale) (UK CR9)
--	--	-------------------------------------------------------------------------------------------------------------------------------	--

	2023
	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	301	1	0.33	0.10	0.10	0.07
0.00 to <0.10	141	–	–	0.07	0.07	0.11
0.10 to <0.15	160	1	0.63	0.13	0.13	–
0.15 to <0.25	199	–	–	0.22	0.22	0.82
0.25 to <0.50	130	–	–	0.39	0.39	0.69
0.50 to <0.75	241	1	0.41	0.58	0.60	0.78
0.75 to <2.50	186	–	–	1.25	1.18	1.51
0.75 to <1.75	156	–	–	1.12	1.02	2.04
1.75 to <2.50	30	–	–	2.03	2.03	–
2.50 to <10.00	40	1	2.50	3.77	4.26	3.92
2.50 to <5.00	30	1	3.33	3.38	3.33	3.59
5.00 to <10.00	10	–	–	6.63	7.04	6.73
10.00 to <100.00	21	3	14.29	25.25	16.01	16.10
10.00 to <20.00	16	–	–	11.35	12.28	7.24
20.00 to <30.00	3	2	66.67	24.55	24.55	35.18
30.00 to <100.00	2	1	50.00	33.00	33.00	32.38
100.00 (Default)	–	–	–	100.00	100.00	–
			2023
	Number of obligors at the end of previous year
		Of which number of	Observed average	Exposures weighted		Average historical
PD Range %		obligors which defaulted in the year	default rate %	average PD %	Average PD %	annual default rate %
0.00 to <0.15	290	1	0.34	0.11	0.10	–
0.00 to <0.10	177	1	0.57	0.07	0.07	–
0.10 to <0.15	114	–	–	0.13	0.13	–
0.15 to <0.25	179	–	–	0.22	0.22	0.82
0.25 to <0.50	186	–	–	0.39	0.39	0.69
0.50 to <0.75	210	3	1.43	0.61	0.60	0.49
0.75 to <2.50	171	10	5.85	1.32	1.36	0.34
0.75 to <1.75	124	10	8.06	1.11	1.11	0.43
1.75 to <2.50	49	–	–	2.03	2.03	–
2.50 to <10.00	68	5	7.35	3.54	3.75	3.55
2.50 to <5.00	60	5	8.33	3.07	3.36	3.30
5.00 to <10.00	9	1	11.11	6.44	6.60	4.51
10.00 to <100.00	21	3	14.29	28.63	19.25	15.80
10.00 to <20.00	14	–	–	15.49	12.46	8.24
20.00 to <30.00	1	1	100.00	–	24.55	22.68
30.00 to <100.00	7	2	28.57	33.00	32.97	28.48
100.00 (Default)	–	–	–	100.00	100.00	–

Table 35: IRB approach – Back-testing of PD per exposure class for corporates – SME (fixed PD scale) (UK CR9)

2024
	Number of obligors at the end of previous year
		Of which number of obligors which	Observed average default rate	Exposures weighted average PD	Average PD	Average historical annual default rate
PD Range %		defaulted in the year	%	%	%	%
0.00 to <0.15	7	–	–	0.07	0.12	–
0.00 to <0.10	2	–	–	0.06	0.09	–
0.10 to <0.15	5	–	–	0.13	0.13	–
0.15 to <0.25	236	–	–	0.23	0.23	0.19
0.25 to <0.50	127	1	0.79	0.41	0.41	0.46
0.50 to <0.75	551	5	0.91	0.62	0.61	0.41
0.75 to <2.50	886	20	2.26	1.35	1.52	0.77
0.75 to <1.75	620	15	2.42	1.17	1.26	0.52
1.75 to <2.50	266	5	1.88	2.09	2.12	1.37
2.50 to <10.00	1,519	45	2.96	4.73	5.07	1.83
2.50 to <5.00	947	19	2.01	3.71	3.79	1.51
5.00 to <10.00	572	26	4.55	6.93	7.19	2.40
10.00 to <100.00	713	55	7.71	14.64	13.79	6.25
10.00 to <20.00	695	52	7.48	13.63	13.42	5.82
20.00 to <30.00	10	2	20.00	24.55	24.35	7.74
30.00 to <100.00	8	1	12.50	36.76	33.00	28.07
100.00 (Default)	–	–	–	100.00	100.00	–
			2023
	Number of obligors at the end of previous year
		Of which number of	Observed average	Exposures weighted		Average historical
PD Range %		obligors which defaulted in the year	default rate %	average PD %	Average PD %	annual default rate %
0.00 to <0.15	13	–	–	0.09	0.10	–
0.00 to <0.10	7	–	–	0.09	0.07	–
0.10 to <0.15	6	–	–	0.13	0.13	–
0.15 to <0.25	286	–	–	0.23	0.23	0.31
0.25 to <0.50	121	2	1.65	0.40	0.40	0.47
0.50 to <0.75	651	7	1.08	0.62	0.60	0.53
0.75 to <2.50	985	8	0.81	1.40	1.51	1.24
0.75 to <1.75	699	5	0.72	1.27	1.25	0.94
1.75 to <2.50	287	3	1.05	2.10	2.13	2.09
2.50 to <10.00	1,677	48	2.86	4.80	5.08	2.24
2.50 to <5.00	1,043	27	2.59	3.75	3.80	1.90
5.00 to <10.00	634	21	3.31	7.20	7.18	2.94
10.00 to <100.00	747	51	6.83	16.29	13.95	8.47
10.00 to <20.00	728	47	6.46	14.00	13.35	6.83
20.00 to <30.00					25.74	11.07
30.00 to <100.00	7 12	– 4	– 33.33	24.29 33.00	43.36	27.56

Table 36: IRB approach – Back-testing of PD per exposure class for retail other – non SME (fixed PD scale) (UK CR9)

			2024
	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	61,308	37	0.06	0.06	0.05	0.03
0.00 to <0.10	53,656	30	0.06	0.05	0.04	0.02
0.10 to <0.15	7,652	7	0.09	0.11	0.11	0.05
0.15 to <0.25	39,597	42	0.11	0.18	0.17	0.11
0.25 to <0.50	70,334	115	0.16	0.34	0.34	0.16
0.50 to <0.75	52,520	208	0.40	0.68	0.66	0.25
0.75 to <2.50	227,713	2,806	1.23	1.52	1.61	0.61
0.75 to <1.75	141,654	1,285	0.91	1.31	1.27	0.45
1.75 to <2.50	86,059	1,521	1.77	2.16	2.17	0.89
2.50 to <10.00	276,402	6,072	2.20	4.76	4.59	1.31
2.50 to <5.00	205,317	3,345	1.63	3.45	3.66	1.00
5.00 to <10.00	71,085	2,727	3.84	7.32	7.25	2.15
10.00 to <100.00	73,455	12,799	17.42	26.63	28.87	10.83
10.00 to <20.00	41,501	3,113	7.50	13.46	13.70	4.72
20.00 to <30.00	11,390	1,638	14.38	23.83	24.16	11.07
30.00 to <100.00	20,564	8,048	39.14	61.85	62.09	26.06
100.00 (Default)	–	–	–	100.00	100.00	–
			2023
	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	68,653	2	0.00	0.06	0.05	0.04
0.00 to <0.10	59,347	2	0.00	0.05	0.04	0.03
0.10 to <0.15	9,306	–	–	0.11	0.11	0.07
0.15 to <0.25	40,841	107	0.26	0.18	0.17	0.07
0.25 to <0.50	77,461	214	0.28	0.34	0.34	0.13
0.50 to <0.75	53,073	212	0.40	0.68	0.66	0.22
0.75 to <2.50	226,606	2,417	1.07	1.49	1.58	0.50
0.75 to <1.75	148,296	1,276	0.86	1.28	1.26	0.37
1.75 to <2.50	78,310	1,141	1.46	2.18	2.17	0.74
2.50 to <10.00	297,104	4,945	1.66	4.33	4.66	1.23
2.50 to <5.00	218,623	2,957	1.35	3.34	3.72	0.94
5.00 to <10.00	78,481	1,988	2.53	7.41	7.28	2.17
10.00 to <100.00	79,399	11,976	15.08	25.06	29.66	10.24
10.00 to <20.00	43,321	2,610	6.02	13.68	13.71	4.65
20.00 to <30.00	13,500	1,771	13.12	23.52	23.99	11.47
30.00 to <100.00	22,578	7,595	33.64	59.84	63.64	24.47

Table 37: IRB approach – Back-testing of PD per exposure class for retail other – SME (fixed PD scale) (UK CR9)

		Number of obligors at the end of previous year Of which number of obligors which	Observed average	Exposures weighted
PD Range %		defaulted in the year	default rate %	average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	834	1	0.12	0.09	0.08	0.14
0.00 to <0.10	516	–	–	0.07	0.06	0.10
0.10 to <0.15	318	1	0.31	0.12	0.13	0.22
0.15 to <0.25	1,245	8	0.64	0.19	0.19	0.31
0.25 to <0.50	2,007	27	1.35	0.38	0.38	0.25
0.50 to <0.75	2,322	31	1.34	0.62	0.62	0.52
0.75 to <2.50	9,201	238	2.59	1.57	1.45	0.96
0.75 to <1.75	6,872	149	2.17	1.36	1.25	0.82
1.75 to <2.50	2,329	89	3.82	2.00	2.06	1.37
2.50 to <10.00	6,721	269	4.00	4.49	4.97	2.11
2.50 to <5.00	4,069	137	3.37	3.52	3.63	1.80
5.00 to <10.00	2,652	132	4.98	6.83	7.02	2.64
10.00 to <100.00	2,476	352	14.22	25.27	22.73	10.56
10.00 to <20.00	1,914	105	5.49	12.94	13.17	4.31
20.00 to <30.00	148	27	18.25	25.28	24.52	15.54
30.00 to <100.00	414	220	53.14	67.83	66.27	36.42
100.00 (Default)	–	–	–	100.00	100.00	–

2023

	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	1,094	3	0.27	0.09	0.08	0.24
0.00 to <0.10	714	1	0.14	0.07	0.06	0.22
0.10 to <0.15	380	2	0.53	0.13	0.13	0.28
0.15 to <0.25	1,613	6	0.37	0.20	0.20	0.30
0.25 to <0.50	2,666	12	0.45	0.38	0.38	0.23
0.50 to <0.75	2,766	31	1.12	0.62	0.62	0.37
0.75 to <2.50	9,510	167	1.76	1.49	1.45	0.74
0.75 to <1.75	7,084	99	1.40	1.30	1.23	0.66
1.75 to <2.50	2,426	68	2.80	2.03	2.07	0.93
2.50 to <10.00	6,987	250	3.58	4.76	4.98	1.60
2.50 to <5.00	4,162	138	3.32	3.62	3.58	1.29
5.00 to <10.00	2,827	112	3.96	6.91	7.03	2.19
10.00 to <100.00	2,327	333	14.31	23.08	21.86	10.07
10.00 to <20.00	1,827	88	4.82	12.88	13.10	4.17
20.00 to <30.00	138	34	24.64	24.80	24.47	12.67
30.00 to <100.00	362	211	58.29	64.02	65.10	31.09
100.00 (Default)	–	–	–	100.00	100.00	–

Table 38: IRB approach – Back-testing of PD per exposure class for retail – secured by real estate property – Non SME (fixed PD scale) (UK CR9)

			2024
	Number of obligors at the end of previous year
		Of which number of obligors which	Observed average default rate	Exposures weighted average PD	Average PD	Average historical annual default rate
PD Range %		defaulted in the year	%	%	%	%
0.00 to <0.15	245,186	425	0.17	0.07	0.06	0.04
0.00 to <0.10	221,151	310	0.14	0.06	0.05	0.03
0.10 to <0.15	24,035	115	0.48	0.12	0.12	0.07
0.15 to <0.25	22,831	73	0.32	0.19	0.20	0.34
0.25 to <0.50	16,091	262	1.63	0.35	0.36	0.10
0.50 to <0.75	25,991	752	2.89	0.61	0.61	0.24
0.75 to <2.50	14,919	200	1.34	1.34	1.30	0.55
0.75 to <1.75	11,721	146	1.25	1.11	1.09	0.39
1.75 to <2.50	3,198	54	1.69	2.08	2.08	1.27
2.50 to <10.00	4,024	185	4.60	4.75	4.92	1.06
2.50 to <5.00	2,500	97	3.88	3.48	3.59	0.82
5.00 to <10.00	1,524	88	5.77	7.02	7.10	1.76
10.00 to <100.00	2,467	573	23.23	37.32	32.21	15.24
10.00 to <20.00	1,099	100	9.10	13.72	13.41	2.94
20.00 to <30.00	250	44	17.60	24.41	24.79	14.94
30.00 to <100.00	1,118	429	38.37	53.28	52.34	38.96
100.00 (Default)	–	–	–	100.00	100.00	–
			2023
	Number of obligors at the end of previous year
		Of which number of	Observed average	Exposures weighted		Average historical
PD Range %		obligors which defaulted in the year	default rate %	average PD %	Average PD %	annual default rate %
0.00 to <0.15	267,252	35	0.01	0.07	0.06	0.21
0.00 to <0.10	244,319	32	0.01	0.06	0.05	0.19
0.10 to <0.15	22,933	3	0.01	0.12	0.12	0.25
0.15 to <0.25	24,322	10	0.04	0.19	0.19	0.42
0.25 to <0.50	15,792	21	0.13	0.35	0.36	0.53
0.50 to <0.75	24,785	38	0.15	0.61	0.60	0.75
0.75 to <2.50	13,426	77	0.57	1.33	1.27	0.55
0.75 to <1.75	10,820	45	0.42	1.09	1.08	0.44
1.75 to <2.50	2,606	32	1.23	2.08	2.08	1.02
2.50 to <10.00	3,756	89	2.37	4.76	4.81	0.78
2.50 to <5.00	2,474	37	1.50	3.52	3.61	0.64
5.00 to <10.00	1,282	52	4.06	7.12	7.12	1.44
10.00 to <100.00	2,399	421	17.55	35.94	29.05	16.26
10.00 to <20.00	1,203	92	7.65	13.49	13.71	2.10
20.00 to <30.00	276	43	15.58	24.00	23.79	17.28
30.00 to <100.00	920	286	31.09	52.93	50.69	45.05

Table 39: IRB approach – Back-testing of PD per exposure class for retail – secured by real estate property – SME (fixed PD scale) (UK CR9)

2024
	Number of obligors at the end of previous year
		Of which number of obligors which	Observed average default rate	Exposures weighted average PD	Average PD	Average historical annual default rate
PD Range %		defaulted in the year	%	%	%	%
0.00 to <0.15	495	–	–	0.10	0.09	0.06
0.00 to <0.10	298	–	–	0.07	0.06	0.06
0.10 to <0.15	197	–	–	0.13	0.13	0.08
0.15 to <0.25	259	2	0.77	0.18	0.18	0.13
0.25 to <0.50	299	2	0.67	0.38	0.38	0.25
0.50 to <0.75	319	–	–	0.60	0.61	0.31
0.75 to <2.50	676	2	0.30	1.39	1.33	0.66
0.75 to <1.75	577	2	0.35	1.17	1.21	0.53
1.75 to <2.50	99	–	–	2.16	2.06	1.25
2.50 to <10.00	211	3	1.42	4.84	4.74	2.30
2.50 to <5.00	160	1	0.63	3.13	3.84	1.84
5.00 to <10.00	51	2	3.92	5.93	7.54	3.44
10.00 to <100.00	71	6	8.45	20.38	25.24	14.64
10.00 to <20.00	33	–	–	15.01	13.12	3.80
20.00 to <30.00	28	2	7.14	26.56	26.50	14.78
30.00 to <100.00	10	4	40.00	64.24	61.67	27.55
100.00 (Default)	–	–	–	100.00	100.00	–
			2023

	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	568	–	–	0.09	0.09	0.07
0.00 to <0.10	351	–	–	0.07	0.06	0.06
0.10 to <0.15	217	–	–	0.13	0.13	0.09
0.15 to <0.25	309	–	–	0.19	0.18	0.14
0.25 to <0.50	389	1	0.26	0.38	0.37	0.22
0.50 to <0.75	314	–	–	0.60	0.62	0.35
0.75 to <2.50	695	3	0.43	1.38	1.36	0.64
0.75 to <1.75	585	1	0.17	1.28	1.22	0.56
1.75 to <2.50	110	2	1.82	2.12	2.08	0.95
2.50 to <10.00	230	2	0.87	4.79	4.95	2.49
2.50 to <5.00	114	1	0.88	3.81	3.33	1.92
5.00 to <10.00	116	1	0.86	6.76	6.55	3.91
10.00 to <100.00	86	13	15.12	25.23	25.84	14.36
10.00 to <20.00	43	–	–	14.07	12.85	4.99
20.00 to <30.00	27	8	29.63	26.60	26.38	10.91
30.00 to <100.00	16	5	31.25	61.60	59.81	26.28
100.00 (Default)	–	–	–	100.00	100.00	–

Table 40: IRB approach – Backtesting of PD per exposure class for retail – qualifying revolving (fixed PD scale) (UK CR9)

2024
	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	933,556	2,242	0.24	0.08	0.07	0.04
0.00 to <0.10	750,239	1,620	0.22	0.06	0.06	0.04
0.10 to <0.15	183,317	622	0.34	0.11	0.12	0.05
0.15 to <0.25	240,896	1,485	0.62	0.21	0.20	0.15
0.25 to <0.50	500,192	2,301	0.46	0.33	0.34	0.44
0.50 to <0.75	326,854	1,562	0.48	0.67	0.65	0.30
0.75 to <2.50	455,644	5,590	1.23	1.42	1.40	0.85
0.75 to <1.75	357,870	3,804	1.06	1.29	1.22	0.76
1.75 to <2.50	97,774	1,786	1.83	2.12	2.09	1.09
2.50 to <10.00	432,512	10,025	2.32	4.12	4.66	1.66
2.50 to <5.00	310,451	5,554	1.79	2.97	3.71	1.17
5.00 to <10.00	122,061	4,471	3.66	7.08	7.07	2.78
10.00 to <100.00	95,723	17,724	18.52	23.08	31.96	10.26
10.00 to <20.00	48,398	3,569	7.37	13.94	13.61	4.67
20.00 to <30.00	15,208	2,052	13.49	23.43	24.02	14.27
30.00 to <100.00	32,117	12,103	37.68	62.07	63.37	23.11
100.00 (Default)	–	–	–	100.00	100.00	–

2023

	Number of obligors at the end of previous year
PD Range %		Of which number of obligors which defaulted in the year	Observed average default rate %	Exposures weighted average PD %	Average PD %	Average historical annual default rate %
0.00 to <0.15	1,022,679	707	0.07	0.07	0.07	0.04
0.00 to <0.10	817,367	566	0.07	0.06	0.06	0.03
0.10 to <0.15	205,312	141	0.07	0.11	0.12	0.05
0.15 to <0.25	272,245	820	0.30	0.21	0.20	0.10
0.25 to <0.50	506,733	6,737	1.33	0.32	0.34	0.20
0.50 to <0.75	304,005	2,225	0.73	0.67	0.65	0.18
0.75 to <2.50	441,800	8,723	1.97	1.48	1.40	0.54
0.75 to <1.75	346,734	6,219	1.79	1.36	1.21	0.46
1.75 to <2.50	95,066	2,504	2.63	2.11	2.09	0.68
2.50 to <10.00	573,776	14,436	2.52	4.80	4.74	1.38
2.50 to <5.00	427,267	7,479	1.75	3.34	3.87	0.98
5.00 to <10.00	146,509	6,957	4.75	7.26	7.26	2.17
10.00 to <100.00	122,833	29,262	23.82	28.40	30.82	6.26
10.00 to <20.00	63,006	6,777	10.76	13.62	13.62	2.92
20.00 to <30.00	21,832	4,744	21.73	23.61	23.44	11.85
30.00 to <100.00	37,995	17,741	46.69	60.68	63.59	16.43
100.00 (Default)	–	–	–	100.00	100.00	–

Table 41: Table 41: IRB – Backtesting of probability of default (PD) for central governments or central banks (UK CR9.1)

2024
			Number of obligors at the end of previous year
	External Rating equivalent		Of which number of obligors which	Observed average default rate	Average PD	Average historical annual default rate
PD Range %	(S&P)		defaulted in the year	%	%	%
0.000 to <0.015	AAA	10	–	–	0.01	–
0.016 to <0.025	AA+/AA	19	–	–	0.02	–
0.026 to <0.035	AA-	4	–	–	0.03	–
0.036 to <0.045	A+	12	–	–	0.04	–
0.046 to <0.060	A	5	–	–	0.05	–
0.061 to <0.083	A-	10	–	–	0.07	–
0.084 to <0.110	BBB+/BBB	4	–	–	0.09	–
0.111 to <0.170	BBB/BBB-	8	–	–	0.13	–
0.171 to <0.300	BBB-	5	–	–	0.22	0.05
0.301 to <0.425	BB+	–	–	–	–	0.14
0.426 to <0.585	BB+/BB	5	–	–	0.51	0.09
0.586 to <0.770	BB	2	–	–	0.67	–
0.771 to <1.020	BB/BB-	8	–	–	0.89	0.32
1.021 to <1.350	B-	5	–	–	1.17	–
1.351 to <1.750	BB-/B+	–	–	–	–	1.63
1.751 to <2.350	B+	2	–	–	2.03	0.98
2.351 to <3.050	B	2	–	–	2.67	4.46
3.051 to <4.000	B	9	–	–	3.51	9.29
4.001 to <5.300	B/B-	9	–	–	4.62	5.45
5.301 to <7.000	B-	1	–	–	6.08	10.00
7.001 to <9.200	B-	1	–	–	8.01	–
9.200 to <12.000	B-	3	–	–	10.54	–
12.001 to <15.750	B-/CCC+	–	–	–	–	1.25
15.751 to <21.000	CCC+	–	–	–	–	25.00
21.001 to <28.500	CCC+	–	–	–	–	7.27
28.501 to <99.999	CCC to C	4	–	–	33.00	53.33
100	N/A	–	–	–	–	–
100	N/A	–	–	–	–	–
Unrated	N/A	–	–	–	–	–

			2023
		Number of obligors at the end of previous year
PD Range %	External Rating equivalent (S&P)		Of which number of obligors which defaulted in the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA	14	–	–	0.01	–
0.016 to <0.025	AA+/AA	22	–	–	0.02	–
0.026 to <0.035	AA-	7	–	–	0.03	–
0.036 to <0.045	A+	7	–	–	0.04	–
0.046 to <0.060	A	6	–	–	0.05	–
0.061 to <0.083	A-	9	–	–	0.07	–
0.084 to <0.110	BBB+	3	–	–	0.09	–
0.111 to <0.170	BBB	3	–	–	0.13	–
0.171 to <0.300	BBB-	9	–	–	0.22	–
0.301 to <0.425	BB+	2	–	–	0.39	–
0.426 to <0.585	BB+/BB	4	–	–	0.51	–
0.586 to <0.770	BB	4	–	–	0.67	–
0.771 to <1.020	BB-	4	–	–	0.89	–
1.021 to <1.350	BB-/B+	4	–	–	1.17	–
1.351 to <1.750	B+	4	–	–	1.54	–
1.751 to <2.350	B+/B	7	–	–	2.03	–
2.351 to <3.050	B	4	–	–	2.67	2.86
3.051 to <4.000	B/B-	7	–	–	3.51	5.00
4.001 to <5.300	B-	4	–	–	4.62	–
5.301 to <7.000	B-	4	–	–	6.08	–
7.001 to <15.750	B-/CCC+	4	–	–	8.01	–
15.751 to <99.999	CCC+/C	3	–	–	10.54	–
100	N/A	1	–	–	13.77	–
100	N/A	3	–	–	18.00	20.00
Unrated	N/A	–	–	–	–	–

Table 41: IRB – Backtesting of probability of default (PD) for central governments or central banks (UK CR9.1) continued

Table 42: IRB – Backtesting of probability of default (PD) for institutions (CR9.1)

2024
			Number of obligors at the end of previous year
	External Rating equivalent		Of which number of obligors which	Observed average default rate	Average PD	Average historical annual default rate
PD Range %	(S&P)		defaulted in the year	%	%	%
0.000 to <0.015	AAA/AA+	–	–	–	–	–
0.016 to <0.025	AA/AA-	–	–	–	–	–
0.026 to <0.035	A+	17	–	–	0.03	–
0.036 to <0.045	A	6	–	–	0.04	–
0.046 to <0.060	A-	2	–	–	0.05	–
0.061 to <0.083	BBB+/BBB	–	–	–	–	–
0.084 to <0.110	BBB/BBB-	1	–	–	0.09	–
0.111 to <0.170	BBB-	3	–	–	0.13	–
0.171 to <0.300	BB+	6	–	–	0.22	–
0.301 to <0.425	BB+/BB	–	–	–	–	–
0.426 to <0.585	BB	–	–	–	0.67	–
0.586 to <0.770	BB/BB-	1	–	–	–	–
0.771 to <1.020	BB-	–	–	–	1.17	–
1.021 to <1.350	B+	1	–	–	–	–
1.351 to <1.750	B+/B	–	–	–	–	–
1.751 to <2.350	B	–	–	–	–	–
2.351 to <3.050	B	–	–	–	–	–
3.051 to <4.000	B/B-	–	–	–	–	–
4.001 to <5.300	B-	–	–	–	–	–
5.301 to <7.000	B-/CCC+ to C	–	–	–	–	–
7.001 to <9.200	CCC+ to C	–	–	–	–	–
9.200 to <12.000	CCC+ to C	–	–	–	–	–
12.001 to <15.750	CCC+ to C	–	–	–	–	–
15.751 to <21.000	CCC+ to C	–	–	–	–	–
21.001 to <28.500	CCC+ to C	–	–	–	–	–
28.501 to <99.999	CCC+ to C	–	–	–	–	–
100	N/A	–	–	–	–	–
100	N/A	–	–	–	–	–
Unrated	N/A	–	–	–	–	–

Table 42: IRB – Backtesting of probability of default (PD) for institutions (CR9.1) continued

			2023
		Number of obligors at the end of previous year
PD Range %	External Rating equivalent (S&P)		Of which number of obligors which defaulted in the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA/AA+	–	–	–	–	–
0.016 to <0.025	AA	–	–	–	–	–
0.026 to <0.035	AA-/A+	20	–	–	0.03	–
0.036 to <0.045	A	3	–	–	0.04	–
0.046 to <0.060	A-	1	–	–	0.05	–
0.061 to <0.083	BBB+	–	–	–	–	–
0.084 to <0.110	BBB	2	–	–	0.09	–
0.111 to <0.170	BBB/BBB-	1	–	–	0.13	–
0.171 to <0.300	BBB-	5	–	–	0.22	–
0.301 to <0.425	BB+	–	–	–	–	–
0.426 to <0.585	BB	1	–	–	0.51	–
0.586 to <0.770	BB/BB-	–	–	–	–	–
0.771 to <1.020	BB-	1	–	–	0.90	–
1.021 to <1.350	BB-/B+	–	–	–	–	–
1.351 to <1.750	B+	–	–	–	–	–
1.751 to <2.350	B+/B	–	–	–	–	–
2.351 to <3.050	B	–	–	–	–	–
3.051 to <4.000	B/B-	–	–	–	–	–
4.001 to <5.300	B-	–	–	–	–	–
5.301 to <7.000	B-/CCC	–	–	–	–	–
7.001 to <15.750	CCC/C	–	–	–	–	–
15.751 to <99.999	CCC/C	–	–	–	–	–
100	N/A	–	–	–	–	–
100	N/A	–	–	–	–	–
Unrated	N/A	–	–	–	–	–

Table 43: IRB – Backtesting of probability of default (PD) for corporates (CR9.1)

2024
		Number of obligors at the end of the year
PD Range %	External Rating equivalent (S&P)		of which: number of obligors which defaulted during the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA/AA+	–	–	–	–	–
0.016 to <0.025	AA	–	–	–	–	–
0.026 to <0.035	AA-	57	–	–	0.03	–
0.036 to <0.045	A+	51	–	–	0.04	–
0.046 to <0.060	A/A-	99	–	–	0.05	–
0.061 to <0.083	BBB+	208	–	–	0.07	0.11
0.084 to <0.110	BBB+/BBB	261	–	–	0.09	–
0.111 to <0.170	BBB	299	1	0.33	0.13	–
0.171 to <0.300	BBB-	494	–	–	0.22	6.71
0.301 to <0.425	BBB-/BB+	261	–	–	0.39	0.23
0.426 to <0.585	BB	277	–	–	0.51	0.27
0.586 to <0.770	BB/BB-	188	1	0.53	0.67	0.30
0.771 to <1.020	BB-	122	–	–	0.89	0.71
1.021 to <1.350	BB-/B+	86	–	–	1.17	0.95
1.351 to <1.750	B+	50	–	–	1.54	–
1.751 to <2.350	B+	40	1	2.50	2.03	0.85
2.351 to <3.050	B	26	–	–	2.67	5.73
3.051 to <4.000	B/B-	23	–	–	3.51	3.76
4.001 to <5.300	B-	22	–	–	4.62	1.82
5.301 to <7.000	B-	5	–	–	6.08	3.33
7.001 to <9.200	B-	13	–	–	8.01	–
9.200 to <12.000	B-/CCC+	2	–	–	10.54	–
12.001 to <15.750	CCC+	10	–	–	13.77	1.43
15.751 to <21.000	CCC+	2	–	–	18.00	5.72
21.001 to <28.500	CCC+/CCC to C	6	–	–	24.55	21.80
28.501 to <99.999	CCC to C	17	1	5.88	33.00	18.33
100	N/A	–	–	–	–	–
100	N/A	–	–	–	–	–
Unrated	N/A	–	–	–	–	–

Table 43: IRB – Backtesting of probability of default (PD) for corporates (CR9.1) continued

			2023
		Number of obligors at the end of previous year
PD Range %	External Rating equivalent (S&P)		Of which number of obligors which defaulted in the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA/AA+	3	–	–	–	–
0.016 to <0.025	AA	–	–	–	–	–
0.026 to <0.035	AA-	61	–	–	0.03	–
0.036 to <0.045	A+	37	–	–	0.04	–
0.046 to <0.060	A/A-	125	–	–	0.05	–
0.061 to <0.083	BBB+	192	1	0.52	0.07	–
0.084 to <0.110	BBB+/BBB	255	–	–	0.09	–
0.111 to <0.170	BBB	262	–	–	0.13	–
0.171 to <0.300	BBB-	491	1	0.20	0.22	0.05
0.301 to <0.425	BBB-/BB+	286	–	–	0.39	0.37
0.426 to <0.585	BB+/BB	242	–	–	0.51	0.36
0.586 to <0.770	BB	201	–	–	0.67	0.42
0.771 to <1.020	BB-	105	1	0.95	0.89	0.83
1.021 to <1.350	BB-	72	2	2.78	1.17	0.40
1.351 to <1.750	BB-/B+	74	–	–	1.55	1.63
1.751 to <2.350	B+	49	–	–	2.02	1.83
2.351 to <3.050	B	33	3	9.09	2.67	5.95
3.051 to <4.000	B	33	5	15.15	3.48	8.32
4.001 to <5.300	B/B-	19	–	–	4.72	8.81
5.301 to <7.000	B-	7	–	–	6.15	13.33
7.001 to <15.750	B-/CCC+	14	1	7.14	8.01	–
15.751 to <99.999	CCC+/C	2	–	–	10.54	–
100	N/A	17	–	–	14.30	2.68
100	N/A	19	1	5.26	18.00	9.67
Unrated	N/A	11	3	27.27	24.62	26.95

Table 44: IRB – Backtesting of probability of default (PD) for corporates – specialised lending (CR9.1)

			2024
Number of obligors at the end of the year
PD Range %	External Rating equivalent (S&P)		of which: number of obligors which defaulted during the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA/AA+	–	–	–	–	–
0.016 to <0.025	AA	–	–	–	–	–
0.026 to <0.035	AA-	–	–	–	–	–
0.036 to <0.045	A+	–	–	–	–	–
0.046 to <0.060	A/A-	1	–	–	0.05	–
0.061 to <0.083	BBB+	–	–	–	–	–
0.084 to <0.110	BBB+/BBB	–	–	–	–	–
0.111 to <0.170	BBB	1	–	–	0.13	–
0.171 to <0.300	BBB-	5	–	–	0.22	–
0.301 to <0.425	BBB-/BB+	4	–	–	0.39	–
0.426 to <0.585	BB	–	–	–	–	–
0.586 to <0.770	BB/BB-	–	–	–	–	–
0.771 to <1.020	BB-	–	–	–	–	–
1.021 to <1.350	BB-/B+	1	–	–	1.17	–
1.351 to <1.750	B+	–	–	–	–	–
1.751 to <2.350	B+	–	–	–	–	–
2.351 to <3.050	B	–	–	–	–	–
3.051 to <4.000	B/B-	–	–	–	–	–
4.001 to <5.300	B-	–	–	–	–	–
5.301 to <7.000	B-	–	–	–	–	–
7.001 to <9.200	B-	–	–	–	–	20.00
9.200 to <12.000	B-/CCC+	–	–	–	–	–
12.001 to <15.750	CCC+	–	–	–	–	20.00
15.751 to <21.000	CCC+	–	–	–	–	–
21.001 to <28.500	CCC+/CCC to C	–	–	–	–	–
28.501 to <99.999	CCC to C	–	–	–	–	–
100	N/A	–	–	–	–
100	N/A	–	–	–	–	–
Unrated	N/A	–	–	–	–	–

Table 44: IRB – Backtesting of probability of default (PD) for corporates – specialised lending (CR9.1) continued

			2023
		Number of obligors at the end of previous year
PD Range %	External Rating equivalent (S&P)		Of which number of obligors which defaulted in the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA/AA+	–	–	–	–	–
0.016 to <0.025	AA	–	–	–	–	–
0.026 to <0.035	AA-	–	–	–	–	–
0.036 to <0.045	A+	–	–	–	–	–
0.046 to <0.060	A/A-	1	–	–	0.05	–
0.061 to <0.083	BBB+	–	–	–	–	–
0.084 to <0.110	BBB+/BBB	–	–	–	–	–
0.111 to <0.170	BBB	2	–	–	0.13	–
0.171 to <0.300	BBB-	–	–	–	–	–
0.301 to <0.425	BBB-/BB+	3	–	–	0.39	–
0.426 to <0.585	BB+/BB	6	–	–	0.51	–
0.586 to <0.770	BB	–	–	–	–	–
0.771 to <1.020	BB-	1	–	–	0.89	–
1.021 to <1.350	BB-	–	–	–	–	–
1.351 to <1.750	BB-/B+	–	–	–	–	–
1.751 to <2.350	B+	1	–	–	2.03	–
2.351 to <3.050	B	1	–	–	2.67	–
3.051 to <4.000	B	–	–	–	–	–
4.001 to <5.300	B/B-	–	–	–	–	–
5.301 to <7.000	B-	–	–	–	–	–
7.001 to <15.750	B-/CCC+	–	–	–	–	–
15.751 to <99.999	CCC+/C	–	–	–	–	–
100	N/A	–	–	–	–	–
100	N/A	1	–	–	18.00	–
Unrated	N/A	–	–	–	–	–

Table 45: IRB – Backtesting of probability of default (PD) for corporates - SME (CR9.1)

2024
		Number of obligors at the end of the year
PD Range %	External Rating equivalent (S&P)		of which: number of obligors which defaulted during the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA/AA+	–	–	–	–	–
0.016 to <0.025	AA	–	–	–	–	–
0.026 to <0.035	AA-	–	–	–	–	–
0.036 to <0.045	A+	–	–	–	–	–
0.046 to <0.060	A/A-	–	–	–	–	–
0.061 to <0.083	BBB+	–	–	–	–	–
0.084 to <0.110	BBB+/BBB	1	–	–	0.09	–
0.111 to <0.170	BBB	2	–	–	0.13	–
0.171 to <0.300	BBB-	1	–	–	0.22	–
0.301 to <0.425	BBB-/BB+	1	–	–	0.39	–
0.426 to <0.585	BB	5	–	–	0.51	–
0.586 to <0.770	BB/BB-	–	–	–	–	–
0.771 to <1.020	BB-	2	–	-	0.89	-
1.021 to <1.350	BB-/B+	2	–	–	1.17	–
1.351 to <1.750	B+	4	–	–	1.54	–
1.751 to <2.350	B+	–	–	–	–	–
2.351 to <3.050	B	1	–	–	2.67	–
3.051 to <4.000	B/B-	–	–	–	–	–
4.001 to <5.300	B-	1	–	–	4.62	–
5.301 to <7.000	B-	–	–	–	–	–
7.001 to <9.200	B-	–	–	–	–	–
9.200 to <12.000	B-/CCC+	–	–	–	–	–
12.001 to <15.750	CCC+	–	–	–	–	–
15.751 to <21.000	CCC+	–	–	–	–	–
21.001 to <28.500	CCC+/CCC to C	–	–	–	–	–
28.501 to <99.999	CCC to C	–	–	–	–	–
100	N/A	–	–	–	–	–
100	N/A	–	–	–	–	–
Unrated	N/A	–	–	–	–	–

Table 45: IRB – Backtesting of probability of default (PD) for corporates – SME (CR9.1) continued

			2023
		Number of obligors at the end of previous year
PD Range %	External Rating equivalent (S&P)		Of which number of obligors which defaulted in the year	Observed average default rate %	Average PD %	Average historical annual default rate %
0.000 to <0.015	AAA/AA+	–	–	–	–	–
0.016 to <0.025	AA	–	–	–	–	–
0.026 to <0.035	AA-	1	–	–	0.03	–
0.036 to <0.045	A+	–	–	–	–	–
0.046 to <0.060	A/A-	–	–	–	–	–
0.061 to <0.083	BBB+	1	–	–	0.07	–
0.084 to <0.110	BBB+/BBB	–	–	–	–	–
0.111 to <0.170	BBB	1	–	–	0.13	–
0.171 to <0.300	BBB-	1	–	–	0.22	–
0.301 to <0.425	BBB-/BB+	5	–	–	0.39	–
0.426 to <0.585	BB+/BB	1	–	–	0.51	–
0.586 to <0.770	BB	2	–	–	0.67	–
0.771 to <1.020	BB-	–	–	–	–	–
1.021 to <1.350	BB-	3	–	–	1.17	–
1.351 to <1.750	BB-/B+	1	–	–	1.54	–
1.751 to <2.350	B+	–	–	–	–	–
2.351 to <3.050	B	5	–	–	2.67	–
3.051 to <4.000	B	1	–	–	3.31	–
4.001 to <5.300	B/B-	–	–	–	–	–
5.301 to <7.000	B-	–	–	–	–	–
7.001 to <15.750	B-/CCC+	–	–	–	–	–
15.751 to <99.999	CCC+/C	–	–	–	–	–
100	N/A	–	–	–	–	–
100	N/A	–	–	–	–	–
Unrated	N/A	–	–	–	–	–

3.4 Credit risk quality

The following tables detail the Group's Credit quality of exposures. The amounts shown are based on IFRS accounting values according to the regulatory scope of consolidation.

Table 46 shows the credit quality of on and off-balance sheet non-performing exposures and related impairments, provisions and valuation adjustments by portfolio and exposure class.

Table 47 shows the on and off-balance sheet net credit risk exposures by residual contractual maturity, split by either loans and advances or debt securities.

Table 48 shows information on changes in the institutions stock of on balance sheet non-performing loans and advances.

Table 49 shows the quality of on and off-balance sheet forborne exposures.

Table 50 shows the credit quality of performing and nonperforming exposures by past due days.

Table 51 shows the credit quality of on balance sheet and off-balance sheet exposure for loans and advances, debt securities derivatives and equity instruments by geography.

Table 52 shows the credit quality of loans and advances on balance sheet exposure to non-financial corporation by industry types.

The scope and definitions of 'past-due' and 'impaired' exposures used for accounting purposes, the extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this, and methods used for determining general and specific credit risk adjustments are shown in the 2024 Annual Report and Accounts on pages 201 to 202.

Table 46: Performing and non-performing exposures and related provisions (UK CR1)

		2024
	Accumulated impairment, accumulated negative changes in Gross carrying amount/nominal amount fair value due to credit risk and provisions
										Non-performing exposures
								Performing exposures –		– accumulated impairment, accumulated negative changes
								accumulated impairment		in fair value due to credit risk				Collateral and financial
		Performing exposures			Non-performing exposures		and provisions		and provisions				guarantees received	On
			Of		Of	Of		Of which	Of		Of		Accumulated	On	non
		Of which stage 1	which stage 2		which stage 2	which stage 3		stage \$million	which stage 2		which stage 2	Of which stage 3	partial write-off	performing exposures	performing exposures
	\$million	\$million	\$million \$million		\$million	\$million \$million		1	\$million	\$million	\$million	\$million	\$million	\$million	\$million
005 Cash balances at central banks and other demand deposits	65,592	65,160	432	427	–	427	(4)	–	(4)	(4)	–	(4)	–	–	–
010 Loans and advances		407,490 396,481 11,009		6,286	–	6,286	(967)	(493)		(474) (3,953)	–	(3,953)	(4,818)	122,859	881
020 Central banks	24,738	24,729	9	–	–	–	(1)	(1)	–	–	–	–	–	177	–
030 General governments	13,952	13,549	403	107	–	107	(4)	(3)	(1)	(42)	–	(42)	(6)	1,123	5
040Credit institutions	74,043	73,898	145	54	–	54	(4)	(4)	-	(12)	–	(12)	(27)	3,441	–
050 Other financial corporations	81,571	80,342	1,229	101	–	101	(154)	(12)	(142)	(55)	–	(55)	(328)	11,855	–
060Non-financial corporations	100,301	92,574	7,727	5,063	–	5,063	(353)	(143)	(210)	(3,561)	–	(3,561)	(4,454)	22,961	321
070 Of which SMEs	10,534	9,967	567	669	–	669	(112)	(91)	(21)	(389)	–	(389)	–	1,343	11
080Households	112,885	111,389	1,496	961	–	961	(451)	(330)	(121)	(283)	–	(283)	(3)	83,302	555
090Debt securities 145,725		144,108	1,617	105	–	105	(27)	(23)	(4)	(2)	–	(2)	–	201	–
100 Central banks	19,675	19,563	112	86	–	86	(4)	(2)	(2)	(2)	–	(2)	–	9	–
110 General governments	68,968	67,608	1,360	–	–	–	(8)	(6)	(2)	–	–	–	–	105	–
120 Credit institutions	28,838	28,783	55	–	–	–	(9)	(9)	–	–	–	–	–	15	–
130 Other financial corporations	26,257	26,167	90	–	–	–	(5)	(5)	–	–	–	–	–	24	–
140 Non-financial corporations	1,987	1,987	–	19	–	19	(1)	(1)	–	–	–	–	–	48	–
150 Off-balance sheet exposures		272,674 266,630 6,044		609	–	609	(125)	(66)	(59)	(130)	–	(130)		4,251	46
160 Central banks	386	386	–	–	–	–	–	–	–	–	–	–		–	–
170 General governments	5,061	5,042	19	–	–	–	(0)	–	–	–	–	–		297	–
180 Credit institutions	14,445	14,013	432	23	–	23	(4)	(3)	(1)	(6)	–	(6)		104	–
190 Other financial corporations	62,826	62,001	825	1	–	1	(19)	(6)	(13)	–	–	–		875	–
200 Non-financial corporations	118,977	114,332	4,645	578	–	578	(83)	(39)	(44)	(124)	–	(124)		2,642	46
210 Households	70,979	70,856	123	7	–	7	(19)	(18)	(1)	–	–	–		333	–
220 Total		891,481 872,379	19,102	7,427	–	7,427	(1,123)	(582)		(541) (4,089)	–	(4,089)	(4,818)	127,311	927

Table 46: Performing and non-performing exposures and related provisions (UK CR1) continued

		2023
		Accumulated impairment, accumulated negative changes Gross carrying amount/nominal amount in fair value due to credit risk and provisions
			Performing exposures			Non-performing exposures			Performing exposures – accumulated impairment	and provisions		Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions				Collateral and financial guarantees received
		\$million	Of which stage 1 \$million	Of which stage 2	\$million \$million	Of which stage 2 \$million	Of which stage 3	\$million \$million	Of which stage 1 \$million	Of which stage 2	\$million \$million	Of which stage 2 \$million	Of which stage 3 \$million	Accumulated partial write-off \$million	On performing exposures \$million	On non performing exposures \$million
005	Cash balances at central banks and other demand deposits		68,467 68,260	207	404	–	404	(7)	–	(7)	(12)	–	(12)	–	–	–
010	Loans and advances	403,663 391,838		11,825	7,304	–	7,304	(869)	(438)		(431) (4,324)		– (4,324)	(4,655)	126,258	1,176
020	Central banks	31,695	29,829	1,866	224	–	224	(1)	–	(1)	(14)	–	(14)	–	4,106	–
030	General governments	10,157	9,406	750	140	–	140	(6)	(3)	(3)	(25)	–	(25)	(3)	1,583	5
040	Credit institutions	67,774	67,373	401	46	–	46	(5)	(4)	(1)	(15)	–	(15)	(27)	14,177	1
050	Other financial corporations	70,239	69,983	256	108	–	108	(21)	(16)	(5)	(100)	–	(100)	(311)	5,267	1
060	Non-financial corporations	103,945	97,315	6,629	5,797	–	5,797	(436)	(140)		(296) (3,874)		– (3,874)	(4,311)	20,867	608
070	Of which SMEs	11,040	10,463	578	682	–	682	(76)	(49)	(27)	(470)	–	(470)	–	1,378	8
080	Households	119,854	117,930	1,923	989	–	989	(401)	(275)	(126)	(296)	–	(296)	(3)	80,258	562
090	Debt securities		161,522 159,630	1,893	170	–	170	(61)	(32)	(30)	(62)	–	(62)	–	138	–
100	Central banks	17,356	16,653	702	77	–	77	(6)	(3)	(2)	(5)	–	(5)	–	–	–
110	General governments	75,152	73,966	1,186	–	–	–	(38)	(12)	(25)	–	–	–	–	10	–
120	Credit institutions	41,948	41,944	4	–	–	–	(11)	(10)	(2)	–	–	–	–	9	–
130	Other financial corporations	19,983	19,983	–	–	–	–	(3)	(3)	–	–	–	–	–	64	–
140	Non-financial corporations	7,083	7,083	–	93	–	93	(4)	(4)	–	(57)	–	(57)	–	54	–
150	Off-balance sheet exposures	256,347 247,704		8,643	675	–	675	(115)	(62)	(52)	(112)	–	(112)		5,497	34
160	Central banks	505	505	–	–	–	–	(1)	(1)	–	–	–	–		–	–
170	General governments	5,443	5,112	330	–	–	–	(4)	(3)	(1)	–	–	–		204	–
180	Credit institutions	16,879	16,511	368	15	–	15	(2)	(2)	–	(1)	–	(1)		55	1
190	Other financial corporations		47,299 46,547	753	13	–	13	(9)	(6)	(3)	–	–	–		1,018	–
200	Non-financial corporations		112,619 105,585	7,034	645	–	645	(91)	(45)	(47)	(111)	–	(111)		3,874	33
210	Households		73,602 73,444	158	2	–	2	(7)	(5)	(1)	–	–	–		346	–
220	Total	889,999 867,431		22,567	8,553	–		8,553 (1,052)	(532)	(520)	(4,511)	–	(4,511)	(4,655)	131,892	1,210

Table 47: Maturity of exposures (UK CR1-A)

				2024
				Net exposure value
		On demand \$million	<= 1 year \$million	> 1 year <= 5 years \$million	> 5 years \$million	No stated maturity \$million	Total \$million
1	Loans and advances	12,269	236,043	75,128	96,677	–	420,117
2	Debt securities	159	89,766	74,237	55,939	–	220,101
3	Total	12,428	325,809	149,365	152,616	–	640,218
				2023
			Net exposure value
		On demand \$million	<= 1 year \$million	> 1 year <= 5 years \$million	> 5 years \$million	No stated maturity \$million	Total \$million
1	Loans and advances	23,349	246,494	56,506	96,928	–	423,278
2	Debt securities	213	97,687	69,079	46,237	–	213,216
3	Total	23,562	344,182	125,585	143,165	–	636,494

Table 48: Changes in the stock of non-performing loans and advances (UK CR2)

		2024	2023
		Gross carrying	Gross carrying
		amount	amount
		\$million	\$million
010	Initial stock of non-performing loans and advances	7,304	7,904
020	Inflows to non-performing portfolios	2,440	3,029
030	Outflows from non-performing portfolios	(3,458)	(3,629)
040	Outflows due to write-offs	(1,464)	(1,675)
050	Outflow due to other situations	(1,994)	(1,954)
060	Final stock of non-performing loans and advances	6,286	7,304

Table 49: Credit quality of forborne exposures (UK CQ1)

		2024
			Gross carrying amount/nominal amount of exposures with forbearance measures			Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions			Collateral received and financial guarantees received on forborne exposures
		Performing forborne		Non-performing forborne		On performing	On non performing		Of which collateral and financial guarantees received on non performing exposures with
		\$million	\$million	Of which defaulted \$million	Of which impaired \$million	forborne exposures \$million	forborne exposures \$million	\$million	forbearance measures \$million
005	Cash balances at central banks and other demand deposits	–	–	–	–	–	–	–	–
010	Loans and advances	53	2,323	2,323	2,320	(1)	(1,591)	274	247
020	Central banks	–	–	–	–	–	–	–	–
030	General governments	–	–	–	–	–	–	–	–
040	Credit institutions	–	–	–	–	–	–	–	–
050	Other financial corporations	16	43	43	43	–	(28)	–	–
060	Non-financial corporations	20	2,069	2,069	2,066	–	(1,475)	227	210
070	Households	17	211	211	211	(1)	(88)	47	37
080	Debt Securities	–	–	–	–	–	–	–	–
090	Loan commitments given	–	–	–	–	–	–	–	–
100	Total	53	2,323	2,323	2,320	(1)	(1,591)	274	247

		2023
			Gross carrying amount/nominal amount of exposures with forbearance measures			Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions			Collateral received and financial guarantees received on forborne exposures
		Performing forborne	Non-performing forborne				On non performing	Of which collateral and financial guarantees received on non performing exposures with
				Of which	Of which	performing forborne	forborne		forbearance
		\$million	\$million	defaulted \$million	impaired \$million	exposures \$million	exposures \$million	\$million	measures \$million
005	Cash balances at central banks and other demand deposits	–	–	–	–	–	–	–	–
010	Loans and advances	40	2,614	2,614	2,485	(2)	(1,648)	447	416
020	Central banks	–	–	–	–	–	–	–	–
030	General governments	–	–	–	–	–	–	–	–
040	Credit institutions	–	–	–	–	–	–	–	–
050	Other financial corporations	–	20	20	20	–	(20)	–	–
060	Non-financial corporations	24	2,363	2,363	2,360	–	(1,528)	399	379
070	Households	16	230	230	105	(2)	(99)	47	37
080	Debt Securities	–	–	–	–	–	–	–	–
090	Loan commitments given	–	–	–	–	–	–	–	–
100	Total	40	2,614	2,614	2,485	(2)	(1,648)	447	416

50: Credit quality of performing and non-performing exposures by past due days (UK CQ3)

		2024
		Gross carrying amount/nominal amount
			Performing exposures			Unlikely to pay that are not past due			Non-performing exposures
		\$million	Not past due or past due ≤ 30 days \$million	Past due > 30 days ≤ 90 days \$million	\$million	or are past due ≤ 90 days \$million	Past due > 90 days ≤ 180 days \$million	Past due > 180 days ≤ 1 year \$million	Past due > 1 year ≤ 2 years \$million	Past due > 2 years ≤ 5 years \$million	Past due > 5 years ≤ 7 years \$million	Past due > 7 years \$million	Of which defaulted \$million
005	Cash balances at central banks and other demand deposits	65,592	65,592	–	427	427	–	–	–	–	–	–	427
010	Loans and advances	407,490	407,133	357	6,286	2,143	780	409	657	1,420	230	647	6,286
020	Central banks	24,738	24,738	–	–	–	–	–	–	–	–	–	–
030	General governments	13,952	13,952	–	107	51	1	–	–	55	–	–	107
040	Credit institutions	74,043	74,041	2	54	–	51	–	–	3	–	–	54
050	Other financial corporations	81,571	81,571	–	101	–	16	–	28	42	–	15	101
060	Non-financial corporations	100,301	100,224	77	5,063	1,908	95	358	567	1,281	225	629	5,063
070	Of which SMEs	10,534	10,487	47	669	252	47	49	39	72	94	116	669
080	Households	112,885	112,607	278	961	184	617	51	62	39	5	3	961
090	Debt securities	145,725	145,725	–	105	105	–	–	–	–	–	–	105
100	Central banks	19,675	19,675	–	86	86	–	–	–	–	–	–	86
110	General governments	68,968	68,968	–	–	–	–	–	–	–	–	–	–
120	Credit institutions	28,838	28,838	–	–	–	–	–	–	–	–	–	–
130	Other financial corporations	26,257	26,257	–	–	–	–	–	–	–	–	–	–
140	Non-financial corporations	1,987	1,987	–	19	19	–	–	–	–	–	–	19
150	Off-balance-sheet exposures	272,674			609								609
160	Central banks	386			–								–
170	General governments	5,061			–								–
180	Credit institutions	14,445			23								23
190	Other financial corporations	62,826			1								1
200	Non-financial corporations	118,977			578								578
210	Households	70,979			7								7
220	Total	891,481	618,450	357	7,427	2,675	780	409	657	1,420	230	647	7,427

Table 50: Credit quality of performing and non-performing exposures by past due days (UK CQ3) continued

		2023
								Gross carrying amount/nominal amount
			Performing exposures			Non-performing exposures Unlikely to
		\$million	Not past due or past due ≤ 30 days \$million	Past due > 30 days ≤ 90 days \$million	\$million	pay that are not past due or are past due ≤ 90 days \$million	Past due > 90 days ≤ 180 days \$million	Past due > 180 days ≤ 1 year \$million	Past due > 1 year ≤ 2 years \$million	Past due > 2 years ≤ 5 years \$million	Past due > 5 years ≤ 7 years \$million	Past due > 7 years \$million	Of which defaulted \$million
005	Cash balances at central
	banks and other demand deposits	68,467	68,467	–	404	404	–	–	–	–	–	–	404
010	Loans and advances	403,663	403,303	360	7,304	3,249	671	327	918	1,157	380	602	7,304
020	Central banks	31,695	31,695	–	224	224	–	–	–	–	–	–	224
030	General governments	10,157	10,157	–	140	51	–	5	14	69	–	–	140
040	Credit institutions	67,774	67,773	–	46	–	46	–	–	–	–	–	46
050	Other financial corporations	70,239	70,239	–	108	33	17	–	–	42	–	16	108
060	Non-financial corporations	103,945	103,855	89	5,797	2,613	109	278	853	985	377	584	5,797
070	Of which SMEs	11,040	10,990	50	682	236	46	31	35	134	91	110	682
080	Households	119,854	119,583	271	989	328	499	44	51	61	3	3	989
090	Debt securities	161,522	161,522	1	170	170	–	–	–	–	–	–	170
100	Central banks	17,356	17,356	–	77	77	–	–	–	–	–	–	77
110	General governments	75,152	75,152	1	–	–	–	–	–	–	–	–	–
120	Credit institutions	41,948	41,948	–	–	–	–	–	–	–	–	–	–
130	Other financial corporations	19,983	19,983	–	–	–	–	–	–	–	–	–	–
140	Non-financial corporations	7,083	7,083	–	93	93	–	–	–	–	–	–	93
150	Off-balance-sheet exposures	256,347			675								675
160	Central banks	505			–								–
170	General governments	5,443			–								–
180	Credit institutions	16,879			15								15
190	Other financial corporations	47,299			13								13
200	Non-financial corporations	112,619			645								645
210	Households	73,602			2								2
220	Total	889,999	633,291	361	8,553	3,823	671	327	918	1,157	380	602	8,553

Tables 51 and 52 break down defaulted and non-defaulted exposures by exposure class, as defined in the CRR, and by geography and industry.

Table 51: Quality of non-performing exposures by geography (UK CQ4)

					2024
				Gross carrying amount Of which non-performing			Provisions on off-balance	Accumulated negative changes in fair
		\$million	\$million	Of which defaulted \$million	Of which loans and advances subject to impairment \$million	Accumulated impairment \$million	sheet commitments and financial guarantees given \$million	value due to credit risk on non performing exposures \$million
010	On-balance-sheet exposures	625,625		6,818		(4,957)		–
020	Hong Kong	71,357		383		(580)		–
030	Korea	42,772		213		(197)		–
040	Singapore	73,968		473		(612)		–
050	United States	91,052		2		(9)		–
060	Other countries	346,476		5,747		(3,559)		–
070	Off-balance-sheet exposures	273,283		609			(254)
080	United Kingdom	22,065		5			(9)
090	Hong Kong	49,161		–			(37)
100	Singapore	44,146		31			(9)
110	United States	50,659		–			(11)
120	Other countries	107,252		573			(188)
130	Total	898,908		7,427		(4,957)	(254)	–

					2023
				Gross carrying amount			Accumulated
			Of which non-performing				Provisions on off-balance	negative changes in fair
			\$million	\$million	Of which defaulted \$million	Of which loans and advances subject to impairment \$million	Accumulated impairment \$million	sheet commitments and financial guarantees given \$million	value due to credit risk on non performing exposures \$million
010	On-balance-sheet exposures	641,530		7,878		(5,336)		–
020	Hong Kong	78,712		408		(447)		–
030	Korea	50,573		144		(137)		–
040	Singapore	68,926		436		(459)		–
050	United States	93,596		2		(8)		–
060	Other countries	349,724		6,889		(4,285)		–
070	Off-balance-sheet exposures	257,022		675			(227)
080	United Kingdom	20,224		3			(6)
090	Hong Kong	41,374		–			(31)
100	Singapore	38,981		35			(25)
110	United States	41,687		9			(7)
120	Other countries	114,756		627			(159)
130	Total	898,552		8,553		(5,336)	(227)	–

Table 52: Credit quality of loans and advances to non-financial corporations by industry (UK CQ5)

		2024
			Gross carrying amount				Accumulated
			Of which non-performing				negative changes in fair
		\$million	\$million	Of which defaulted \$million	Of which loans and advances subject to impairment \$million	Accumulated impairment \$million	value due to credit risk on non performing exposures \$million
005	Cash balances at central banks and other demand deposits	66,019		427		(8)	–
010	Agriculture, forestry and fishing	1,240		39		(36)	–
020	Mining and quarrying	4,740		236		(214)	–
030	Manufacturing	36,216		1,821		(1,192)	–
040	Electricity, gas, steam and air conditioning supply	8,497		217		(74)	–
050	Water supply	285		–		(5)	–
060	Construction	1,685		105		(114)	–
070	Wholesale and retail trade	22,836		828		(531)	–
080	Transport and storage	6,933		97		(43)	–
090	Accommodation and food service activities	1,456		113		(29)	–
100	Information and communication	3,234		57		(110)	–
110	Financial and insurance activities	23		–		–	–
120	Real estate activities	15,719		1,503		(1,305)	–
130	Professional, scientific and technical activities	969		10		(8)	–
140	Administrative and support service activities	688		24		(18)	–
150	Public administration and defence, compulsory social security	–		–		–	–
160	Education	148		11		–	–
170	Human health services and social work activities	268		–		–	–
180	Arts, entertainment and recreation	186		1		–	–
190	Other services	241		–		(234)	–
200	Total	105,364		5,063		(3,914)	–
210	Households	113,846		961		(734)	–
220	Total	285,229		6,451		(4,656)	–

Table 52: Credit quality of loans and advances to non-financial corporations by industry (UK CQ5) continued

		2023
			Gross carrying amount				Accumulated
			Of which non-performing				negative changes in fair
		\$million	\$million	Of which defaulted \$million	Of which loans and advances subject to impairment \$million	Accumulated impairment \$million	value due to credit risk on non performing exposures \$million
005	Cash balances at central banks and other demand deposits	68,870		404		(19)	–
010	Agriculture, forestry and fishing	717		80		(67)	–
020	Mining and quarrying	5,265		371		(156)	–
030	Manufacturing	41,645		1,564		(1,295)	–
040	Electricity, gas, steam and air conditioning supply	7,605		242		(99)	–
050	Water supply	339		43		(37)	–
060	Construction	2,175		269		(243)	–
070	Wholesale and retail trade	21,384		972		(622)	–
080	Transport and storage	6,988		158		(78)	–
090	Accommodation and food service activities	1,379		101		(24)	–
100	Information and communication	2,958		97		(74)	–
110	Financial and insurance activities	68		–		–	–
120	Real estate activities	16,154		1,647		(1,249)	–
130	Professional, scientific and technical activities	913		8		(7)	–
140	Administrative and support service activities	698		25		(13)	–
150	Public administration and defence, compulsory social security	–		–		–	–
160	Education	175		14		(1)	–
170	Human health services and social work activities	493		40		(37)	–
180	Arts, entertainment and recreation	163		1		–	–
190	Other services	622		166		(310)	–
200	Total	109,741		5,797		(4,310)	–
210	Households	120,843		989		(697)	–
220	Total	299,455		7,190		(5,027)	–

3.5 Risk grade profile

Exposures by internal credit grading

For CIB IRB portfolios, an alphanumeric credit risk-grading system is used. The grading is based on the Group's internal estimate of probability of default over a one-year horizon, with customers or portfolios assessed against a range of quantitative and qualitative factors from credit risk models. The numeric grades run from 1 to 14 and some of the grades are further sub-classified. Numerically lower credit grades are indicative of a lower likelihood of default. Credit grades 1 to 12 are assigned to performing customers and credit grades 13 and 14 are assigned to non-performing or defaulted customers. While the ratings assigned by external credit assessment institutions (ECAI) are not a direct input in the calculation of the internal credit grades, they are taken into consideration when making a credit assessment of the obligor. Nonetheless, as the assessment factors used to grade a borrower may be similar, a borrower rated poorly by an ECAI is typically expected to be assigned a weak internal credit grade.

For Retail exposures, application and behaviour credit scores are calibrated to generate a PD used for RWA and capital estimate purposes for IRB portfolios and mapped to the standard alphanumeric credit risk grade system for credit risk management and reporting purposes. Where available, information from credit bureaus is considered, but is not the sole determinant for PDs.

IRB models cover a substantial majority of the Group's exposures and are used extensively in assessing risks at customer and portfolio level, setting strategy and optimising the Group's risk-return decisions. The Group makes use of internal risk estimates of PD, LGD, Expected Loss (EL) and EAD in the areas of:

• Credit Approval and Decision In CIB and CB, the level of authority required for the sanctioning of credit requests and the decision made is based on a combination of PD, EL and tenor of the obligor with reference to the nominal exposure. In Retail, credit scores are relied upon as one of the primary drivers for credit decisioning.
• Pricing In CIB, a pre-deal pricing calculator, which takes into consideration PD, LGD and EAD in the calculation of expected loss and risk-weighted assets, is used for the proposed transactions to ensure appropriate returns. In Retail unsecured lending, a risk-return approach based on PD estimates is used as guidance for pricing strategy.
• Limit Setting In CIB, single name concentration limits are determined by PD and EAD. The limits operate on a sliding scale to ensure that the Group does not have an excessive concentration of low credit quality assets. In Retail unsecured lending, limit assignment / loan amounts are risk-based and segregated by credit score bands.

Table 53 sets out credit and counterparty risk EAD within the IRB portfolios by regulatory exposure classes. EAD has been calculated after taking into account the impact of credit risk mitigation. Where an exposure is guaranteed or covered by credit derivatives, it is shown against the exposure class of the guarantor or derivative issuer. A further split of the major exposure classes by credit grade can be seen in Tables 55 to 66.

IRB credit risk excluding counterparty credit risk EAD decreased by \$34.0 billion and RWA decreased by \$3.6 billion (Tables 55 to 66):

• Central governments and central banks EAD decreased \$15.5 billion and RWA by \$2.7 billion
• Institutions EAD decreased \$21.4 billion and RWA by \$0.8 billion
• Corporates EAD increased \$12.1 billion and RWA by \$2.4 billion
• Retail EAD decreased \$9.2 billion and RWA by \$2.6 billion

Table 53: IRB – Credit risk exposure by exposure class

	2024 Original on balance sheet gross exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
IRB Exposure Class
Central governments or
central banks	163,054	6,639		9 166,287	0.43	0.2	44	1.47	21,960	13	159	(46)
Institutions	59,165	27,260	47	68,036	0.55	1.3	32	0.95	12,903	19	62	(15)
Corporates	113,853	307,312		39 188,625	2.46	20.6	39	1.37	63,622	34	3,406	(3,427)
Other		96,642 283,883	22	171,223	2.11	15.8	41	1.29	58,270	34	2,860	(2,824)
Of which Specialised lending	14,617	21,273	20	14,354	4.69	0.7	23	2.37	3,997	28	340	(414)
Of which SME	2,594	2,156	26	3,048	11.72	4.1	30	1.29	1,355	44	206	(189)
Retail	83,616	35,697	45	99,468	1.52	3,626.0	34		19,690	20	756	(405)
Of which secured by real estate	69,046	1,682	99	70,707	0.66	295.3	16		4,968	7	67	(42)
– SME	314	53	53	343	3.15	2.2	7		18	5	1	(2)
– Non SME	68,732	1,629	100	70,364	0.65	293.1	16		4,950	7	66	(40)
Of which qualifying revolving retail	4,413	26,398	44	16,010	2.07	2,723.6	85		4,908	31	243	(127)
Of which other retail	10,157	7,617	36	12,751	6.06	607.1	68		9,814	77	446	(236)
– SME	2,080	2,134	4	1,988	10.33	25.1	50		1,181	59	109	(61)
–Non SME	8,077	5,483	49	10,763	4.73	582.0	74		8,633	80	337	(175)
Non-credit obligation assets	43	–	–	43	–				43	100		–
Total IRB4		419,731 376,908		43 522,459	2.59	3,648.1	49	1.44	118,218	23	4,383	(3,893)

1 Weighted averages are based on EAD

2 Number of obligors is based on number of counterparties for central governments or central banks, institutions and corporates and on individual pools of clients for retail

3 Corporates of which specialised lending includes exposures for specialised lending subject to supervisory slotting criteria

4 Refer to Table 20 (OV1) for RWA

Table 53: IRB – Credit risk exposure by exposure class continued

		2023
	Original on balance sheet gross exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
IRB Exposure Class
Central governments or central banks	180,664	172,579	–	181,164	0.95	0.2	45	1.22	24,116	13	209	(93)
Institutions	78,163	165,560	8	89,482	0.45	1.3	34	0.94	13,655	15	65	(24)
Corporates	105,582	330,322	20	176,518	2.68	20.6	39	1.33	61,175	35	3,773	(3,820)
Other	91,468	302,556	20	161,369	2.40	15.7	40	1.24	56,213	35	3,083	(3,040)
Of which Specialised lending3	11,425	24,630	20	11,974	4.37	0.6	24	2.25	3,422	29	414	(482)
Of which SME	2,689	3,136	19	3,175	11.19	4.3	28	1.34	1,540	49	276	(298)
Retail	90,866	38,056	47	108,699	1.23	4,141.6	40		22,244	20	767	(363)
Of which secured by real estate	74,977	1,988	99	76,945	0.58	315.2	15		5,228	7	65	(34)
– SME	387	54	63	420	3.44	2.4	7		29	7	1	(1)
– Non SME	74,590	1,934	100	76,525	0.59	312.8	15		5,199	7	64	(33)
Of which qualifying revolving retail	3,419	27,529	45	15,712	1.31	3,007.3	83		4,455	28	201	(97)
Of which other retail	12,470	8,539	44	16,042	4.89	819.1	69		12,561	78	501	(232)
– SME	2,004	2,117	5	1,927	8.96	26.1	50		1,110	58	98	(58)
– Non SME	10,466	6,422	57	14,115	3.90	793.0	73		11,451	81	403	(174)
Non-credit obligation assets	43	–	–	43	–				43	100		–
Total IRB4	455,318	706,517		21 555,906	2.05	4,163.7	40	1.12	121,233	22	4,814	(4,300)

1 Weighted averages are based on EAD

2 Number of obligors is based on number of counterparties for central governments or central banks, institutions and corporates and on individual pools of clients for retail

3 Corporates of which specialised lending includes exposures for specialised lending subject to supervisory slotting criteria

4 Refer to Table 20 (OV1) for RWA

The table below demonstrates Standard Chartered's internal ratings and its approximate relation to external credit ratings.

Tables 55 to 68 and tables 94 to 98 provide further detail on the exposure classes subject to credit and counterparty credit risk, in particular for central governments or central banks, institutions, corporates and retail. These have been split by internal credit grade which relate to the PD ranges presented. These exposure classes represent 85 per cent (2023: 85 per cent) of the Group's total credit risk exposure before collateral.

SCB internal ratings	PD range (%)	Standard & Poor's external rating equivalent for corporates	Standard & Poor's external rating equivalent for banks	Standard & Poor's external rating equivalent for sovereigns
1A	0.000 - 0.015	AAA/AA+	AAA/AA+	AAA
1B	0.016 - 0.025	AA	AA/AA-	AA+
2A	0.026 - 0.035	AA-	A+	AA/AA
2B	0.036 - 0.045	A+	A	A+
3A	0.046 - 0.060	A/A-	A-	A
3B	0.061 - 0.083	BBB+	BBB+/BBB	A
4A	0.084 - 0.110	BBB+/BBB	BBB/BBB-	BBB+/BBB
4B	0.111 - 0.170	BBB	BBB-	BBB/BBB
5A	0.171 - 0.300	BBB-	BB+	BBB
5B	0.301 - 0.425	BBB-/BB+	BB+/BB	BB+
6A	0.426 - 0.585	BB	BB	BB+/BB
6B	0.586 - 0.770	BB/BB-	BB/BB-	BB
7A	0.771 - 1.020	BB-	BB-	BB/BB
7B	1.021 - 1.350	BB-/B+	B+	BB
8A	1.351 - 1.750	B+	B+/B	BB-/B+
8B	1.751 - 2.350	B+	B	B+
9A	2.351 - 3.050	B	B	B
9B	3.051 - 4.000	B/B-	B/B-	B
10A	4.001 - 5.300	B-	B-	B/B
10B	5.301 - 7.000	B-	B-/CCC+ to C	B
11A	7.001 – 9.200	B-	CCC+ to C	B
11B	9.201 - 12.000	B-/CCC+	CCC+ to C	B
11C	12.001 – 15.750	CCC+	CCC+ to C	B-/CCC+
12A	15.751 – 21.000	CCC+	CCC+ to C	CCC+
12B	21.001 – 28.500	CCC+/CCC to C	CCC+ to C	CCC+
12C	28.501 – 99.999	CCC to C	CCC+ to C	CCC to C
13	100	N/A	N/A	N/A
14	100	N/A	N/A	N/A
Unrated		N/A	N/A	N/A

Table 54: Internal default grade probabilities and mapping to external ratings

Table 55: IRB approach – Credit risk exposures by exposure class and PD range for central governments or central banks (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value \$million adjustments and provisions
0.00 to <0.15	150,625	3,032		6 160,490	0.03	0.1	44	1.49	13,592	8	20	(7)
0.00 to <0.10	139,054	2,618	6	149,316	0.02	0.1	44	1.47	9,954	7	13	(4)
0.10 to <0.15	11,571	414	4	11,173	0.15	–	43	1.70	3,638	33	8	(3)
0.15 to <0.25	497	79	31	220	0.22	–	45	0.42	62	28	–	–
0.25 to <0.50	25	–	–	24	0.39	–	30	1.66	8	33	–	–
0.50 to <0.75	–	–	–	–	–	–	–	–	–	–	–	–
0.75 to <2.50	5,940	818	21	2,762	1.28	–	45	0.87	2,307	84	16	(6)
0.75 to <1.75	5,647	805	22	2,622	1.24	–	45	0.87	2,166	83	15	(6)
1.75 to <2.5	293	13	3	138	2.03	–	46	0.84	141	102	1	–
2.50 to <10.00	3,739	2,302	23	1,662	3.98	–	45	1.04	2,144	129	30	(8)
2.5 to <5	3,739	2,302	23	1,662	3.98	–	45	1.04	2,144	129	30	(8)
5 to <10	–	–	–	–	–	–	–	–	–	–	–	–
10.00 to <100.00	1,593	300	–	723	21.86	–	44	0.44	1,685	233	72	(9)
10 to <20	1,215	300	–	506	17.09	–	43	0.58	1,141	225	39	(4)
20 to <30	–	–	–	–	–	–	–	–	–	–	–	–
30.00 to <100.00	378	–	–	217	33.00	–	47	0.11	544	251	33	(5)
100.00 (Default)	635	108	–	406	100.00	0.1	44	1.49	2,162	533	21	(16)
Total	163,054	6,639		9.1 166,287	0.43	0.2	44	1.47	21,960	13	159	(46)

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	159,359	159,617	–	165,722	0.02	0.1	45	1.23	10,178	6	15	(4)
0.00 to <0.10	157,273	155,991	–	163,991	0.02	0.1	45	1.23	9,739	6	14	(4)
0.10 to <0.15	2,086	3,626	–	1,731	0.13	–	45	1.17	439	25	1	–
0.15 to <0.25	8,827	2,689	–	8,498	0.22	–	43	1.13	3,201	38	8	(2)
0.25 to <0.50	–	–	–	–	–	–	–	–	–	–	–	–
0.50 to <0.75	620	1,208	4	273	0.51	–	43	0.90	140	51	1	–
0.75 to <2.50	5,945	2,756	3	3,933	1.07	–	45	1.47	3,388	86	19	(5)
0.75 to <1.75	5,728	2,558	3	3,836	1.05	–	45	1.49	3,296	86	18	(5)
1.75 to <2.5	216	198	–	96	2.03	–	45	0.52	92	96	1	–
2.50 to <10.00	3,478	3,944	11	1,289	4.11	–	45	1.18	1,712	133	24	(9)
2.5 to <5	3,373	3,823	11	1,278	4.08	–	45	1.17	1,693	132	24	(8)
5 to <10	105	120	27	11	7.37	–	45	2.38	19	173	–	(1)
10.00 to <100.00	1,304	1,428	–	669	28.60	–	44	0.48	1,599	239	87	(30)
10 to <20	132	57	–	132	10.64	–	44	0.64	249	189	6	(2)
20 to <30	–	–	–	–	–	–	–	–	–	–	–	–
30.00 to <100.00	1,172	1,371	–	538	33.00	–	45	0.43	1,350	251	80	(28)
100.00 (Default)	1,131	937	1	780	100.00	–	45	0.93	3,898	500	55	(43)
Total	180,664	172,579	–	181,164	0.95	0.2	45	1.22	24,116	13	209	(93)

2023

1 Weighted averages are based on EAD

Table 56: IRB approach – Credit risk exposures by exposure class and PD range for institutions (UK CR6)

	2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	42,348	21,469	42	53,997	0.05	0.6	35	1.03	5,805	11	9	(4)
0.00 to <0.10	38,091	19,546	43	49,340	0.04	0.5	35	1.07	4,915	10	7	(3)
0.10 to <0.15	4,257	1,924	36	4,658	0.13	0.1	31	0.54	890	19	2	(1)
0.15 to <0.25	1,649	1,319	56	2,048	0.22	0.1	27	0.55	533	26	1	–
0.25 to <0.50	491	554	74	893	0.39	0.1	29	0.91	414	46	1	–
0.50 to <0.75	5,894	965	50	4,596	0.52	0.1	19	0.83	1,456	32	5	(1)
0.75 to <2.50	6,047	1,581	72	4,109	1.30	0.2	28	0.59	2,674	65	14	(1)
0.75 to <1.75	5,431	1,270	71	3,541	1.19	0.2	29	0.62	2,343	66	12	(1)
1.75 to <2.5	616	312	80	568	2.03	–	20	0.43	332	58	2	–
2.50 to <10.00	2,500	716	100	2,033	4.66	0.1	23	0.50	1,704	84	21	–
2.5 to <5	2,188	547	99	1,558	4.02	0.1	20	0.37	1,134	73	12	–
5 to <10	312	168	100	474	6.73	–	30	0.95	569	120	9	–
10.00 to <100.00	169	580	39	240	19.48	0.1	4	0.10	74	31	2	–
10 to <20	121	553	37	214	17.88	–	4	0.10	62	29	1	–
20 to <30	–	–	–	–	–	–	–	–	–	–	–	–
30.00 to <100.00	48	27	80	25	33.00	–	7	0.16	12	48	1	–
100.00 (Default)	67	76	95	120	100.00	–	25	0.36	243	203	9	(9)
Total	59,165	27,260	47	68,036	0.55	1.3	32	0.95	12,903	19	62	(15)

2023

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	62,580	132,204	8	75,347	0.04	0.6	36	1.04	7,609	10	12	(7)
0.00 to <0.10	60,573	124,088	8	72,802	0.04	0.5	36	1.06	7,114	10	11	(7)
0.10 to <0.15	2,007	8,116	5	2,545	0.13	0.1	37	0.63	495	19	1	–
0.15 to <0.25	3,509	10,209	6	4,089	0.22	0.1	33	0.41	1,094	27	3	–
0.25 to <0.50	659	4,714	10	1,170	0.39	0.1	28	0.47	434	37	1	–
0.50 to <0.75	5,191	6,825	7	4,043	0.55	0.1	21	0.92	1,409	35	5	(1)
0.75 to <2.50	3,091	7,112	13	2,708	1.31	0.2	25	0.44	1,446	53	9	(1)
0.75 to <1.75	2,724	6,096	13	2,297	1.18	0.1	26	0.42	1,220	53	7	(1)
1.75 to <2.5	366	1,017	15	412	2.03	–	21	0.53	226	55	2	–
2.50 to <10.00	3,029	3,641	13	2,003	4.74	0.1	21	0.50	1,504	75	18	–
2.5 to <5	2,295	2,074	13	1,397	3.84	0.1	24	0.57	1,207	86	12	–
5 to <10	735	1,567	12	606	6.84	0.1	12	0.35	296	49	5	–
10.00 to <100.00	45	652	8	46	26.20	0.1	24	0.18	60	130	2	–
10 to <20	11	400	2	16	13.96	–	37	0.33	31	194	1	–
20 to <30	–	–	–	–	–	–	–	–	–	–	–	–
30.00 to <100.00	34	252	17	29	33.00	–	17	0.10	29	100	2	–
100.00 (Default)	59	203	21	76	100.00	–	26	0.63	99	130	15	(15)
Total	78,163	165,560	8	89,482	0.45	1.3	34	0.94	13,655	15	65	(24)

1 Weighted averages are based on EAD

Table 57: IRB approach – Credit risk exposures by exposure class and PD range for Corporates (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15		51,328 148,578	22	103,107	0.07	4.3	41	1.41	16,866	16	29	(10)
0.00 to <0.10	41,576	114,418	22	86,026	0.06	2.9	42	1.37	12,221	14	19	(7)
0.10 to <0.15	9,752	34,160	21	17,084	0.13	1.4	41	1.63	4,645	27	9	(4)
0.15 to <0.25	15,327	42,674	22	22,590	0.22	2.1	35	1.43	7,017	31	17	(10)
0.25 to <0.50	7,733	29,042	27	14,463	0.39	1.4	37	1.27	6,442	45	20	(9)
0.50 to <0.75	14,573	42,143	23	22,552	0.56	2.7	37	1.31	12,000	53	48	(33)
0.75 to <2.50	11,815	26,309	23	14,327	1.29	4.0	34	1.39	9,973	70	62	(33)
0.75 to <1.75	9,101	21,832	24	11,914	1.14	3.0	34	1.37	7,908	66	44	(21)
1.75 to <2.5	2,713	4,476	22	2,413	2.03	1.0	33	1.47	2,066	86	16	(12)
2.50 to <10.00	7,170	9,330	22	6,480	4.26	2.8	34	1.25	6,492	100	92	(41)
2.5 to <5	5,913	7,641	22	5,156	3.63	2.0	35	1.26	5,123	99	66	(29)
5 to <10	1,257	1,689	20	1,325	6.82	0.9	30	1.22	1,370	103	27	(13)
10.00 to <100.00	2,153	7,571	7	1,493	17.90	2.3	37	1.04	2,634	176	96	(39)
10 to <20	1,813	7,273	7	1,208	14.71	2.2	36	1.14	2,002	166	63	(21)
20 to <30	85	191	-	119	0.53	0.1	0	0.02	295	248	13	(12)
30.00 to <100.00	255	106	40	165	33.40	0.1	35	1.45	338	205	19	(7)
100.00 (Default)	3,754	1,665	30	3,613	100.00	1.0	55	1.16	2,198	61	2,384	(2,545)
Total	113,853	307,312		39 188,625	2.46	20.6	39	1.37	63,622	34	2,748	(2,720)

2023

	Original on balance	Off balance sheet		EAD post								Value adjust
	sheet exposure	exposure pre CCF	Average CCF	CRM and post CCF	Average PD1	Number of obligors2	Average LGD1	Average maturity1	RWA	RWA density1	Expected loss	ments and provisions
PD range %	\$million	\$million	%	\$million	%	thousands	%	years	\$million	%	\$million	\$million
0.00 to <0.15	47,305	167,953	19	95,707	0.07	3.8	41	1.36	15,499	16	27	(28)
0.00 to <0.10	37,025	128,617	19	78,440	0.06	2.6	41	1.34	10,968	14	18	(23)
0.10 to <0.15	10,280	39,336	18	17,268	0.13	1.2	42	1.44	4,531	26	9	(6)
0.15 to <0.25	12,124	40,934	21	19,450	0.22	2.2	38	1.39	6,291	32	16	(13)
0.25 to <0.50	6,123	27,862	19	11,738	0.39	1.5	38	1.24	5,111	44	17	(16)
0.50 to <0.75	14,681	42,932	24	22,752	0.57	2.7	35	1.22	11,400	50	45	(48)
0.75 to <2.50	10,282	32,431	20	14,221	1.35	3.9	30	1.35	8,907	63	57	(51)
0.75 to <1.75	7,542	27,405	18	11,166	1.16	2.9	30	1.36	6,622	59	38	(38)
1.75 to <2.5	2,740	5,026	31	3,054	2.03	1.0	31	1.35	2,285	75	20	(13)
2.50 to <10.00	7,277	8,404	23	6,270	4.35	2.9	34	1.30	6,233	99	90	(47)
2.5 to <5	5,564	6,327	22	4,813	3.55	2.0	35	1.34	4,825	100	62	(35)
5 to <10	1,714	2,077	27	1,457	7.06	0.9	28	1.21	1,407	97	29	(13)
10.00 to <100.00	2,913	7,147	11	1,793	21.63	2.4	30	1.25	3,571	199	116	(62)
10 to <20	2,215	6,146	8	1,041	13.71	2.1	28	1.18	1,580	152	40	(15)
20 to <30	172	265	1	212	2.00	0.1	3	0.09	940	443	15	(10)
30.00 to <100.00	524	737	25	540	33.04	0.2	34	1.12	1,052	195	60	(37)
100.00 (Default)	4,877	2,659	25	4,587	100.00	1.2	56	1.13	4,163	91	3,405	(3,555)
Total		105,582 330,322	20	176,518	2.68	20.6	39	1.33	61,175	35	3,773	(3,820)

1 Weighted averages are based on EAD

Table 58: IRB approach – Credit risk exposures by exposure class and PD range for Corporates – Other (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15		47,218 140,433	22	98,631	0.07	4.1	43	1.33	16,357	17	28	(9)
0.00 to <0.10		38,752 108,508	23	83,328	0.06	2.8	43	1.30	11,969	14	19	(6)
0.10 to <0.15	8,466	31,925	20	15,303	0.13	1.3	43	1.54	4,388	29	9	(3)
0.15 to <0.25	11,452	37,445	22	18,450	0.22	1.7	37	1.21	6,001	33	15	(6)
0.25 to <0.50	6,694	26,592	26	12,807	0.39	1.2	38	1.23	6,015	47	19	(8)
0.50 to <0.75	12,136	38,615	23	20,160	0.56	2.1	39	1.20	11,123	55	44	(27)
0.75 to <2.50	9,396	23,730	23	12,124	1.29	3.1	35	1.33	9,041	75	55	(22)
0.75 to <1.75	7,075	19,823	24	10,061	1.14	2.3	35	1.29	7,162	71	40	(15)
1.75 to <2.5	2,320	3,907	20	2,063	2.03	0.8	35	1.51	1,879	91	14	(7)
2.50 to <10.00	5,273	8,625	21	5,150	4.29	1.4	36	1.05	5,673	110	78	(24)
2.5 to <5	4,346	7,123	21	4,125	3.66	1.1	37	1.07	4,505	109	56	(15)
5 to <10	927	1,502	22	1,025	6.83	0.4	31	0.98	1,168	114	22	(9)
10.00 to <100.00	1,744	7,018	7	1,138	17.52	1.4	37	0.96	2,202	193	76	(33)
10 to <20	1,469	6,738	7	924	14.98	1.3	37	0.93	1,692	183	51	(16)
20 to <30	82	188	18	116	24.55	0.1	46	0.70	294	253	13	(12)
30.00 to <100.00	193	92	40	98	33.26	0.1	34	1.57	217	221	11	(6)
100.00 (Default)	2,729	1,425	32	2,763	100	0.8	59	1.28	1,858	67	2,545	(2,695)
Total		96,642 283,883	22	171,223	2.11	15.8	41	1.29	58,270	34	2,860	(2,824)

2023

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	43,486	156,320	19	90,800	0.07	3.6	43	1.28	14,773	16	26	(26)
0.00 to <0.10	35,384	121,561	19	76,464	0.06	2.5	42	1.27	10,741	14	18	(22)
0.10 to <0.15	8,102	34,759	17	14,336	0.13	1.1	45	1.31	4,032	28	8	(4)
0.15 to <0.25	10,685	37,635	21	17,606	0.22	1.9	39	1.26	5,834	33	15	(8)
0.25 to <0.50	5,399	25,556	19	10,729	0.39	1.3	39	1.16	4,836	45	16	(14)
0.50 to <0.75	12,902	38,334	25	20,741	0.56	2.0	36	1.17	10,691	52	42	(44)
0.75 to <2.50	7,660	28,401	20	11,901	1.35	2.9	32	1.25	7,960	67	51	(31)
0.75 to <1.75	5,622	24,117	18	9,317	1.16	2.2	31	1.25	5,901	63	33	(28)
1.75 to <2.5	2,038	4,284	29	2,584	2.03	0.7	33	1.28	2,059	80	18	(3)
2.50 to <10.00	5,259	7,431	23	4,617	4.40	1.4	36	1.13	5,277	114	72	(31)
2.5 to <5	3,990	5,600	21	3,567	3.60	1.1	39	1.20	4,155	116	50	(23)
5 to <10	1,269	1,831	28	1,050	7.10	0.3	29	0.90	1,122	107	22	(8)
10.00 to <100.00	2,502	6,643	11	1,470	21.47	1.7	30	1.19	3,244	221	98	(54)
10 to <20	1,897	5,694	8	799	13.59	1.4	28	1.13	1,405	176	32	(12)
20 to <30	158	241	–	195	–	0.1	–	–	914	469	13	(9)
30.00 to <100.00	447	708	26	477	33.04	0.2	33	1.03	925	194	52	(33)
100.00 (Default)	3,575	2,236	26	3,505	100.00	0.9	60	1.23	3,598	103	2,763	(2,832)
Total		91,468 302,556	20	161,369	2.40	15.7	40	1.24	56,213	35	3,083	(3,040)

1 Weighted averages are based on EAD

Table 59: IRB approach – Credit risk exposures by exposure class and PD range for corporates – specialised lending (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	4,086	7,879	18	4,331	0.10	0.2	19	2.62	490	11	1	(1)
0.00 to <0.10	2,821	5,680	11	2,583	0.07	0.1	18	2.57	244	9	–	(1)
0.10 to <0.15	1,265	2,199	36	1,749	0.13	0.1	20	2.69	246	14	–	(1)
0.15 to <0.25	3,610	4,713	22	3,781	0.22	0.2	24	2.68	913	24	2	(4)
0.25 to <0.50	989	2,388	36	1,603	0.39	0.1	23	1.69	421	26	1	(1)
0.50 to <0.75	2,124	3,240	22	1,996	0.58	0.1	24	2.33	738	37	3	(6)
0.75 to <2.50	1,717	1,956	26	1,351	1.25	0.1	26	2.01	685	51	4	(11)
0.75 to <1.75	1,480	1,464	22	1,168	1.12	0.1	27	2.12	588	50	3	(6)
1.75 to <2.5	237	491	38	183	2.03	–	22	1.30	97	53	1	(5)
2.50 to <10.00	1,169	477	35	623	3.77	–	21	3.02	422	68	5	(15)
2.5 to <5	1,075	347	47	548	3.38	–	20	2.93	350	64	4	(12)
5 to <10	94	130	1	75	6.63	–	24	3.68	72	96	1	(3)
10.00 to <100.00	135	472	1	89	25.25	–	33	2.14	159	179	7	(3)
10 to <20	78	471	1	32	11.35	–	36	4.19	59	184	1	(3)
20 to <30	–	–	100	–	24.55	–	15	3.12	–	–	–	–
30.00 to <100.00	57	–	–	57	33.00	–	31	1.00	100	175	6	–
100.00 (Default)	787	148	6	580	100	–	37	0.74	169	29	317	(373)
Total	14,617	21,273	20	14,354	4.69	0.7	23	2.37	3,997	28	340	(414)

2023

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	3,816	11,439	19	4,873	0.11	0.2	23	2.41	714	15	1	(2)
0.00 to <0.10	1,640	6,909	15	1,947	0.07	0.1	20	2.68	217	11	–	(1)
0.10 to <0.15	2,176	4,530	25	2,927	0.13	0.1	25	2.22	497	17	1	(2)
0.15 to <0.25	1,363	2,802	24	1,723	0.22	0.1	25	2.82	434	25	1	(5)
0.25 to <0.50	634	2,096	20	827	0.39	0.1	26	2.14	231	28	1	(2)
0.50 to <0.75	1,559	4,004	16	1,691	0.61	0.1	28	1.72	631	37	3	(4)
0.75 to <2.50	1,970	3,047	25	1,507	1.32	0.1	22	2.12	686	46	4	(20)
0.75 to <1.75	1,388	2,439	19	1,168	1.11	0.1	22	2.23	519	44	3	(10)
1.75 to <2.5	582	608	49	338	2.03	–	19	1.74	167	49	2	(10)
2.50 to <10.00	981	594	26	577	3.54	–	17	2.79	323	56	4	(12)
2.5 to <5	863	439	30	496	3.07	–	17	2.48	256	52	4	(8)
5 to <10	118	155	16	80	6.44	–	18	4.68	67	84	1	(4)
10.00 to <100.00	118	395	3	54	28.63	–	33	2.51	100	185	5	(2)
10 to <20	63	376	2	13	15.49	–	34	1.98	24	185	1	(1)
20 to <30	–	2	–	–	–	–	–	–	–	–	–	–
30.00 to <100.00	55	18	–	40	33.00	–	32	2.69	77	193	4	(1)
100.00 (Default)	984	253	20	722	100.00	–	36	0.79	303	42	395	(435)
Total	11,425	24,630	20	11,974	4.37	0.6	24	2.25	3,422	29	414	(482)

1 Weighted averages are based on EAD

Table 60: IRB approach – Credit risk exposures by exposure class and PD range for corporates – SME (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	24	266	52	145	0.07	–	33	1.06	19	13	–	–
0.00 to <0.10	3	230	56	114	0.06	–	27	0.54	8	7	–	–
0.10 to <0.15	21	36	25	32	0.13	–	53	2.90	11	34	–	–
0.15 to <0.25	265	516	18	359	0.23	0.2	35	2.20	103	29	–	–
0.25 to <0.50	50	62	8	53	0.41	0.1	14	1.28	6	11	–	–
0.50 to <0.75	313	288	32	396	0.62	0.5	32	1.50	139	35	1	–
0.75 to <2.50	702	623	27	852	1.35	0.8	21	1.17	247	29	3	–
0.75 to <1.75	546	545	28	685	1.17	0.6	18	1.20	158	23	1	–
1.75 to <2.5	156	78	23	167	2.09	0.2	34	1.04	90	54	1	–
2.50 to <10.00	728	228	16	707	4.73	1.4	28	1.11	397	56	9	(2)
2.5 to <5	492	171	17	482	3.71	0.9	30	1.03	268	56	5	(1)
5 to <10	236	57	13	225	6.93	0.5	24	1.29	130	58	4	(1)
10.00 to <100.00	274	81	19	266	14.64	0.9	34	1.19	273	103	13	(3)
10 to <20	267	64	16	252	13.63	0.9	33	1.20	251	100	11	(2)
20 to <30	3	3	2	3	24.55	–	4	1.00	1	33	–	–
30.00 to <100.00	5	14	38	10	36.76	–	56	1.00	21	210	2	(1)
100.00 (Default)	238	92	37	270	100	0.2	48	0.86	171	63	180	(184)
Total	2,594	2,156	26	3,048	11.72	4.1	30	1.29	1,355	44	206	(189)

2023

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	3	194	14	34	0.09	–	59	3.65	12	35	–	–
0.00 to <0.10	1	147	16	29	0.09	–	61	3.63	10	34	–	–
0.10 to <0.15	2	47	8	5	0.13	–	48	3.79	2	40	–	–
0.15 to <0.25	76	497	9	121	0.23	0.2	26	1.70	23	19	–	–
0.25 to <0.50	90	210	55	182	0.40	0.1	28	1.41	44	24	–	–
0.50 to <0.75	220	594	18	320	0.62	0.6	23	1.23	78	24	–	–
0.75 to <2.50	652	983	18	813	1.40	0.9	21	1.29	261	32	2	–
0.75 to <1.75	532	849	19	681	1.27	0.6	19	1.32	202	30	2	–
1.75 to <2.5	120	134	12	132	2.10	0.3	27	1.14	59	45	–	–
2.50 to <10.00	1,037	379	19	1,076	4.80	1.5	27	1.20	633	59	14	(4)
2.5 to <5	711	288	21	750	3.75	0.9	27	1.17	414	55	8	(4)
5 to <10	327	91	15	327	7.20	0.6	27	1.27	218	67	6	(1)
10.00 to <100.00	293	109	15	269	16.29	0.7	25	1.12	227	84	13	(6)
10 to <20	255	76	17	229	14.00	0.7	21	1.17	151	66	7	(2)
20 to <30	14	22	13	17	24.29	–	40	1.08	26	153	2	(1)
30.00 to <100.00	22	11	8	23	33.00	–	56	0.74	50	217	4	(3)
100.00 (Default)	318	170	27	360	100.00	0.3	54	0.87	262	73	247	(288)
Total	2,689	3,136	19	3,175	11.19	4.3	28	1.34	1,540	49	276	(298)

1 Weighted averages are based on EAD

Table 61: IRB approach – Credit risk exposures by exposure class and PD range for retail (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	57,468	17,084	49	65,921	0.07	1,173.9	31		2,582	4	12	(9)
0.00 to <0.10	50,792	13,261	49	57,210	0.06	949.9	30		2,056	4	8	(7)
0.10 to <0.15	6,675	3,823	53	8,710	0.12	224.1	41		526	6	3	(2)
0.15 to <0.25	5,192	3,169	43	6,560	0.19	210.6	36		655	10	3	(3)
0.25 to <0.50	3,915	2,818	51	5,326	0.34	214.7	55		1,084	20	9	(6)
0.50 to <0.75	4,165	4,246	49	6,214	0.65	257.5	62		2,107	34	21	(9)
0.75 to <2.50	5,866	4,815	29	7,224	1.44	742.5	62		4,256	59	61	(39)
0.75 to <1.75	4,402	3,791	32	5,556	1.26	536.5	63		3,027	54	42	(26)
1.75 to <2.5	1,463	1,024	21	1,670	2.13	206.0	60		1,230	74	21	(12)
2.50 to <10.00	5,124	2,932	38	6,218	4.42	758.6	70		5,860	94	186	(84)
2.5 to <5	3,358	2,262	41	4,248	3.18	471.7	72		3,783	89	96	(43)
5 to <10	1,766	671	33	1,970	7.17	286.9	64		2,078	105	89	(40)
10.00 to <100.00	1,248	444	28	1,360	26.21	216.9	65		2,064	152	223	(84)
10 to <20	759	348	29	851	13.76	136.5	69		1,324	156	83	(32)
20 to <30	133	36	35	143	23.80	31.7	66		263	184	22	(10)
30.00 to <100.00	357	61	21	367	59.45	48.6	54		476	130	119	(43)
100.00 (Default)	638	189	4	645	100.00	51.3	52		1,082	168	241	(171)
Total	83,616	35,697	45	99,468	1.52	3,626	34		19,690	20	756	(405)

2023

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	62,538	17,289	52	71,447	0.07	1,221.7	29		2,935	4	12	(15)
0.00 to <0.10	55,033	13,403	51	61,766	0.06	1,007.5	28		2,330	4	8	(11)
0.10 to <0.15	7,503	3,884	56	9,682	0.12	214.2	38		605	6	3	(3)
0.15 to <0.25	5,539	3,614	46	7,195	0.19	303.2	37		752	10	3	(4)
0.25 to <0.50	4,425	3,831	48	6,231	0.34	583.2	57		1,393	22	10	(9)
0.50 to <0.75	4,491	5,459	47	7,046	0.65	403.9	64		2,334	33	26	(12)
0.75 to <2.50	6,391	4,401	36	7,923	1.46	700.0	60		4,758	60	67	(37)
0.75 to <1.75	4,874	3,608	37	6,175	1.28	512.2	60		3,368	55	45	(25)
1.75 to <2.5	1,518	792	31	1,750	2.13	188.1	62		1,391	79	23	(12)
2.50 to <10.00	5,582	2,897	44	6,820	4.53	710.1	67		6,865	101	195	(75)
2.5 to <5	3,873	2,192	48	4,894	3.35	515.4	69		4,826	99	108	(43)
5 to <10	1,710	705	34	1,927	7.32	194.9	63		2,038	106	86	(32)
10.00 to <100.00	1,298	441	33	1,427	27.67	172.5	63		2,146	150	231	(63)
10 to <20	774	312	33	865	13.65	91.8	65		1,311	152	80	(26)
20 to <30	157	41	38	170	23.67	26.7	63		301	177	25	(8)
30.00 to <100.00	368	88	28	390	58.46	53.8	56		534	137	126	(27)
100.00 (Default)	602	124	7	610	100.00	47.0	50		1,061	174	223	(148)
Total	90,866	38,056	47	108,699	1.23	4,142	40		22,244	20	767	(363)

1 Weighted averages are based on EAD

Table 62: IRB approach – Credit risk exposures by exposure class and PD range for retail – secured by real estate property – SME (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	74	1	92	75	0.10	0.5	14		3	4	–	–
0.00 to <0.10	38	1	88	39	0.07	0.3	15		1	3	–	–
0.10 to <0.15	36	–	–	36	0.13	0.2	14		2	6	–	–
0.15 to <0.25	49	12	58	56	0.18	0.3	11		2	4	–	–
0.25 to <0.50	29	1	63	30	0.38	0.3	3		1	3	–	–
0.50 to <0.75	30	5	58	33	0.60	0.3	2		1	3	–	–
0.75 to <2.50	70	21	51	81	1.39	0.5	2		2	2	–	–
0.75 to <1.75	56	15	47	63	1.17	0.4	2		1	2	–	–
1.75 to <2.5	14	6	61	18	2.16	0.1	3		1	6	–	–
2.50 to <10.00	46	11	42	51	4.84	0.2	7		5	10	–	–
2.5 to <5	17	4	76	20	3.13	0.1	5		2	10	–	–
5 to <10	29	8	26	31	5.93	0.1	7		4	13	–	–
10.00 to <100.00	12	2	72	13	20.38	0.1	5		2	15	–	–
10 to <20	8	2	72	9	15.01	–	2		–	–	–	–
20 to <30	3	–	100	3	26.56	–	13		1	33	–	–
30.00 to <100.00	1	–	100	1	64.21	–	10		–	–	–	–
100.00 (Default)	4	–	76	4	100.00	–	5		2	50	1	(2)
Total	314	53	53	343	3.15	2.2	7		18	5	1	(2)

2023

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	58	2	98	59	0.09	0.5	13		2	3	–	–
0.00 to <0.10	31	1	96	32	0.07	0.3	14		1	3	–	–
0.10 to <0.15	27	–	–	27	0.13	0.2	13		1	4	–	–
0.15 to <0.25	44	15	64	53	0.19	0.3	10		2	4	–	–
0.25 to <0.50	40	2	38	41	0.38	0.3	1		–	–	–	–
0.50 to <0.75	47	3	41	48	0.60	0.3	2		1	2	–	–
0.75 to <2.50	121	17	71	133	1.38	0.7	5		9	7	–	–
0.75 to <1.75	105	16	70	116	1.28	0.6	6		8	7	–	–
1.75 to <2.5	16	1	80	17	2.12	0.1	4		1	6	–	–
2.50 to <10.00	57	13	52	63	4.79	0.2	9		9	14	–	–
2.5 to <5	37	11	52	42	3.81	0.2	10		7	17	–	–
5 to <10	20	2	48	21	6.76	0.1	6		2	10	–	–
10.00 to <100.00	15	2	90	17	25.23	0.1	8		3	18	–	–
10 to <20	8	2	89	10	14.07	–	5		1	10	–	–
20 to <30	4	–	100	4	26.60	–	11		1	25	–	–
30.00 to <100.00	3	–	100	3	61.60	–	14		1	33	–	–
100.00 (Default)	5	–	77	6	100.00	–	4		3	50	1	(1)
Total	387	54	63	420	3.44	2.4	7		29	7	1	(1)

1 Weighted averages are based on EAD

Table 63: IRB approach – Credit risk exposures by exposure class and PD range for retail – secured by real estate property Non SME (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	56,138	978	100	57,117	0.07	209.0	15		2,060	4	6	(1)
0.00 to <0.10	49,955	614	100	50,570	0.06	188.3	16		1,715	3	5	(1)
0.10 to <0.15	6,182	364	100	6,547	0.12	20.7	15		345	5	1	–
0.15 to <0.25	4,744	352	100	5,096	0.19	21.2	14		404	8	1	–
0.25 to <0.50	2,531	110	100	2,642	0.35	15.3	18		379	14	2	–
0.50 to <0.75	2,672	99	100	2,771	0.61	25.0	20		683	25	3	–
0.75 to <2.50	1,808	84	100	1,892	1.34	13.9	16		606	32	4	–
0.75 to <1.75	1,408	37	100	1,445	1.11	10.9	16		413	29	3	–
1.75 to <2.5	400	47	100	447	2.08	3.0	17		194	43	2	–
2.50 to <10.00	368	4	100	372	4.75	3.8	15		238	64	3	–
2.5 to <5	236	3	100	239	3.48	2.3	16		141	59	1	–
5 to <10	133	1	100	133	7.02	1.5	14		97	73	1	–
10.00 to <100.00	210	2	100	213	37.32	2.3	16		213	100	12	(4)
10 to <20	69	1	100	71	13.72	1.0	18		80	113	2	(1)
20 to <30	20	-	100	21	24.41	0.3	19		28	133	1	–
30.00 to <100.00	120	1	100	121	53.28	1.1	14		106	88	9	(3)
100.00 (Default)	261	–	100	261	100.00	2.6	24		367	141	35	(35)
Total	68,732	1,629	100	70,364	0.65	293.1	16		4,950	7	66	(40)

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	61,340	1,161	100	62,503	0.07	227.8	14		2,418	4	6	(2)
0.00 to <0.10	54,264	591	100	54,858	0.06	204.8	14		1,982	4	5	(2)
0.10 to <0.15	7,075	570	100	7,645	0.12	23.0	14		436	6	1	–
0.15 to <0.25	5,033	427	100	5,460	0.19	21.9	14		459	8	1	–
0.25 to <0.50	2,769	118	100	2,887	0.35	15.5	17		378	13	2	–
0.50 to <0.75	2,844	105	100	2,949	0.61	24.9	20		680	23	4	–
0.75 to <2.50	1,800	115	100	1,914	1.33	13.8	16		572	30	4	–
0.75 to <1.75	1,402	50	100	1,452	1.09	10.8	16		378	26	2	–
1.75 to <2.5	398	64	100	463	2.08	3.1	16		195	42	2	–
2.50 to <10.00	352	5	100	357	4.76	3.9	16		204	57	3	–
2.5 to <5	231	3	100	234	3.52	2.4	16		124	53	1	–
5 to <10	122	2	100	123	7.12	1.5	15		80	65	1	–
10.00 to <100.00	203	2	100	205	35.94	2.4	15		166	81	11	(3)
10 to <20	70	1	100	71	13.49	1.1	16		64	90	2	–
20 to <30	23	–	100	23	24.00	0.2	13		20	87	1	–
30.00 to <100.00	110	1	101	110	52.93	1.1	14		81	74	8	(2)
100.00 (Default)	249	1	100	250	100.00	2.6	23		322	129	33	(28)
Total	74,590	1,934	100	76,525	0.59	312.8	15		5,199	7	64	(33)

2023

1 Weighted averages are based on EAD

Table 64: IRB approach – Credit risk exposures by exposure class and PD range for retail – qualifying revolving (UK CR6)

	2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 % years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	962	13,893	45	7,271	0.08	913.0	86		312	4	5	(7)
0.00 to <0.10	583	10,859	45	5,435	0.06	717.0	85		199	4	3	(5)
0.10 to <0.15	379	3,034	48	1,835	0.11	196.0	87		113	6	2	(2)
0.15 to <0.25	119	1,930	34	776	0.21	163.9	72		65	8	1	(2)
0.25 to <0.50	485	2,132	48	1,510	0.33	168.9	85		214	14	4	(4)
0.50 to <0.75	447	3,384	48	2,078	0.67	195.2	88		546	26	12	(6)
0.75 to <2.50	674	3,045	34	1,722	1.42	579.6	82		743	43	20	(18)
0.75 to <1.75	544	2,503	37	1,465	1.29	436.5	83		604	41	16	(13)
1.75 to <2.5	130	542	23	257	2.12	143.1	76		139	54	4	(4)
2.50 to <10.00	1,318	1,851	45	2,159	4.12	540.6	85		2,011	93	75	(38)
2.5 to <5	891	1,454	46	1,555	2.97	341.9	85		1,190	77	39	(20)
5 to <10	426	397	45	604	7.08	198.7	84		821	136	36	(18)
10.00 to <100.00	307	162	53	393	23.08	134.6	84		804	205	75	(25)
10 to <20	219	114	59	287	13.94	81.3	85		581	202	34	(12)
20 to <30	30	24	40	39	23.43	21.2	81		95	244	7	(3)
30.00 to <100.00	58	25	36	67	62.07	32.1	81		128	191	34	(10)
100.00 (Default)	101	1	-	101	100.00	27.8	67		213	211	51	(27)
Total	4,413	26,398	44	16,010	2.07	2,723.6	85		4,908	31	243	(127)

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	869	13,963	46	7,290	0.07	933.3	85		301	4	5	(11)
0.00 to <0.10	533	11,028	46	5,553	0.06	750.1	84		194	3	3	(8)
0.10 to <0.15	335	2,934	48	1,737	0.11	183.2	86		107	6	2	(3)
0.15 to <0.25	133	2,256	37	958	0.21	240.9	73		90	9	1	(3)
0.25 to <0.50	333	2,817	45	1,591	0.32	500.0	83		257	16	4	(5)
0.50 to <0.75	503	4,437	47	2,598	0.67	326.7	88		708	27	15	(7)
0.75 to <2.50	575	2,580	41	1,637	1.48	455.4	82		778	48	20	(12)
0.75 to <1.75	452	2,202	42	1,381	1.36	357.7	83		627	45	16	(9)
1.75 to <2.5	123	378	35	257	2.11	97.8	76		152	59	4	(2)
2.50 to <10.00	711	1,325	42	1,273	4.80	431.9	80		1,411	111	49	(21)
2.5 to <5	396	991	41	800	3.34	310.1	80		733	92	21	(10)
5 to <10	315	334	47	473	7.26	121.8	81		678	143	28	(11)
10.00 to <100.00	190	151	46	260	28.40	95.5	81		626	241	60	(17)
10 to <20	109	85	47	149	13.62	48.2	80		355	238	16	(5)
20 to <30	26	23	46	36	23.61	15.2	80		101	281	7	(2)
30.00 to <100.00	55	43	44	74	60.68	32.1	81		171	231	36	(9)
100.00 (Default)	105	–	–	105	100.00	23.6	67		284	270	47	(21)
Total	3,419	27,529	45	15,712	1.31	3,007.3	83		4,455	28	201	(97)

1 Weighted averages are based on EAD

Table 65: IRB approach – Credit risk exposures by exposure class and PD range for retail – SME (UK CR6)

		2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	28	15	2	24	0.09	0.9	63		3	13	–	–
0.00 to <0.10	15	8	3	14	0.07	0.6	63		1	7	–	–
0.10 to <0.15	13	7	2	10	0.12	0.4	63		2	20	–	–
0.15 to <0.25	75	149	7	81	0.19	0.9	46		12	15	–	–
0.25 to <0.50	74	68	3	55	0.38	1.5	46		13	24	–	–
0.50 to <0.75	106	98	9	92	0.62	1.8	50		30	33	–	–
0.75 to <2.50	909	874	2	857	1.57	9.2	48		396	46	6	(3)
0.75 to <1.75	622	582	2	582	1.36	6.6	48		255	44	4	(2)
1.75 to <2.5	286	292	2	276	2.00	2.6	49		141	51	3	(1)
2.50 to <10.00	629	533	5	615	4.49	6.9	50		362	59	14	(2)
2.5 to <5	442	359	5	436	3.52	4.4	50		250	57	8	(1)
5 to <10	187	174	5	179	6.83	2.5	51		112	63	6	–
10.00 to <100.00	136	209	6	135	25.27	2.3	51		105	78	17	(2)
10 to <20	98	182	7	102	12.94	1.7	52		78	76	7	(1)
20 to <30	6	4	–	4	25.28	0.1	65		5	125	1	–
30.00 to <100.00	32	23	–	29	67.83	0.4	47		21	72	9	(2)
100.00 (Default)	123	188	4	129	100.00	1.6	63		260	202	72	(54)
Total	2,080	2,134	4	1,988	10.33	25.1	50		1,181	59	109	(61)

2023

PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	17	13	6	14	0.09	0.8	70		2	14	–	–
0.00 to <0.10	8	8	8	8	0.07	0.5	70		1	13	–	–
0.10 to <0.15	9	5	3	7	0.13	0.3	70		1	14	–	–
0.15 to <0.25	98	204	8	109	0.20	1.2	42		15	14	–	–
0.25 to <0.50	119	137	2	104	0.38	2.0	46		23	22	–	–
0.50 to <0.75	163	186	3	146	0.62	2.3	45		49	34	–	–
0.75 to <2.50	788	738	4	748	1.49	9.2	51		369	49	6	(2)
0.75 to <1.75	582	529	4	552	1.30	6.9	50		259	47	4	(1)
1.75 to <2.5	206	209	3	196	2.03	2.3	53		110	56	2	(1)
2.50 to <10.00	577	523	5	556	4.76	6.7	52		351	63	14	(2)
2.5 to <5	371	287	6	363	3.62	4.1	53		226	62	7	(1)
5 to <10	206	236	4	194	6.91	2.7	52		124	64	7	–
10.00 to <100.00	154	194	9	156	23.08	2.5	49		135	87	18	(3)
10 to <20	117	157	11	122	12.88	1.9	48		104	85	8	(1)
20 to <30	5	8	–	4	24.80	0.1	66		5	125	1	–
30.00 to <100.00	32	29	2	30	64.02	0.4	51		26	87	10	(2)
100.00 (Default)	88	122	6	94	100.00	1.4	63		166	177	60	(51)
Total	2,004	2,117	5	1,927	8.96	26.1	50		1,110	58	98	(58)

1 Weighted averages are based on EAD

Table 66: IRB approach – Credit risk exposures by exposure class and PD range for retail – Non SME (UK CR6)

	2024
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjustments and provisions \$million
0.00 to <0.15	266	2,197	53	1,434	0.06	50.5	76		204	14	1	(1)
0.00 to <0.10	201	1,779	53	1,152	0.05	43.7	76		140	12	–	(1)
0.10 to <0.15	65	418	52	282	0.11	6.8	79		64	23	–	–
0.15 to <0.25	205	726	48	551	0.18	24.3	78		172	31	1	(1)
0.25 to <0.50	796	507	58	1,089	0.34	28.7	73		477	44	3	(2)
0.50 to <0.75	910	660	50	1,240	0.68	35.2	76		847	68	6	(3)
0.75 to <2.50	2,405	791	34	2,672	1.52	139.3	75		2,509	94	31	(18)
0.75 to <1.75	1,772	654	35	2,001	1.31	82.1	74		1,754	88	19	(11)
1.75 to <2.5	633	137	28	672	2.16	57.2	81		755	112	12	(7)
2.50 to <10.00	2,763	533	48	3,021	4.76	207.1	69		3,244	107	94	(44)
2.5 to <5	1,772	442	51	1,998	3.45	123.0	73		2,200	110	48	(22)
5 to <10	991	91	35	1,023	7.32	84.1	62		1,044	102	46	(22)
10.00 to <100.00	583	69	34	606	26.63	77.6	75		940	155	119	(53)
10 to <20	364	49	36	382	13.46	52.5	77		585	153	40	(18)
20 to <30	73	8	37	76	23.83	10.1	70		134	176	13	(7)
30.00 to <100.00	146	12	23	149	61.85	15.0	73		221	148	67	(28)
100.00 (Default)	149	-	93	150	100.00	19.3	67		240	160	82	(53)
Total	8,077	5,483	49	10,763	4.73	582.0	74		8,633	80	337	(175)

						2023
PD range %	Original on balance sheet exposure \$million	Off balance sheet exposure pre CCF \$million	Average CCF %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2 thousands	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %	Expected loss \$million	Value adjust ments and provisions \$million
0.00 to <0.15	254	2,150	62	1,581	0.06	59.3	77		212	13	1	(2)
0.00 to <0.10	197	1,775	63	1,315	0.05	51.8	77		152	12	–	(1)
0.10 to <0.15	57	375	56	266	0.11	7.5	79		60	23	–	–
0.15 to <0.25	231	712	54	615	0.18	38.9	78		186	30	1	(1)
0.25 to <0.50	1,164	757	59	1,608	0.34	65.4	75		735	46	4	(4)
0.50 to <0.75	934	728	51	1,305	0.68	49.7	77		896	69	7	(5)
0.75 to <2.50	3,107	951	40	3,491	1.49	220.9	70		3,030	87	37	(23)
0.75 to <1.75	2,333	811	42	2,674	1.28	136.2	67		2,096	78	23	(15)
1.75 to <2.5	775	140	30	817	2.18	84.8	82		933	114	15	(9)
2.50 to <10.00	3,885	1,031	67	4,571	4.33	267.4	70		4,890	107	129	(52)
2.5 to <5	2,838	900	69	3,455	3.34	198.6	72		3,736	108	79	(32)
5 to <10	1,047	131	53	1,116	7.41	68.8	63		1,154	103	50	(21)
10.00 to <100.00	736	92	58	789	25.06	72.0	74		1,216	154	142	(40)
10 to <20	469	67	66	513	13.68	40.6	76		787	153	54	(20)
20 to <30	98	10	48	103	23.52	11.2	67		174	169	16	(6)
30.00 to <100.00	168	15	26	173	59.84	20.2	70		255	147	72	(14)
100.00 (Default)	155	1	74	155	100.00	19.4	67		286	185	82	(47)
Total	10,466	6,422	57	14,115	3.90	793.0	73		11,451	81	403	(174)

1 Weighted averages are based on EAD

Table 67 sets out the allocation of exposures subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three and IRB Approach laid down in Chapter 3 of Title II of Part Three to the exposure classes as defined under the IRB Approach. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), and securitisation exposures.

Table 67: Scope of the use of IRB and SA approaches (UK CR6-A)

		2024
Exposure value as defined in Article 166 CRR for exposures subject to IRB approach \$million	Total exposure value for exposures subject to the Standardised approach and to the IRB approach \$million	Percentage of total exposure value subject to the permanent partial use of the SA %	Percentage of total exposure value subject to IRB Approach %	Percentage of total exposure value subject to a roll-out plan %
163,957	215,520	20.07	76.08	–
Of which Regional governments or local authorities	68	–	–	–
	7,590	–	–	–
72,044	72,088	0.02	99.94	–
191,202	221,759	7.17	86.22	17.78
	20,046	–	100.00	–
	7,631	–	100.00	–
	16,708	70.38	19.04	62.28
99,646	123,960	7.39	80.39	8.77
	1,175	1.30	29.17	–
	78,496	3.79	89.64	3.76
	16,374	-	97.78	–
	6,400	0.45	33.85	54.08
	21,516	28.57	50.03	20.74
–	2,208	7.11	–	–
–	–	–	–	–
526,849	635,535	10.78	82.90	7.91

		20231
		Exposure value as defined in Article 166 CRR for exposures subject to IRB approach \$million	Total exposure value for exposures subject to the Standardised approach and to the IRB approach \$million	Percentage of total exposure value subject to the permanent partial use of the SA %	Percentage of total exposure value subject to IRB Approach %	Percentage of total exposure value subject to a roll-out plan %
1	Central governments or central banks	181,552	227,671	15.40	79.74	–
1.1	Of which Regional governments or local authorities		214	–	–	–
1.2	Of which Public sector entities		8,368	–	–	–
2	Institutions	92,054	94,822	0.82	97.08	–
3	Corporates	179,399	212,703	6.94	84.34	2.04
3.1	Of which Corporates - Specialised lending, excluding slotting approach		17,358	–	100.00	–
3.2	Of which Corporates - Specialised lending under slotting approach		7,057	–	100.00	–
	3.3 Of which Corporates - SMEs		15,700	66.90	20.97	16.30
4	Retail	108,883	131,643	6.70	82.71	8.34
	4.1 of which Retail – Secured by real estate SMEs		1,193	0.92	35.23	–
	4.2 of which Retail – Secured by real estate non-SMEs		84,695	3.73	90.35	10.88
	4.3 of which Retail – Qualifying revolving		15,972	–	98.37	–
	4.4 of which Retail – Other SMEs		4,976	0.78	42.41	78.12
	4.5 of which Retail – Other non-SMEs		24,808	22.60	56.90	16.81
5	Equity	–	1,990	7.55	–	–
6	Other non-credit obligation assets	43	43	–	100.00	–
17	Total	561,931	668,871	8.91	84.01	2.29

1 The FY 2023 values have been restated to exclude CCR exposures and include exposures subject to roll-out plan

Table 68 sets out the slotting approach that is applied to financing of individual projects where the repayment is highly dependent on the performance of the underlying pool or collateral, known as specialised lending. It uses a standard set of rules for the calculation of RWAs, based upon an assessment of factors such as the financial strength of the counterparty. The requirements for the application of the Slotting approach are detailed in CRR article 153.

Table 68: Specialised lending and equity exposures under the simple risk weighted approach (UK CR10.2)

			2024
			Income-producing real estate and high volatility commercial real estate (Slotting approach)
	Remaining maturity	On-balance sheet exposure \$million	Off-balance sheet exposure \$million	Risk weight %	Exposure value \$million	Risk weighted exposure amount \$million	Expected loss amount \$million
Category 1	Less than 2.5 years	3,667	714	50	3,795	2,371	–
	Equal to or more than 2.5 years	1,304	1,092	70	1,607	1,102	6
Category 2	Less than 2.5 years	988	302	70	1,042	1,114	4
	Equal to or more than 2.5 years	258	423	90	297	257	2
Category 3	Less than 2.5 years	568	8	115	569	830	16
	Equal to or more than 2.5 years	1	1	115	1	1	–
Category 4	Less than 2.5 years	89	–	250	89	208	7
	Equal to or more than 2.5 years	–	–	250	–	1	–
Category 5	Less than 2.5 years	257	5	–	257	–	128
	Equal to or more than 2.5 years	–	–	–	–	–	–
Total	Less than 2.5 years	5,569	1,029		5,752	4,523	155
	Equal to or more than 2.5 years	1,563	1,516		1,904	1,360	9

2023

Income-producing real estate and high volatility commercial real estate (Slotting

			approach)
	Remaining maturity	On-balance sheet exposure \$million	Off-balance sheet exposure \$million	Risk weight %	Exposure value \$million	Risk weighted exposure amount \$million	Expected loss amount \$million
Category 1	Less than 2.5 years	3,665	1,448	50	3,857	1,880	–
	Equal to or more than 2.5 years	832	874	70	1,017	667	4
Category 2	Less than 2.5 years	1,382	152	70	1,414	960	6
	Equal to or more than 2.5 years	321	349	90	408	356	3
Category 3	Less than 2.5 years	76	3	115	77	88	2
	Equal to or more than 2.5 years	4	–	115	4	5	–
Category 4	Less than 2.5 years	63	–	250	63	156	5
	Equal to or more than 2.5 years	–	–	250	–	–	–
Category 5	Less than 2.5 years	245	1	–	245	–	123
	Equal to or more than 2.5 years	7	–	–	7	–	4
Total	Less than 2.5 years	5,430	1,605		5,656	3,084	135
	Equal to or more than 2.5 years	1,164	1,223		1,437	1,028	11

3.6 Credit risk mitigation

Potential credit losses from any given account, customer or portfolio are mitigated using a range of tools such as collateral, netting agreements, credit insurance, credit derivatives and guarantees. The reliance that can be placed on these mitigants is carefully assessed in light of issues such as legal certainty and enforceability, market valuation, correlation and credit risk of the guarantor. The presence of credit risk mitigation is not a substitute for the ability to pay, which is the primary consideration for any credit decision, but may influence credit limit sizing, for example eligible financial collateral taken under eligible master netting agreements supported by a legal opinion may be netted against exposures. Where appropriate, credit derivatives are used to reduce credit risks in the portfolio. Due to their potential impact on income volatility, such derivatives are used in a controlled manner with reference to their expected volatility. Collateral is held to mitigate credit risk exposures and risk mitigation policies determine the eligibility of collateral types. Potential concentration risk from the use of financial collaterals, guarantee and credit derivatives is managed through the credit monitoring process. The Group uses credit limits to record guarantees taken against each guarantor where a capital benefit is taken. The Group uses netting in the case of financial market's transactions under master netting agreements supported by a legal opinion.

Our approach to credit risk mitigation can be found in the Risk management approach section of the 2024 Annual Report and Accounts on page 201.

The table below shows the unfunded credit protection held by the Group, consisting of credit derivatives and guarantees, and funded credit protection, including financial collateral. Exposure class has been defined based on the guarantor of the exposure.

Table 69: CRM techniques overview: Disclosure of the use of credit risk mitigation techniques (UK CR3)

			2024
		Exposures unsecured \$million	Exposures secured \$million	of which secured by collateral \$million	of which secured by financial guarantees \$million	of which secured by credit derivatives \$million
1	Total loans	351,126	123,741	115,423	8,318	–
2	Total debt securities	145,600	201	105	96
3	Total exposures	496,726	123,942	115,528	8,414	–
4	Of which non-performing exposures	1,977	881	860	21	–
5	Of which defaulted	1,977	881
				2023
		Exposures unsecured \$million	Exposures secured \$million	of which secured by collateral \$million	of which secured by financial guarantees \$million	of which secured by credit derivatives \$million
1	Total loans	347,191	127,434	120,833	6,601	–
2	Total debt securities	161,432	138	118	20
3	Total exposures	508,623	127,572	120,951	6,620	–
4	Of which non-performing exposures	2,304	1,176	1,059	117	–
5	Of which defaulted	2,304	1,176

3.6 Credit risk mitigation continued

Table 70 presents the EAD before and after the effect of CRM, including credit substitution and financial collateral, with a further split into on-balance sheet and off-balance sheet exposures. Off-balance sheet exposures are presented before and after the application of standardised CCFs.

		2024
		Exposures before CCF and CRM1		Exposures post CCF and CRM		RWA and RWA density
		On-balance sheet \$million	Off-balance sheet \$million	On-balance sheet \$million	Off-balance sheet \$million	RWA \$million	RWA density %
	Standardised Exposure Class
1	Central governments or central banks	23,177	437	24,344	1,118	1,384	5
4	Multilateral development banks	20,430	1,075	23,462	157	1,058	4
6	Institutions	45	331	34	–	17	50
7	Corporates	18,691	35,946	11,513	1,063	9,451	75
8	Retail	14,777	20,994	10,641	254	7,825	72
9	Secured on real estate property	8,506	366	8,406	178	4,130	48
10	Exposures in default	198	51	195	28	223	100
11	Items belonging to regulatory high risk categories	1,254	566	1,203	64	1,901	150
15	Equity	868	–	868	–	2,169	250
16	Other items2	17,374	354	11,954	349	9,275	75
17	Total Standardised3	105,320	60,120	92,620	3,211	37,433	39

	2023
					RWA and RWA density
	On-balance sheet \$million	Off-balance sheet \$million	On-balance sheet \$million	Off-balance sheet \$million	RWA \$million	RWA density %
Standardised Exposure Class
Central governments or central banks	19,540	63,095	21,630	870	1,925	9
Multilateral development banks	19,507	13,193	21,929	148	1,279	6
Institutions	1,477	1,837	1,173	12	361	30
Corporates	18,150	34,963	10,819	925	8,498	72
Retail	14,281	17,538	10,764	644	8,092	71
Secured on real estate property	8,425	415	8,327	204	4,123	48
Exposures in default	174	17	173	10	183	100
Items belonging to regulatory high risk categories	1,642	661	1,500	94	2,392	150
Equity	820	–	820	–	2,050	250
Other items2	19,183	6,411	16,594	501	10,062	59
Total Standardised3	103,199	138,130	93,729	3,408	38,965	40
			Exposures before CCF and CRM1		Exposures post CCF and CRM

1 EAD before the effect of collateral and substitution.

2 Other items include public sector entities.

3 Refer to table 20 (OV1): Standardised approach \$34,063 million and amount below threshold for deduction \$3,371 million RWA

Credit risk

3.6 Credit risk mitigation continued

Table 71: IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques (UK CR7)

	2024		2023
	Pre-credit derivatives risk weighted exposure amount \$million	Actual risk weighted exposure amount \$million	Pre-credit derivatives risk weighted exposure amount \$million	Actual risk weighted exposure amount \$million
6 Central governments and central banks	21,958	21,958	24,117	24,117
7 Institutions	12,902	12,902	13,654	13,654
8 Corporates	69,490	69,490	65,261	65,261
8.1 of Corporates - which SMEs	1,355	1,355	1,539	1,539
8.1 of which Corporates - Specialised lending	9,865	9,865	7,509	7,509
9 Retail	19,692	19,692	22,245	22,245
9.1 of which Retail – SMEs - Secured by immovable property collateral	18	18	28	28
9.2 of which Retail – non-SMEs - Secured by immovable property collateral	4,952	4,952	5,200	5,200
9.3 of which Retail – Qualifying revolving	4,908	4,908	4,456	4,456
9.4 of which Retail – SMEs - Other	1,181	1,181	1,109	1,109
9.5 of which Retail – Non-SMEs- Other	8,634	8,634	11,451	11,451
10 Total	124,043	124,043	125,277	125,277

Table 72: IRB approach – Disclosure of the extent of the use of CRM techniques (UK CR7-A)

									2024
								Credit risk Mitigation techniques						of RWEAs	Credit risk Mitigation methods in the calculation
							Funded credit Protection (FCP)					Unfunded credit Protection (UFCP)
		Total exposures \$million	Part of exposures covered by Financial Collaterals %	Part of exposures covered by Other eligible collaterals %	Part of exposures covered by Immovable property Collaterals %	Part of exposures covered by Receivables %	Part of exposures covered by Other physical collateral %	Part of exposures covered by Other funded credit protection %	Part of exposures covered by Cash on deposit %	Part of exposures covered by Life insurance policies %	Part of exposures covered by Instruments held by a third party %	Part of exposures covered by Guarantees %	Part of exposures covered by Credit Derivatives %	RWEA without substitution effects (reduction effects only) \$million	RWEA with substitution effects (both reduction and substitution effects) \$million
	IRB Exposure Class
1	Central governments and central banks	166,287	–	0.3	0.1	–	0.3	–	–	–	–	–	–	21,958	21,958
2	Institutions	68,036	3.0	2.3	–	–	2.3	2.4	–	–	–	–	–	12,903	12,903
3	Corporates	196,255	1.8	21.2	3.3	–	4.2	0.9	–	–	–	–	–	69,490	69,490
3.1	Of which Corporates – SMEs	3,048	4.4	41.6	41.0	0.1	0.5	–	–	–	–	–	–	1,355	1,355
3.2	Of which Corporates – Specialised lending	21,985	0.9	12.0	0.3	0.2	11.5	2.0	–	–	–	–	–	9,865	9,865
3.3	Of which Corporates – Other	171,222	1.9	6.3	3.0	–	3.3	0.7	–	–	–	–	–	58,270	58,270
4	Retail	99,470	–	67.4	67.4	–	–	–	–	–	–	–	–	19,692	19,692
4.1	Of which Retail – Immovable property SMEs	343	–	89.5	89.5	–	–	–	–	–	–	–	–	18	18
4.2	Of which Retail – Immovable property non-SMEs	70,364	–	94.9	94.9	–	–	–	–	–	–	–	–	4,952	4,952
4.3	Of which Retail – Qualifying revolving	16,010	–	–	–	–	–	–	–	–	–	–	–	4,908	4,908
4.4	Of which Retail – Other SMEs	1,989	1.1	0.1	–	–	0.1	–	–	–	–	–	–	1,181	1,181
4.5	Of which Retail – Other non-SMEs	10,764	–	–	–	–	–	–	–	–	–	–	–	8,634	8,634
5	Total	530,047	1.1	15.8	13.9	–	1.9	0.6	–	–	–	–	–	124,043	124,043

3.6 Credit risk mitigation continued

Table 72: IRB approach – Disclosure of the extent of the use of CRM techniques (UK CR7-A) continued

									2023
								Credit risk Mitigation techniques						calculation of RWEAs	Credit risk Mitigation methods in the
							Funded credit Protection (FCP)					Unfunded credit Protection (UFCP)
		Total exposures \$million	Part of exposures covered by Financial Collaterals %	Part of exposures covered by Other eligible collaterals %	Part of exposures covered by Immovable property Collaterals %	Part of exposures covered by Receivables %	Part of exposures covered by Other physical collateral %	Part of exposures covered by Other funded credit protection %	Part of exposures covered by Cash on deposit %	Part of exposures covered by Life insurance policies %	Part of exposures covered by Instruments held by a third party %	Part of exposures covered by Guarantees %	Part of exposures covered by Credit Derivatives %	RWEA without substitution effects (reduction effects only) \$million	RWEA with substitution effects (both reduction and substitution effects)
	IRB Exposure Class
1	Central governments and central banks	181,163	–	0.3	–	–	0.2	–	–	–	–	–	–	24,117	24,117
	2 Institutions	89,483	2.0	1.6	0.4	–	1.3	2.3	–	–	–	–	–	13,654	13,654
	3 Corporates	183,574	2.0	7.7	3.7	–	4.0	0.8	–	–	–	–	–	65,261	65,261
	3.1 Of which Corporates – SMEs	3,174	3.9	45.7	44.9	–	0.8	0.1	–	–	–	–	–	1,539	1,539
	3.2 Of which Corporates – Specialised lending	19,030	1.2	10.3	0.6	0.2	9.5	2.5	–	–	–	–	–	7,509	7,509
	3.3Of which Corporates – Other	161,370	2.1	6.7	3.3	–	3.4	0.6	–	–	–	–	–	56,213	56,213
	4 Retail	108,700	–	66.8	66.8	–	–	–	–	–	–	–	–	22,245	22,245
	4.1 Of which Retail – Immovable property SMEs	420	–	90.1	90.1	–	–	–	–	–	–	–	–	28	28
	4.2 Of which Retail – Immovable property non-SMEs	76,525	–	94.3	94.3	–	–	–	–	–	–	–	–	5,200	5,200
	4.3 Of which Retail – Qualifying revolving	15,712	–	–	–	–	–	–	–	–	–	–	–	4,456	4,456
	4.4 Of which Retail – Other SMEs	1,927	1.2	0.1	–	–	0.1	–	–	–	–	–	–	1,109	1,109
	4.5 Of which Retail – Other non-SMEs	14,116	–	–	–	–	–	–	–	–	–	–	–	11,451	11,451
	5 Total	562,921	1.0	15.8	14.2	–	1.6	0.6	–	–	–	–	–	125,277	125,277

3.7 Standardised risk weight profile

External ratings, where available, are used to assign risk weights for standardised approach (SA) exposures. These external ratings must come from EU approved rating agencies, known as External Credit Assessment Institutions (ECAI); which currently include Moody's, Standard & Poor's and Fitch. The Group uses the ECAI ratings from these agencies in its day-to-day business, which are tracked and kept updated. Assessments provided by approved ECAI are mapped to credit quality steps as prescribed by the CRR.

The Group currently does not use assessments provided by export credit agencies for the purpose of evaluating RWA in the standardised approach.

The following table sets out EAD and EAD after CRM associated with each risk weight as prescribed in Part Three, Title II, Chapter 2 of the CRR, for credit regulatory risk weights based on the exposure classes applied to unrated exposures.

3.7 Standardised risk weight profile continued

Table 73: Standardised approach (UK CR5)

		2024
								Risk Weight
		0%	2%	4%	20%	35%	50%	75%	100%	150%	250%	Others	Deduc ted	Total	Of which unrated
	Standardised Exposure Class
1	Central governments or
	central banks	24,755	–	–	18	–	126	–	17	66	481	–	–	25,463	–
3	Public sector entities	–	–	–	393	–	–	–	–	–	–	–	–	393	–
4	Multilateral development banks	21,374	–	–	556	–	1,482	–	206	–	–	–	–	23,618	–
6	Institutions	–	–	–	–	–	34	–	–	–	–	–	–	34	–
7	Corporates	–	–		– 3,237	–	272	–	9,066	–	–	–	–	12,575	9,471
8	Retail	–	–	–	–	–	–	10,895	–	–	–	–	–	10,895	10,895
9	Secured on real estate property	–	–	–	–	6,601	–	–	1,983	–	–	–	–	8,584	8,584
10	Exposures in default	–	–	–	–	–	–	–	223	–	–	–	–	223	223
11	Items belonging to regulatory high risk
	categories	–	–	–	–	–	–	–	–	1,267	–	–	–	1,267	909
15	Equity	–	–	–	–	–	–	–	–	–	868	–	–	868	868
16	Other items1	2,663	–	–	68	–	3	–	8,898	–	–	277	–	11,909	3,194
17	Total Standardised	48,792	–		– 4,272	6,601	1,917		10,895 20,393	1,333	1,349	277	–	95,829	34,144
									2023
								Risk Weight
													Deduc		Of which
	Standardised	0%	2%	4%	20%	35%	50%	75%	100%	150%	250%	Others	ted	Total	unrated
	Exposure Class
1	Central governments or central banks	21,657	–	–	22	–	51	–	16	2	750	–	–	22,499	–
3	Public sector entities	5,458	–	–	20	–	–	–	–	–	–	–	–	5,478	–
4	Multilateral development banks	20,012	–	–	108	–	1,399	–	558	–	–	–	–	22,076	–
6	Institutions	–	–	–	780	–	400	–	5	–	–	–	–	1,185	5
7	Corporates	–	–	–	3,501	120	99	–	8,023	–	–	–	–	11,741	7,707
8	Retail	–	–	–	–	–	–	11,409	–	–	–	–	–	11,409	11,408
9	Secured on real
	estate property	–	–	–	–	6,544	–	–	1,988	–	–	–	–	8,532	8,532
10	Exposures in default	–	–	–	–	–	–	–	183	–	–	–	–	183	183
11	Items belonging to regulatory high risk categories	–	–	–	–	–	–	–	–	1,594	–	–	–	1,593	1,320
15	Equity	–	–	–	–	–	–	–	–	–	820	–	–	820	820
16	Other items1	1,046	–	–	250	–	–	–	9,728	–	–	592	–	11,615	3,514
17	Total Standardised	48,173	–	–	4,681	6,664	1,949	11,409	20,501	1,596	1,570	592	–	97,131	33,489

1 Other items include cash, fixed assets, prepayments and accrued income

3.7 Standardised risk weight profile continued

Standardised EAD post CRM and post CCF decreased by \$1.3 billion:

• Central governments or central banks increased by \$3.0 billion
• Public sector entities decreased by \$5.1 billion

3.8 Securitisation

Securitisation is defined by the CRR as a transaction or scheme where the credit risk of an exposure or pool of exposures is tranched and where the payments arising from the transaction or scheme are dependent upon the performance of the underlying exposure(s) and where the subordination of tranches determine the distribution of losses during the ongoing life of the transaction or the scheme.

Securitisation can be categorised as either:

• Traditional securitisation: A securitisation involving the economic transfer of the exposures being securitised via the transfer of ownership of securitised exposures from the originator institution to a securitisation special purpose entity (SSPE), where the securitised assets are beyond the reach of the originator and its creditors. The purchase of the assets by the SSPE are usually funded via the issuance of securities where the payments obligations does not belong to the originator institution.
• Synthetic transaction: A securitisation where the originator retains the ownership of the underlying exposure(s) and transfer the associated credit risk of the securitised exposures to third party through the use of credit derivatives or guarantees.

The Group has undertaken securitisation of its own originated assets to diversify sources of funding and capital management and may play one or more of the following roles in a securitisation transaction:

Originator – The Group securitised assets (Corporate loans and trade finance facilities) originated in its normal course of business for capital management and diversification of its sources of funding. The Group may be exposed to credit and market risk on the underlying assets, particularly if the structure of the transaction does not transfer these risks to third parties.

Investor – To generate financial returns, the group may purchase securitised assets issued by third-party SSPE or purchased securities from SSPE which it originates for market making purpose.

Arranger – The Group may act as arranger for securitisation transactions it originates or by its customers, usually financial institution or large corporates.

Underwriter – The Group may underwrite the securities issued by a SSPE originated by the Group or for its customers.

Credit Event Monitor Agent – Monitor the credit quality of the underlying securitised assets on behalf of the SSPE or investors

Account Bank – The Group may hold the bank account of a SSPE originated by the Group on its own books

Program Manager – Report on the performance of the securitised assets of the SSPE to investors

Servicer – Manage and service the asset pool of the securitisation transactions

• Multilateral development banks increased by \$1.5 billion
• Institutions decreased by \$1.2 billion
• Corporates increased by \$0.8 billion
• Retail decreased by \$0.5 billion

The Group has \$12.7 billion (2023: \$17.6 billion) of EAD classified as securitisation positions, as shown in Table 74 on page 93. These transactions meet the criteria to qualify as securitisation positions under the PRA's securitisation framework and the particulars of these transactions are discussed below.

Asset Backed Securities

The carrying value of asset backed securities (ABS) of \$16.0 billion (2023: \$17.6 billion), held either as investments or arranged for clients, represents 2 per cent of the Group's total assets (2023: 2 per cent). This portfolio only constitutes third party securitisations, and does not include self-securitisation (retained positions).

The portfolio primarily comprises of two main strategies, firstly, a mix of client-based and market making trades booked in Markets, and portfolios of liquid ABS investments for the Treasury Markets (TM) book.

The credit quality of the ABS portfolio remains strong, with over 97.5 per cent of the overall portfolio rated Investment Grade, and 72.0 per cent of the overall portfolio is rated as AAA. The portfolio is diversified across asset classes and geographies. Residential mortgage-backed securities (RMBS) make up 31.9 per cent of the overall portfolio and have a weighted averaged credit rating of AAA.

Other ABS include Auto ABS, comprising 7.7 per cent of the overall portfolio, CLOs (56.2 per cent) The balance of Other ABS mainly includes securities backed by Credit Cards, consumer loans, diversified payment rights, and receivables ABS.

The notional and carrying values of the ABS purchased or retained by the Group are shown in the table below analysed by underlying asset type. ABS are accounted for as financial assets. For further details regarding recognition and impairment, refer to the note 33 to the financial statements of the 2023 Annual Report and Accounts, page 367. The ABS portfolio is assessed frequently for objective evidence of impairment.

Valuation of retained interest is initially and subsequently determined using market price quotations where available or internal pricing models that utilise variables such as yield curves, prepayment speeds, default rates, loss severity, interest rate volatilities and spreads. The assumptions used for valuation are based on observable transactions in similar securities and are verified by external pricing sources, where available.

The ABS portfolio is closely managed by a centralised dedicated team. The team has developed a detailed analysis and reporting framework of the underlying portfolio to allow senior management to make an informed holding decision with regards to specific assets, asset classes or parts of an asset class. These ABS portfolio reports are closely monitored by the Risk function in the Group.

The notional and carrying values of the ABS purchased or retained by the Group are shown below in the table analysed by underlying asset type.

Credit risk

Syndicate & Financing Risk Group Balance Sheet Securitisation

Synthetic Securitisation – Significant Risk Transfer (SRT) trades

The Group via its Syndicate and Financing Risk (SFR) Balance Sheet Securitisation unit buys synthetic protection for its banking book credit portfolio. Securitisation provides capacity for client-focused growth and improves efficiency of economic and regulatory capital. The Group as the originator performs multiple roles, including protection buyer, calculation agent and credit event monitor agent. The protection buyer executes and maintains securitisation transactions. The calculation agent computes periodic coupon payments and loss payouts. The credit event monitor agent validates and provides notifications of credit events.

Treasury Markets unit performs a different role, acting as deposit taker for funds collected from the credit protection providers. Deposits collected eliminate counterparty risk for transactions where the Group is the protection buyer.

The securitised assets consist of commercial loans and trade finance facilities extended by the Group's branches and subsidiaries to borrowers mainly from the emerging markets in Asia, Africa and Middle East. The securitised assets are subject to changes in general economic conditions, performance of relevant financial markets, political events and developments or trends in a particular industry. Historically, the trading volume of loans in these emerging markets has been small relative to other more developed debt markets due to limited liquidity in the secondary loan market.

The securitised assets are originated by the Group in its ordinary course of business. Given the synthetic nature of securitisations originated by SFR Balance Sheet Securitisation unit, the securitised assets remain on the Group's balance sheet and continue to be subject to the Group's credit review and monitoring process and risk methodology. Accordingly retained positions are not hedged.

In its role as credit event monitor agent, SFR Balance Sheet Securitisation unit monitors the credit risk of the underlying securitised assets by leveraging on the Group's client and risk management system.

As of 31 December 2024, \$0 million of Trade Finance (2023: \$5 million) and \$29 million of Commercial Loans (2023: \$84 million) totalling \$29 million (2023: \$89 million) of securitised exposures were classified as impaired and past due.

The Group has fifteen synthetic securitisation transactions originated and managed by SFR Balance Sheet Securitisation unit, with an aggregate hedge capacity of \$25 billion (2023: \$24 billion). SFR Balance Sheet Securitisation unit as the originator has not acted as sponsor to securitise third-party exposures and does not manage or advise any third-party entity that invests in the securitisation positions. Table 71 provides details of current securitisation programmes originated and managed by the Group.

The Group transfer credit risk of underlying securitised assets (Refer to Table 71) to non-consolidated securitisation special purpose entity (SSPE) via credit derivatives or via credit link notes issued by the bank. In the the transactions involving the use of SSPE structure, the underlying assets are not sold into the relevant SSPE. Instead, the credit risk of the underlying assets is transferred to the SSPE synthetically via credit default swaps whereby the SSPEs act as sellers of credit protection and receive premiums paid by the Group in return. The SSPE in turn issue credit-linked notes to third party investors who fund the credit protection in exchange for coupon on the notes

purchased. The premium received by the SSPE and interest earned on the funded amount of the purchased notes are passed through to the third-party investors as coupon on the purchased notes. Payment to the third-party investors is made in accordance with the priority of payments stipulated in the transaction documents.

Traditional Securitisation

The Group entered into a traditional securitisation transaction to diversify its sources of funding. The Group originated a revolving cashflow traditional trade finance and lending securitisation transaction, which consolidated the SSPE (Prunelli Issuer S.a.r.l) into the Group's financials as required under IFRS 10 as the Group was deemed to have control over the SSPE. Assets sold to the SSPE continue to remain on the Group's balance sheet as they did not satisfy derecognition criteria under the Group's accounting policy.

As of 31 December 2024, the outstanding securitised exposures were \$2,714 million (2023: \$1,110 million).

Governance of securitisation activities

Securitisation transactions proposed for funding and capital management must obtain support from the Corporate & Investment Banking Financing Risk Committee ("CIB FRC"). For a securitisation transaction that will lead to reduction in regulatory capital, it must be submitted to UK PRA for review one-month post deal close.

Execution of each transaction must either be approved through a Product Programme (PPG) or an individual Transaction Programme Approval (TPA) where approvals across all functions involved in the transaction are obtained. Specifically, Compliance covers issues like confidentiality of clients' information and insider information, Group Tax provides an opinion on taxation, Group Risk advises on the regulatory treatment and Finance advises on the accounting treatment and facilitates communication with the regulator.

Basel III for securitisation positions

The calculation of risk-weighted exposure amounts for securitisation positions is based on the following two calculation methods advised by the PRA:

• IRB method for third-party senior securitisation positions bought and securitisation positions originated and retained by the Group (including haircuts due to currency and collateral mismatch)
• Standardised Approach for the residual risk-weighted exposure amounts for all other securitisation positions originated by the Group and sold. For instance, risk-weight substitution under the Standardised Approach is adopted in unfunded transactions where cash collateral is with a third party

The Synthetic securitisation transactions originated by the Group in Table 71 meet the Significant risk transfer requirement ("SRT") under the CRR. Where securitisations do not achieve SRT (for instance when they are entered into for funding purpose), their associated exposures will also be presented in other sections of the Pillar 3 report. Synthetic Securitisation transactions (Table 71) are unrated as the bank utilised SEC-IRBA for risk capital calculation under CRR IV.

Accounting

Accounting assessment takes place at the time of transaction closing. The Group consolidate structured entities (including SSPE) when the substance of the relationship indicates control over the SSPE. The Group controls an entity if it has all the three elements of control which are i) power over the entity; ii) the ability to use its power over the entity to affect the returns of the Group and iii) exposure to variable returns from its involvement with the entity. The consolidation treatment is initially assessed at inception and is reassessed if circumstances indicate that there are changes to one or more of the three elements of control.

A securitisation transaction is recognised as a sale or partial sale where derecognition is achieved. The difference between the carrying amount and the consideration received is recorded in the income statement. Securitisation transactions which do not achieve derecognition are treated as financing activity. In a synthetic securitisation transaction, the underlying assets are not sold into the securitisation special purpose entity (SSPE). Instead, the underlying assets' performance is transferred into the SSPE through a synthetic instrument such as a CDS, a credit-linked note or a financial guarantee. Synthetic securitisation are assessed using the same accounting approach summarised above, with the associated credit derivative accounted as a financial guarantee under IFRS 9. As of both 31 December 2024 and 31 December 2023, no securitised assets have been derecognised from the Group's balance sheet.

Financial assets awaiting for securitisation are valued using the Group's accounting policy for financial instrument. There are no assets classify as awaiting securitisation for both 31 December 2024 and 31 December 2023.

Any financial support or contractual arrangements provided to unconsolidated entities for securitised assets would be recognised as a liability on balance sheet if it met the relevant IFRS criteria. The Group has not provided support to any securitisation transactions beyond its contractual obligations.

The Group's approach to accounting for SSPEs can be found in the notes to the financial statements in the 2024 Annual Report and Accounts.

Assets securitised under the Significant risk transfer (SRT) program by the Group's in its capacity as originator decreased by \$1.05 billion to \$15.29 billion:

Traditional Securitisation:

• There was one traditional securitisation, referencing \$3 billion trade finance and lending assets executed by the Group during the year. There was no capital relief sought for this transaction.

Synthetic Securitisation:

• 4 transactions (Khartaphu II, Start XI, Gongga and Shangren VI), referencing \$7.6 billion matured in 2024.
• Four synthetic securitisation, referencing \$8 billion lending assets was executed by the Group during the year. Of the 4 transactions, only 3 qualified for capital relief.

The following tables shows the distribution of the Group's securitisation exposures across risk-weights. The vast majority of the Group's exposure to securitisation programmes is to the lower risk weighted tranches.

Table 74: Securitisation exposures in the non-trading book (UK-SEC1)

					2024
			Institution acts as originator
		STS		Non-STS		Synthetic
		\$million	of which SRT \$million	\$million	of which SRT \$million	\$million	of which SRT \$million	Sub-total \$million
1	Total exposures	–	–	862	–	15,292	15,292	16,154
2	Retail (total)	–	–	–	–	–	–	–
3	residential mortgage	–	–	–	–	–	–	–
4	credit card	–	–	–	–	–	–	–
5	other retail exposures	–	–	–	–	–	–	–
6	re-securitisation	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	862	–	15,292	15,292	16,154
8	loans to corporates	–	–	810	–	13,877	13,877	14,687
9	commercial mortgage	–	–	–	–	–	–	–
10	lease and receivables	–	–	52	–	1,415	1,415	1,487
11	other wholesale	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–

Table 74: Securitisation exposures in the non-trading book (UK-SEC1) continued

			2024
			Institution acts as sponsor Institution acts as investor
		Traditional				Traditional
		STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million	STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million
1	Total exposures	–	–	–	–	267	15,768	–	16,035
2	Retail (total)	–	–	–	–	267	4,853	–	5,120
3	residential mortgage	–	–	–	–	142	4,314	–	4,456
4	credit card	–	–	–	–	125	88	–	213
5	other retail exposures	–	–	–	–	–	451	–	451
6	re-securitisation	–	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	–	–	–	10,916	–	10,916
8	loans to corporates	–	–	–	–	–	9,019	–	9,019
9	commercial mortgage	–	–	–	–	–	669	–	669
10	lease and receivables	–	–	–	–	–	1,228	–	1,228
11	other wholesale	–	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–	–

			2023
			Institution acts as originator
		STS		Non-STS		Synthetic
		\$million	of which SRT \$million	\$million	of which SRT \$million	\$million	of which SRT \$million	Sub-total \$million
1	Total exposures	–	–	313	–	16,342	16,342	16,655
2	Retail (total)	–	–	–	–	–	–	–
3	residential mortgage	–	–	–	–	–	–	–
4	credit card	–	–	–	–	–	–	–
5	other retail exposures	–	–	–	–	–	–	–
6	re-securitisation	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	313	–	16,342	16,342	16,655
8	loans to corporates	–	–	–	–	13,084	13,084	13,084
9	commercial mortgage	–	–	–	–	–	–	–
10	lease and receivables	–	–	313	–	3,258	3,258	3,572
11	other wholesale	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–

		2023
			Institution acts as sponsor				Institution acts as investor
		Traditional				Traditional
		STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million	STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million
1	Total exposures	–	–	–	–	305	17,274	–	17,580
2	Retail (total)	–	–	–	–	305	7,289	–	7,594
3	residential mortgage	–	–	–	–	287	6,270	–	6,557
4	credit card	–	–	–	–	–	452	–	452
5	other retail exposures	–	–	–	–	18	567	–	585
6	re-securitisation	–	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	–	–	–	9,985	–	9,985
8	loans to corporates	–	–	–	–	–	8,655	–	8,655
9	commercial mortgage	–	–	–	–	–	410	–	410
10	lease and receivables	–	–	–	–	–	920	–	920
11	other wholesale	–	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–	–

Table 75: Securitisation exposures in the trading book (UK-SEC2)

			2024
					Institution acts as originator
		STS		Non-STS		Synthetic
		\$million	of which SRT \$million	\$million	of which SRT \$million	\$million	of which SRT \$million	Sub-total \$million
1	Total exposures	–	–	–	–	–	–	–
2	Retail (total)	–	–	–	–	–	–	–
3	residential mortgage	–	–	–	–	–	–	–
4	credit card	–	–	–	–	–	–	–
5	other retail exposures	–	–	–	–	–	–	–
6	re-securitisation	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	–	–	–	–	–
8	loans to corporates	–	–	–	–	–	–	–
9	commercial mortgage	–	–	–	–	–	–	–
10	lease and receivables	–	–	–	–	–	–	–
11	other wholesale	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–

					2024
			Institution acts as sponsor				Institution acts as investor
		Traditional				Traditional
		STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million	STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million
1	Total exposures	–	–	–	–	16	781	–	797
2	Retail (total)	–	–	–	–	8	249	–	257
3	residential mortgage	–	–	–	–	8	217	–	224
4	credit card	–	–	–	–	–	–	–	–
5	other retail exposures	–	–	–	–	–	32	–	32
6	re-securitisation	–	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	–	–	9	532	–	541
8	loans to corporates	–	–	–	–	–	357	–	357
9	commercial mortgage	–	–	–	–	–	27	–	27
10	lease and receivables	–	–	–	–	9	147	–	156
11	other wholesale	–	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–	–

Table 75: Securitisation exposures in the trading book (UK-SEC2) continued

					2023
			Institution acts as originator
		STS		Non-STS		Synthetic
		\$million	of which SRT \$million	\$million	of which SRT \$million	\$million	of which SRT \$million	Sub-total \$million
1	Total exposures	–	–	–	–	–	–	–
2	Retail (total)	–	–	–	–	–	–	–
3	residential mortgage	–	–	–	–	–	–	–
4	credit card	–	–	–	–	–	–	–
5	other retail exposures	–	–	–	–	–	–	–
6	re-securitisation	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	–	–	–	–	–
8	loans to corporates	–	–	–	–	–	–	–
9	commercial mortgage	–	–	–	–	–	–	–
10	lease and receivables	–	–	–	–	–	–	–
11	other wholesale	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–

			Institution acts as sponsor			Institution acts as investor
			Traditional			Traditional
		STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million	STS \$million	Non-STS \$million	Synthetic \$million	Sub-total \$million
1	Total exposures	–	–	–	–	4	749	–	753
2	Retail (total)	–	–	–	–	4	242	–	246
3	residential mortgage	–	–	–	–	4	239	–	243
4	credit card	–	–	–	–	–	–	–	–
5	other retail exposures	–	–	–	–	–	3	–	3
6	re-securitisation	–	–	–	–	–	–	–	–
7	Wholesale (total)	–	–	–	–	–	506	–	506
8	loans to corporates	–	–	–	–	–	387	–	387
9	commercial mortgage	–	–	–	–	–	11	–	11
10	lease and receivables	–	–	–	–	–	109	–	109
11	other wholesale	–	–	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–	–	–

Table 76: Securitisation exposures in the non-trading book and associated regulatory capital requirements – institution acting as originator or as sponsor (UK-SEC3)

Exposure values (by RW bands/deductions)	>50% to
				Exposure values (by regulatory approach)
>20% to ≤20% RW 50% RW \$million \$million	100% RW \$million	>100% to <1250% RW \$million	1250% RW/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
1 Total exposures 11,015 3,891	386	–	–	15,292	–	–	–
2 Traditional transactions – –	–	–	–	–	–	–	–
3 Securitisation – –	–	–	–	–	–	–	–
4 Retail underlying – –	–	–	–	–	–	–	–
5 Of which STS – –	–	–	–	–	–	–	–
6 Wholesale – –	–	–	–	–	–	–	–
7 Of which STS – –	–	–	–	–	–	–	–
8 Re-securitisation – –	–	–	–	–	–	–	–
9 Synthetic transactions 11,015 3,891	386	–	–	15,292	–	–	–
10 Securitisation 11,015 3,891	386	–	–	15,292	–	–	–
11 Retail underlying – –	–	–	–	–	–	–	–
12 Wholesale 11,015 3,891	386	–	–	15,292	–	–	–
13 Re-securitisation – –	–	–	–	–	–	–	–

			RWEA (by regulatory approach)
		SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
1	Total exposures	3,096	–	–	–	227	–	–	–
2	Traditional transactions	–	–	–	–	–	–	–	–
3	Securitisation	–	–	–	–	–	–	–	–
4	Retail underlying	–	–	–	–	–	–	–	–
5	Of which STS	–	–	–	–	–	–	–	–
6	Wholesale	–	–	–	–	–	–	–	–
7	Of which STS	–	–	–	–	–	–	–	–
8	Re-securitisation	–	–	–	–	–	–	–	–
9	Synthetic transactions	3,096	–	–	–	227	–	–	–
10	Securitisation	3,096	–	–	–	227	–	–	–
11	Retail underlying	–	–	–	–	–	–	–	–
12	Wholesale	3,096	–	–	–	227	–	–	–
13	Re-securitisation	–	–	–	–	–	–	–	–

Table 76: Securitisation exposures in the non-trading book and associated regulatory capital requirements – institution acting as originator or as sponsor (UK-SEC3) continued

		2023
							Exposure values (by regulatory approach)
	≤20% RW \$million	>20% to 50% RW \$million	>50% to 100% RW \$million	>100% to <1250% RW \$million	1250% RW/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
Total exposures	13,307	3,035	–	–	–	16,342	–	–	–
Traditional transactions	–	–	–	–	–	–	–	–	–
Securitisation	–	–	–	–	–	–	–	–	–
Retail underlying	–	–	–	–	–	–	–	–	–
Of which STS	–	–	–	–	–	–	–	–	–
Wholesale	–	–	–	–	–	–	–	–	–
Of which STS	–	–	–	–	–	–	–	–	–
Re-securitisation	–	–	–	–	–	–	–	–	–
Synthetic transactions	13,307	3,035	–	–	–	16,342	–	–	–
Securitisation	13,307	3,035	–	–	–	16,342	–	–	–
Retail underlying	–	–	–	–	–	–	–	–	–
Wholesale	13,307	3,035	–	–	–	16,342	–	–	–
Re-securitisation	–	–	–	–	–	–	–	–	–
					Exposure values (by RW bands/deductions)

		2023
			RWEA (by regulatory approach)				Capital charge after cap
		SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
1	Total exposures	3,123	–	–	–	250	–	–	–
2	Traditional transactions	–	–	–	–	–	–	–	–
3	Securitisation	–	–	–	–	–	–	–	–
4	Retail underlying	–	–	–	–	–	–	–	–
5	Of which STS	–	–	–	–	–	–	–	–
6	Wholesale	–	–	–	–	–	–	–	–
7	Of which STS	–	–	–	–	–	–	–	–
8	Re-securitisation	–	–	–	–	–	–	–	–
9	Synthetic transactions	3,123	–	–	–	250	–	–	–
10	Securitisation	3,123	–	–	–	250	–	–	–
11	Retail underlying	–	–	–	–	–	–	–	–
12	Wholesale	3,123	–	–	–	250	–	–	–
13	Re-securitisation	–	–	–	–	–	–	–	–

Table 77: Securitisation exposures in the non-trading book and associated regulatory capital requirements – institution acting as investor (UK-SEC4)

						2024
			Exposure values (by RW bands/deductions)			Exposure values (by regulatory approach)
		≤20% RW \$million	>20% to 50% RW \$million	>50% to 100% RW \$million	>100% to <1250% RW \$million	1250% RW/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
1	Total exposures	15,415	591	6	24	–	–	12,211	3,824	–
2	Traditional transactions	15,415	591	6	24	–	–	12,211	3,824	–
3	Securitisation	15,415	591	6	24	–	–	12,211	3,824	–
4	Retail underlying	4,852	267	–	–	–	–	3,152	1,968	–
5	Of which STS	267	–	–	–	–	–	142	125	–
6	Wholesale	10,563	324	6	24	–	–	9,059	1,856	–
7	Of which STS	–	–	–	–	–	–	–	–	–
8	Re-securitisation	–	–	–	–	–	–	–	–	–
9	Synthetic transactions	–	–	–	–	–	–	–	–	–
10	Securitisation	–	–	–	–	–	–	–	–	–
11	Retail underlying	–	–	–	–	–	–	–	–	–
12	Wholesale	–	–	–	–	–	–	–	–	–
13	Re-securitisation	–	–	–	–	–	–	–	–	–

		2024
			RWEA (by regulatory approach)			Capital charge after cap
		SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
1	Total exposures	–	2,188	666	–	–	175	53	–
2	Traditional transactions	–	2,188	666	–	–	175	53	–
3	Securitisation	–	2,188	666	–	–	175	53	–
4	Retail underlying	–	519	362	–	–	42	29	–
5	Of which STS	–	14	13	–	–	1	1	–
6	Wholesale	–	1,669	304	–	–	134	24	–
7	Of which STS	–	–	–	–	–	–	–	–
8	Re-securitisation	–	–	–	–	–	–	–	–
9	Synthetic transactions	–	–	–	–	–	–	–	–
10	Securitisation	–	–	–	–	–	–	–	–
11	Retail underlying	–	–	–	–	–	–	–	–
12	Wholesale	–	–	–	–	–	–		–
13	Re-securitisation	–	–	–	–	–	–	–	–

Table 77: Securitisation exposures in the non-trading book and associated regulatory capital requirements – institution acting as investor (UK-SEC4) continued

	2023
	Exposure values (by RW bands/deductions)						Exposure values (by regulatory approach)
	≤20% RW \$million	>20% to 50% RW \$million	>50% to 100% RW \$million	>100% to <1250% RW \$million	1250% RW/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
Total exposures	16,391	895	221	73	–	–	15,687	1,893	–
Traditional transactions	16,391	895	221	73	–	–	15,687	1,893	–
Securitisation	16,391	895	221	73	–	–	15,687	1,893	–
Retail underlying	6,993	602	–	–	–	–	5,890	1,704	–
Of which STS	305	–	–	–	–	–	287	18	–
Wholesale	9,398	293	221	73	–	–	9,796	189	–
Of which STS	–	–	–	–	–	–	–	–	–
Re-securitisation	–	–	–	–	–	–	–	–	–
Synthetic transactions	–	–	–	–	–	–	–	–	–
Securitisation	–	–	–	–	–	–	–	–	–
Retail underlying	–	–	–	–	–	–	–	–	–
Wholesale	–	–	–	–	–	–	–	–	–
Re-securitisation	–	–	–	–	–	–	–	–	–

		2023
			RWEA (by regulatory approach)				Capital charge after cap
		SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million	SEC-IRBA \$million	SEC-ERBA (including IAA) \$million	SEC-SA \$million	1250%/ deductions \$million
1	Total exposures	–	2,854	360	–	–	360	29	–
2	Traditional transactions	–	2,854	360	–	–	360	29	–
3	Securitisation	–	2,854	360	–	–	360	29	–
4	Retail underlying	–	969	285	–	–	78	23	–
5	Of which STS	–	29	2	–	–	4	–	–
6	Wholesale	–	1,885	75	–	–	151	6	–
7	Of which STS	–	–	–	–	–	–	–	–
8	Re-securitisation	–	–	–	–	–	–	–	–
9	Synthetic transactions	–	–	–	–	–	–	–	–
10	Securitisation	–	–	–	–	–	–	–	–
11	Retail underlying	–	–	–	–	–	–	–	–
12	Wholesale	–	–	–	–	–	–		–
13	Re-securitisation	–	–	–	–	–	–	–	–

Table 78: Exposures securitised by the institution – Exposures in default and specific credit risk adjustments (UK-SEC5)

			2024			2023
			Exposures securitised by the institution – Institution acts as originator or as sponsor			Exposures securitised by the institution – Institution acts as originator or as sponsor
		Total outstanding nominal amount		Total amount of specific credit risk	Total outstanding nominal amount		Total amount of specific credit risk
		\$million	Of which exposures in default \$million	adjustments made during the period \$million	\$million	Of which exposures in default \$million	adjustments made during the period \$million
1	Total exposures	19,311	29	–	18,012	89	–
2	Retail (total)	–	–	–	–	–	–
3	residential mortgage	–	–	–	–	–	–
4	credit card	–	–	–	–	–	–
5	other retail exposures	–	–	–	–	–	–
6	re-securitisation	–	–	–	–	–	–
7	Wholesale (total)	19,311	29	–	18,012	89	–
8	loans to corporates	17,794	29	–	13,596	84	–
9	commercial mortgage	77	–	–	78	–	–
10	lease and receivables	1,440	–	–	4,338	5	–
11	other wholesale	–	–	–	–	–	–
12	re-securitisation	–	–	–	–	–	–

4. Traded risk

Our approach to Traded risk can be found in the Enterprise Risk Management approach section in the 2024 Annual Report and Accounts on pages 202 to 203.

4.1 Market risk

Interest rate risk from non-trading book portfolios is transferred to local Treasury desks under the supervision of local Asset and Liability Committees. Treasury deals in the market in approved financial instruments in order to manage the net interest rate risk, subject to approved Value at Risk (VaR) and risk limits.

The primary categories of market risk for the Group are:

• Interest Rate Risk: arising from changes in yield curves and implied volatilities
• Foreign Exchange Rate Risk: arising from changes in currency exchange rates and implied volatilities
• Commodity Risk: arising from changes in commodity prices and implied volatilities
• Credit Spread Risk: arising from changes in the price of debt instruments and credit-linked derivatives, driven by factors other than the level of risk-free interest rates
• Equity Risk: arising from changes in the prices of equities and implied volatilities

Trading book

The Trading book contains positions held with trading intent or hedges for such positions. The Traded Risk Framework sets out the Group's standard systematic approach to risk managing market risk. The Trading Book Policy supports the identification of positions included in the Trading book and their risk management and valuation. All trading book desks are subject to market risk limits. Traded Risk Management, an independent risk control function, monitors the limits and reports daily to senior management.

Valuation framework

Valuation of financial assets and liabilities held at fair value is subject to an independent review by Valuation Methodology within the Finance function. For those financial assets and liabilities whose fair value is determined by reference to externally quoted prices or market observable pricing inputs or to a valuation model, an assessment is made by Valuation Methodology against external market data and consensus services. Valuation Methodology also ensures adherence to the valuation adjustment frameworks to incorporate bid/ask spreads, model risk and other reserves, and, where appropriate, to mark all positions in accordance with prevailing accounting and regulatory guidelines.

The Valuation and Benchmarks Committee (VBC), a subcommittee of the Corporate & Investment Banking Financial Risk Committee (CIB FRC), provides oversight and governance of all financial markets valuation adjustments and price testing frameworks and reviews the results of the valuation methodology process on a monthly basis. In addition, the VBC also provides governance over the Group's benchmark rates review processOur approach to market risk can be found in the Risk management approach section in the 2024 Annual Report and Accounts on pages 202 to 203.

Management VaR

Management VaR is one of the tools used by management to monitor the total market risk within the trading and nontrading books.

Regulatory VaR

Regulatory VaR is used to estimate the potential loss, from market movements, across trading book positions for which the Bank has received permission to apply the internal model approach (IMA). Regulatory VaR, including Stressed VaR and Risk Not in VaR (RNIV) measures, is used to calculate market risk RWAs for positions falling under the IMA permission.

Variable	Regulatory VaR	Management VaR
Variable	Regulatory VaR	Management VaR
Confidence level	99%	97.5%
Historical Observation	260 business days unweighted	260 business days unweighted
Liquidity Horizon	1 day Scaled to 10-day VaR by multiplying by the square root of 10. A more conservative multiplier is applied if statistical hypothesis testing shows that the square root of 10 multiplier is not sufficiently appropriate.	1 day
Updating Frequency	1 day	1 day
Scope	As approved by the PRA, under Internal Model Approval (IMA)	All non-structural market risk exposures across the trading and non-trading books.

Regulatory VaR vs Management VaR

The VaR simulation applies full revaluation to all products, except for some simple cash flow products where the cash flows are discounted with a single benchmark yield curve adjusted by the IR VaR shocks.

The VaR simulations currently generally apply relative returns to most market risk factors except interest rates where absolute changes in zero coupon yields are applied.

The PRA has granted the Group permission to apply IMA for the following entities:

Standard Chartered Bank	Solo and consolidated
Standard Chartered Bank (Singapore) Ltd	Consolidated
Standard Chartered Bank (Hong Kong) Ltd	Consolidated
Standard Chartered Bank (China) Ltd	Consolidated
Standard Chartered Bank Korea Ltd	Consolidated
Standard Chartered Bank Malaysia Berhad	Consolidated
Standard Chartered Bank (Taiwan) Ltd	Consolidated
Standard Chartered Bank (Thai) PCL	Consolidated
Standard Chartered Bank (Vietnam) Ltd	Consolidated
Standard Chartered Bank AG	Consolidated

Backtesting

Backtesting is performed to ensure that the VaR model is fit for purpose. It measures the ability of the model to correctly reflect the potential level of losses under normal trading conditions, for a certain confidence level.

A backtesting breach is recorded when the net trading P&L loss in one day is greater than the estimated VaR for the same day. Prudential regulation specifies that a model with more than five but fewer than ten backtesting exceptions in a 12-month period is deemed to be in the 'amber zone'. At the end of 2024 the Group is in the 'green zone' with no backtesting exceptions in 2024. For details see the further Pillar 3 disclosure on regulatory backtesting below.

Stressed VaR

Stressed VaR applies the same model as for regulatory VaR but using a one-year historical observation period from a stressed period relevant to the trading book portfolio. In 2024, the stressed period applied was the 260 business days ending 30 June 2009 reflecting the Global Financial Crisis.

Stress testing

Group-wide stress testing is performed to measure the potential loss on a portfolio of financial positions due to low probability market events or risk to the Group posed by a breakdown of risk model assumptions.

So stress testing supplements the use of VaR as the primary measure of risk. The roles and responsibilities of the various business functions are set out in the Traded Risk Stress Testing standard.

Market risk changes

Value at Risk (VaR) allows the Group to manage Market Risk across the trading book and most of the fair valued nontrading books.

The average level of total trading and non-trading VaR in 2024 was \$41.8 million, 22 per cent lower than in 2023 (\$53.3 million). The year end level of total trading and non-trading VaR in 2024 was \$43.3 million, 3 per cent lower than 2023 (\$44.5 million), due to a reduction in market volatility.

For the trading book, the average level of VaR in 2024 was \$21.1 million, 2 per cent lower than in 2023 (\$21.5 million). Trading activities have remained relatively unchanged, and client driven.

Table 79: Daily value at risk (VaR at 97.5%, one day)

	2024			2023
	Average \$million	High \$million	Low \$million	Year End \$million	Average \$million	High \$million	Low \$million	Year End \$million
Trading1 and non-trading2
Interest Rate Risk	32.8	43.9	18.6	38.8	39.5	54.1	23.2	30.5
Credit Spread Risk	20.4	31.3	12.8	16.6	33.8	48.0	25.0	31.7
Foreign Exchange Risk	9.2	15.0	5.0	7.4	7.0	12.2	4.2	7.4
Commodity Risk	5.3	10.0	2.9	4.6	5.8	9.7	3.7	4.3
Equity Risk	0.4	0.9	–	–	0.1	0.4	–	–
Diversification effect	(26.3)	N/A	N/A	(24.1)	(32.9)	N/A	N/A	(29.4)
Total Trading1 and non-trading2	41.8	53.1	29.4	43.3	53.3	65.5	44.2	44.5
Trading1
Interest Rate Risk	12.7	22.0	7.0	12.0	13.1	20.4	7.7	11.6
Credit Spread Risk	6.6	9.6	4.8	5.4	9.4	12.4	7.4	9.4
Foreign Exchange Risk	9.2	15.0	5.0	7.4	7.0	12.2	4.2	7.4
Commodity Risk	4.8	10.0	2.4	4.3	5.8	9.7	3.7	4.4
Equity Risk	–	–	–	–	–	–	–	–
Diversification effect	(12.2)	N/A	N/A	(8.3)	(13.8)	N/A	N/A	(11.5)
Total Trading1	21.1	33.1	13.0	20.8	21.5	30.6	14.7	21.3
Non-trading2
Interest Rate Risk	28.0	35.5	17.4	32.5	34.2	43.6	19.7	23.9
Credit Spread Risk	17.2	24.8	10.0	15.7	28.3	40.1	21.5	24.4
Foreign Exchange Risk	–	–	–	–	_	_	_	_
Commodity Risk	1.3	1.8	0.6	0.8	_	_	_	_
Equity Risk	0.4	0.9	–	–	0.1	0.4	–	–
Diversification effect	(12.7)	N/A	N/A	(10.2)	(18.6)	N/A	N/A	(12.7)
Total Non-trading2	34.2	44.3	28.6	38.8	44.0	53.4	32.0	35.6

1 The trading book for Market Risk is defined in accordance with the UK onshored Capital Requirements Regulation Part 3 Title I Chapter 3, which restricts the positions permitted in the trading book

2 The non-trading book VaR does not include the loan underwriting business

The following table sets out how trading and non-trading VaR is distributed across the Group's businesses.

Table 80: Daily value at risk (VaR at 97.5%, one day) by business

	2024			2023
	Average \$million	High \$million	Low \$million	Year End \$million	Average \$million	High \$million	Low \$million	Year End \$million
Trading1 and non-trading2	41.8	53.1	29.4	43.3	53.3	65.5	44.2	44.5
Trading1
Macro Trading4	17.0	29.9	10.0	17.1	13.8	20.2	9.2	15.4
Global Credit	6.8	11.1	4.3	5.8	12.8	18.2	8.5	10.1
XVA	3.3	4.4	2.4	2.4	4.8	7.0	3.4	4.5
Diversification effect3	(6.0)	N/A	N/A	(4.5)	(9.9)	N/A	N/A	(8.7)
Total	21.1	33.1	13.0	20.8	21.5	30.6	14.7	21.3
Non-trading2
Treasury	32.9	40.8	26.9	38.6	43.4	50.2	31.1	34.9
Global Credit	5.0	13.4	2.4	8.8	3.9	13.6	2.0	4.0
Listed Private Equity	0.4	0.9	–	–	0.1	0.4	–	–
Diversification effect3	(4.1)	N/A	N/A	(8.6)	(3.4)	N/A	N/A	(3.3)
Total	34.2	43.3	28.4	38.8	44.0	53.4	32.0	35.6

1 The trading book for Market Risk is defined in accordance with the UK onshored Capital Requirements Regulation Part 3 Title I Chapter 3, which restricts the positions permitted in the trading book

2 The non-trading book VaR does not include the loan underwriting business

3 The total VaR is non-additive across risk types due to diversification effects, which is measured as the difference between the sum of the VaR by individual risk type or business and the combined total VaR. As the maximum and minimum occur on different days for different risk types or businesses, it is not meaningful to calculate a portfolio diversification benefit for these measures

4 Macro Trading comprises the Rates, FX and Commodities businesses

Market risk regulatory capital requirements

The CRR specifies minimum capital requirements against market risk in the trading book. Interest rate risk in the non-trading book is covered separately under the Pillar 2 framework.

The PRA has granted the Group permission to use the internal model approach (IMA) covering the majority of interest rate, foreign exchange, precious metals, base metals, energy and agriculture market risk in the trading book. Positions outside the IMA scope are assessed according to PRA standardised approach (SA).

The minimum regulatory market risk capital requirements for the trading book are presented below for the Group.

Table 81: Market risk regulatory capital requirements

	2024		2023
Market risk capital requirements for trading book	Risk Weighted Assets \$million	Regulatory capital requirement \$million	Risk Weighted Assets \$million	Regulatory capital requirement \$million
Interest rate	9,493	759	7,272	582
Equity	20	2	15	1
Options	69	6	75	6
Commodity	479	38	527	42
Foreign exchange1	3,748	300	4,071	326
Internal Models Approach2	14,474	1,158	12,907	1,033
Total	28,283	2,263	24,867	1,990

1 Structural Foreign Exchange positions contributed \$267 million to the foreign exchange position risk requirement (PRR) and \$3.3 billion to foreign exchange RWA as at 31 December 2024

2 Where the risks are not within the approved scope of the internal models approach, they are captured in the relevant category above based on the Standardised Approach

Table 82: Market risk under standardised approach (UK MR1)

		2024	2023
		Risk Weighted Assets \$million	Risk Weighted Assets \$million
	Outright products
1	Interest rate risk (general and specific)	9,493	7,272
2	Equity risk (general and specific)	20	15
3	Foreign exchange risk	3,748	4,071
4	Commodity risk	479	527
	Options	69	75
5	Simplified approach	–	–
6	Delta-plus method	21	7
7	Scenario approach	48	68
8	Securitisation (specific risk)1	694	640
9	Total	13,810	11,960

1 Securitisation (specific risk) is included in the interest rate risk RWA number

Internal Models Approach

The table below shows the average, high and low VaR and Stressed VaR for the period January 2024 to December 2024 and the actual position on 31 December 2024. The results reflect only the Group portfolio covered by the internal model approach and are calculated at a 99 per cent confidence level.

Table 83: IMA values for trading portfolios (UK MR3)

		2024 \$million	2023 \$million
	VaR (10 day 99%)1
1	Maximum value	129	98
2	Average value	75	56
3	Minimum value	37	31
4	Period end2	86	54
	Stressed VaR (10 day 99%)1
5	Maximum value	231	168
6	Average value	153	91
7	Minimum value	98	51
8	Period end2	166	127
	Incremental Risk Charge (99.9%)1
9	Maximum value	–	–
10	Average value	–	–
11	Minimum value	–	–
12	Period end2	–	–
	Comprehensive Risk capital charge (99.9%)1
13	Maximum value	–	–
14	Average value	–	–
15	Minimum value	–	–
16	Period end2	–	–

1 Represents only the Group's portfolio covered by the IMA and calculated at the 99 per cent confidence level. Details of the Group's management VaR covering all non-structured market risk exposures, across the trading and non-trading books, calculated at the 97.5 per cent confidence level can be found in the Group's Year End Report 2024 on pages 247 to 248

2 Actual one day VaR as at period end date

Table 84: Market risk under the internal Model Approach (IMA) (UK MR2-A)

			2024		2023
		RWAs \$million	Own funds requirements \$million	RWAs \$million	Own funds requirements \$million
1 VaR (higher of values a and b)		3,984	319	2,965	237
(a) Previous day's VaR		1,072	86	679	54
(b) Average of the daily VaR		3,984	319	2,965	237
2 SVaR (higher of values a and b)		5,529	442	4,240	339
(a) Latest SVaR		2,073	166	1,587	127
(b) Average of the SVaR		5,529	442	4,240	339
3 IRC (higher of values a and b)		–	–	–	–
(a) Most recent IRC measure		–	–	–	–
(b) 12 weeks average IRC measure		–	–	–	–
4	Comprehensive risk measure (higher of values a, b and c)	–	–	–	–
(a) Most recent risk measure of comprehensive risk measure		–	–	–	–
(b) 12 weeks average of comprehensive risk measure		–	–	–	–
(c) Comprehensive risk measure Floor		–	–	–	–
5 Other1		4,960	397	5,703	456
6 Total2, 3		14,474	1,158	12,908	1,032

1 Other IMA capital add-ons for market risks not fully captured in either VaR or SVaR. More details on Risks not in VaR can be found in the Group's Year End Report 2024 on page 248

2 There are zero IRC and CRM as the Group has not applied model permission for specific interest rate risk comprehensive risk measure

3 Represents only the Group's portfolio covered by the IMA and calculated at the 99 per cent confidence level. Details of the Group's management VaR covering all non-structured market risk exposures, across the trading and non-trading books, calculated at the 97.5 per cent confidence level can be found in the Group's Year End Report 2024 on pages 247 to 248

Backtesting

In 2024, there were no regulatory backtesting negative exceptions at Group level (in 2023, there were five regulatory backtesting negative exceptions at Group level).

An enhancement to the VaR model has been approved by the PRA and once implemented is expected to increase its responsiveness to abrupt upturns in market volatility.

Table 85: 2024 Backtesting chart for Internal Model Approach regulatory trading book at Group level with hypothetical profit and loss (P&L) versus VaR (99 per cent, one day) (MR4)

Table 86: 2024 Backtesting chart for Internal Model Approach regulatory trading book at Group level with actual profit and loss (P&L) versus VaR (99 per cent, one day) (MR4)

4.2 Counterparty credit risk

Counterparty credit risk (CCR) is the risk that a counterparty in a foreign exchange, interest rate, commodity, equity or credit derivative or repo contract defaults prior to the maturity date of the contract, and that the Group at the time has a claim on the counterparty. CCR arises predominantly in the trading book, but also arises in the non-trading book when hedging with external counterparties is required.

CCR is managed within the overall credit risk appetite for corporate and financial institutions. CCR limits are set for individual counterparties, including central clearing counterparties, and for specific portfolios. Individual limits are calibrated to the credit grade and business model of the counterparties, and are set on Potential Future Exposure (PFE). Portfolio limits are set to contain concentration risk across multiple dimensions and are set on PFE or other equivalent measures.

The Group reduces its credit exposures to counterparties by entering into contractual netting agreements which result in a single amount owed by or to the counterparty. The amount is calculated by netting the Mark-To-Market (MTM) owed by the counterparty to the Group and the MTM owed by the Group to the counterparty on the transactions covered by the netting agreement. In line with the International Accounting Standard (IAS) 32 principles, the Group's balance sheet will present assets and liabilities on a net basis provided there is a legally enforceable right to set off assets and liabilities, and the Group intends to settle on a net basis or realise the asset and liability simultaneously.

Wrong-way risk

Wrong-way risk occurs when an exposure increase is coupled with a decrease in the credit quality of the obligor. Specifically, as the MTM on a derivative or repo contract increases in favour of the Group, the driver of this MTM change also reduces the ability of the counterparty to meet its payment, margin call or collateral posting requirements. Wrong-way risk mostly arises from FX transactions and financing transactions. The Group employs various policies and procedures to ensure that wrong-way risk exposures are recognised upfront, monitored, and where required, contained by limits on country, tenor, collateral type and counterparty.

Stress testing

Stress testing is an integral part of CCR management, complementing PFE or other portfolio limits. Single and multi-factor scenarios are regularly applied to the CCR portfolio to identify and quantify exposures that could become a concern for the Group. The stressed exposures are monitored monthly at regional and global counterparty credit risk exposure forums. The relevance and severity of the stress scenarios are periodically reviewed with cross functional stakeholders.

Exposure value calculation

Exposure calculation used for risk management is based on a PFE measure (at 75% confidence interval). The PFE is mostly calculated from simulation models, and from PFE add-ons for the non-simulated products.

Derivatives exposures for capital calculation purposes are calculated using the Standard Approach Method (SA-CCR). Individual transactions are measured using the sum of current replacement cost and potential future credit exposure, and the benefit of netting agreements is applied as per the SA-CCR rules. This approach is used for all derivative products not covered by our Internal Models Method (IMM) permission. Under the IMM approach, EAD is calculated by multiplying

the effective expected positive exposure by a factor stipulated by the regulator called alpha. The Group has been granted permission by the regulator to use the IMM approach for "vanilla" Interest Rate and Foreign Exchange over-the-counter derivatives. The IMM model is subject to model validation including regular model performance monitoring.

Exposure for repurchase transactions and securities lending or borrowing transactions for capital calculation purposes is calculated using the Financial Collateral Comprehensive Method. Supervisory volatility adjustments are applied to both collateral and exposure legs and the benefit of master netting agreements is taken into consideration.

The Group has credit policies and procedures setting out the criteria for collateral to be recognised as a credit risk mitigant, including requirements concerning legal certainty, priority, concentration, correlation, liquidity and valuation parameters such as frequency of review and independence. The Group seeks to negotiate Credit Support Annexes (CSA) with counterparties when collateral is deemed a necessary or desirable mitigant to the exposure. The credit terms of a CSA are specific to each legal document and determined by the credit risk approval unit responsible for the counterparty. The nature of the collateral is specified in the legal document and is typically cash or highly liquid securities.

The MTM of all trades captured under CSAs is calculated daily. Additional collateral will be called from the counterparty if total uncollateralised MTM exposure exceeds the threshold and minimum transfer amount specified in the CSA. Additional collateral may be required from the counterparty to provide an extra buffer to the daily variation margin process.

The Group also has policies and procedures in place setting out the criteria for guarantees to be recognised as a credit risk mitigant. Where guarantees meet regulatory criteria, the Group treats the exposure as guarantor risk from counterparty credit risk capital standpoint.

Credit valuation adjustments

CVA measures potential MTM loss associated with the deterioration in the creditworthiness of the counterparty. The Group applies standardised approach to calculate CVA capital charge on over-the-counter derivative contracts. Details on CVA are provided in note 13 of the 2024 Annual Report and Accounts on page 322.

Table 87 shows the credit exposure on derivative transactions after taking into account the benefits from legally enforceable netting agreements and collateral held, including transactions cleared through recognised trading exchanges.

Table 88 specifies the methods used by the Group to calculate counterparty credit risk regulatory requirements, followed by Table 89 which demonstrates the risk-weighted exposure amounts to central counterparties by derivative types.

Table 90 indicates the notional amounts of credit derivative transactions segregated between protection bought and sold within each product type.

Table 91 describes the exposure value subject to credit valuation adjustment charge and related RWA.

Table 87: Composition of collateral for CCR exposures (UK CCR5)

			2024
			Collateral used in derivatives transactions	Collateral used in securities financing transactions (SFTs)
			Fair value of collateral received		Fair value of collateral posted		Fair value of
		Segregated \$million	Unsegregated \$million	Segregated \$million	Unsegregated \$million	collateral received \$million	collateral posted \$million
	Collateral type
1	Cash	–	11,307	1,141	14,400	89,084	139,194
2	Debt	430	4,665	4,044	1,734	122,674	116,667
3	Equity	–	–	–	–	14,577	985
4	Other	–	–	–	–	21,332	29
5	Total	430	15,972	5,185	16,133	247,667	256,875
				2023

			Collateral used in derivatives transactions	Collateral used in securities financing transactions (SFTs)
		Fair value of collateral received		Fair value of collateral posted		Fair value of	Fair value of
		Segregated \$million	Unsegregated \$million	Segregated \$million	Unsegregated \$million	collateral received \$million	collateral posted \$million
	Collateral type
1	Cash	–	8,800	2,070	12,987	76,460	110,751
2	Debt	382	1,864	2,423	1,003	96,836	40,590
3	Equity	–	–	–	–	6,290	–
4	Other	–	–	–	–	9,479	47,745
5	Total	382	10,663	4,493	13,990	189,065	199,086

Table 88: Analysis of CCR exposure by approach (UK CCR1)

		2024
		Replacement cost (RC) \$million	Potential future exposure (PFE) \$million	EEPE \$million	Alpha used for computing regulatory exposure value	Exposure value pre-CRM \$million	Exposure value post-CRM \$million	Exposure value \$million	RWEA \$million
UK1	Original Exposure Method (for derivatives)	–	–		1.4	–	–	–	–
UK2	Simplified SA-CCR (for derivatives)	–	–		1.4	–	–	–	–
1	SA-CCR (for derivatives)	2,014	3,532		1.4	9,987	7,453	7,452	3,583
2	IMM (for derivatives and SFTs)			18,269	1.6	42,806	29,227	29,222	11,322
2a	Of which securities financing transactions netting sets			–		–	–	–	–
2b	Of which derivatives and long settlement transactions netting sets			18,269		42,806	29,227	29,222	11,322
2c	Of which from contractual cross-product netting sets			–		–	–	–	–
3	Financial collateral simple method (for SFTs)					–	–	–	–
4	Financial collateral comprehensive method (for SFTs)					210,101	171,607	171,607	3,467
5	VaR for SFTs					–	–	–	–
6	Total					262,893	208,287	208,281	18,372

		2023
		Replacement cost (RC) \$million	Potential future exposure (PFE) \$million	EEPE \$million	Alpha used for computing regulatory exposure value	Exposure value pre-CRM \$million	Exposure value post-CRM \$million	Exposure value \$million	RWEA \$million
UK1	Original Exposure Method (for derivatives)	–	–		1.4	–	–	–	–
UK2	Simplified SA-CCR (for derivatives)	–	–		1.4	–	–	–	–
1	SA-CCR (for derivatives)	1,794	3,076		1.4	8,638	6,668	6,667	3,457
2	IMM (for derivatives and SFTs)			13,725	1.6	27,723	21,960	21,953	9,085
2a	Of which securities financing transactions netting sets			–		–	–	–	–
2b	Of which derivatives and long settlement transactions netting sets			13,725		27,723	21,960	21,953	9,085
2c	Of which from contractual cross-product netting sets			–		–	–	–	–
3	Financial collateral simple method (for SFTs)					–	–	–	–
4	Financial collateral comprehensive method (for SFTs)					171,464	147,925	148,004	5,295
5	VaR for SFTs					–	–	–	–
6	Total					207,825	176,552	176,624	17,837

Table 89: Exposures to CCPs (UK CCR8)

			2024		2023
		Exposure Value \$million	RWA \$million	Exposure Value \$million	RWA \$million
1	Exposures to QCCPs (total)		950		725
2	Trade exposure	6,728	831	7,291	599
3	Of which OTC derivatives	4,042	703	3,869	300
4	Of which exchange-traded derivatives	1,576	106	2,519	281
5	Of which SFTs	1,111	22	903	18
6	Of which collateral posted	–	–	–	–
7	Segregated initial margin	–		–
8	Non-segregated initial margin	–	–	–	–
9	Prefunded default fund contributions	638	119	480	126
10	Unfunded default fund contributions	–	–	–	–
11	Exposures to non-QCCPs (total)		100		193
12	Trade exposure	93	91	191	191
13	Of which OTC derivatives	54	54	99	99
14	Of which exchange-traded derivatives	39	37	92	92
15	Of which SFTs	–	–	–	–
16	Of which collateral posted	–	–	–	–
17	Segregated initial margin	–		–
18	Non-segregated initial margin	–	–	–	–
19	Prefunded default fund contributions	1	9	–	2
20	Unfunded default fund contributions	–	–	–	–

Table 90: Credit derivatives exposures (UK CCR6)

			2024		2023
		Protection bought \$million	Protection sold \$million	Protection bought \$million	Protection sold \$million
	Notionals
1	Single-name credit default swaps	40,847	36,116	51,745	46,726
2	Index credit default swaps	63,925	59,833	86,984	81,752
3	Total return swaps	41,031	1,669	25,036	2,075
4	Credit options	–	–	–	–
5	Other Credit derivatives	74	558	139	352
	Total notionals	145,876	98,177	163,904	130,904
	Fair values
6	Positive fair value (asset)	666	1,264	815	1,691
7	Negative fair value (liability)	(2,625)	(225)	(2,349)	(362)

Table 91: Transactions subject to own funds requirements for CVA risk (UK CCR2)

		2024		2023
		Exposure Value \$million	RWA \$million	Exposure Value \$million	RWA \$million
1	Total transactions subject to the Advanced method	–	–	–	–
2	(i) VaR component (including the 3× multiplier)		–		–
3	(ii) stressed VaR component (including the 3× multiplier)		–		–
4	Transactions subject to the Standardised method	23,756	2,706	17,151	2,046
UK4	Transactions subject to the Alternative approach (Based on the Original Exposure Method)	–	–	–	–
5	Total transactions subject to own funds requirements for CVA risk	23,756	2,706	17,151	2,046

Table 92 depicts EAD after the effect of collateral associated with each risk weight prescribed in Part Three, Title II, Chapter 2 of the CRR for counterparty credit risk..

Table 92: Standardised approach – CCR exposures by regulatory exposure class and risk weights (UK CCR3)

		2024
							Risk Weight
		0%	2%	4%	10%	20%	35%	50%	70%	75%	100%	150%	Others	Total
	Standardised Exposure Class
1	Central governments or central banks	295	–	–	–	12	–	–	–	–	–	–	–	307
4	Multilateral development banks	361	–	–	–	30	–	1	–	–	–	–	–	392
6	Institutions	–	5,562	13	–	2	–	–	–	–	–	–	–	5,577
7	Corporates	–	–	–	–	76	–	4	–	–	2,484	–	–	2,564
8	Retail	–	–	–	–	–	–	–	–	1	–	–	–	1
	10aSecured on real estate property	–	–	–	–	–	12	–	–	–	–	–	–	12
	10bExposures in default	–	–	–	–	–	–	–	–	–	–	–	–	–
	10c Items belonging to regulatory high risk categories	–	–	–	–	–	–	–	–	–	–	–	–	–
	10d Other items	–	–	–	–	4	–	–	–	–	–	–	–	4
11	Total Standardised	656	5,562	13	–	124	12	5	–	1	2,484	–	–	8,857
							Risk Weight	2023
		0%	2%	4%	10%	20%	35%	50%	70%	75%	100%	150%	Others	Total
	Standardised Exposure Class
1	Central governments or central banks	227	–	–	–	–	–	–	–	–	–	–	–	227
4	Multilateral development banks	356	–	–	–	14	–	8	–	–	–	–	–	378
6	Institutions	–	5,994	235	–	20	–	8	–	–	3	–	–	6,260
7	Corporates	–	–	–	–	152	3	13	–	–	1,839	–	–	2,007
8	Retail	–	–	–	–	–	–	–	–	2	–	–	–	2
	10aSecured on real estate property	–	–	–	–	–	8	–	–	–	–	–	–	8
	10bExposures in default	–	–	–	–	–	–	–	–	–	–	–	–	–
	10c Items belonging to regulatory high risk
	categories	–	–	–	–	–	–	–	–	–	–	1	–	1
11	10d Other items Total Standardised	740 1,323	– 5,994	– 235	– –	– 186	– 11	– 29	– –	– 2	– 1,842	– 1	– –	740 9,623

The following tables provide further detail on the exposure classes subject to counterparty credit risk, in particular for central governments or central banks, institutions, corporates. These have been split by internal credit grade which relate to the PD ranges presented.

• Central governments or central banks EAD increased by \$4.7 billion
• Institutions EAD increased by \$25.4 billion
• Corporates EAD increased by \$1.6 billion

Table 93: IRB – CCR exposures by exposure class

				2024
	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
IRB exposure class
Central governments or central banks	14,715	0.51	48	9	0.30	637	4
Institutions	85,164	0.21	1,025	9	0.51	4,223	5
Corporates	105,227	0.25	7,842	14	0.46	11,179	11
Of which specialised lending	996	0.60	338	49	1.89	461	46
Of which SME	18	0.36	25	59	1.04	5	28
Total IRB	205,106	0.25	8,915	12	0.47	16,039	8

	2023
	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
IRB exposure class
Central governments or central banks	10,050	4.23	110	18	0.42	3,119	31
Institutions	59,749	0.34	1,326	10	0.56	3,998	7
Corporates	103,624	0.23	12,611	10	0.40	9,055	9
Of which specialised lending	785	0.61	518	43	2.54	374	48
Of which SME	118	12.35	216	62	3.56	162	138
Total IRB	173,423	0.50	14,047	11	0.46	16,172	9

1 Weighted averages are based on EAD

2 Number of obligors is based on number of counterparties

Table 94: IRB approach – CCR exposures by exposure class and PD scale for central governments or central banks (UK CCR4)

				2024
PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	13,080	0.02	36	8	0.21	191	1
0.15 to < 0.25	25	0.22	1	45	1.78	10	42
0.25 to < 0.50	–	–	–	–	–	–	–
0.50 to < 0.75	1	0.51	2	45	1.00	1	56
0.75 to < 2.50	42	1.15	2	45	2.61	42	101
2.50 to < 10.00	1,532	4.25	5	16	0.99	312	20
10.00 to < 100.00	36	18.00	2	45	0.02	81	224
100.00 (default)	–	–	–	–	–	–	–
Total	14,715	0.51	48	9	0.30	637	4

				2023
PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	7,607	0.05	66	15	0.34	258	3
0.15 to < 0.25	175	0.22	5	20	1.35	36	20
0.25 to < 0.50	–	–	1	–	–	–	–
0.50 to < 0.75	2	0.53	7	45	1.00	1	57
0.75 to < 2.50	10	0.88	9	45	1.00	7	74
2.50 to < 10.00	1,289	7.94	13	11	1.06	480	37
10.00 to < 100.00	967	33.00	5	45	0.01	2,337	242
100.00 (default)	–	–	4	–	–	–	–
Total	10,050	4.23	110	18	0.42	3,119	31

1 Weighted averages are based on EAD

Table 95: IRB approach – CCR exposures by exposure class and PD scale for institutions (UK CCR4)

	2024
PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	71,543	0.05	645	9	0.52	2,714	4
0.15 to < 0.25	6,173	0.22	93	7	0.64	403	7
0.25 to < 0.50	1,262	0.39	48	3	0.27	57	4
0.50 to < 0.75	2,431	0.55	84	6	0.24	232	10
0.75 to < 2.50	3,523	1.18	105	8	0.39	488	14
2.50 to < 10.00	90	5.05	28	22	0.80	67	74
10.00 to < 100.00	97	18.00	11	45	0.03	246	254
100.00 (default)	45	100.00	11	3	0.18	16	37
Total	85,164	0.21	1,025	9	0.51	4,223	5

PD range %		2023
	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	44,346	0.05	683	11	0.56	2,056	5
0.15 to < 0.25	7,837	0.22	122	5	0.65	419	5
0.25 to < 0.50	1,339	0.39	73	6	0.58	123	9
0.50 to < 0.75	2,298	0.56	126	8	0.55	342	15
0.75 to < 2.50	2,680	1.04	141	6	0.31	366	14
2.50 to < 10.00	1,034	3.61	124	11	0.75	218	21
10.00 to < 100.00	192	30.90	39	41	0.06	465	242
100.00 (default)	23	100.00	18	6	0.13	10	42
Total	59,749	0.34	1,326	10	0.56	3,998	7

1 Weighted averages are based on EAD

Table 96: IRB approach – CCR exposures by exposure class and PD scale for corporates (UK CCR4)

	2024
PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	80,313	0.07	4,445	12	0.42	4,251	5
0.15 to < 0.25	9,293	0.22	1,157	23	0.76	2,001	22
0.25 to < 0.50	3,506	0.39	499	22	0.68	934	27
0.50 to < 0.75	7,273	0.54	552	21	0.48	2,037	28
0.75 to < 2.50	4,125	1.26	465	19	0.40	1,463	35
2.50 to < 10.00	349	4.36	184	15	0.67	155	44
10.00 to < 100.00	365	16.48	425	19	0.51	325	89
100.00 (default)	3	100.00	115	35	2.16	13	433
Total	105,227	0.25	7,842	14	0.46	11,179	11

PD range % 2023 EAD post CRM and post CCF \$million Average PD1 % Number of obligors2 Average LGD1 % Average maturity1 years RWA \$million RWA density1 % 0.00 to < 0.15 80,089 0.07 5,613 8 0.34 3,191 4 0.15 to < 0.25 10,730 0.22 2,035 14 0.64 1,568 15 0.25 to < 0.50 3,624 0.39 1,029 18 0.66 815 22 0.50 to < 0.75 6,603 0.59 1,338 18 0.40 1,651 25 0.75 to < 2.50 2,052 1.23 1,271 30 0.75 1,207 59 2.50 to < 10.00 340 5.94 521 22 1.00 222 65 10.00 to < 100.00 153 16.60 485 29 0.66 227 148 100.00 (default) 33 100.00 319 53 1.28 174 527 Total 103,624 0.23 12,611 10 0.40 9,055 9

1 Weighted averages are based on EAD

Table 97: IRB approach – CCR exposures by exposure class and PD scale for corporates – specialised lending (UK CCR4)

	2024
PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	386	0.10	79	52	1.61	92	24
0.15 to < 0.25	320	0.22	52	46	2.30	126	39
0.25 to < 0.50	81	0.38	43	51	1.86	48	59
0.50 to < 0.75	70	0.49	65	48	1.80	48	68
0.75 to < 2.50	109	1.05	64	48	1.58	95	87
2.50 to < 10.00	13	3.14	28	29	4.16	13	100
10.00 to < 100.00	15	10.54	4	59	1.00	38	248
100.00 (default)	1	100.00	3	28	4.34	2	150
Total	996	0.60	338	49	1.89	461	46

PD range %
	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	327	0.12	123	45	2.76	104	32
0.15 to < 0.25	143	0.22	86	32	3.54	48	33
0.25 to < 0.50	74	0.38	56	45	2.39	41	56
0.50 to < 0.75	152	0.49	128	52	1.68	112	74
0.75 to < 2.50	73	1.27	68	42	1.54	59	81
2.50 to < 10.00	14	3.29	26	25	2.49	9	68
10.00 to < 100.00	–	33.00	5	36	1.00	–	198
100.00 (default)	2	100.00	26	15	4.12	–	–
Total	785	0.61	518	43	2.54	374	48

2023

1 Weighted averages are based on EAD

Table 98: IRB approach – CCR exposures by exposure class and PD scale for corporates – SME (UK CCR4)

	2024
PD range %	EAD post CRM and post CCF \$million	Average PD1 %	Number of obligors2	Average LGD1 %	Average maturity1 years	RWA \$million	RWA density1 %
0.00 to < 0.15	12	0.05	1	54	1.00	1	10
0.15 to < 0.25	2	0.23	5	76	1.37	1	48
0.25 to < 0.50	–	0.44	1	87	1.00	–	63
0.50 to < 0.75	3	0.67	3	61	1.00	2	54
0.75 to < 2.50	1	1.53	3	71	1.00	1	92
2.50 to < 10.00	–	3.52	10	82	1.00	1	145
10.00 to < 100.00	–	18.00	2	70	1.00	–	270
100.00 (default)	–	–	–	–	–	–	–
Total	18	0.36	25	59	1.04	5	28

PD range % 2023 EAD post CRM and post CCF \$million Average PD1 % Number of obligors2 Average LGD1 % Average maturity1 years RWA \$million RWA density1 % 0.00 to < 0.15 86 0.12 7 63 4.49 48 56 0.15 to < 0.25 – 0.25 26 87 1.00 – 45 0.25 to < 0.50 1 0.39 12 63 1.00 – 43 0.50 to < 0.75 12 0.51 26 59 1.00 6 49 0.75 to < 2.50 4 1.57 49 62 1.01 4 91 2.50 to < 10.00 1 4.49 31 65 1.50 1 125 10.00 to < 100.00 – 29.34 17 86 1.00 – 337 100.00 (default) 14 100.00 48 59 1.00 104 728 Total 118 12.35 216 62 3.56 162 138

1 Weighted averages are based on EAD

5. Operational Risk

The Group applies the Standardised Approach for measuring the capital requirements for operational risk. The table below reflects the risk-weighted assets and capital requirements resultant from operational risk.

Table 99: Operational risk own funds requirements and risk-weighted exposure amounts (UK OR1)

		2024
			Relevant indicator	Own funds	Risk weighted
Banking activities		Year 3 \$million	Year 2 \$million	Last year \$million	requirements \$million	exposure amount \$million
1	Banking activities subject to basic indicator approach (BIA)	–	–	–	–	–
2	Banking activities subject to standardised (TSA)/ alternative standardised (ASA) approaches	14,337	16,015	17,850	2,358	29,479
3	Subject to TSA:	14,337	16,015	17,850
4	Subject to ASA:	–	–	–
5	Banking activities subject to advanced measurement approaches AMA	–	–	–	–	–
				2023
			Relevant indicator		Own funds	Risk weighted
	Banking activities	Year 3 \$million	Year 2 \$million	Last year \$million	requirements \$million	exposure amount \$million
1	Banking activities subject to basic indicator approach (BIA)	–	–	–	–	–
2	Banking activities subject to standardised (TSA)/ alternative standardised (ASA) approaches	14,516	14,516	16,122	2,229	27,861
3	Subject to TSA:	14,516	14,516	16,122
4	Subject to ASA:	–	–	–
5	Banking activities subject to advanced measurement approaches AMA	–	–	–	–	–

6. Interest rate risk in the banking book

The Group defines Interest Rate Risk in the Banking Book ('IRRBB') as the potential for loss of future earnings or economic value following adverse movements in interest rates, which arises from a mismatch in the re-pricing profile of assets, liabilities, and off-balance sheet items in the banking book.

Risk Control and Governance

Treasury is responsible for monitoring IRRBB through the Treasury Risk Type Framework, policies and Risk Appetite, subject to independent oversight and challenge from Risk and Internal Audit.

The Board delegates the management of IRRBB to the Group Asset & Liability Committee (GALCO), which provides oversight of Group-level IRRBB and works in conjunction with Country ALCOs to monitor IRRBB as per the Risk Type Framework. IRRBB is managed at a country level by the Country ALCO, chaired by the Country CEO.

IRRBB models and methodologies are defined for the Group by the Treasury function, independently validated and approved by the Risk function. Country modelling assumptions are derived locally using the Group's methodologies and are reviewed by Country ALCO.

The Group uses Funds Transfer Pricing (FTP) to transfer re-pricing risk from the business to Treasury, including that arising from structural positions such as the investment of equity and non-maturity deposit balances. For non-maturity deposits (NMDs), the assumed duration is dependent on the portion that can be considered stable and the degree to which these balances are considered price sensitive.

Certain structural balances have been approved by GALCO and Country ALCOs to be risk managed directly under the Group's structural hedging programme. Other re-pricing risks transferred to Treasury are managed on an integrated basis with a securities portfolio maintained for liquidity and investment management purposes. Basis risk (whether transferred to and managed by Treasury or remaining in the business) is reported and overseen at local ALCOs, where material.

Re-pricing risk arising within Treasury is managed using a combination of on-balance sheet short and long tenor securities and derivative hedges. Derivative hedges are subject to Fair Value and Cash Flow Hedge accounting treatment where available. These interest rate risk positions and limits are independently monitored by the Risk function.

Key Risk Measures

The Group uses two key metrics for measuring IRRBB: Net Interest Income ('NII') Sensitivity, an income measure which quantifies the potential change in projected net interest income over a one-year horizon from defined movements in interest rates; and Economic Value of Equity ('EVE'), a value measure which estimates the potential change in the present value of the Group's Banking Book assets and liabilities from defined movements in interest rates. These measures differ in their coverage of the drivers of interest rate risk and the time horizon for these to materialise but used together they can provide a complementary and rounded view of the Group's risk profile. Both NII Sensitivity and EVE are monitored monthly against defined Risk Appetite limits, which are set at the

Group level and, where appropriate, at a country level in compliance with local regulatory requirements.

NII Sensitivity and EVE are indicative stress tests calculated under various interest rate scenarios, including parallel and non-parallel shifts and a range of internally designed scenarios that assess vulnerabilities in the Group's business model and key behavioural assumptions under interest rate shocks and stresses. These stress tests are supplemented by internal NII forecasts which are used for financial planning purposes.

Stress tests are performed monthly to identify structural risks to Net Interest Income or the Economic Value of the Banking Book under adverse but plausible interest rate scenarios. Additionally, stress testing of IRRBB is covered as part of ICAAP and BoE concurrent stress testing exercises (more information on stress testing can be found in table 100). Stress testing of price risk on Fair Value instruments in the Banking Book is conducted by Traded Risk Management under the Traded Risk Framework.

Prescribed Regulatory Interest Rate Shock and Stress Scenarios

The following table shows the Group's NII sensitivity and EVE regulatory metrics under each of the interest rate shock scenarios prescribed by the PRA (Rule 9.4A of the PRA Rulebook: CRR Firms: Interest Rate Risk Arising from Non-Trading Activities Instrument 2020 and in accordance with EBA Article 448(1) CRR). The sensitivities are indicative and subject to standardised shocks and parametric assumptions that may differ to those used in the Group's own internal models; please see next section for more information.

The sensitivities should not be considered an income or profit forecast. Furthermore, the regulatory EVE results should not be considered a proxy for expected income or capital impacts on a going concern basis.

Key modelling and parametric assumptions

Net Interest Income Sensitivity

For regulatory NII sensitivities, currency specific shocks are applied as follows:

• A parallel interest rate shock (up and down) to the current market-implied path of rates, across all yield curves, including +/– 200 bps immediate shock for USD and HKD; +/– 150 bps for SGD; +/– 250 bps for CNY and GBP; and +/– 300 bps for KRW.

The assessment assumes that the size and mix of the balance sheet remain constant and that there are no specific management actions in response to the change in rates. No assumptions are made in relation to the impact on credit spreads in a changing rate environment. Significant modelling and behavioural assumptions are made regarding scenario simplification, market competition, pass-through rates, asset and liability re-pricing tenors, and price flooring.

Economic Value of Equity Sensitivity

The regulatory EVE sensitivities have been calculated under six standardised interest rate shock scenarios for measuring EVE under the standard outlier test, defined by the PRA.

For EVE, commercial margins and other spread components have been included in the modelled cashflows. The sensitivity represents a hypothetical impact to capital assuming a complete balance sheet run-off, assuming no new business. Balances are adjusted for assumed behavioural profiles, primarily non-maturity deposits, which reflect quantitative and qualitative assessments of the expected stability, rate sensitivity and run off of client balances under varying interest rate conditions.

In line with regulatory guidelines:

• all equity instruments that have no coupon or call dates have been excluded;
• market interest rate floors start at -1.0% for the overnight tenor on the yield curve and increase by 5bps per year to 0.0% at the 20 year tenor point on the yield curve; and
• the aggregate EVE sensitivity for each interest rate shock scenario is calculated by adding together the negative and positive changes to EVE occurring in each currency. Positive values are weighted by 50%, but the full impact of negative values is included.

As at 31 December 2024, the average repricing maturity assigned to Non-Maturity Deposits was 6 months and the longest repricing maturity was 60 months.

			Change in EVE		Change in NII		Tier 1 capital
		2024	2023	2024	2023	2024	2023
010	Parallel shock up	(2,385)	(2,017)	977	1,531
020	Parallel shock down	1,174	946	(1,449)	(2,024)
030	Steepener shock	(1,044)	(373)
040	Flattener shock	451	(279)
050	Short rates shock up	(234)	(821)
060	Short rates shock down	(426)	311
070	Maximum	(2,385)	(2,017)	(1,449)	(2,024)
080	Tier 1 capital					41,768	39,806

Table 100: Quantitative information on IRRBB (UK IRRBB1)

As at 31 December 2024, the maximum EVE decline was \$2,385 million under the parallel shock up. This does not represent the expected impact to capital. EVE sensitivity is driven by duration mismatches in the balance sheet. The magnitude of the result is largely due to the exclusion of equity, in line with regulatory guidelines, versus the inclusion of a structural hedge that is designed to stabilise the net interest income arising from the deployment of equity.

In addition, EVE sensitivity shows the theoretical reduction in the value of the structural hedge when rates rise but does not capture the benefit to future income that would result from rising interest rates as demonstrated by the NII Sensitivity.

Duration mismatches for the remainder of the balance sheet are largely immaterial, however, the sensitivity is amplified by large shocks to Emerging Markets currencies, and the impact of weighting positive values at the currency level by 50%. This 50% haircut on positive EVE values is also the main driver of asymmetry between EVE up and down shocks.

The most adverse impact to NII under the regulatory scenarios was a reduction of \$1,449 million under the parallel shock down. While the interest rate shocks used to compute the regulatory NII sensitivity are larger than the Group's NII sensitivities used for risk management, the drivers of the sensitivities and the limitations of these measures are consistent (please see page 254 of the Full Year Report 2024 for more information).

7 Liquidity risk

Liquidity & Funding risk management

For information on the Group's Liquidity & Funding risk management practices and risk profile we refer to the Principal Risks and Risk Profile sections of the 2024 Annual Report and Accounts on pages 203 and 204 respectively.

Liquidity Coverage Ratio (LCR) disclosure

The Liquidity Coverage Ratio (LCR) is a regulatory stress ratio measuring the proportion of High-Quality Liquid Assets (HQLA) against net outflows over 30 calendar days. An essential component of the Basel III reforms, the LCR was introduced in October 2015 with the goal of promoting the short-term resilience of a firm's liquidity risk profile.

The Group monitors and reports its LCR under UK onshored Commission Delegated Regulation 2015/61 (LCR Delegated Act rules) and is also subject to local prudential LCR requirements across our footprint, where applicable.

The LCR is a Pillar 1 regulatory requirement calculated by applying standardised haircuts, outflow and inflow factors to HQLA, liabilities and assets respectively. Risks not captured, or not fully captured, under the standardised Pillar 1 ratio (e.g. Intra-day risk or other risks specific to each firm) are known as Pillar 2 risks and are captured under a separate Pillar 2 regulatory framework. These Pillar 2 requirements are set in the form of fixed or variable add-ons to LCR Pillar 1 requirements. Therefore, it should be noted that the HQLA reported in the table below is held to meet Pillar 1 and Pillar 2 risks along with internal Board approved risk appetite.

HQLA

HQLA eligible securities, as defined under LCR Delegated Act rules, fall into three categories: Level 1, Level 2A, and Level 2B liquid assets. Level 1 liquid assets, which are of the highest quality and deemed the most liquid (e.g. central bank reserves or securities issued by the U.S. Treasury Department), are subject to no or little discount (or haircuts) to their market value and may be largely used without limit in the liquidity buffer, except for Level 1 covered bonds.

Level 2A and 2B securities are recognised as being relatively stable and reliable sources of liquidity, but not to the same extent as Level 1 assets. LCR rules therefore set a 40 per cent composition cap on the combined amount of Level 2A and Level 2B that firms may hold in their total eligible liquidity buffer. Level 2B liquid assets, which are considered less liquid and more volatile than Level 2A liquid assets, are subject to large and varying haircuts and may not exceed 15 per cent of the total eligible HQLA.

To be recognised as HQLA eligible, securities must also meet various operational and general requirements designed to ensure that such assets have robust liquidity characteristics and can be freely converted into cash within a short timeframe, without significant loss in value.

Outflows

Expected outflows are generally calculated as a percentage outflow of on-balance sheet items (e.g. funding received) and off-balance sheet commitments (e.g. credit and liquidity lines) made by firms. This outflow varies typically by counterparty. For example, the outflow expected on retail deposits is lower than the outflow expected on deposits provided by corporates or financial institutions.

Inflows

Expected inflows are also generally calculated as a percentage inflow on-balance sheet items and include inflows (e.g. from retail or corporate loans) that will be repaid within 30 days. To ensure a minimum level of liquid asset holdings, and to prevent firms from relying solely on anticipated inflows to meet their liquidity coverage ratio, the prescribed amount of inflows that can offset outflows is capped at 75 per cent of total expected outflows.

Calculated pursuant to LCR Delegated Act rules, the following table sets forth simple averages of month-end Group LCR observations over the 12-months preceding each quarter. For a period end Group LCR disclosure, refer to page 250 of the 2024 Annual Report and Accounts.

Table 101: Liquidity Coverage Ratio (LCR) (UK LIQ1)

		2024
			Total unweighted value (average)					Total weighted value (average)
		31.03.24 \$million	30.06.24 \$million	30.09.24 \$million	31.12.24 \$million	31.03.24 \$million	30.06.24 \$million	30.09.24 \$million	31.12.24 \$million
	Number of data points used in the calculation of averages	12	12	12	12	12	12	12	12
	High-Quality Liquid Assets
1	Total High-Quality Liquid Assets (HQLA)					187,777	184,937	180,914	178,676
	Cash outflows
2	Retail deposits and deposits from small business customers, of which:	160,852	166,820	174,527	182,277	16,641	16,545	16,667	16,984
3	Stable deposits	35,837	32,573	29,406	26,759	1,792	1,629	1,470	1,338
4	Less stable deposits	125,015	134,247	145,121	155,518	14,849	14,916	15,196	15,647
5	Unsecured wholesale funding, of which:	265,422	265,492	267,511	268,125	120,081	119,500	119,167	118,058
6	Operational deposits (all counterparties) and deposits in networks of cooperative banks	110,232	107,508	106,485	106,393	27,540	26,859	26,604	26,582
7	Non-operational deposits (all counterparties)	149,431	152,583	156,224	157,426	86,783	87,240	87,761	87,170
8	Unsecured debt	5,758	5,401	4,802	4,306	5,758	5,401	4,802	4,306
9	Secured wholesale funding					5,321	5,529	5,888	6,276
10	Additional requirements	101,849	102,520	103,364	105,088	30,774	30,391	30,995	32,078
11	Outflows related to derivative exposures and other collateral requirements	18,005	18,993	20,116	21,430	15,074	14,554	15,042	15,933
12	Outflows related to loss of funding on debt products	2	32	32	50	2	32	32	50
13	Credit and liquidity facilities	83,842	83,496	83,217	83,608	15,699	15,805	15,921	16,095
14	Other contractual funding obligations	11,172	11,067	11,986	12,098	8,192	8,457	9,098	8,908
15	Other contingent funding obligations	244,096	247,871	252,574	256,204	2,818	3,138	3,411	3,587
16	Total cash outflows					183,826	183,559	185,227	185,890
	Cash inflows
17	Secured lending (e.g. reverse repos)	57,672	57,428	61,322	66,620	8,477	9,029	10,077	11,424
18	Inflows from fully performing
	exposures	56,103	55,383	54,576	52,650	39,969	39,109	38,220	36,776
19	Other cash inflows	27,989	28,215	29,188	29,751	17,591	17,536	18,175	18,695
	UK-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)					–	–	–	–
	UK-19b (Excess inflows from a related
	specialised credit institutions)					–	–	–	–
20	Total cash inflows	141,763	141,025	145,086	149,021	66,037	65,674	66,472	66,896
	UK-20aFully exempt inflows	–	–	–	–	–	–	–	–
	UK-20bInflows subject to 90% cap	–	–	–	–	–	–	–	–
	UK-20c Inflows subject to 75% cap	135,793	135,805	139,655	142,932	66,037	65,674	66,472	66,896
21	Total adjusted value Liquidity buffer					187,777	184,937	180,914	178,676
22	Total net cash outflows					117,790	117,885	118,755	118,995
23	Liquidity coverage ratio (%)					160%	157%	153%	150%

Table 102: Liquidity Coverage Ratio (LCR) (UK LIQ1) continued

		2023
			Total unweighted value (average) Total weighted value (average)
		31.03.23 \$million	30.06.23 \$million	30.09.23 \$million	31.12.23 \$million	31.03.23 \$million	30.06.23 \$million	30.09.23 \$million	31.12.23 \$million
	Number of data points used in the calculation of averages	12	12	12	12	12	12	12	12
	High-Quality Liquid Assets
1	Total High-Quality Liquid Assets (HQLA)					178,289	177,767	181,663	185,986
	Cash outflows
2	Retail deposits and deposits from small business customers,
	of which:	145,569	148,432	151,822	155,462	14,555	15,343	16,109	16,638
3	Stable deposits	37,815	38,224	38,608	38,922	1,891	1,911	1,930	1,946
4	Less stable deposits	107,754	110,207	113,214	116,540	12,664	13,432	14,179	14,692
5	Unsecured wholesale funding, of which:	270,811	266,165	265,664	264,910	121,163	118,416	118,997	119,196
6	Operational deposits (all counterparties) and deposits in networks of cooperative banks	124,999	122,617	119,363	116,323	31,105	30,544	29,764	29,038
7	Non-operational deposits (all counterparties)	141,179	138,834	141,240	142,912	85,425	83,159	84,173	84,484
8	Unsecured debt	4,633	4,714	5,061	5,675	4,633	4,714	5,061	5,675
9	Secured wholesale funding					4,915	4,844	5,175	5,182
10	Additional requirements	96,031	96,968	98,310	100,421	30,845	30,789	30,671	31,016
11	Outflows related to derivative exposures and other collateral requirements	15,359	15,514	16,074	16,987	15,291	15,397	15,295	15,319
12	Outflows related to loss of funding on debt products	2	2	2	2	2	2	2	2
13	Credit and liquidity facilities	80,670	81,452	82,234	83,433	15,553	15,390	15,374	15,696
14	Other contractual funding obligations	13,386	13,459	12,665	12,096	8,522	8,414	8,116	8,172
15	Other contingent funding obligations	229,134	230,818	234,414	238,805	2,574	2,393	2,401	2,512
16	Total cash outflows					182,573	180,200	181,470	182,716
	Cash inflows
17	Secured lending (e.g. reverse repos)	62,786	63,571	63,891	60,759	5,629	6,488	7,456	7,846
18	Inflows from fully performing
	exposures	57,188	58,054	57,588	57,488	40,029	41,394	41,422	41,134
19	Other cash inflows	28,487	28,217	27,428	27,855	18,713	18,459	17,540	17,672
	UK-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)					–	–	–	–
	UK-19b (Excess inflows from a related specialised credit institutions)					–	–	–	–
20	Total cash inflows	148,462	149,842	148,907	146,102	64,371	66,341	66,418	66,652
	UK-20aFully exempt inflows	–	–	–	–	–	–	–	–
	UK-20bInflows subject to 90% cap	–	–	–	–	–	–	–	–
	UK-20c Inflows subject to 75% cap	139,392	141,591	140,752	139,529	64,371	66,341	66,418	66,652
	Total adjusted value
21	Liquidity buffer					178,289	177,767	181,663	185,986
22	Total net cash outflows					118,202	113,859	115,052	116,064
23	Liquidity coverage ratio (%)					151%	156%	158%	160%

The ratios reported in the above table are simple averages of month-end Group LCR ratios over the twelve months preceding each quarter. Therefore, these ratios may not be equal to the implied LCR calculated when using the average component amounts reported under 'Liquidity buffer' and 'Total net cash outflows' in the above table.

The Group continued to maintain a strong average LCR position over the reporting period with a prudent surplus to both Board approved risk appetite and regulatory requirements.

Net Stable Funding Ratio

The Net Stable Funding Ratio (NSFR) is a regulatory ratio measuring Available Stable Funding ("ASF") compared to Required Stable Funding ("RSF") over the time horizon of one year.

Table 102: Net Stable Funding Ratio (UK LIQ2)

		2024
			Unweighted value by residual maturity			Weighted
		No maturity	< 6 months	6 months to < 1yr	≥ 1yr	value (average)
		\$million	\$million	\$million	\$million	\$million
	Available stable funding (ASF) Items
1	Capital items and instruments	48,073	1,164	1,802	10,456	59,430
2	Own funds	48,073	1,164	1,802	10,456	59,430
3	Other capital instruments		–	–	–	–
4	Retail deposits		166,882	11,230	2,054	163,814
5	Stable deposits		28,827	362	109	27,838
6	Less stable deposits		138,055	10,869	1,945	135,976
7	Wholesale funding:		379,391	38,297	50,552	192,931
8	Operational deposits		102,808	–	–	51,404
9	Other wholesale funding		276,583	38,297	50,552	141,527
10	Interdependent liabilities		2,306	84	14	–
11	Other liabilities:	588	60,130	833	1,099	1,471
12	NSFR derivative liabilities	588
13	All other liabilities and capital instruments not included in the above categories		60,130	833	1,099	1,471
14	Total available stable funding (ASF)					417,646
	Required stable funding (RSF) Items
15	Total high-quality liquid assets (HQLA)					11,339
	UK-15a Assets encumbered for more than 12m in cover pool		–	–	–	–
16	Deposits held at other financial institutions for operational purposes		2,750	–	–	1,375
17	Performing loans and securities:		201,490	64,747	193,269	248,900
18	Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut		25,487	1,216	2,162	4,832
19	Performing securities financing transactions with financial customer
	collateralised by other assets and loans and advances to financial institutions		74,512	25,983	21,063	43,318
20	Performing loans to non- financial corporate clients, loans to retail
	and small business customers, and loans to sovereigns, and PSEs, of which:		47,005	14,574	76,932	96,565
21	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		938	1,184	1,590	2,492
22	Performing residential mortgages, of which:		3,529	2,184	57,479	41,380
23	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		2,580	1,399	52,780	36,519
24	Other loans and securities that are not in default and do not qualify
	as HQLA, including exchange-traded equities and trade finance on-balance sheet products		50,957	20,790	35,632	62,805
25	Interdependent assets		–	–	2,404	–
26	Other assets:	–	60,298	1,906	38,311	41,052
27	Physical traded commodities				7,247	6,160
28	Assets posted as initial margin for derivative contracts and
	contributions to default funds of CCPs		–	–	12,784	10,866
29	NSFR derivative assets		693	–	–	693
30	NSFR derivative liabilities before deduction of variation margin posted		17,274	–	–	864
31	All other assets not included in the above categories		42,331	1,906	18,280	22,470
32	Off-balance sheet items		36,658	27,272	80,950	6,282
33	Total RSF					308,948
34	Net Stable Funding Ratio (%)					135.2%

Table 102: Net Stable Funding Ratio (UK LIQ2) continued

		2023
		Unweighted value by residual maturity		Weighted
		No maturity \$million	< 6 months \$million	6 months to < 1yr \$million	≥ 1yr \$million	value (average) \$million
	Available stable funding (ASF) Items
1	Capital items and instruments	47,014	250	780	12,969	60,373
2	Own funds	47,014	250	780	12,969	60,373
3	Other capital instruments		–	–	–	–
4	Retail deposits		146,387	10,686	1,478	144,293
5	Stable deposits		28,626	370	111	27,657
6	Less stable deposits		117,761	10,316	1,367	116,636
7	Wholesale funding:		389,607	44,945	48,860	196,940
8	Operational deposits		108,911	–	–	54,456
9	Other wholesale funding		280,696	44,945	48,860	142,484
10	Interdependent liabilities		–	–	–	–
11	Other liabilities:	336	58,656	996	1,135	1,631
12	NSFR derivative liabilities	336
13	All other liabilities and capital instruments not included in the above categories		58,656	996	1,135	1,631
14	Total available stable funding (ASF)					403,238
	Required stable funding (RSF) Items
15	Total high-quality liquid assets (HQLA)					9,353
	UK-15a Assets encumbered for more than 12m in cover pool		–	–	–	–
16	Deposits held at other financial institutions for operational purposes		3,488	–	–	1,744
17	Performing loans and securities:		188,685	54,886	189,048	237,696
18	Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut		23,974	1,406	1,336	3,069
19	Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions		66,526	26,403	15,159	39,594
20	Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:		45,877	12,479	73,111	91,440
21	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		1,415	375	2,977	3,314
22	Performing residential mortgages, of which:		3,926	2,801	62,867	45,384
23	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		2,546	1,448	57,082	39,101
24	Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products		48,382	11,799	36,576	58,210
25	Interdependent assets		–	–	–	–
26	Other assets:	–	67,711	261	39,572	41,536
27	Physical traded commodities				8,650	7,352
28	Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs		–	–	9,822	8,349
29	NSFR derivative assets		364	–	–	364
30	NSFR derivative liabilities before deduction of variation margin posted		17,255	–	–	863
31	All other assets not included in the above categories		50,091	261	21,099	24,607
32	Off-balance sheet items		39,595	25,203	77,534	6,139
33	Total RSF					296,467
34	Net Stable Funding Ratio (%)					136.0%

HQLA composition

Figures reported in this section are simple averages of the 12 data points over the reporting period Jan 2024 to Dec 2024.

HQLA presented herein excludes excess liquidity held at certain subsidiaries that is not transferable within the Group.

Table 103: Total eligible high-quality liquid assets (HQLA)

Our liquidity management function in Treasury actively manages the size and composition of our eligible HQLA to ensure it is well diversified and reflects the Group's Board approved risk appetite and supporting risk measures, regulatory and internal stress testing requirements, the currency denomination of outflows, amongst other relevant considerations.

	Average unweighted	Average weighted
Level 1 reserves	43%	44%
Level 1 liquid securities	51%	52%
Level 2A liquid assets	4%	4%
Level 2B liquid assets	1%	1%

Concentration of funding and liquidity sources

The Group's funding strategy is largely driven by its policy to maintain adequate liquidity at all times, in all geographic locations and in all currencies, and hence to be in a position to meet all obligations as they fall due.

With a sufficiently flexible funding strategy we are able to reduce liquidity risk by diversifying our liquidity resources. Our high degree of geographic diversification constitutes a material risk offset because of our ability to raise a variety of funding across a number of markets in which we operate.

The Group has established internal measures to closely monitor and highlight any build up in counterparty, industry and tenor concentrations to ensure it can meet liquidity needs under different stress scenarios and different time horizons.

Our funding profile over the reporting period was well diversified across different sources by product, business and tenor. Consistent with the Group's funding strategy, customer assets were largely funded out of customer deposits, which are considered a stable source of funding. Customer deposits are primarily sourced from Current Account Saving Account balances along with time deposits and these are further diversified across different customer segments, currencies, tenors and markets.

Derivative exposures and potential collateral calls

In the normal course of business, the Group deals in the Over-the-counter (OTC) and exchange traded derivative markets with both collateralised and uncollateralised derivative counterparties. Trades are taken primarily to facilitate client activity or for hedging our own risk exposures; as such, derivatives are not generally held for position-taking.

The LCR Delegated Act requires HQLA to be held against net contractual and contingent outflows relating to derivative transactions. These include:

• Net Contractual outflows over a 30-day calendar period if subject to either legally enforceable master netting agreements and/or covered by collateral agreements (e.g. CSA), these cash flows can be netted at a counterparty level
• The impact of an adverse market scenario on the collateral requirements of the Group's derivatives portfolio
• Incremental collateral required to be posted in the event of a deterioration in the Group's own credit quality (e.g. a three-notch downgrade in the firm's long-term external credit rating)
• The counterparties' contractual right to substitute higher quality collateral with lower quality collateral
• The devaluation of existing collateral posted to counterparties
• Callable/due excess collateral that a firm may be contractually required to return to a counterparty

In addition to regulatory requirements, the Group employs various measures to actively reduce the risk of potential collateral calls on our derivative positions.

On average over the reporting period, weighted 'Outflows related to derivative exposures and other collateral requirements' made up only 8 per cent of the Group's total weighted outflows.

Currency mismatch in the LCR

The Group LCR is calculated and reported on a consolidated basis and in its reporting currency, US dollars. Although not required to meet minimum LCR requirements in other currencies, we report other significant currency LCRs to the PRA as part of the monthly LCR submission as well as to senior stakeholders in the form of internal monthly MI.

To minimise currency mismatch risk, the Group seeks to fund assets in the same currency, however, due to our global footprint, cross currency funding is utilised to appropriately manage currency gaps when it makes economic sense to do so.

To the extent mismatches arise, these are managed via the Group's currency convertibility framework. The framework identifies currencies that are expected to have limited convertibility during a stress, and sets thresholds on the amount of currency surplus that can be used to meet outflows in other currencies. HQLA amounts reported in Table 96 above therefore exclude surplus liquidity across the Group considered non-convertible in stress.

Table 104: Encumbered and unencumbered assets (UK AE1)

The implementation of liquidity metrics (such as ADR) at country level ensures that a large portion of assets is funded out of liabilities raised in the same currency. We also monitor closely, against set limits, the amount of foreign currency that can be swapped to local currency, and vice versa, in addition to currency mismatches by different tenor buckets.

7.1 Encumbered and unencumbered assets

The following disclosures of encumbered and unencumbered assets are based on the requirements in Part Eight of the CRR Article 443.

Standard Chartered's primary funding source is its customer deposit base. Given this structural unsecured funding position we have little requirement to fund ourselves in secured markets, and therefore our overall low level of encumbrance reflects this position. However, we do provide collateralised financing services to clients and these result in off-balance sheet encumbrance. The Group monitors the mix of secured and unsecured funding sources within the Group's funding plan and seeks to efficiently utilise available collateral to raise secured funding and meet other collateral requirements.

		2024
		Carrying amount of encumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million	Fair value of encumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million	Carrying amount of unencumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million	Fair value of unencumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million
010	Assets of the Reporting Institution	46,526	21,089			803,388	223,192
030	Equity instruments	–	–	–	–	6,254	155	6,256	10
040	Debt securities	32,881	21,089	32,881	21,089	194,839	140,630	194,656	140,559
050	of which: covered bonds	337	337	337	337	4,355	4,313	4,355	4,313
060	of which: asset-backed securities	4,965	116	4,965	116	14,812	3,688	14,811	3,688
070	of which: issued by general governments	21,903	17,434	21,903	17,321	85,764	77,364	85,675	77,222
080	of which: issued by financial corporations	8,858	3,031	8,858	3,160	79,458	43,642	79,373	43,642
090	of which: issued by non-financial corporations	978	181	978	181	5,107	2,653	4,952	2,653
120	Other Assets	13,644	-			602,295	82,408

		20231
		Carrying amount of encumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million	Fair value of encumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million	Carrying amount of unencumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million	Fair value of unencumbered assets \$million	of which notionally eligible EHQLA and HQLA \$million
010	Assets of the Reporting Institution	48,511	21,422			774,940	231,538
030	Equity instruments	–	–	–	–	3,932	13	3,932	–
040	Debt securities	33,841	21,422	33,841	21,422	180,503	140,391	180,501	138,716
050	of which: covered bonds	1	1	1	1	7,693	7,678	7,693	7,678
060	of which: asset-backed securities	5,228	–	5,228	–	16,460	4,270	16,460	2,922
070	of which: issued by general governments	23,011	18,577	23,011	18,577	74,756	71,977	74,756	64,723
080	of which: issued by financial corporations	8,964	2,498	8,964	2,498	78,531	40,622	78,530	39,703
090	of which: issued by non-financial corporations	1,287	191	1,287	191	4,937	193	4,937	193
120	Other Assets	14,670	–			590,505	91,133

1 2023 has been restated to align with changes in 2024 reporting methodology due to strategic data sourcing improvements

Table 105: Collateral received and own debt securities issued (UK AE2)

		2024
		Fair Value of encumbered collateral received or own debt securities issued \$million	of which notionally eligible EHQLA and HQLA \$million	Fair Value of collateral received or own debt securities issued available for encumbrance \$million	of which notionally eligible EHQLA and HQLA \$million
130	Collateral received by the reporting institution	73,824	47,736	35,380	17,129
140	Loans on Demand	–	–	–	–
150	Equity Instruments	–	–	9,069	–
160	Debt securities	73,824	47,736	26,311	17,129
170	of which: covered bonds	–	–	–	–
180	of which: Asset backed securities	896	–	1,395	–
190	of which: issued by General Governments	35,370	29,558	10,115	7,400
200	of which: issued by Financial Corporations	20,479	5,573	10,925	4,493
210	of which: issued by Non Financial Corporations	7,094	3,492	2,828	2,477
220	Loans and Advances other than Loans on demand	–	–	–	–
230	Other collateral received	–	–	–	–
240	Own debt securities issued other than own covered bonds or securitisations	–	–	–	–
241	Own covered bonds and asset-backed securities issued and not yet pledged			–	–
250	TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED	120,350	68,825

		20231
		Fair Value of encumbered collateral received or own debt securities issued \$million	of which notionally eligible EHQLA and HQLA \$million	Fair Value of collateral received or own debt securities issued available for encumbrance \$million	of which notionally eligible EHQLA and HQLA \$million
130	Collateral received by the reporting institution	72,504	46,152	44,015	28,383
140	Loans on Demand	–	–	–	–
150	Equity Instruments	–	–	4,845	–
160	Debt securities	72,504	46,152	39,170	28,383
170	of which: covered bonds	–	–	–	–
180	of which: Asset backed securities	1,372	393	1,921	690
190	of which: issued by General Governments	41,189	37,250	26,221	20,835
200	of which: issued by Financial Corporations	24,541	10,755	8,304	3,192
210	of which: issued by Non Financial Corporations	4,640	2,091	1,962	681
220	Loans and Advances other than Loans on demand	–	–	–	–
230	Other collateral received	–	–	–	–
240	Own debt securities issued other than own covered bonds or securitisations	–	–	–	–
241	Own covered bonds and asset-backed securities issued and not yet pledged			–	–
250	TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED	121,015	67,574

1 2023 has been restated to align with changes in 2024 reporting methodology due to strategic data sourcing improvements

Table 106: Sources of encumbrance (UK AE3)

		2024		2023
		Matching liabilities contingent liabilities or securities lent \$million	Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered \$million	Matching liabilities contingent liabilities or securities lent \$million	Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered \$million
010	Carrying amount of selected financial liabilities	61,273	63,845	63,562	66,521

Liquidity risk

The Group's median asset encumbrance for 2024 is \$120 billion, which primarily related to cash collateral pledged against derivatives, and other securities.

Encumbered assets represent on-balance sheet assets pledged or subject to any form of arrangement to secure, collateralise or credit enhance any transaction from which it cannot be freely withdrawn. Debt securities are predominantly related to repurchase agreements. Furthermore, the unencumbered assets that cannot be encumbered also remain at low level and include goodwill, property and plant, unsettled trades, non-group acceptance and tax assets. Derivatives and Reverse Repos are not generally deemed available for encumbrance.

The Group provides collateralised security financing services to its clients, which is also used to manage the Group's own short-term cash and collateral needs. For securities accepted as collateral, mandates are credit rating driven with appropriate notional limits per rating, asset and individual bond concentration. The majority of collateral the Group uses in repo/reverse repo and stock lending/stock borrowing transactions is investment grade government issued. Information on over-collateralisation can be found in the Credit risk mitigation section of the 2024 Annual Report and Accounts on pages 249 to 250.

8. Remuneration

Identification of material risk takers

Individuals have been identified as Material Risk Takers (MRTs) in line with the qualitative and quantitative criteria set by the Prudential Regulation Authority (PRA) and Financial Conduct Authority (FCA). MRTs are identified on both a: (i) Standard Chartered PLC (Group) basis; and (ii) solo level consolidated entities under Standard Chartered Bank UK (Solo) basis.

Qualitative criteria

The qualitative criteria broadly identifies the following colleagues as Group MRTs:

• directors (both executive and non-executive) of Standard Chartered PLC
• a member of senior management
• senior colleagues within the audit, compliance, human resources, legal and risk functions
• senior colleagues within Material Business Units (MBUs)
• colleagues who are members of specific committees
• colleagues who are able to initiate or approve credit risk exposures above a certain threshold and sign off on trading book transactions at or above a specific value at risk limit
• colleagues whose professional activities may have a significant impact on the risk profile of a MBU and are above certain pay thresholds
• traders and senior colleagues in financial markets who earn above certain pay thresholds.

Quantitative criteria

The quantitative criteria identifies colleagues:

• who have been awarded total remuneration of GBP660,000 or more in the previous financial year
• whose total remuneration in the preceding year is within the top 0.3 per cent of the Group or Solo entity.

For the purpose of the Pillar 3 tables on pages 132 to 137, supervisory function is defined as non-executive directors of Standard Chartered PLC, management function is defined as executive directors of Standard Chartered PLC and other senior management is defined as senior managers under the Senior Manager and Certification Regime and members of the Group Management Team.

Solo MRTs are identified based on similar criteria applied to the Solo entity.

MRT remuneration delivery

Remuneration for MRTs was delivered in 2024 through a combination of salary, pension, benefits and variable remuneration.

Variable remuneration for MRTs is structured in line with the PRA and FCA's remuneration rules. For the 2024 performance year, the following structure applies:

• At least 40 per cent of an MRT's variable remuneration will be deferred over a minimum period of four years and a maximum of seven years depending on the applicable identification criteria.
• 60 per cent of an MRT's variable remuneration will be deferred if variable remuneration exceeds GBP500,000.
• Non-deferred variable remuneration will be delivered 50 per cent in shares, subject to a minimum 12 month retention period, and 50 per cent in cash.
• At least 50 per cent of deferred variable remuneration will be delivered entirely in shares, subject to a minimum 12 month retention period post vest (with the exception of deferred shares awarded to higher paid MRTs, which are subject to a six month minimum retention period in line with the regulations).
• For some MRTs, part of their 2024 variable remuneration may be in LTIP share awards which begin vesting after three years, subject to the satisfaction of performance measures, and are subject to a 12 month retention period after vest.
• All variable remuneration is subject to remuneration adjustment provisions. This provides the Group with the ability to reduce or revoke variable remuneration in respect of a risk, control or conduct issue, event or behaviour.

Further information on our remuneration policy and practices can be found in the SC PLC Group's 2024 Directors' remuneration report on pages 143 to 181.

Pillar 3 disclosures Remuneration

Table 107: Remuneration awarded for the financial year (UK REM1)

		2024				2023
		MB Supervisory function \$million	MB Management function \$million	Other senior management \$million	Other identified staff \$million	MB Supervisory function \$million	MB Management function \$million	Other senior management \$million	Other identified staff \$million
	Fixed remuneration
1	Number of identified staff	11	2	16	671	13	2	15	669
2	Total fixed remuneration	4	6	35	365	5	6	32	367
3	Of which: cash-based	4	4	35	365	5	4	32	367
	UK-4a Of which: shares or equivalent ownership interests	–	2	–	–	–	2	–	–
5	Of which: share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
UK-5x	Of which: other instruments	–	–	–	–	–	–	–	–
7	Of which: other forms	–	–	–	–	–	–	–	–
	Variable remuneration
9	Number of identified staff	11	2	16	671	13	2	15	669
10	Total variable remuneration	–	18	45	399	–	7	48	346
11	Of which: cash-based	–	2	17	201	–	1	18	174
12	Of which: deferred	–	1	9	104	–	–	9	89
	UK-13a Of which: shares or equivalent ownership interests	–	16	28	198	–	6	30	172
	UK-14a Of which: deferred	–	16	19	106	–	4	20	91
	UK-13b Of which: share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
	UK-14b Of which: deferred	–	–	–	–	–	–	–	–
	UK-14x Of which: other instruments	–	–	–	–	–	–	–	–
	UK-14y Of which: deferred	–	–	–	–	–	–	–	–
15	Of which: other forms	–	–	–	–	–	–	–	–
16	Of which: deferred	–	–	–	–	–	–	–	–
17	Total remuneration (2 + 10)	4	24	80	764	5	13	80	713

Table 108: Special payments to staff whose professional activities have a material impact on institutions' risk profile (identified staff) (UK REM2)

		2024
		MB Supervisory function \$million	MB Management function \$million	Other senior management \$million	Other identified staff \$million
	Guaranteed variable remuneration awards
1	Guaranteed variable remuneration awards – Number of identified staff	–	–	–	4
2	Guaranteed variable remuneration awards -Total amount	–	–	–	3
3	Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
	Severance payments awarded in previous periods, that have been paid out during the financial year
4	Severance payments awarded in previous periods, that have been paid out during the financial year – Number of identified staff	–	–	–	–
5	Severance payments awarded in previous periods, that have been paid out during the financial year – Total amount	–	–	–	–
	Severance payments awarded during the financial year
6	Severance payments awarded during the financial year – Number of identified staff	–	–	–	–
7	Severance payments awarded during the financial year – Total amount	–	–	–	–
8	Of which paid during the financial year	–	–	–	–
9	Of which deferred	–	–	–	–
10	Of which severance payments paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
11	Of which highest payment that has been awarded to a single person	–	–	–	–
			2023
		MB	MB	Other	Other

		\$million	\$million	\$million	\$million
	Guaranteed variable remuneration awards
1	Guaranteed variable remuneration awards – Number of identified staff	–	–	–	3
2	Guaranteed variable remuneration awards -Total amount	–	–	–	2
3	Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
	Severance payments awarded in previous periods, that have been paid out during the financial year	–	–	–	–
4	Severance payments awarded in previous periods, that have been paid out during the financial year – Number of identified staff	–	–	–	–
5	Severance payments awarded in previous periods, that have been paid out during the financial year – Total amount	–	–	–	–
	Severance payments awarded during the financial year	–	–	–	–
6	Severance payments awarded during the financial year – Number of identified staff	–	–	–	–
7	Severance payments awarded during the financial year – Total amount	–	–	–	–
8	Of which paid during the financial year	–	–	–	–
9	Of which deferred	–	–	–	–
10	Of which severance payments paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
11	Of which highest payment that has been awarded to a single person	–	–	–	–

Supervisory function

Management function

senior management

identified staff

Table 109: Deferred remuneration (UK REM3)

		20241
	Deferred and retained remuneration	Total amount of deferred remuneration awarded for previous performance periods \$million	Of which due to vest in the financial year \$million	Of which vesting in subsequent financial years \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year1 \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years \$million	Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e. changes of value of deferred remuneration due to the changes of prices of instruments \$million	Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year \$million	Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods \$million
1	MB Supervisory function	–	–	–	–	–	–	–	–
2	Cash-based	–	–	–	–	–	–	–	–
3	Shares or equivalent ownership interests	–	–	–	–	–	–	–	–
4	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
5	Other instruments	–	–	–	–	–	–	–	–
6	Other forms	–	–	–	–	–	–	–	–
7	MB Management function	44	7	37	(4)	–	15	3	3
8	Cash-based	–	–	–	–	–	–	–	–
9	Shares or equivalent ownership interests	44	7	37	(4)	–	15	3	3
10	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
11	Other instruments	–	–	–	–	–	–	–	–
12	Other forms	–	–	–	–	–	–	–	–
13	Other senior management	185	43	142	(9)	–	50	18	11
14	Cash-based	34	6	28	–	–	–	4	–
15	Shares or equivalent ownership interests	151	37	114	(9)	–	50	14	11
16	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
17	Other instruments	–	–	–	–	–	–	–	–
18	Other forms	–	–	–	–	–	–	–	–
19	Other identified staff	709	174	535	(3)	–	154	163	63
20	Cash-based	247	58	189	–	–	–	55	–
21	Shares or equivalent ownership interests	409	104	305	(3)	–	136	96	57
22	Share-linked instruments or equivalent non-cash instruments	53	12	41	–	–	18	12	6
23	Other instruments	–	–	–	–	–	–	–	–
24	Other forms	–	–	–	–	–	–	–	–
25	Total amount	938	224	714	(16)	–	219	184	77

1 Includes LTIP award lapse following testing of performance conditions

Table 109: Deferred remuneration (UK REM3) continued

		20231
	Deferred and retained remuneration	Total amount of deferred remuneration awarded for previous performance periods \$million	Of which due to vest in the financial year \$million	Of which vesting in subsequent financial years \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year1 \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years \$million	Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e. changes of value of deferred remuneration due to the changes of prices of instruments \$million	Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year \$million	Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods \$million
1	MB Supervisory function	–	–	–	–	–	–	–	–
2	Cash-based	–	–	–	–	–	–	–	–
3	Shares or equivalent ownership interests	–	–	–	–	–	–	–	–
4	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
5	Other instruments	–	–	–	–	–	–	–	–
6	Other forms	–	–	–	–	–	–	–	–
7	MB Management function	43	10	33	(7)	–	2	3	2
8	Cash-based	–	–	–	–	–	–	–	–
9	Shares or equivalent ownership interests	43	10	33	(7)	–	2	3	2
10	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
11	Other instruments	–	–	–	–	–	–	–	–
12	Other forms	–	–	–	–	–	–	–	–
13	Other senior management	118	16	102	(5)	–	4	10	6
14	Cash-based	28	4	25	–	–	–	4	–
15	Shares or equivalent ownership interests	89	12	77	(5)	–	4	7	6
16	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
17	Other instruments	–	–	–	–	–	–	–	–
18	Other forms	–	–	–	–	–	–	–	–
19	Other identified staff	485	126	358	–	–	11	120	44
20	Cash-based	216	52	164	–	–	–	49	–
21	Shares or equivalent ownership interests	235	64	171	–	–	9	62	38
22	Share-linked instruments or equivalent non-cash instruments	34	10	24	–	–	1	9	5
23	Other instruments	–	–	–	–	–	–	–	–
24	Other forms	–	–	–	–	–	–	–	–
25	Total amount	645	151	494	(12)	–	16	133	51

1 Includes LTIP award lapse following testing of performance conditions

Table 110: Remuneration of 1 million EUR or more per year (UK REM4)

		2024	2023
EUR		Identified staff that are high earners as set out in Article 450(i) CRR Number of employees	Identified staff that are high earners as set out in Article 450(i) CRR Number of employees
1	1,000,000 to below 1,500,000	164	150
2	1,500,000 to below 2,000,000	54	40
3	2,000,000 to below 2,500,000	25	26
4	2,500,000 to below 3,000,000	16	10
5	3,000,000 to below 3,500,000	10	10
6	3,500,000 to below 4,000,000	5	6
7	4,000,000 to below 4,500,000	5	3
8	4,500,000 to below 5,000,000	3	3
9	5,000,000 to below 6,000,000	3	4
10	6,000,000 to below 7,000,000	3	1
11	7,000,000 to below 8,000,000	2	–
12	8,000,000 to below 9,000,000	1	1
13	9,000,000 to below 10,000,000	–	1
14	10,000,000 to below 11,000,000	–	1
15	13,000,000 to below 14,000,000	–	1
16	14,000,000 to below 15,000,000	2	–
	Total	293	257

Table 111: Information on remuneration of staff whose professional activities have a material impact on institutions' risk profile (identified staff) (UK REM5)

		2024
			Management body remuneration		Business areas
		MB Supervisory function \$million	MB Management function \$million	Total MB \$million	Investment banking \$million	Retail banking \$million	Asset management \$million
1	Total number of identified staff
2	Of which: members of the MB	11	2	13
3	Of which: other senior management				3	1	–
4	Of which: other identified staff				367	54	–
5	Total remuneration of identified staff	4	24	28	502	76	–
6	Of which: variable remuneration	–	18	18	283	43	–
7	Of which: fixed remuneration	4	6	10	219	33	–

		2024
			Business areas
		Corporate functions \$million	Independent internal control functions \$million	All other \$million	Total \$million
1	Total number of identified staff				700
2	Of which: members of the MB
3	Of which: other senior management	8	3	1
4	Of which: other identified staff	120	117	13
5	Total remuneration of identified staff	198	80	16
6	Of which: variable remuneration	98	31	7
7	Of which: fixed remuneration	100	49	9

		2023
			Management body remuneration		Business areas
		MB Supervisory function \$million	MB Management function \$million	Total MB \$million	Investment banking \$million	Retail banking \$million	Asset management \$million
1	Total number of identified staff
2	Of which: members of the MB	13	2	15
3	Of which: other senior management				3	1	–
4	Of which: other identified staff				340	38	8
5	Total remuneration of identified staff	5	13	18	457	54	8
6	Of which: variable remuneration	–	7	7	241	29	4
7	Of which: fixed remuneration	5	6	11	216	26	4

		2023
		Corporate functions \$million	Independent internal control functions \$million	All other \$million	Total \$million
1	Total number of identified staff				699
2	Of which: members of the MB
3	Of which: other senior management	7	3	1
4	Of which: other identified staff	142	132	9
5	Total remuneration of identified staff	194	86	12
6	Of which: variable remuneration	90	32	5
7	Of which: fixed remuneration	103	54	7

9. Forward-looking statements

This document may contain 'forward-looking statements' that are based on current expectations or beliefs, as well as assumptions about future events. These forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements often use words such as 'may', 'could', 'will', 'expect', 'intend', 'estimate', 'anticipate', 'believe', 'plan', 'seek', 'continue' or other words of similar meaning. By their very nature, such statements are subject to known and unknown risks and uncertainties and can be affected by other factors that could cause actual results, and the Group's plans and objectives, to differ materially from those expressed or implied in the forward-looking statements. Recipients should not place reliance on, and are cautioned about relying on, any forward-looking statements.

There are several factors which could cause actual results to differ materially from those expressed or implied in forwardlooking statements. The factors that could cause actual results to differ materially from those described in the forward-looking statements include (but are not limited to) changes in global, political, economic, business, competitive, market and regulatory forces or conditions, future exchange and interest rates, changes in tax rates, future business combinations or dispositions and other factors specific to the Group. Any forward-looking statement contained in this document is based on past or current trends and/or activities of the Group and should not be taken as a representation that such trends or activities will continue in the future. No statement in this document is intended to be a profit forecast or to imply that the earnings of the Group for the current year or future years will necessarily match or exceed the historical or published earnings of the Group. Each forwardlooking statement speaks only as of the date of the particular statement.

Except as required by any applicable laws or regulations, the Group expressly disclaims any obligation to revise or update any forward-looking statement contained within this document, regardless of whether those statements are affected as a result of new information, future events or otherwise.

Nothing in this document shall constitute, in any jurisdiction, an offer or solicitation to sell or purchase any securities or other financial instruments, nor shall it constitute a recommendation or advice in respect of any securities or other financial instruments or any other matter.

Annex 1

Standard Chartered Significant Subsidiaries

Capital resources of Significant Subsidiaries

For local capital adequacy purposes, a range of approaches are applied in accordance with the regulatory requirements in force in each jurisdiction. Wherever possible, the approaches adopted at the Group level are applied locally.

Under Part 2, rule 2.3 of the CRR requires the application of disclosure requirements of Large subsidiaries of UK parent institutions, UK parent financial holding companies

The capital resources of the Group's significant subsidiaries under CRR Part 2 are presented below. These subsidiaries are Standard Chartered – solo consolidated, a UK regulated

Table 112: Capital resources of significant subsidiaries

banking entity, Standard Chartered Bank (Hong Kong) Limited, Standard Chartered Bank Korea Limited, and Standard Chartered Bank (Singapore) Limited.

The capital resources of these subsidiaries are calculated in accordance with the regulatory requirements applicable in the countries in which they are incorporated, and therefore cannot be aggregated, but are presented to align with the Group format.

The table below provides a summary view of the significant subsidiaries. The significant subsidiary data is subject to change due to local timing and local regulatory requirements.

		2024			2023
	Standard Chartered – Solo consolidation \$million	Standard Chartered Bank (HK) Ltd \$million	Standard Chartered Bank Korea Ltd \$million	Standard Chartered Bank (Singapore) Ltd \$million	Standard Chartered – Solo consolidation \$million	Standard Chartered Bank (HK) Ltd \$million	Standard Chartered Bank Korea Ltd1 \$million	Standard Chartered Bank (Singapore) Ltd \$million
Local Regulator	PRA	HKMA	FSS	MAS	PRA	HKMA	FSS	MAS
Common Equity Tier 1 capital before regulatory adjustments	23,047	16,274	3,586	7,002	23,728	15,838	3,896	6,159
Regulatory adjustments	(8,317)	(7,359)	(198)	(747)	(8,998)	(7,334)	(131)	(786)
Common Equity Tier 1 capital	14,730	8,914	3,388	6,255	14,730	8,504	3,766	5,373
Additional Tier 1 (AT1) capital: instruments	4,273	2,687	204	1,392	3,871	2,382	233	1,391
Tier 1 capital (T1 = CET1 + AT1)	19,003	11,601	3,591	7,647	18,601	10,886	3,999	6,765
Tier 2 capital	8,183	737	559	2,940	9,113	1,472	793	2,643
Total capital (TC = T1 + T2)	27,186	12,338	4,151	10,587	27,714	12,358	4,792	9,407
Total risk-weighted assets	126,383	61,635	20,826	45,464	122,408	59,763	21,012	41,346
Capital Ratios
Common Equity Tier 1	11.7%	14.5%	16.3%	13.8%	12.0%	14.2%	17.9%	13.0%
Tier 1 Capital	15.0%	18.8%	17.2%	16.8%	15.2%	18.2%	19.0%	16.4%
Total Capital	21.5%	20.0%	19.9%	23.3%	22.6%	20.7%	22.8%	22.8%

1 2023 Capital resources have been re-presented to align with local regulatory returns, which included late adjustments for Standard Chartered Bank Korea Ltd

Capital management – Standard Chartered – Solo consolidated

The Risk management approach section of the 2023 Annual Report and Accounts sets out our approach to capital management (pages 203 to 204). Tables 113 to 135 summarise the consolidated capital position of Standard Chartered – solo consolidated, as well as a summary of exposures, credit quality and remuneration.

Table 113: Composition of regulatory own funds (UK CC1) – Solo consolidation

		2024 \$million	2023 \$million
	Common Equity Tier 1 (CET1) capital: instruments and reserves
1	Capital instruments and the related share premium accounts	20,893	20,893
	Of which: Share premium accounts	296	296
2	Retained earnings1	3,815	3,439
3	Accumulated other comprehensive income (and other reserves)	(3,804)	(3,317)
5	Minority interests (amount allowed in consolidated CET1)	–	–
5a	Independently reviewed interim and year-end profits/(loss)2	2,336	2,879
	Foreseeable dividends3	(193)	(166)
6	Common Equity Tier 1 (CET1) capital before regulatory adjustments	23,047	23,728
	Common Equity Tier 1 capital: regulatory adjustments
7	Additional value adjustments	(324)	(417)
8	Intangible assets (net of related tax liability)	(3,166)	(3,544)
10	Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met)	(25)	(22)
11	Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value	16	51
12	Negative amounts resulting from the calculation of expected loss amounts	(297)	(276)
14	Gains or losses on liabilities valued at fair value resulting from changes in own credit standing	244	(49)
15	Defined-benefit pension fund assets	(114)	(73)
	Fair value gains and losses from own credit risk related to derivative liabilities	(84)	(98)
19	Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)	(4,456)	(4,412)
	UK-20aExposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative	(111)	(48)
UK-20c	of which: securitisation positions	(4)	(21)
UK-20d	of which: free deliveries	(107)	(27)
22	Amount exceeding the 17,65% threshold (negative amount)		(110)
27a	Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments	–	–
28	Total regulatory adjustments to Common Equity Tier 1 (CET1)	(8,317)	(8,998)
29	Common Equity Tier 1 (CET1) capital	14,730	14,730
	Additional Tier 1 (AT1) capital: instruments
30	Capital instruments and the related share premium accounts	5,722	4,742
31	of which: classified as equity under applicable accounting standards	5,722	4,742
32	of which: classified as liabilities under applicable accounting standards	–	–
36	Additional Tier 1 (AT1) capital before regulatory adjustments	5,722	4,742
	Additional Tier 1 capital: regulatory adjustments		–
37	Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount)	(20)	(20)
40	Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)	(1,429)	(851)
43	Total regulatory adjustments to Additional Tier 1 (AT1) capital	(1,449)	(871)
44	Additional Tier 1 (AT1) capital	4,273	3,871
45	Tier 1 capital (T1 = CET1 + AT1)	19,003	18,601
	Tier 2 (T2) capital: instruments and provisions
46	Capital instruments and the related share premium accounts	11,117	12,209
51	Tier 2 (T2) capital before regulatory adjustments	11,117	12,209

Table 113: Composition of regulatory own funds (UK CC1) – Solo consolidation continued

		2024 \$million	2023 \$million
	Tier 2 capital: regulatory adjustments
52	Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans	(30)	(30)
55	Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)	(2,904)	(3,066)
57	Total regulatory adjustments to Tier 2 (T2) capital	(2,934)	(3,096)
58	Tier 2 (T2) capital	8,183	9,113
59	Total capital (TC = T1 + T2)	27,186	27,714
60	Total Risk exposure amount	126,383	122,408
	Capital ratios and buffers
61	Common Equity Tier 1 (as a percentage of total risk exposure amount)	11.7%	12.0%
62	Tier 1 (as a percentage of total risk exposure amount)	15.0%	15.2%
63	Total capital (as a percentage of total risk exposure amount)	21.5%	22.6%
64	Institution CET1 overall capital requirement (CET1 requirement in accordance with Article 92 (1) CRR, plus additional CET1 requirement which the institution is required to hold in accordance with point (a) of Article 104(1) CRD, plus combined buffer requirement in accordance with Article 128(6) CRD) expressed as a percentage of risk exposure amount)	9.4%	9.5%
65	of which: capital conservation buffer requirement	2.5%	2.5%
66	of which: countercyclical buffer requirement	0.4%	0.4%
67	of which: systemic risk buffer requirement	–	–
	UK-67a of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer	–	–
68	Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount)	5.1%	5.4%
	Amounts below the thresholds for deduction (before risk weighting)
72	Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)	1,076	1,400
72	Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions)	6,374	6,245
73	Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met)	256	376
	Applicable caps on the inclusion of provisions in Tier 2
76	Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)	–	–
77	Cap on inclusion of credit risk adjustments in T2 under standardised approach	239	231
78	Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)	–	–
79	Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach	393	399

1 Retained earnings under include the effect of regulatory consolidation adjustments

2 Independently reviewed year-end profits are in accordance with regulatory consolidation rules

3 Foreseeable dividends as at FY 2024 represent ordinary dividends and preference dividends

Table 114: Reconciliation of regulatory own funds to balance sheet in the audited financial statements (UK CC2) – Solo consolidation

	2024		2023
	Balance sheet as in published financial statements \$million	Under regulatory scope of consolidation \$million	Balance sheet as in published financial statements \$million	Under regulatory scope of consolidation \$million
Assets
Cash and balances at central banks	45,233	45,233	52,758	52,758
Financial assets held at fair value through profit or loss	88,349	85,699	86,412	84,712
Derivative financial instruments	82,844	82,844	53,221	53,221
Loans and advances to banks	11,755	11,755	10,135	10,135
Loans and advances to customers	77,597	77,597	75,883	75,883
Investment securities	82,101	81,134	92,771	91,480
Other assets	31,584	30,859	41,859	43,526
Current tax assets	516	553	395	433
Prepayments and accrued income	1,535	1,535	1,386	1,386
Interests in associates and joint ventures	10,671	13,354	–	–
Goodwill and intangible assets	1,988	1,988	2,359	2,359
Of which: goodwill	1,991	1,988	2,349	2,349
Of which: other intangibles (excluding MSRs)	(3)	–	10	10
Of which: MSRs	–	–	–	–
Property, plant and equipment	659	659	521	521
Deferred tax assets	233	233	379	379
Retirement benefit schemes in surplus	118	118	–	–
Assets classified as held for sale	474	474	68	68
Total assets	435,656	434,034	418,147	416,861
Liabilities
Deposits by banks	17,824	17,824	18,280	18,280
Customer accounts	119,502	119,502	121,648	121,648
Repurchase agreements and other similar secured borrowing	9,845	9,845	11,977	11,977
Financial liabilities held at fair value through profit or loss	61,683	61,683	64,467	64,467
Derivative financial instruments	82,745	82,745	55,531	55,531
Debt securities in issue	36,081	36,081	34,767	34,693
Other liabilities	63,799	63,439	66,500	66,562
Current tax liabilities	294	294	188	188
Accruals and deferred income	2,441	2,447	2,453	2,459
Subordinated liabilities and other borrowed funds	9,801	9,801	10,896	10,896
of which: considered as Additional Tier 1 capital	–	–	–	–
of which: considered as Tier 2 capital	9,801	9,801	10,896	10,896
Deferred tax liabilities	308	309	477	477
Of which: DTLs related to goodwill	308	308	477	477
Of which: DTLs related to intangible assets (excluding MSRs)	–	–	–	–
Of which: DTLs related to MSRs	–	–	–	–
Provisions for liabilities and charges	186	186	171	171
Retirement benefit obligations	200	200	133	133
Liabilities included in disposal groups held for sale	–	–	5	5
Total liabilities	404,709	404,356	387,493	387,487
Shareholders' Equity
Share capital and share premium account	21,643	21,643	21,643	21,643
Other reserves & Retained earnings	3,582	2,313	4,269	2,989
Total parent company shareholders' equity	25,225	23,956	25,912	24,632
Other equity instruments	5,722	5,722	4,742	4,742
Total equity excluding non-controlling interests	30,947	29,678	30,654	29,374
Non-controlling interest	–	–	–	–
Total equity	30,947	29,678	30,654	29,374
Total equity and liabilities	435,656	434,034	418,147	416,861

Countercyclical capital buffer – Standard Chartered – Solo consolidated

Table 115: Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (UK CCyB1) – Solo consolidation

							2024
	General credit exposures			Relevant credit exposures – Market risk				Own funds requirements
	Exposure		Sum of long and short	Value of trading					Relevant credit exposures – Securiti
	value under the standard ised approach	Exposure value under the IRB approach	positions of trading book exposures for SA	book exposures for internal models	Securitisation exposures Exposure value for non-trading	Total exposure	Relevant credit risk exposures – Credit	Relevant credit exposures – Market	sation positions in the non trading	Total	Risk weighted exposure amounts	Own fund requirements weights	Counter cyclical buffer rate
Breakdown by country	\$million	\$million	\$million	\$million	book	value	risk	risk	book	\$million	\$million	%	%
Armenia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
Australia	154	2,217	187	–	34	2,593	76	8	–	84	1,055	1.5%	1.0%
Austria	7	121	–	–	–	128	2	–	–	2	24	0.0%	0.0%
Bahrain	589	866	34	–	–	1,490	75	3	–	78	976	1.4%	0.0%
Bangladesh	1,047	3,869	32	–	–	4,948	216	4	–	220	2,750	3.9%	0.0%
Belgium	–	743	4	–	–	747	4	–	–	4	50	0.1%	1.0%
Bulgaria	–	–	–	–	–	–	–	–	–	–	–	0.0%	2.0%
Chile	–	38	25	–	–	63	1	3	–	4	46	0.1%	0.5%
Croatia	–	7	–	–	–	7	–	–	–	–	4	0.0%	1.5%
Cyprus	–	58	–	–	–	58	2	–	–	2	25	0.0%	1.0%
Czech Republic	–	–	3	–	–	3	–	–	–	–	4	0.0%	1.3%
Denmark	4	502	1	–	–	506	6	–	–	6	72	0.1%	2.5%
Egypt	20	618	298	–	–	936	57	2	–	59	742	1.1%	0.0%
Estonia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
France	3	2,473	173	–	–	2,649	32	10	–	41	518	0.7%	1.0%
Germany	208	5,110	231	–	–	5,549	92	5	–	97	1,218	1.7%	0.8%
Hong Kong	329	1,940	40	–	–	2,310	72	3	–	75	944	1.3%	0.5%
Hungary	–	460	196	–	–	656	11	–	–	11	140	0.2%	0.5%
Iceland	–	–	–	–	–	–	–	–	–	–	–	0.0%	2.5%
India	4,625	16,470	716	–	–	21,811	977	31		– 1,008	12,601	18.0%	0.0%
Indonesia	265	2,238	104	–	–	2,608	92	10	–	102	1,278	1.8%	0.0%
Ireland	16	1,164	610	–	78	1,869	19	50	1	70	873	1.2%	1.5%
Korea	90	976	65	–	–	1,132	30	3	–	33	412	0.6%	1.0%
Lithuania	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.0%
Luxembourg	133	3,497	–	–	781	4,412	51	2	10	63	783	1.1%	0.5%
Netherlands	–	1,162	33	–	–	1,195	38	2	–	40	500	0.7%	2.0%
Nigeria	165	1,862	66	–	–	2,092	44	14	–	58	727	1.0%	0.0%
Norway	–	207	4	–	–	211	9	–	–	10	120	0.2%	2.5%
Pakistan Romania	33 –	1,428 –	57 –	– –	– –	1,519 –	239 –	7 –	– –	245 –	3,069 –	4.4% 0.0%	0.0% 1.0%
Singapore	2,524	2,529	1,101	–	–	6,154	420	3	–	423	5,284	7.6%	0.0%
Slovakia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
Slovenia South Africa	– 13	– 2,176	– 81	– –	– –	– 2,269	– 56	– 16	– –	– 72	– 902	0.0% 1.3%	0.5% 0.0%
Sri Lanka	100	819	18	–	–	937	119	2	–	121	1,518	2.2%	0.0%
Sweden Switzerland	– 163	438 2,560	8 –	– –	– –	446 2,724	20 72	1 –	– –	22 72	270 903	0.4% 1.3%	2.0% 0.0%
United Arab
Emirates	2,369	8,680	344	–	–	11,393	280	5	–	286	3,571	5.1%	0.0%
United Kingdom		2,694 29,280	566	–		14,263 46,802	537	23	209	770	9,621	13.8%	2.0%
United States	1,828	62,329	1,153	–		5,418 70,729	761	23	77	861	10,768	15.4%	0.0%
Other Countries	2,089	24,017	1,597	–	–	27,703	551	101	–	652	8,151	11.7%	0.5%

Table 115: Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (UK CCyB1) – Solo consolidation continued

							2023
	General credit exposures		Relevant credit exposures – Market risk					Own funds requirements
Breakdown by country	Exposure value under the standard ised approach \$million	Exposure value under the IRB approach \$million	Sum of long and short positions of trading book exposures for SA \$million	Value of trading book exposures for internal models \$million	Securitisation exposures Exposure value for non-trading book	Total exposure value	Relevant credit risk exposures – Credit risk	Relevant credit exposures – Market risk	Relevant credit exposures – Securiti sation positions in the non-trading book	Total \$million	Risk weighted exposure amounts \$million	Own fund requirements weights %	Counter cyclical buffer rate %
Australia	96	1,769	90	–	–	1,956	58	2	–	60	750	1.1%	1.0%
Austria	–	139	–	–	–	139	2	–	–	2	25	0.0%	0.0%
Bangladesh	1,107	2,510	216	–	–	3,833	187	17	–	205	2,558	3.9%	0.0%
Belgium	–	1,250	14	–	–	1,265	5	2	–	7	86	0.1%	0.0%
Bulgaria	–	–	–	–	–	–	–	–	–	–	–	0.0%	2.0%
Croatia	–	9	–	–	–	9	1	–	–	1	8	0.0%	1.0%
Cyprus	–	38	–	–	–	38	–	–	–	–	2	0.0%	0.5%
Czech Republic	–	–	22	–	–	22	–	3	–	3	32	0.0%	2.0%
Denmark	7	248	3	–	–	258	12	–	–	12	149	0.2%	2.5%
Estonia	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.5%
France	3	2,843	66	–	–	2,912	49	14	–	62	778	1.2%	0.5%
Germany	222	4,337	80	–	–	4,639	126	14	–	139	1,743	2.6%	0.8%
Hong Kong	188	1,932	11	–	–	2,131	34	5	–	39	489	0.7%	1.0%
Hungary	–	183	199	–	–	382	15	1	–	16	198	0.3%	0.0%
Iceland	–	–	–	–	–	–	–	–	–	–	–	0.0%	2.0%
India	5,033	15,942	1,519	–	–	22,493	976	42	–	1,018	12,725	19.3%	0.0%
Indonesia	215	2,135	234	–	–	2,584	81	10	–	92	1,145	1.7%	0.0%
Ireland	4	2,213	456	–	–	2,673	20	37	–	57	716	1.1%	1.0%
Lithuania	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.0%
Luxembourg	166	4,621	41	–	1,489	6,317	81	5	18	104	1,305	2.0%	0.5%
Netherlands	–	1,512	102	–	–	1,615	58	9	–	67	841	1.3%	1.0%
Norway	–	151	6	–	–	157	3	1	–	3	40	0.1%	2.5%
Pakistan	29	1,184	4	–	–	1,217	225	1	–	226	2,826	4.3%	0.0%
Romania	–	–	–	–	–	–	–	–	–	–	–	0.0%	1.0%
Singapore	2,147	1,958	1,092	–	–	5,197	357	3	–	360	4,496	6.8%	0.0%
Slovakia	–	1	–	–	–	1	–	–	–	–	1	0.0%	1.5%
Slovenia	1	–	2	–	–	3	–	–	–	–	4	0.0%	0.5%
South Africa	32	1,129	174	–	–	1,335	56	23	–	79	984	1.5%	0.0%
Sweden	284	542	14	–	–	840	26	2	–	27	343	0.5%	2.0%
United Arab Emirates	2,201	7,551	287	–	–	10,039	300	7	–	307	3,834	5.8%	0.0%
United Kingdom	1,926	31,717	306	–	17,775	51,724	452	30	252	734	9,178	13.9%	2.0%
United States	1,328	58,538	302	–	6,861	67,030	644	31	86	761	9,509	14.4%	0.0%
Bahrain	634	439	101	–	–	1,174	53	8	–	61	763	1.2%	0.0%
Switzerland	57	3,152	–	–	–	3,210	57	–	–	57	710	1.1%	0.0%
Sri Lanka	82	395	7	–	–	484	77	1	–	78	977	1.5%	0.0%
Other Countries	2,638	27,186	1,055	–	–	30,878	632	76	–	708	8,848	13.4%	0.0%

Table 116: Amount of institution-specific countercyclical capital buffer (UK CCyB2) – Solo consolidation

		2024 \$million	2023 \$million
1	Total risk exposure amount	126,383	122,408
2	Institution specific countercyclical capital buffer rate	0.38%	0.37%
3	Institution specific countercyclical capital buffer requirement	479	458

Leverage ratio – Standard Chartered – Solo consolidated

Table 117: LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1) – Solo consolidation

		2024 \$million	2023 \$million
1	Total assets	435,691	418,149
2	Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation	(1,622)	(1,286)
3	(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference)	–	–
4	(Adjustment for exemption of exposures to central banks)	(43,583)	(50,868)
5	(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of Article 429a(1) of the CRR)	–	–
6	Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting	(48)	(81)
7	Adjustment for eligible cash pooling transactions	–	–
8	Adjustment for derivative financial instruments	(25,002)	(5,557)
9	Adjustment for securities financing transactions (SFTs)	3,706	4,855
10	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off balance sheet exposures)	68,672	73,686
11	(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced tier 1 capital (leverage))	(621)	(693)
	UK-11a (Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR)	–	–
	UK-11b (Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) of the CRR)	–	–
12	Other adjustments1	(15,415)	(15,567)
13	Total exposure measure	421,778	422,638

1 Other Adjustments include Cash Collateral posted \$(7,634) million, Tier 1 Capital deduction other than disclosed in above row 11 \$(7,856) million, DTA \$75m million

Table 118: LRCom: Leverage ratio common disclosure (UK LR2) – Solo consolidation

		2024 \$million	2023 \$million
	On-balance sheet exposures (excluding derivatives and SFTs)
1	On-balance sheet items (excluding derivatives, SFTs, but including collateral)	278,060	285,164
2	Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework	–	–
3	(Deductions of receivables assets for cash variation margin provided in derivatives transactions)	(7,634)	(7,469)
4	(Adjustment for securities received under securities financing transactions that are recognised as an asset)	–	–
5	(General credit risk adjustments to on-balance sheet items)	–	–
6	(Asset amounts deducted in determining tier 1 capital (leverage))	(8,477)	(8,839)
7	Total on-balance sheet exposures (excluding derivatives and SFTs)	261,949	268,856
	Derivative exposures
8	Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin)	15,567	12,120
UK-8a	Derogation for derivatives: replacement costs contribution under the simplified standardised approach	–	–
9	Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions	44,909	35,550
UK-9a	Derogation for derivatives: potential future exposure contribution under the simplified standardised approach	–	–
UK-9b	Exposure determined under the original exposure method	–	–
10	(Exempted CCP leg of client-cleared trade exposures) (SA-CCR)	(6,035)	(4,114)
	UK-10a (Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach)	–	–
	UK-10b (Exempted CCP leg of client-cleared trade exposures) (original exposure method)	–	–
11	Adjusted effective notional amount of written credit derivatives	103,787	136,196
12	(Adjusted effective notional offsets and add-on deductions for written credit derivatives)	(100,386)	(132,088)
13	Total derivatives exposures	57,842	47,664
	Securities financing transaction exposures
14	Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions	111,445	88,740
15	(Netted amounts of cash payables and cash receivables of gross SFT assets)	(38,253)	(10,295)
16	Counterparty credit risk exposure for SFT assets	3,706	4,855
	UK-16a Derogation for SFTs: counterparty credit risk exposure in accordance with Articles 429e(5) and 222 of the CRR	–	–
17	Agent transaction exposures	–	–
UK-17a	(Exempted CCP leg of client-cleared SFT exposures)	–	–
18	Total securities financing transaction exposures	76,898	83,300
	Other off-balance sheet exposures
19	Off-balance sheet exposures at gross notional amount	201,646	246,472
20	(Adjustments for conversion to credit equivalent amounts)	(132,974)	(172,786)
21	(General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures)	–	–
22	Off-balance sheet exposures	68,672	73,686
	Excluded exposures
	UK-22a (Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR)	–	–
	UK-22b (Exposures exempted in accordance with point (j) of Article 429a(1) of the CRR (on- and off- balance sheet))	–	–
	UK-22g (Excluded excess collateral deposited at triparty agents)	–	–
	UK-22k (Total exempted exposures)	–	–
	Capital and total exposures
23	Tier 1 capital (leverage)	19,003	18,601
24	Total exposure measure including claims on central banks	465,361	473,506
	UK-24a (–) Claims on central banks excluded	(43,583)	(50,868)
	UK-24b Total exposure measure excluding claims on central banks	421,778	422,638
	Leverage ratio
25	Leverage ratio excluding claims on central banks (%)	4.5%	4.4%
	UK-25a Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%)	4.5%	4.4%
	UK-25b Leverage ratio excluding central bank reserves as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income had not been applied (%)	4.5%	4.4%
	UK-25c Leverage ratio including claims on central banks (%)	4.1%	3.9%
26	Regulatory minimum leverage ratio requirement (%)	3.3%	3.3%

Table 118: LRCom: Leverage ratio common disclosure (UK LR2) – Solo consolidation continued

		2024 \$million	2023 \$million
	Additional leverage ratio disclosure requirements – leverage ratio buffers
27	Leverage ratio buffer (%)	0.1%	0.1%
	UK-27a Of which: G-SII or O-SII additional leverage ratio buffer (%)	–	–
	UK-27b Of which: countercyclical leverage ratio buffer (%)	0.1%	0.1%
	Additional leverage ratio disclosure requirements – disclosure of mean values
28	Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable	78,234	76,872
29	Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables	73,192	78,445
UK-31	Average total exposure measure including claims on central banks	492,115	491,390
UK-32	Average total exposure measure excluding claims on central banks	439,529	432,774
UK-33	Average leverage ratio including claims on central banks	3.8%	3.7%
UK-34	Average leverage ratio excluding claims on central banks	4.3%	4.2%

Table 119: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (UK LR3) – Solo consolidation

		2024 \$million	20231 \$million
UK-1	Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:	270,426	277,695
UK-2	Trading book exposures	30,380	22,388
UK-3	Banking book exposures, of which:	240,046	255,307
UK-4	Covered bonds	3,781	6,922
UK-5	Exposures treated as sovereigns	104,829	110,828
UK-6	Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns	9,002	7,681
UK-7	Institutions	18,197	25,800
UK-8	Secured by mortgages of immovable properties	6,368	6,449
UK-9	Retail exposures	4,394	4,803
UK-10	Corporates	56,150	50,612
UK-11	Exposures in default	2,082	3,261
UK-12	Other exposures (e.g. equity, securitisations, and other non-credit obligation assets)	35,242	38,951

1 The 2023 comparatives have been restated to reflect exposures pre-credit risk mitigation, and classification between sovereigns, regional governments and PSEs

Credit Risk quality – Standard Chartered – Solo consolidated

Table 120: Performing and non-performing exposures and related provisions (UK CR1) – Solo Consolidation

		2024
		Gross carrying amount/nominal amount
		Performing exposures			Non-performing exposures
		\$million	Of which stage 1 \$million	Of which stage 2 \$million	\$million	Of which stage 2 \$million	Of which stage 3 \$million
005	Cash balances at central banks and other demand deposits	46,333	46,193	140	–	–	–
010	Loans and advances	156,961	152,708	4,253	2,688	–	2,688
020	Central banks	3,102	3,102	–	–	–	–
030	General governments	10,776	10,392	384	94	–	94
040	Credit institutions	36,609	36,502	107	8	–	8
050	Other financial corporations	58,250	57,803	447	19	–	19
060	Non-financial corporations	39,521	36,345	3,176	2,177	–	2,177
070	Of which SMEs	3,922	3,822	100	209	–	209
080	Households	8,703	8,564	139	390	–	390
090	Debt securities	81,450	81,205	245	–	–	–
100	Central banks	6,783	6,783	–	–	–	–
110	General governments	34,313	34,068	245	–	–	–
120	Credit institutions	21,396	21,396	–	–	–	–
130	Other financial corporations	18,097	18,097	–	–	–	–
140	Non-financial corporations	861	861	–	–	–	–
150	Off-balance-sheet exposures	137,886	134,056	3,830	445	–	445
160	Central banks	111	111	–	–	–	–
170	General governments	4,142	4,124	18	–	–	–
180	Credit institutions	8,569	8,282	287	17	–	17
190	Other financial corporations	52,391	52,083	308	1	–	1
200	Non-financial corporations	69,706	66,545	3,161	427	–	427
210	Households	2,967	2,911	56	–	–	–
220	Total	422,630	414,162	8,468	3,133	–	3,133

Table 120: Performing and non-performing exposures and related provisions (UK CR1) – Solo Consolidation continued

		2024
			Accumulated impairment, accumulated negative changes in fair value	due to credit risk and provisions		guarantees received	Collateral and financial
		Performing exposures – accumulated impairment and provisions			Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions			Accumulated	On	On non
		\$million	Of which stage 1 \$million	Of which stage 2 \$million	\$million	Of which stage 2 \$million	Of which stage 3 \$million	partial write-off \$million	performing exposures \$million	performing exposures \$million
005	Cash balances at central banks and other demand deposits	–	–	–	–	–	–	–	–	–
010	Loans and advances	(213)	(115)	(98)	(1,580)	–	(1,580)	(3,339)	26,147	367
020	Central banks	–	–	–	–	–	–	–	10	–
030	General governments	(1)	–	(1)	(41)	–	(41)	–	911	5
040	Credit institutions	(1)	(1)	–	(6)	–	(6)	(27)	2,046	–
050	Other financial corporations	(6)	(5)	(1)	(19)	–	(19)	(59)	9,445	–
060	Non-financial corporations	(128)	(53)	(75)	(1,426)	–	(1,426)	(3,253)	7,697	118
070	Of which SMEs	(13)	(10)	(3)	(123)	–	(123)	–	572	2
080	Households	(77)	(56)	(21)	(88)	–	(88)	–	6,038	244
090	Debt securities	(18)	(17)	(1)	–	–	–	–	51	–
100	Central banks	(3)	(3)	–	–	–	–	–	1	–
110	General governments	(8)	(7)	(1)	–	–	–	–	–	–
120	Credit institutions	(1)	(1)	–	–	–	–	–	14	–
130	Other financial corporations	(5)	(5)	–	–	–	–	–	–	–
140	Non-financial corporations	(1)	(1)	–	–	–	–	–	36	–
150	Off-balance-sheet exposures	(47)	(25)	(22)	(102)	–	(102)		2,227	20
160	Central banks	–	–	–	–	–	–		–	–
170	General governments	–	–	–	–	–	–		123	–
180	Credit institutions	(2)	(1)	(1)	(4)	–	(4)		47	–
190	Other financial corporations	(3)	(3)	–	–	–	–		610	–
200	Non-financial corporations	(41)	(20)	(21)	(98)	–	(98)		1,296	20
210	Households	(1)	(1)	–	–	–	–		151	–
220	Total	(278)	(157)	(121)	(1,682)	–	(1,682)	(3,339)	28,425	387

Table 120: Performing and non-performing exposures and related provisions (UK CR1) – Solo Consolidation continued

		2023
		Gross carrying amount/nominal amount
		Performing exposures			Non-performing exposures
		\$million	Of which stage 1 \$million	Of which stage 2 \$million	\$million	Of which stage 2 \$million	Of which stage 3 \$million
005	Cash balances at central banks and other demand deposits	52,588	52,588	–	2	–	2
010	Loans and advances	157,246	152,882	4,364	3,767	–	3,767
020	Central banks	2,890	2,826	64	224	–	224
030	General governments	7,497	6,760	737	131	–	131
040	Credit institutions	34,718	34,510	208	9	–	9
050	Other financial corporations	59,707	59,616	91	25	–	25
060	Non-financial corporations	43,502	40,405	3,097	2,980	–	2,980
070	Of which SMEs	4,041	3,907	134	288	–	288
080	Households	8,932	8,765	167	398	–	398
090	Debt securities	91,634	91,317	317	76	–	76
100	Central banks	4,770	4,553	217	–	–	–
110	General governments	38,928	38,830	98	–	–	–
120	Credit institutions	28,912	28,912	–	–	–	–
130	Other financial corporations	14,662	14,662	–	–	–	–
140	Non-financial corporations	4,362	4,360	2	76	–	76
150	Off-balance-sheet exposures	118,294	112,656	5,638	514	–	514
160	Central banks	224	224	–	–	–	–
170	General governments	3,712	3,383	329	–	–	–
180	Credit institutions	7,892	7,621	271	10	–	10
190	Other financial corporations	37,411	37,119	292	10	–	10
200	Non-financial corporations	66,283	61,599	4,684	494	–	494
210	Households	2,772	2,710	62	–	–	–
220	Total	419,762	409,443	10,319	4,359	–	4,359

Table 120: Performing and non-performing exposures and related provisions (UK CR1) – Solo Consolidation continued

						2023
					Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions				Collateral and financial guarantees received
			Performing exposures – accumulated impairment and provisions		Non-performing exposures – accumulated changes in fair value due to credit risk and	impairment, accumulated negative provisions		Accumulated	On	On non
		\$million	Of which stage 1 \$million	Of which stage 2 \$million	\$million	Of which stage 2 \$million	Of which stage 3 \$million	partial write-off \$million	performing exposures \$million	performing exposures \$million
005	Cash balances at central banks and other demand deposits	–	–	–	–	–	–	–	–	–
010	Loans and advances	(173)	(90)	(83)	(2,131)	–	(2,131)	(3,247)	27,019	510
020	Central banks	–	–	–	(15)	–	(15)	–	1,129	–
030	General governments	(4)	(1)	(3)	(25)	–	(25)	–	664	5
040	Credit institutions	(2)	(1)	(1)	(5)	–	(5)	(27)	877	–
050	Other financial corporations	(6)	(5)	(1)	(23)	–	(23)	(50)	12,075	–
060	Non-financial corporations	(98)	(42)	(56)	(1,979)	–	(1,979)	(3,170)	7,765	288
070	Of which SMEs	(18)	(12)	(6)	(191)	–	(191)	–	554	7
080	Households	(63)	(41)	(22)	(84)	–	(84)	–	4,509	217
090	Debt securities	(24)	(24)	–	(56)	–	(56)	–	36	–
100	Central banks	(2)	(2)	–	–	–	–	–	–	–
110	General governments	(9)	(9)	–	–	–	–	–	–	–
120	Credit institutions	(8)	(8)	–	–	–	–	–	9	–
130	Other financial corporations	(2)	(2)	–	–	–	–	–	–	–
140	Non-financial corporations	(3)	(3)	–	(56)	–	(56)	–	27	–
150	Off-balance-sheet exposures	(46)	(20)	(26)	(87)	–	(87)		3,201	22
160	Central banks	–	–	–	–	–	–		–	–
170	General governments	(2)	(1)	(1)	–	–	–		134	–
180	Credit institutions	(1)	(1)	–	(1)	–	(1)		42	1
190	Other financial corporations	(4)	(3)	(1)	–	–	–		690	–
200	Non-financial corporations	(36)	(13)	(23)	(86)	–	(86)		2,187	21
210	Households	(3)	(2)	(1)	–	–	–		148	–
220	Total	(243)	(134)	(109)	(2,274)	–	(2,274)	(3,247)	30,256	532

Pillar 3 disclosures Annex 1

Table 121: Maturity of exposures (UK CR1-A) – Solo Consolidation

				2024
				Net exposure value
		On demand \$million	<= 1 year \$million	> 1 year <= 5 years \$million	> 5 years \$million	No stated maturity \$million	Total \$million
1	Loans and advances	7,412	101,739	26,002	21,496	–	156,649
2	Debt securities	139	27,849	27,908	45,785	–	101,681
3	Total	7,551	129,588	53,910	67,281	–	258,330
				2023
				Net exposure value
		On demand \$million	<= 1 year \$million	> 1 year <= 5 years \$million	> 5 years \$million	No stated maturity \$million	Total \$million
1	Loans and advances	13,574	105,557	22,899	13,658	–	155,688
2	Debt securities	202	35,265	36,555	32,752	–	104,773
3	Total	13,776	140,822	59,453	46,410	–	260,461

Table 122: Changes in the stock of non-performing loans and advances (UK CR2) – Solo Consolidation

		2024	2023
		Gross carrying	Gross carrying
		amount	amount
		\$million	\$million
010	Initial stock of non-performing loans and advances	3,767	4,715
020	Inflows to non-performing portfolios	601	687
030	Outflows from non-performing portfolios	(1,680)	(1,635)
040	Outflows due to write-offs	(433)	(435)
050	Outflow due to other situations	(1,247)	(1,200)
060	Final stock of non-performing loans and advances	2,688	3,767

Table 123: Credit quality of forborne exposures (UK CQ1) – Solo Consolidation

				Gross carrying amount/nominal amount of exposures with forbearance measures		credit risk and provisions	Accumulated impairment, accumulated negative changes in fair value due to	Collateral received and financial guarantees received on forborne exposures
		Performing forborne		Non-performing forborne		On performing	On non performing		Of which collateral and financial guarantees received on non performing exposures with
		\$million	\$million	Of which defaulted \$million	Of which impaired \$million	forborne exposures \$million	forborne exposures \$million	\$million	forbearance measures \$million
005	Cash balances at central banks and other demand deposits	–	–	–	–	–	–	–	–
010	Loans and advances	15	708	708	708	–	(397)	95	81
020	Central banks	–	–	–	–	–	–	–	–
030	General governments	–	–	–	–	–	–	–	–
040	Credit institutions	–	–	–	–	–	–	–	–
050	Other financial corporations	–	19	19	19	–	(19)	–	–
060	Non-financial corporations	11	688	688	688	–	(378)	92	81
070	Households	4	1	1	1	–	–	3	–
080	Debt Securities	–	–	–	–	–	–	–	–
090	Loan commitments given	–	–	–	–	–	–	–	–
100	Total	15	708	708	708	–	(397)	95	81

Table 123: Credit quality of forborne exposures (UK CQ1) – Solo Consolidation continued

		2023
				Gross carrying amount/nominal amount of exposures with forbearance measures		Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions		Collateral received and financial guarantees received on forborne exposures
		Performing forborne		Non-performing forborne		On performing	On non performing		Of which collateral and financial guarantees received on non performing exposures with
		\$million	\$million	Of which defaulted \$million	Of which impaired \$million	forborne exposures \$million	forborne exposures \$million	\$million	forbearance measures \$million
005	Cash balances at central banks and other demand deposits	–	–	–	–	–	–	–	–
010	Loans and advances	17	912	912	908	(1)	(552)	168	150
020	Central banks	–	–	–	–	–	–	–	–
030	General governments	–	–	–	–	–	–	–	–
040	Credit institutions	–	–	–	–	–	–	–	–
050	Other financial corporations	–	20	20	20	–	(20)	–	–
060	Non-financial corporations	12	890	890	887	(1)	(532)	162	150
070	Households	5	2	2	1	–	–	6	–
080	Debt Securities	–	–	–	–	–	–	–	–
090	Loan commitments given	–	–	–	–	–	–	–	–
100	Total	17	912	912	908	(1)	(552)	168	150

Table 124: Credit quality of performing and non-performing exposures by past due days (UK CQ3) – Solo Consolidation

		2024
			Gross carrying amount/nominal amount
			Performing exposures			Unlikely to pay that				Non-performing exposures
		\$million	Not past due or past due ≤ 30 days \$million	Past due > 30 days ≤ 90 days \$million	\$million	are not past due or are past due ≤ 90 days \$million	Past due > 90 days ≤ 180 days \$million	Past due > 180 days ≤ 1 year \$million	Past due > 1 year ≤ 2 years \$million	Past due > 2 years ≤ 5 years \$million	Past due > 5 years ≤ 7 years \$million	Past due > 7 years \$million	Of which defaulted \$million
005	Cash balances at central banks and other demand deposits	46,333	46,333	–	–	–	–	–	–	–	–	–	–
010	Loans and advances		156,961 156,875	86	2,688	997	370	124	200	393	178	426	2,688
020	Central banks	3,102	3,102	–	–	–	–	–	–	–	–	–	–
030	General governments	10,776	10,776	–	94	50	1	–	–	43	–	–	94
040	Credit institutions	36,609	36,609	–	8	7	1	–	–	–	–	–	8
050	Other financial corporations	58,250	58,250	–	19	1	–	–	3	–	–	15	19
060	Non-financial corporations	39,521	39,496	25	2,177	939	23	120	163	344	177	411	2,177
070	Of which SMEs	3,922	3,917	5	209	51	5	3	8	45	62	35	209
080	Households	8,703	8,642	61	390	–	345	4	34	6	1	–	390
090	Debt securities	81,450	81,450	–	–	–	–	–	–	–	–	–	–
100	Central banks	6,783	6,783	–	–	–	–	–	–	–	–	–	–
110	General governments	34,313	34,313	–	–	–	–	–	–	–	–	–	–
120	Credit institutions	21,396	21,396	–	–	–	–	–	–	–	–	–	–
130	Other financial corporations	18,097	18,097	–	–	–	–	–	–	–	–	–	–
140	Non-financial corporations	861	861	–	–	–	–	–	–	–	–	–	–
150	Off-balance-sheet exposures	137,886			445								445
160	Central banks	111			–								–
170	General governments	4,142			–								–
180	Credit institutions	8,569			17								17
190	Other financial corporations	52,391			1								1
200	Non-financial corporations	69,706			427								427
210	Households	2,967			–								–
220	Total	422,630 284,658		86	3,133	997	370	124	200	393	178	426	3,133

Table 124: Credit quality of performing and non-performing exposures by past due days (UK CQ3) – Solo Consolidation

		2023
								Gross carrying amount/nominal amount
			Performing exposures			Non-performing exposures
		\$million	Not past due or past due ≤ 30 days \$million	Past due > 30 days ≤ 90 days \$million	\$million	Unlikely to pay that are not past due or are past due ≤ 90 days \$million	Past due > 90 days ≤ 180 days \$million	Past due > 180 days ≤ 1 year \$million	Past due > 1 year ≤ 2 years \$million	Past due > 2 years ≤ 5 years \$million	Past due > 5 years ≤ 7 years \$million	Past due > 7 years \$million	Of which defaulted \$million
005	Cash balances at central banks and other demand deposits	52,588	52,588	–	2	2	–	–	–	–	–	–	2
010	Loans and advances	157,246	157,149	97	3,767	1,615	353	141	180	756	302	420	3,767
020	Central banks	2,890	2,890	–	224	224	–	–	–	–	–	–	224
030	General governments	7,497	7,497	–	131	52	–	5	5	69	–	–	131
040	Credit institutions	34,718	34,718	–	9	9	–	–	–	–	–	–	9
050	Other financial corporations	59,707	59,707	–	25	3	–	–	–	6	–	16	25
060	Non-financial corporations	43,502	43,463	39	2,980	1,319	14	127	165	649	302	404	2,980
070	Of which SMEs	4,041	4,035	6	288	73	6	3	10	108	60	28	288
080	Households	8,932	8,874	58	398	8	339	9	10	32	–	–	398
090	Debt securities	91,634	91,634	–	76	76	–	–	–	–	–	–	76
100	Central banks	4,770	4,770	–	–	–	–	–	–	–	–	–	–
110	General governments	38,928	38,928	–	–	–	–	–	–	–	–	–	–
120	Credit institutions	28,912	28,912	–	–	–	–	–	–	–	–	–	–
130	Other financial corporations	14,663	14,663	–	–	–	–	–	–	–	–	–	–
140	Non-financial corporations	4,361	4,361	–	76	76	–	–	–	–	–	–	76
150	Off-balance-sheet exposures	118,294			514								514
160	Central banks	224			–								–
170	General governments	3,712			–								–
180	Credit institutions	7,892			10								10
190	Other financial corporations	37,411			10								10
200	Non-financial corporations	66,283			494								494
210	Households	2,772			–								–
220	Total	419,762	301,371	97	4,359	1,693	353	141	180	756	302	420	4,359

Table 125: Quality of non-performing exposures by geography (UK CQ4) – Solo Consolidation

					2024
			Gross carrying amount				Provisions on off-balance sheet	Accumulated negative changes in fair value due to credit
			Of which non-performing		Of which loans		commitments and financial	risk on non
		\$million	\$million	Of which defaulted \$million	and advances subject to impairment	Accumulated impairment \$million	guarantees given \$million	performing exposures \$million
010	On-balance-sheet exposures	287,432		2,688		(1,810)		–
020	United Kingdom	33,133		13		(26)		–
030	United States	77,305		2		(7)		–
040	India	22,645		409		(364)		–
050	Japan	15,915		–		(11)		–
060	Other countries	138,434		2,264		(1,402)		–
070	Off-balance-sheet exposures	138,331		445			(149)
090	United Kingdom	17,380		5			(6)
100	United States	49,251		–			(9)
110	India	9,992		77			(56)
120	Japan	1,591		–			(1)
140	Other countries	60,117		363			(77)
150	Total	425,763		3,133		(1,810)	(149)	–

		\$million	Gross carrying amount Of which non-performing \$million	Of which defaulted \$million	Of which loans and advances subject to impairment	Accumulated impairment \$million	Provisions on off-balance sheet commitments and financial guarantees given \$million	Accumulated negative changes in fair value due to credit risk on non-performing exposures \$million
010	On-balance-sheet exposures	305,313		3,845		(2,384)		–
020	United Kingdom	43,358		3		(120)		–
030	United States	84,422		2		(8)		–
040	India	25,071		655		(595)		–
050	Japan	19,431		–		(8)		–
060	Other countries	133,031		3,185		(1,653)		–
070	Off-balance-sheet exposures	118,808		514			–
090	United Kingdom	45,801		104			–
100	United States	40,984		15			–
110	India	10,251		81			–
120	United Arab Emirates	11,507		195			–
140	Other countries	10,265		119			–
150	Total	424,121		4,359		(2,516)	–	–

2023

Table 126: Credit quality of loans and advances to non-financial corporations by industry (UK CQ5) – Solo Consolidation

		2024
			Gross carrying amount		Accumulated negative changes in fair value
			Of which non-performing				due to credit risk on non performing exposures \$million
		\$million	\$million	Of which defaulted \$million	Of which loans and advances subject to impairment	Accumulated impairment \$million
005	Cash balances at central banks and other demand deposits	45,066		–		–	–
010	Agriculture, forestry and fishing	144		6		(7)	–
020	Mining and quarrying	3,037		218		(200)	–
030	Manufacturing	15,395		920		(547)	–
040	Electricity, gas, steam and air conditioning supply	3,415		187		(61)	–
050	Water supply	116		–		(1)	–
060	Construction	717		90		(93)	–
070	Wholesale and retail trade	9,941		436		(294)	–
080	Transport and storage	1,835		61		(29)	–
090	Accommodation and food service activities	685		65		(11)	–
100	Information and communication	1,251		32		(77)	–
110	Financial and insurance activities	–		–		–	–
120	Real estate activities	4,215		140		(84)	–
130	Professional, scientific and technical activities	361		6		(6)	–
140	Administrative and support service activities	343		16		(12)	–
150	Public administration and defence, compulsory social security	–		–		–	–
160	Education	11		–		–	–
170	Human health services and social work activities	196		–		–	–
180	Arts, entertainment and recreation	22		–		–	–
190	Other services	14		–		(132)	–
200	Total	41,698		2,177		(1,554)	–
210	Households	9,093		390		(165)	–
220	Total	95,857		2,567		(1,719)	–

Table 126: Credit quality of loans and advances to non-financial corporations by industry (UK CQ5) – Solo Consolidation continued

		2023
			Gross carrying amount			Accumulated negative changes in fair value
			Of which non-performing		due to credit risk
		\$million	\$million	Of which defaulted \$million	Of which loans and advances subject to impairment	Accumulated impairment \$million	on non performing exposures \$million
005	Cash balances at central banks and other demand deposits	52,590		2		–	–
010	Agriculture, forestry and fishing	193		49		(40)	–
020	Mining and quarrying	3,699		287		(53)	–
030	Manufacturing	19,699		769		(692)	–
040	Electricity, gas, steam and air conditioning supply	3,047		239		(85)	–
050	Water supply	129		1		(1)	–
060	Construction	1,144		233		(221)	–
070	Wholesale and retail trade	8,122		640		(367)	–
080	Transport and storage	2,320		106		(51)	–
090	Accommodation and food service activities	800		101		(22)	–
100	Information and communication	1,343		71		(86)	–
110	Financial and insurance activities	68		–		(1)	–
120	Real estate activities	5,098		453		(430)	–
130	Professional, scientific and technical activities	280		5		(4)	–
140	Administrative and support service activities	258		15		(6)	–
150	Public administration and defence, compulsory social security	–		–		–	–
160	Education	47		–		(1)	–
170	Human health services and social work activities	133		11		(1)	–
180	Arts, entertainment and recreation	6		–		–	–
190	Other services	96		–		(15)	–
200	Total	46,482		2,980		(2,076)	–
210	Households	9,330		398		(148)	–
220	Total	108,402		3,380		(2,224)	–

Table 127: CRM techniques overview: Disclosure of the use of credit risk mitigation techniques (UK CR3) – Solo Consolidation

				2024
		Exposures unsecured \$million	Exposures secured \$million	of which secured by collateral \$million	of which secured by financial guarantees \$million	of which secured by credit derivatives \$million
1	Total loans	177,675	26,514	22,163	4,351	–
2	Total debt securities	81,382	51	31	20
3	Total exposures	259,057	26,565	22,194	4,371	–
4	Of which non-performing exposures	741	367	367	–	–
5	Of which defaulted	741	367

				2023
		Exposures unsecured \$million	Exposures secured \$million	of which secured by collateral \$million	of which secured by financial guarantees \$million	of which secured by credit derivatives \$million
1	Total loans	183,771	27,529	24,604	2,925	–
2	Total debt securities	91,594	35	26	9
3	Total exposures	275,365	27,564	24,630	2,934	–
4	Of which non-performing exposures	1,148	510	424	86	–
5	Of which defaulted	1,148	510

Table 128: Standardised approach – Credit risk exposure and CRM effects (UK CR4) – Solo consolidation

				2024
		Exposures before CCF and CRM1		Exposures post CCF and CRM			RWA and RWA density
		On-balance sheet \$million	Off-balance sheet \$million	On-balance sheet \$million	Off-balance sheet \$million	RWA \$million	RWA density %
	Standardised Exposure Class
1	Central governments or central banks	14,116	189	14,926	718	746	5
2	Multilateral development banks	15,028	806	17,241	46	70	–
6	Institutions	6	138	–	–	–	–
7	Corporates	4,949	4,430	3,259	622	3,167	82
8	Retail	2,959	1,435	2,889	68	2,059	70
9	Secured on real estate property	4,799	183	4,799	105	2,509	51
10	Exposures in default	123	9	123	6	128	99
11	Items belonging to regulatory high risk categories	163	248	149	25	260	149
15	Equity	1,865	–	1,865	–	4,661	250
16	Other items2	10,787	10	5,080	10	3,125	61
17	Total Standardised3	54,795	7,448	50,331	1,600	16,725	32

		2023
		Exposures before CCF and CRM1		Exposures post CCF and CRM		RWA and RWA density
		On-balance sheet \$million	Off-balance sheet \$million	On-balance sheet \$million	Off-balance sheet \$million	RWA \$million	RWA density %
	Standardised Exposure Class
1	Central governments or central banks	9,578	65,375	11,394	713	970	8.01
4	Multilateral development banks	13,264	17,005	15,101	47	189	1.25
6	Institutions	848	1,182	655	–	175	26.72
7	Corporates	5,447	7,008	2,956	545	2,815	80.41
8	Retail	3,094	2,640	3,041	269	2,232	67.43
9	Secured on real estate property	4,537	213	4,537	119	2,377	51.05
10	Exposures in default	104	7	104	5	109	100.00
11	Items belonging to regulatory high risk categories	425	441	354	43	595	149.87
15	Equity	1,834	–	1,834	–	4,584	249.95
16	Other items	9,466	3,674	6,788	70	2,744	40.01
17	Total Standardised3	48,597	97,545	46,764	1,811	16,790	34.57

1 EAD before the effect of collateral and substitution.

2 Other items include public sector entities.

3 Refer to table 136 (OV1): Standardised approach \$11,425 million and amount below threshold for deduction \$5,427 million RWA

Liquidity – Standard Chartered – Solo consolidated

Table 129: Liquidity Coverage Ratio (LCR) (UK LIQ1) – Solo consolidation

		2024
			Total unweighted value (average)					Total weighted value (average)
		31.03.24 \$million	30.06.24 \$million	30.09.24 \$million	31.12.24 \$million	31.03.24 \$million	30.06.24 \$million	30.09.24 \$million	31.12.24 \$million
	Number of data points used in the calculation of averages	12	12	12	12	12	12	12	12
	High-Quality Liquid Assets
1	Total High-Quality Liquid Assets (HQLA)					103,106	98,688	92,637	90,026
	Cash outflows
2	Retail deposits and deposits from small business customers,
3	of which: Stable deposits	13,172 605	13,420 669	13,713 692	14,048 649	1,433 30	1,462 33	1,518 35	1,629 32
4	Less stable deposits	12,567	12,752	13,021	13,399	1,403	1,429	1,483	1,597
5	Unsecured wholesale funding,
	of which:	114,034	111,473	111,342	112,986	61,167	59,585	58,323	58,065
6	Operational deposits (all counterparties) and deposits in networks of cooperative banks	33,856	32,836	33,261	34,455	8,462	8,207	8,314	8,612
7	Non-operational deposits (all counterparties)	75,679	74,484	74,635	75,603	48,208	47,224	46,564	46,525
8	Unsecured debt	4,498	4,153	3,445	2,928	4,498	4,153	3,445	2,928
9	Secured wholesale funding					6,068	6,324	6,693	7,165
10	Additional requirements	63,961	64,425	65,300	66,789	21,547	20,849	21,170	22,193
11	Outflows related to derivative exposures and other collateral requirements	15,433	16,353	17,495	18,820	12,126	11,609	12,012	12,900
12	Outflows related to loss of funding on debt products	–	–	–	–	–	–	–	–
13	Credit and liquidity facilities	48,528	48,072	47,805	47,969	9,421	9,240	9,158	9,293
14	Other contractual funding obligations	4,966	4,751	5,087	5,363	2,682	2,975	3,105	3,140
15	Other contingent funding obligations	96,129	97,467	98,917	99,574	455	567	706	745
16	Total cash outflows					93,354	91,762	91,515	92,938
	Cash inflows
17	Secured lending (e.g. reverse repos)	53,322	53,445	57,577	62,593	6,135	6,843	7,913	8,892
18	Inflows from fully performing
	exposures	16,408	15,854	16,320	16,894	14,693	14,067	14,357	14,706
19	Other cash inflows	10,615	11,366	11,806	12,433	8,407	9,097	9,473	10,220
	UK-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)					–	–	–	–
	UK-19b (Excess inflows from a related specialised credit institutions)					–	–	–	–
20	Total cash inflows	80,346	80,666	85,703	91,919	29,235	30,007	31,742	33,818
	UK-20aFully exempt inflows	–	–	–	–	–	–	–	–
	UK-20bInflows subject to 90% cap	–	–	–	–	–	–	–	–
	UK-20c Inflows subject to 75% cap	73,980	74,661	78,900	84,084	29,235	30,007	31,742	33,818
	Total adjusted value
21	Liquidity buffer					103,106	98,688	92,637	90,026
22	Total net cash outflows					64,119	61,755	59,773	59,120
23	Liquidity coverage ratio (%)					161%	160%	155%	152.7%

Table 129: Liquidity Coverage Ratio (LCR) (UK LIQ1) – Solo consolidation continued

Total unweighted value (average) Total weighted value (average) 31.03.23 30.06.23 30.09.23 31.12.23 31.03.23 30.06.23 30.09.23 31.12.23 \$million \$million \$million \$million \$million \$million \$million \$million Number of data points used in the calculation of averages 12 12 12 12 12 12 12 12 High-Quality Liquid Assets 1 Total High-Quality Liquid Assets (HQLA) 98,019 97,547 100,520 103,210 Cash outflows 2 Retail deposits and deposits from small business customers, of which: 13,181 12,905 12,936 12,981 1,415 1,425 1,414 1,408 3 Stable deposits 689 457 486 539 34 23 24 27 4 Less stable deposits 12,492 12,449 12,450 12,442 1,380 1,403 1,390 1,381 5 Unsecured wholesale funding, of which: 117,013 115,636 116,194 114,504 61,530 60,225 61,185 60,912 6 Operational deposits (all counterparties) and deposits in networks of cooperative banks 41,216 40,010 37,967 36,435 10,301 9,999 9,489 9,106 7 Non-operational deposits (all counterparties) 72,219 72,137 74,317 73,756 47,652 46,737 47,787 47,494 8 Unsecured debt 3,578 3,489 3,909 4,312 3,578 3,489 3,909 4,312 9 Secured wholesale funding 5,196 5,225 5,629 5,893 10 Additional requirements 61,296 60,874 61,496 62,723 22,813 22,253 21,960 21,766 11 Outflows related to derivative exposures and other collateral requirements 12,606 12,301 13,026 14,036 12,606 12,301 12,237 12,143 12 Outflows related to loss of funding on debt products – – – – – – – – 13 Credit and liquidity facilities 48,689 48,572 48,470 48,687 10,206 9,952 9,724 9,623 14 Other contractual funding obligations 6,903 7,084 6,539 5,940 2,222 2,346 2,481 2,613 15 Other contingent funding obligations 91,487 92,794 93,913 94,428 266 240 254 344 16 Total cash outflows 93,442 91,716 92,924 92,936 Cash inflows 17 Secured lending (e.g. reverse repos) 56,837 57,846 58,096 55,740 5,972 6,276 6,370 6,063 18 Inflows from fully performing exposures 17,174 17,785 17,173 16,651 14,977 15,674 15,243 14,788 19 Other cash inflows 12,659 11,525 10,996 10,503 10,206 9,234 8,780 8,325 UK-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) – – – – UK-19b (Excess inflows from a related specialised credit institutions) – – – – 20 Total cash inflows 86,671 87,157 86,265 82,894 31,155 31,183 30,394 29,175 UK-20aFully exempt inflows – – – – – – – – UK-20bInflows subject to 90% cap – – – – – – – – UK-20c Inflows subject to 75% cap 78,027 79,348 78,558 76,282 31,155 31,183 30,394 29,175 Total adjusted value 21 Liquidity buffer 98,019 97,547 100,520 103,210 22 Total net cash outflows 62,287 60,533 62,530 63,761			2023
	23	Liquidity coverage ratio (%)					158%	161%	161%	162%

Table 130: Net Stable Funding Ratio (UK LIQ2) – Solo consolidation

		2024
			Unweighted value by residual maturity			Weighted
		No maturity \$million	< 6 months \$million	6 months to < 1yr \$million	≥ 1yr \$million	value (average) \$million
	Available stable funding (ASF) Items
1	Capital items and instruments	28,465	771	1,044	9,349	38,336
2	Own funds	28,465	771	1,044	9,349	38,336
3	Other capital instruments		–	–	–	–
4	Retail deposits		11,618	1,419	945	12,707
5	Stable deposits		494	69	68	603
6	Less stable deposits		11,123	1,350	878	12,104
7	Wholesale funding:		205,334	24,064	37,116	96,853
8	Operational deposits		33,626	–	–	16,813
9	Other wholesale funding		171,708	24,064	37,116	80,040
10	Interdependent liabilities		3,302	123	13	–
11	Other liabilities:	266	22,686	367	618	802
12	NSFR derivative liabilities	266
13	All other liabilities and capital instruments not included in the above categories		22,686	367	618	802
14	Total available stable funding (ASF)					148,699
	Required stable funding (RSF) Items
15	Total high-quality liquid assets (HQLA)					4,173
	UK-15a Assets encumbered for more than 12m in cover pool		–	–	–	–
16	Deposits held at other financial institutions for operational purposes		1,028	–	–	514
17	Performing loans and securities:		105,046	26,635	57,982	86,349
18	Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut		20,656	920	1,913	3,859
19	Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions		48,466	13,751	13,477	25,401
20	Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:		14,155	5,154	22,420	28,941
21	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		938	1,184	–	1,131
22	Performing residential mortgages, of which:		683	66	1,858	1,593
23	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk		681	61	1,806	1,545
24	Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products		21,085	6,743	18,315	26,555
25	Interdependent assets		–	–	3,438	–
26	Other assets:	–	28,906	1,055	27,890	27,419
27	Physical traded commodities				2,087	1,774
28	Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs		–	–	8,220	6,987
29	NSFR derivative assets		56	–	–	56
30	NSFR derivative liabilities before deduction of variation margin posted		12,557	–	–	628
31	All other assets not included in the above categories		16,293	1,055	17,584	17,974
32	Off-balance sheet items		23,617	17,867	53,980	4,045
33	Total RSF					122,499
34	Net Stable Funding Ratio (%)					121.4%

Table 130: Net Stable Funding Ratio (UK LIQ2) – Solo consolidation continued

Unweighted value by residual maturity Weighted 6 months value No maturity < 6 months to < 1yr ≥ 1yr (average) \$million \$million \$million \$million \$million Available stable funding (ASF) Items 1 Capital items and instruments 27,860 – – 12,422 40,282 2 Own funds 27,860 – – 12,422 40,282 3 Other capital instruments – – – – 4 Retail deposits 11,032 1,486 779 12,076 5 Stable deposits 539 69 62 639 6 Less stable deposits 10,493 1,417 717 11,437 7 Wholesale funding: 227,203 23,931 37,166 101,378 8 Operational deposits 33,487 – – 16,743 9 Other wholesale funding 193,716 23,931 37,166 84,634 10 Interdependent liabilities – – – – 11 Other liabilities: 109 23,279 497 499 747 12 NSFR derivative liabilities 109 13 All other liabilities and capital instruments not included in the above categories 23,279 497 499 747 14 Total available stable funding (ASF) 154,482 Required stable funding (RSF) Items 15 Total high-quality liquid assets (HQLA) 3,679 UK-15a Assets encumbered for more than 12m in cover pool – – – – 16 Deposits held at other financial institutions for operational purposes 1,021 – – 511 17 Performing loans and securities: 103,847 24,082 59,273 88,313 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut 21,655 913 1,103 2,195 19 Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions 46,720 14,453 12,354 27,814 20 Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: 12,803 3,317 23,347 28,147 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk 1,415 375 – 907 22 Performing residential mortgages, of which: 650 57 1,920 1,643 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk 641 37 1,713 1,452 24 Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products 22,020 5,342 20,549 28,515 25 Interdependent assets – – – – 26 Other assets: – 30,438 99 31,381 30,291 27 Physical traded commodities 6,297 5,353 28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs – – 7,270 6,180 29 NSFR derivative assets 179 – – 179 30 NSFR derivative liabilities before deduction of variation margin posted 12,567 – – 628 31 All other assets not included in the above categories 17,693 99 17,814 17,951 32 Off-balance sheet items 23,503 16,212 54,564 4,003 33 Total RSF 126,796 34 Net Stable Funding Ratio (%) 121.9%		2023

Remuneration – Standard Chartered – Solo consolidated

Table 131: Remuneration awarded for the financial year – Solo Consolidation (UK REM1)

		2024					2023
		MB Supervisory function \$million	MB Management function \$million	Other senior management \$million	Other identified staff \$million	MB Supervisory function \$million	MB Management function \$million	Other senior management \$million	Other identified staff \$million
	Fixed remuneration
1	Number of identified staff	10	2	16	666	12	3	14	657
2	Total fixed remuneration	4	6	35	364	4	8	30	364
3	Of which: cash-based	4	4	35	364	4	6	30	364
	UK-4a Of which: shares or equivalent ownership interests	–	2	–	–	–	2	–	–
5	Of which: share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
UK-5x	Of which: other instruments	–	–	–	–	–	–	–	–
7	Of which: other forms	–	–	–	–	–	–	–	–
	Variable remuneration
9	Number of identified staff	10	2	16	666	12	3	14	657
10	Total variable remuneration	–	18	45	397	–	9	46	344
11	Of which: cash-based	–	2	17	200	–	2	18	172
12	Of which: deferred	–	1	9	104	–	1	8	88
	UK-13a Of which: shares or equivalent ownership interests	–	16	28	197	–	7	28	172
	UK-14a Of which: deferred	–	16	19	106	–	5	19	91
	UK-13b Of which: share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
	UK-14b Of which: deferred	–	–	–	–	–	–	–	–
	UK-14x Of which: other instruments	–	–	–	–	–	–	–	–
	UK-14y Of which: deferred	–	–	–	–	–	–	–	–
15	Of which: other forms	–	–	–	–	–	–	–	–
16	Of which: deferred	–	–	–	–	–	–	–	–
17	Total remuneration (2 + 10)	4	24	80	761	4	18	76	708

Table 132: Special payments to staff whose professional activities have a material impact on institutions' risk profile (identified staff) – Solo Consolidation (UK REM2)

			2024
		MB Supervisory function \$million	MB Management function \$million	Other senior management \$million	Other identified staff \$million
	Guaranteed variable remuneration awards
1	Guaranteed variable remuneration awards – Number of identified staff	–	–	–	4
2	Guaranteed variable remuneration awards -Total amount	–	–	–	3
3	Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
	Severance payments awarded in previous periods, that have been paid out during the financial year
4	Severance payments awarded in previous periods, that have been paid out during the financial year – Number of identified staff	–	–	–	–
5	Severance payments awarded in previous periods, that have been paid out during the financial year – Total amount	–	–	–	–
	Severance payments awarded during the financial year
6	Severance payments awarded during the financial year – Number of identified staff	–	–	–	–
7	Severance payments awarded during the financial year – Total amount	–	–	–	–
8	Of which paid during the financial year	–	–	–	–
9	Of which deferred	–	–	–	–
10	Of which severance payments paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
11	Of which highest payment that has been awarded to a single person	–	–	–	–
		2023
		MB Supervisory function \$million	MB Management function \$million	Other senior management \$million	Other identified staff \$million
	Guaranteed variable remuneration awards
1	Guaranteed variable remuneration awards – Number of identified staff	–	–	–	3

	staff	–	–	–	3
2	Guaranteed variable remuneration awards -Total amount	–	–	–	2
3	Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
	Severance payments awarded in previous periods, that have been paid out during the financial year
4	Severance payments awarded in previous periods, that have been paid out during the financial year – Number of identified staff	–	–	–	–
5	Severance payments awarded in previous periods, that have been paid out during the financial year – Total amount	–	–	–	–
	Severance payments awarded during the financial year
6	Severance payments awarded during the financial year – Number of identified staff	–	–	–	–
7	Severance payments awarded during the financial year – Total amount	–	–	–	–
8	Of which paid during the financial year	–	–	–	–
9	Of which deferred	–	–	–	–
10	Of which severance payments paid during the financial year, that are not taken into account in the bonus cap	–	–	–	–
11	Of which highest payment that has been awarded to a single person	–	–	–	–

Table 133: Deferred remuneration – Solo Consolidation (UK REM3)

			20241
	Deferred and retained remuneration	Total amount of deferred remuneration awarded for previous performance periods \$million	Of which due to vest in the financial year \$million	Of which vesting in subsequent financial years \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year1 \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years \$million	Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e. changes of value of deferred remuneration due to the changes of prices of instruments \$million	Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year \$million	Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods \$million
1	MB Supervisory function	1	–	1	–	–	–	–	–
2	Cash-based	–	–	–	–	–	–	–	–
3	Shares or equivalent ownership interests	1	–	1	–	–	–	–	–
4	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
5	Other instruments	–	–	–	–	–	–	–	–
6	Other forms	–	–	–	–	–	–	–	–
7	MB Management function	44	7	37	(4)	–	15	3	3
8	Cash-based	–	–	–	–	–	–	–	–
9	Shares or equivalent ownership interests	44	7	37	(4)	–	15	3	3
10	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
11	Other instruments	–	–	–	–	–	–	–	–
12	Other forms	–	–	–	–	–	–	–	–
13	Other senior management	185	43	142	(9)	–	50	18	11
14	Cash-based	34	6	28	–	–	–	4	–
15	Shares or equivalent ownership interests	151	37	114	(9)	–	50	14	11
16	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
17	Other instruments	–	–	–	–	–	–	–	–
18	Other forms	–	–	–	–	–	–	–	–
19	Other identified staff	709	175	534	(3)	–	154	164	63
20	Cash-based	247	58	189	–	–	–	55	–
21	Shares or equivalent ownership interests	408	104	304	(3)	–	136	96	57
22	Share-linked instruments or equivalent non-cash instruments	54	13	41	–	–	18	13	6
23	Other instruments	–	–	–	–	–	–	–	–
24	Other forms	–	–	–	–	–	–	–	–
25	Total amount	939	225	714	(16)	–	219	185	77

1 Includes LTIP award lapse following testing of performance conditions

Table 133: Deferred remuneration – Solo Consolidation (UK REM3) continued

						20231
	Deferred and retained remuneration	Total amount of deferred remuneration awarded for previous performance periods \$million	Of which due to vest in the financial year \$million	Of which vesting in subsequent financial years \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year1 \$million	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years \$million	Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e. changes of value of deferred remuneration due to the changes of prices of instruments \$million	Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year \$million	Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods \$million
1	MB Supervisory function	–	–	–	–	–	–	–	–
2	Cash-based	–	–	–	–	–	–	–	–
3	Shares or equivalent ownership interests	–	–	–	–	–	–	–	–
4	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
5	Other instruments	–	–	–	–	–	–	–	–
6	Other forms	–	–	–	–	–	–	–	–
7	MB Management function	43	10	33	(7)	–	2	3	2
8	Cash-based	–	–	–	–	–	–	–	–
9	Shares or equivalent ownership interests	43	10	33	(7)	–	2	3	2
10	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
11	Other instruments	–	–	–	–	–	–	–	–
12	Other forms	–	–	–	–	–	–	–	–
13	Other senior management	118	16	102	(5)	–	4	10	6
14	Cash-based	28	4	25	–	–	–	4	–
15	Shares or equivalent ownership interests	89	12	77	(5)	–	4	7	6
16	Share-linked instruments or equivalent non-cash instruments	–	–	–	–	–	–	–	–
17	Other instruments	–	–	–	–	–	–	–	–
18	Other forms	–	–	–	–	–	–	–	–
19	Other identified staff	484	126	358	–	–	11	120	44
20	Cash-based	215	51	164	–	–	–	49	–
21	Shares or equivalent ownership interests	235	64	171	–	–	9	61	38
22	Share-linked instruments or equivalent non-cash instruments	34	10	24	–	–	1	9	5
23	Other instruments	–	–	–	–	–	–	–	–
24	Other forms	–	–	–	–	–	–	–	–
25	Total amount	644	151	493	(12)	–	16	133	51

1 Includes LTIP award lapse following testing of performance conditions

Annex 1

Table 134: Remuneration of 1 million EUR or more per year – Solo Consolidation (UK REM4)

		2024	2023
EUR		Identified staff that are high earners as set out in Article 450(i) CRR Number of employees	Identified staff that are high earners as set out in Article 450(i) CRR Number of employees
1	1,000,000 to below 1,500,000	164	150
2	1,500,000 to below 2,000,000	54	40
3	2,000,000 to below 2,500,000	25	26
4	2,500,000 to below 3,000,000	16	10
5	3,000,000 to below 3,500,000	10	10
6	3,500,000 to below 4,000,000	5	6
7	4,000,000 to below 4,500,000	5	3
8	4,500,000 to below 5,000,000	3	3
9	5,000,000 to below 6,000,000	3	4
10	6,000,000 to below 7,000,000	3	1
11	7,000,000 to below 8,000,000	2	–
12	8,000,000 to below 9,000,000	1	1
13	9,000,000 to below 10,000,000	–	1
14	10,000,000 to below 11,000,000	–	1
15	13,000,000 to below 14,000,000	–	1
16	14,000,000 to below 15,000,000	2	–
	Total	293	257

Table 135: Information on remuneration of staff whose professional activities have a material impact on institutions' risk profile (identified staff) – Solo Consolidation (UK REM5)

		2024
			Management body remuneration		Business areas
		MB Supervisory function \$million	MB Management function \$million	Total MB \$million	Investment banking \$million	Retail banking \$million	Asset management \$million
1	Total number of identified staff
2	Of which: members of the MB	10	2	12
3	Of which: other senior management				3	1	–
4	Of which: other identified staff				365	54	–
5	Total remuneration of identified staff	4	24	28	501	76	–
6	Of which: variable remuneration	–	18	18	282	43	–
7	Of which: fixed remuneration	4	6	10	219	33	–

		2024
			Business areas
		Corporate functions \$million	Independent internal control functions \$million	All other \$million	Total \$million
1	Total number of identified staff				694
2	Of which: members of the MB
3	Of which: other senior management	8	3	1
4	Of which: other identified staff	120	114	13
5	Total remuneration of identified staff	198	78	16
6	Of which: variable remuneration	98	30	7
7	Of which: fixed remuneration	100	48	9

		2023
			Management body remuneration		Business areas
		MB Supervisory function \$million	MB Management function \$million	Total MB \$million	Investment banking \$million	Retail banking \$million	Asset management \$million
1	Total number of identified staff
2	Of which: members of the MB	12	3	15
3	Of which: other senior management				3	1	–
4	Of which: other identified staff				336	38	8
5	Total remuneration of identified staff	4	18	22	455	54	8
6	Of which: variable remuneration	–	9	9	240	29	4
7	Of which: fixed remuneration	4	8	13	215	26	4

		Corporate functions \$million	Independent internal control functions \$million	All other \$million	Total \$million
1	Total number of identified staff				686
2	Of which: members of the MB
3	Of which: other senior management	7	2	1
4	Of which: other identified staff	140	126	9
5	Total remuneration of identified staff	191	85	12
6	Of which: variable remuneration	89	31	5
7	Of which: fixed remuneration	102	53	7

Annex 1

Table 136: Overview of RWA – Significant Subsidiaries

				2024
	Standard Chartered – Solo consolidation		Standard Chartered Bank (HK) Ltd1		Standard Chartered Bank Korea Ltd			Standard Chartered Bank (Singapore) Ltd
	Risk weighted assets	Regulatory capital requirement	Risk weighted assets	Regulatory capital requirement	Risk weighted assets	Regulatory capital requirement	Risk weighted assets	Regulatory capital requirement
Local Regulator	\$million PRA	\$million	\$million HKMA	\$million	\$million FSS	\$million	\$million MAS	\$million
Credit risk (excluding CCR)2	65,425	5,234	38,130	3,050	13,097	1,048	22,018	1,762
Of which the standardised approach	11,425	914	2,238	179	4,372	350	13,685	1,095
Of which slotting approach	2,313	185	3,741	299	–	–	–	–
Of which the advanced IRB (AIRB)
approach	51,688	4,135	32,151	2,572	8,725	698	8,333	667
Of which the foundation IRB (FIRB) approach	–	–	–	–	–	–	10,613	849
Counterparty credit risk – CCR3	15,638	1,251	4,145	332	4,762	380	1,686	135
Of which the standardised approach	2,435	195	2,333	187	3,317	265	1,606	129
Of which internal model method (IMM)	7,798	624	–	–	–	–	–	–
Of which exposures to a CCP	717	57	–	–	5	–	–	–
Of which credit valuation adjustment – CVA	1,824	146	1,252	100	1,440	115	856	68
Of which other CCR	2,864	229	560	45	–	–	80	6
Settlement risk	–	–	–	–	–	–	–	–
Securitisation exposures in the banking book	3,712	297	632	51	–	–	155	12
Of which SEC-IRBA approach	1,671	134	31	2	–	–	–	–
Of which SEC-ERBA (including IAA)	1,599	128	524	42	–	–	143	11
Of which SEC-SA approach	442	35	76	6	–	–	12	1
Of which 1250%/deduction	–	–	–	–	–	–	–	–
Position, foreign exchange and commodities risks (Market risk)	21,914	1,753	6,900	552	945	76	5,140	411
Of which the standardised approach	7,905	632	2,226	178	945	76	5,140	411
Of which IMA	14,008	1,121	4,673	374	–	–	–	–
Large exposures	–	–	–	–	–	–	–	–
Operational risk	14,258	1,141	8,159	653	1,957	157	4,996	400
Of which standardised approach	14,258	1,141	8,159	653	1,957	157	4,996	400
Amounts below the thresholds for deduction (subject to 250% risk weight)	5,427	434	1,388	111	64	5	–	–
Floor Adjustment	–	–	–	–	–	–	–	–
Total	126,375	10,110	59,351	4,748	20,826	1,666	45,464	3,569

1 Standard Chartered Bank (Hong Kong) Ltd follows local disclosure rules for the OV1 table above, the net impact is \$2,284million. Total RWA: \$61,625 million (\$59,351 million + \$2,284 million)

2 Credit risk (including counterparty credit risk) includes Non-credit obligation assets

3 Counterparty credit risk includes assets which are assessed under both IRB and Standardised approaches

Table 136: Overview of RWA – Significant Subsidiaries continued

2023
	Standard Chartered – Solo consolidation		Standard Chartered Bank (HK) Ltd1		Standard Chartered Bank Korea Ltd		Standard Chartered Bank (Singapore) Ltd
	Risk weighted assets \$million	Regulatory capital requirement \$million	Risk weighted assets \$million	Regulatory capital requirement \$million	Risk weighted assets \$million	Regulatory capital requirement \$million	Risk weighted assets \$million	Regulatory capital requirement \$million
Local Regulator	PRA		HKMA		FSS		MAS
Credit risk (excluding CCR)2	66,630	5,330	40,774	3,262	15,370	1,230	28,714	2,297
Of which the standardised approach	11,038	883	2,597	208	5,244	420	11,000	880
Of which slotting approach	1,999	160	2,428	194	–	–	–	–
Of which the advanced IRB (AIRB) approach	53,593	4,287	35,749	2,860	10,126	810	17,714	1,417
Counterparty credit risk – CCR3	14,087	1,127	3,504	281	3,103	248	2,018	162
Of which the standardised approach	2,476	198	1,977	158	2,087	167	1,220	98
Of which internal model method (IMM)	7,080	566	–	–	–	–	–	–
Of which exposures to a CCP	719	58	–	–	7	1	–	–
Of which credit valuation adjustment – CVA	1,381	110	1,145	92	1,009	81	509	41
Of which other CCR	2,431	194	382	31	–	–	289	23
Settlement risk	–	–	–	–	–	–	–	–
Securitisation exposures in the banking book	4,457	357	670	54	–	–	294	24
Of which SEC-IRBA approach	2,002	160	73	6	–	–	–	–
Of which SEC-ERBA (including IAA)	2,161	173	571	46	–	–	294	24
Of which SEC-SA approach	294	24	27	2	–	–	–	–
Of which 1250%/deduction	–	–	–	–	–	–	–	–
Position, foreign exchange and commodities risks (Market risk)	18,436	1,475	3,187	255	1,034	83	4,812	385
Of which the standardised approach	7,077	566	1,215	97	1,034	83	4,812	385
Of which IMA	11,360	909	1,972	158	–	–	–	–
Large exposures	–	–	–	–	–	–	–	–
Operational risk	13,045	1,044	7,842	627	1,388	111	5,508	441
Of which standardised approach	13,045	1,044	7,842	627	1,388	111	5,508	441
Amounts below the thresholds for deduction (subject to 250% risk weight)	5,753	460	1,376	110	117	9	–	–
Floor Adjustment	–	–	–	–	–	–	–	–
Total	122,408	9,793	57,353	4,588	21,012	1,681	41,346	3,308

1 Standard Chartered Bank (Hong Kong) Ltd follows local disclosure rules for the OV1 table above, the net impact is \$2,410 million. Total RWA: \$59,763 million (\$57,353 million + \$2,410 million)

2 Credit risk (including counterparty credit risk) includes Non-credit obligation assets

3 Counterparty credit risk includes assets which are assessed under both IRB and Standardised

Pillar 3 disclosures Annex 1

Table 137: Leverage ratio common disclosure – Significant Subsidiaries

	2024			2023
Capital and total exposures	Standard Chartered – Solo consolidation \$million	Standard Chartered Bank (HK) Ltd \$million	Standard Chartered Bank Korea Ltd \$million	Standard Chartered Bank (Singapore) Ltd \$million	Standard Chartered – Solo consolidation \$million	Standard Chartered Bank (HK) Ltd \$million	Standard Chartered Bank Korea Ltd \$million	Standard Chartered Bank (Singapore) Ltd \$million
Tier 1 capital	18,966	11,601	3,591	7,647	18,601	10,886	3,999	6,765
Total leverage ratio exposures	421,741	224,885	55,620	154,749	422,638	218,313	68,438	148,605
Leverage ratio	4.5%	5.2%	6.5%	4.9%	4.4%	5.0%	5.8%	4.6%

Table 135: Market risk regulatory capital requirements for significant subsidiaries

		2024				2023
Market Risk regulatory capital Requirements for Trading Book	Standard Chartered – Solo consolidation \$million	Standard Chartered Bank (HK) Ltd \$million	Standard Chartered Bank Korea Ltd \$million	Standard Chartered Bank (Singapore) Ltd \$million	Standard Chartered – Solo consolidation \$million	Standard Chartered Bank (HK) Ltd \$million	Standard Chartered Bank Korea Ltd \$million	Standard Chartered Bank (Singapore) Ltd \$million
Local Regulator	PRA	HKMA	FSS	MAS	PRA	HKMA	FSS	MAS
Interest rate	385	150	65	99	381	78	73	103
Equity	1	–	–	–	1	–	–	–
Options	4	–	3	9	5	–	4	6
Commodity	37	2	–	7	42	4	–	11
Foreign exchange	205	26	8	296	137	15	6	265
Internal Models Approach	1,121	374	–	–	909	158	–	–
Total	1,753	552	76	411	1,475	255	83	385
Market Risk – RWA	21,914	6,900	945	5,138	18,438	3,187	1,034	4,812

Acronyms

ABS	Asset Backed Securities	IRR	Interest Rate Risk
AIRB	Advanced Internal Rating Based approach	LCR	Liquidity Coverage Ratio
ALCO	Asset and Liability Committee	LGD	Loss Given Default
ALM	Asset and Liability Management	MAC	Model Assessment Committee
AT1	Additional Tier 1	MAS	Monetary Authority of Singapore
BCBS	Basel Committee on Banking Supervision	MDB	Multilateral Development Banks
BRC	Board Risk Committee	MR	Market Risk
CCF	Credit Conversion Factor	MREL	Minimum requirements for own funds and eligible
CCP	Central Counterparty		liabilities
CCR	Counterparty Credit Risk	MTM	Mark-To-Market
CCyB	Countercyclical capital buffer	NII	Net Interest Income
CDOs	Collateralised Debt Obligations	NSFR	Net Stable Funding Ratio
CDS	Credit Default Swap	O-SII	Other Systemically Important Institution
CET1	Common Equity Tier 1	OBSC	Operational Balance Sheet Committee
CMBS	Commercial Mortgage Backed Securities	OTC	Over the counter
CQS	Credit Quality Step	PD	Probability of Default
CPM	Credit & Portfolio Management	PFE	Potential Future Exposure
CRD	Capital Requirements Directive	PIT	Point in Time
CRM	Credit Risk Mitigation	PM	Portfolio Management
CRO	Chief Risk Officer	PRA	Prudential Regulation Authority
CRR	Capital Requirements Regulation	PV01	Present Value 01
CSA	Credit Support Annex	PVA	Prudent Valuation Adjustment
CSDG	Capital Structuring & Distribution Group	QCCP	Qualifying Central Counterparty
CVA	Credit Valuation Adjustment	QRRE	Qualifying Revolving Retail Exposure
DVA	Debit Valuation Adjustment	RMB	Renminbi
EAD	Exposure at default	RMBS	Residential Mortgage Backed Securities
EBA	European Banking Authority	RNIV	Risk not in VaR
ECAI	External Credit Assessment Institutions	RTS	Regulatory Technical Standards
EL	Expected loss	RWAs	Risk-Weighted Assets
FCA	Financial Conduct Authority	SA	Standardised Approach
FIRB	Foundation Internal Ratings Based approach	SFT	Securities Financing Transactions
FPC	Financial Policy Committee	SIF	Significant Influence Function
FSB	Financial Stability Board	SME	Small and Medium – sized Enterprise
FSS	Financial Supervisory Service (South Korea)	SPE	Special Purpose Entity
FVA	Funding valuation adjustments	SVAR	Stressed VaR
GCRO	Group Chief Risk Officer	T1	Tier 1 capital
G-SIB	Global Systemically Important Bank	T2	Tier 2 capital
G-SII	Global Systemically Important Institutions	TC	Total capital
HKMA	Hong Kong Monetary Authority	TLAC	Total loss-absorbing capacity
IAS	International Accounting Standard	TM	Treasury Markets
ICAAP	Internal Capital Adequacy Assessment Process	TRS	Total Return Swap
ILAAP	Internal Liquidity Adequacy Assessment Process	TTC	Through the cycle
IFRS	International Financial Reporting Standards	VaR	Value at Risk
IMA	Internal Model Approach	VBC	Valuation and Benchmarks Committee
IMM	Internal model Method	XVA	Credit and Funding Valuation Adjustment
IRB	Internal Ratings Based
IRC	Incremental Risk Charge

Glossary

Additional Tier 1 (AT1) capital	Additional Tier 1 capital consists of instruments issued by the bank and related share premium other than Common Equity Tier 1 that meet the Capital Requirement Regulation (CRR) criteria for inclusion in Tier 1 capital.
Advanced Internal Rating Based (AIRB) approach	The AIRB approach under the Basel framework is used to calculate credit risk capital based on the Group's own estimates of prudential parameters.
Africa & Middle East (AME)	Africa & Middle East (AME) includes Bahrain, Egypt, Iraq, Jordan, Lebanon, Oman, Pakistan, Qatar, Saudi Arabia and the United Arab Emirates (UAE).
Arrears	A debt or other financial obligation is considered to be in a state of arrears when payments are overdue. Loans and advances are considered to be delinquent when consecutive payments are missed. Also known as 'delinquency'.
Available-for-Sale	Non-derivative financial assets that are designated as available-for-sale or are not classified as loans and receivables; held to maturity investments, or financial assets at fair value through profit or loss.
ASEAN	Association of South East Asian Nations (ASEAN) which includes the Group's operation in Brunei, Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam.
ASEAN & South Asia (ASA)	ASEAN & South Asia (ASA) includes Australia, Bangladesh, Brunei, Cambodia, India, Indonesia, Laos, Malaysia, Myanmar, Nepal, Philippines, Singapore, Sri Lanka, Thailand and Vietnam.
Asset Backed Securities (ABS)	Securities that represent an interest in an underlying pool of referenced assets. The referenced pool can comprise any assets which attract a set of associated cash flows but are commonly pools of residential or commercial mortgages and in the case of Collateralised Debt Obligations (CDOs), the reference pool may be ABS.
Attributable profit to ordinary shareholders	Profit for the year after non-controlling interests and the declaration of dividends on preference shares classified as equity.
Backtesting	A statistical technique used to monitor and assess the accuracy of a model, and how that model would have performed had it been applied in the past.
Basel II	The capital adequacy framework issued by the Basel Committee on Banking Supervision (BCBS) in June 2006 in the form of the 'International Convergence of Capital Measurement and Capital Standards'.
Basel III	In December 2010, the BCBS issued the Basel III rules text, which were updated in June 2011, and represents the details of strengthened global regulatory standards on bank capital adequacy and liquidity. The new requirements have been fully implemented. In December 2017, the BCBS published a document setting out the finalisation of the Basel III framework. The new requirements issued in December 2017 will be implemented by 2023.
Basis point (bps)	One hundredth of a per cent (0.01 per cent); 100 basis points is 1 per cent. Used in quoting movements e.g. in interest rates or yields on securities.
Capital conservation buffer	A capital buffer prescribed by regulators under Basel III and designed to ensure banks build up capital buffers outside periods of stress which can be drawn down as losses are incurred. Should a bank's CET1 capital fall within the capital conservation buffer range, capital distributions will be constrained by the regulators.
Capital Requirements Directive (CRD)	A capital adequacy legislative package adopted by EU member states. CRD IV comprises the recast Capital Requirements Directive and the Capital Requirements Regulation (CRR). The package implements the Basel III framework together with transitional arrangements for some of its requirements. CRD IV came into force on 1 January 2014. CRR II and CRD V amending the existing package came into force in June 2019 with most changes starting to apply from 28 June 2021. Only those parts of the EU CRR II that applied on or before 31 December 2020, when the UK was a member of the EU, have been implemented. The PRA recently finalised the UK's version of the CRR II for implementation on 1 January 2022.
Central Counterparty (CCP)	A CCP is a clearing house that acts as an intermediary between counterparties for certain products that are traded in one or more financial markets.
Common Equity Tier 1 (CET1) capital	Common Equity Tier 1 capital consists of the common shares issued by the bank and related share premium, retained earnings, accumulated other comprehensive income and other disclosed reserves, eligible non-controlling interests and regulatory adjustments required in the calculation of Common Equity Tier 1.
Common Equity Tier 1 ratio	Common Equity Tier 1 capital as a percentage of risk-weighted assets.
Countercyclical capital buffer (CCyB)	The countercyclical capital buffer is part of a set of macroprudential instruments, designed to help counter pro-cyclicality in the financial system. CCyB as defined in the Basel III standard provides for an additional capital requirement of up to 2.5 per cent of risk-weighted assets in a given jurisdiction. The Bank of England's Financial Policy Committee has the power to set CCyB rate for the United Kingdom. Each bank must calculate its 'institution-specific' CCyB rate, defined as the weighted average of the CCyB rates in effect across the jurisdictions in which it has credit exposures. The institution-specific CCyB rate is then applied to a bank's total risk weighted assets.
Counterparty credit risk (CCR)	The risk that a counterparty defaults before satisfying its obligations under a derivative, a securities financing transaction (SFT) or a similar contract.
Credit Conversion Factor (CCF)	Either prescribed by CRR or modelled by the bank, an estimate of the amount the Group expects a customer to have drawn further on a facility limit at the point of default.

Credit Default Swap (CDS)	A derivative contract where a buyer pays a fee to a seller in return for receiving a payment in the event of a credit event (for example bankruptcy, payment default on a reference asset or assets, or downgrades by an rating agency) on an underlying obligation.
Credit quality step (CQS)	Credit Quality Steps (CQS) are used to derive the risk-weight to be applied to exposures treated under the Standardised approach to credit risk.
Credit risk	Credit risk is the potential for loss due to the failure of a counterparty to meet its obligations to pay the Group in accordance with agreed terms.
Credit risk mitigation (CRM)	Credit risk mitigation is a process to mitigate potential credit losses from any given account, customer or portfolio by using a range of tools such as collateral, netting agreements, credit insurance, credit derivatives and guarantees.
Credit support annex (CSA)	A legal document that regulates the exchange of collateral between the parties of OTC derivative transactions.
Credit Valuation Adjustment
(CVA)	In the context of prudential requirements, additional regulatory capital charge that covers the risk of mark-to-market losses associated with changes in the credit worthiness of counterparties to derivative transactions.
Debit Valuation Adjustment
(DVA)	In the context of prudential requirements, adjustment required to Tier 1 capital to derecognise any unrealised fair value gains and losses associated with fair valued liabilities that are attributable to the market's perception of the Group's credit worthiness.
Equity price risk	The financial risk involved in holding equity in a particular investment. Arises from changes in the prices of equities, equity indices, equity baskets and implied volatilities on related options.
Expected Loss (EL)	The Group measure of anticipated loss for exposures captured under an internal ratings based credit risk approach for capital adequacy calculations. It is measured as the Group-modelled view of anticipated loss based on Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD), with a one-year time horizon.
Exposure	Credit exposures represent the amount lent to a customer, together with any undrawn commitment.
Exposure at default (EAD)	The estimation of the extent to which the Group may be exposed to a customer or counterparty in the event of, and at the time of, that counterparty's default. At default, the customer may not have drawn the loan fully or may already have repaid some of the principal, so that exposure is typically less than the approved loan limit.
External Credit Assessment Institutions (ECAI)	For the Standardised Approach to credit risk for sovereigns, corporates and institutions, external ratings are used to assign risk-weights. These external ratings must come from credit rating agencies that are registered or certified in accordance with the credit rating agencies (CRA) regulation or from a central bank issuing credit ratings which is exempt from the application this regulation.
Fair value	The value of an asset or liability when it is transacted on an arm's length basis between knowledgeable and willing parties.
Financial Policy Committee (FPC)	The Financial Policy Committee is an independent committee at the Bank of England that has the primary objective of identifying, monitoring and taking action to remove or reduce systemic risks with a view to protecting and enhancing the resilience of the UK financial system. The FPC's secondary objective is to support the economic policy of the Government.
Foreseeable dividends net of scrip	Includes both ordinary and preference share dividends reasonably expected to be paid out of any future residual interim or year-end profits. In the case of ordinary dividends, the amount of foreseeable dividends deducted from the interim or year-end profits is equal to the amount of interim or year-end profits multiplied by the dividend payout ratio. In the case of preference share dividends, the amount of foreseeable dividends is equal to the amount accrued during the relevant reporting period payable at a future date.
Foundation Internal Ratings Based (FIRB) Approach	A method of calculating credit risk capital requirements using internal PD models but with supervisory estimates of LGD and conversion factors for the calculation of EAD.
Free delivery	When a bank takes receipt of a debt or equity security, a commodity or foreign exchange without making immediate payment, or where a bank delivers a debt or equity security, a commodity or foreign exchange without receiving immediate payment.
Funding valuation adjustments (FVA)	FVA reflects an adjustment to fair value in respect of derivative contracts associated with the funding costs that the market participant would incorporate when determining an exit price.
Greater China	Greater China includes the Group's operation in the People's Republic of China, the Hong Kong Special Administrative Region of the People's Republic of China and Taiwan.
Greater China & North Asia (GCNA)	Greater China & North Asia (GCNA) includes China, Hong Kong, Japan, Korea, Macau and Taiwan.
Global Systemically Important Bank (G-SIB)	Global financial institutions whose size, complexity and systemic interconnectedness mean that their distress or failure would cause significant disruption to the wider financial system and economic activity. The Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS) have established a methodology to identify G-SIBs based on 12 principal indicators. The list of G-SIBs is re-assessed through annual re-scoring of banks and a triennial review of the methodology. The G-SIB framework established by the FSB and the BCBS is implemented in the EU via CRD IV and G-SIBs are referred to as Global Systemically Important Institutions ('G-SIIs').
G-SIB buffer	A CET1 capital buffer which results from designation as a G-SIB. The G-SIB buffer is between 1 per cent and 3.5 per cent, dependent on the allocation to one of five buckets based on the annual scoring. In the EU, the G-SIB buffer is implemented via CRD IV as Global Systemically Important Institutions ('G-SII') buffer requirement.

Pillar 3 disclosures Glossary

Haircut	A haircut, or volatility adjustment, ensures the value of exposures and collateral are adjusted to account for the volatility caused by foreign exchange or maturity mismatches, when the currency and maturity of an exposure differ materially to the currency and maturity of the associated collateral.
Held-to-maturity	Held-to-maturity assets are non-derivative financial assets with fixed or determinable payments and fixed maturities that the Group's management has the intention and ability to hold to maturity.
Impaired loans	Loans where individually identified impairment provisions have been raised. Also includes loans which are collateralised or where indebtedness has already been written down to the expected realisable value. The impaired loan category may include loans, which, while impaired, are still performing.
Individually assessed loan impairment provisions (IIP)	Impairment is measured for assets that are individually significant to the Group. Typically assets within the Corporate & Institutional Banking segment of the Group are assessed individually.
Individual capital guidance	Guidance given by the PRA to the Group about the amount and quality of capital resources to maintain.
Individual impairment charge	The amount of individually assessed loan impairment provisions that are charged to the income statement in the reporting period.
Individual liquidity guidance	Guidance given by the PRA to the Group about the amount, quality and funding profile of liquidity resources to maintain.
Institution	A credit institution or an investment firm as defined under the Capital Requirement Regulation (CRR).
Internal Capital Adequacy Assessment Process (ICAAP)	A requirement on institutions under Pillar 2 of the Basel framework to undertake a comprehensive assessment of their risks and to determine the appropriate amounts of capital to be held against these risks.
Internal Liquidity Adequacy Assessment Process (ILAAP)	A requirement on institutions under Pillar 2 of the Basel framework to undertake a comprehensive assessment of their risks and to determine the appropriate amounts of liquidity to be held against these risks.
Internal Model Approach (IMA)	The approach used to calculate market risk capital and RWA with an internal market risk model approved by the PRA under the terms of CRD IV/CRR.
Internal Model Method (IMM)	One of three approaches defined in the Basel Framework to determine exposure values for counterparty credit risk.
Interest Rate Risk (IRR)	Interest rate risk arises due to the investment into rate-sensitive assets, as well as from mismatches between debt issuance and placements.
Internal ratings- based approach ('IRB')	Risk-weighting methodology in accordance with the Basel Capital Accord where capital requirements are based on a firm's own estimates of prudential parameters.
Items belonging to regulatory high-risk categories	In relation to the Standardised Approach to credit risk, items which attract a risk-weight of 150 per cent. This includes exposures arising from venture capital business and certain positions in collective investment schemes.
Leverage ratio	A ratio introduced under Basel III / CRD IV that compares Tier 1 capital to total exposures, including certain exposures held off-balance sheet as adjusted by stipulated credit conversion factors. Intended to be a simple, non-risk based backstop measure.
Liquidity Coverage Ratio (LCR)	The ratio of the stock of high quality liquid assets to expected net cash outflows over the following 30 days. High quality liquid assets should be unencumbered, liquid in markets during a time of stress and, ideally, be central bank eligible.
Loans and advances	This represents lending made under bilateral agreements with customers entered into in the normal course of business and is based on the legal form of the instrument.
Loss Given Default (LGD)	The percentage of an exposure that a lender expects to lose in the event of obligor default.
Mark-to-market approach	One of the approaches available to banks to calculate the exposure value associated with derivative transactions. The approach calculates the current replacement cost of derivative contracts, by determining the market value of the contract and considering any potential future exposure.
Market risk	The potential for loss of earnings or economic value due to adverse changes in financial market rates or prices.
Maturity	The time from the reporting date to the contractual maturity date of an exposure, capped at five years. Maturity is considered as part of the calculation of risk-weights for the Group's exposures treated under the IRB approach to credit risk.
Minimum capital requirement	Minimum capital required to be held for credit, market and operational risk.
Model validation	The process of assessing how well a model performs using a predefined set of criteria including the discriminatory power of the model, the appropriateness of the inputs, and expert opinion.
MREL or minimum requirement for own fund and eligible liabilities	A requirement under the Bank Recovery and Resolution Directive for EU resolution authorities to set a minimum requirement for own funds and eligible liabilities for banks, implementing the FSB's Total Loss-Absorbing Capacity (TLAC) standard. MREL is intended to ensure there is sufficient equity and specific types of liabilities to facilitate an orderly resolution that minimises any impact on financial stability and ensures the continuity of critical functions and avoids exposing taxpayers to loss.
Multilateral Development Banks (MDB)	An institution created by a group of countries to provide financing for the purpose of development. Under the Standardised approach to credit risk, eligible multilateral development banks attract a zero per cent risk-weight.
Net stable funding ratio (NSFR)	The ratio of available stable funding to required stable funding over a one year time horizon, assuming a stressed scenario. It is a longer-term liquidity measure designed to restrain the amount of wholesale borrowing and encourage stable funding over a one year time horizon.
North East (NE) Asia	North East (NE) Asia includes the Group's operation in the Republic of Korea and Japan.

Operational risk	The potential for loss arising from the failure of people, process, or technology, or the impact of external events.
Over-the-Counter (OTC) traded products/OTC derivatives	A bilateral transaction that is not exchange traded and is valued using valuation models.
Pillar 1	The first Pillar of the three pillars of Basel framework which provides the approach to the calculation of the minimum capital requirements for credit, market and operational risk. Minimum capital requirements are 8 per cent of the Group's risk-weighted assets.
Pillar 2	The second pillar of the three pillars of Basel framework which requires banks to undertake a comprehensive assessment of their risks and to determine the appropriate amounts of capital to be held against these risks where other suitable mitigants are not available.
Pillar 3	The third pillar of the three pillars of Basel framework which aims to provide a consistent and comprehensive disclosure framework that enhances comparability between banks and further promotes improvements in risk practices.
Point in time (PIT)	Considers the economic conditions at the point in the economic cycle at which default occurs when estimating the probability of default.
Portfolio Impairment Provision (PIP)	The amount of loan impairment provisions assessed on the collective portfolio that are charged to the income statement in the reporting period.
Potential Future Exposure (PFE)	An estimate of the potential increase in exposure that may arise on a derivative contract prior to default, used to derive the exposure amount.
Probability of Default (PD)	PD is an internal estimate for each borrower grade of the likelihood that an obligor will default on an obligation within 12 months.
Present Value 01 (PV01)	This represents the change in present value of an asset or liability for a 1 basis point change in the nominal yield curve.
Prudential Regulatory Authority (PRA)	The Prudential Regulation Authority is the statutory body responsible for the prudential supervision of banks, building societies, credit unions, insurers and a small number of significant investment firms in the UK. The PRA is a part of the Bank of England.
Prudent Valuation Adjustment (PVA)	An adjustment to CET1 capital, to reflect the difference between the accounting fair value and the regulatory prudent value of positions, where the application of prudence results in a lower absolute carrying value than recognised in the financial statements.
Qualifying Central Counterparty (QCCP)	Central counterparty that is either authorised (when established in the EU) or recognised (when established in a third-country) in accordance with the rules laid down in the European Market Infrastructure Regulation (EMIR).
Qualifying Revolving Retail Exposure (QRRE)	Retail IRB exposures that are revolving, unsecured, and, to the extent they are not drawn, immediately and unconditionally cancellable, such as credit cards.
Regulatory capital	Sum of Tier 1 and Tier 2 capital after regulatory adjustments.
Repurchase agreement (repo) / reverse repurchase agreement (reverse repo)	A short term funding agreement which allows a borrower to sell a financial asset, such as ABS or Government bonds as collateral for cash. As part of the agreement the borrower agrees to repurchase the security at some later date, usually less than 30 days, repaying the proceeds of the loan. For the party on the other end of the transaction (buying the security and agreeing to sell in the future) it is a reverse repurchase agreement or reverse repo.
Residential Mortgage Backed Securities (RMBS)	Securities that represent interests in a group of residential mortgages. Investors in these securities have the right to cash received from future mortgage payments (interest and/or principal).
Residual maturity	The remaining maturity of a facility from the reporting date until either the contractual maturity of the facility or the effective maturity date.
Retail Internal Ratings Based (Retail IRB) Approach	In accordance with the PRA handbook and CRR, the approach to calculating credit risk capital requirements for eligible retail exposures.
Risk Appetite	Risk Appetite is defined by the Group and approved by the Board. It is the maximum amount and type of risk the Group is willing to assume in pursuit of its strategy.
Risk Capacity	The maximum level of risk the Group can assume, given its current capabilities and resources, before breaching constraints determined by capital and liquidity requirements and internal operational capability (including but not limited to technical infrastructure, risk management capabilities, expertise), or otherwise failing to meet the expectations of regulators and law enforcement agencies.
Risk-weighted assets (RWA)	A measure of a bank's assets adjusted for their associated risks, expressed as a percentage of an exposure value in accordance with the applicable Standardised or IRB approach provisions.
RWA density	The risk-weighted asset as a percentage of exposure at default (EAD).
Scrip dividends	Dividends paid to existing shareholders in securities instead of cash payment.
Securities Financing Transactions (SFT)	Securities Financing Transactions are secured (i.e. collateralised) transactions that involve the temporary exchange of cash against securities, or securities against other securities, e.g. stock lending or stock borrowing or the lending or borrowing of other financial instruments, a repurchase or reverse repurchase transaction, or a buy-sell back or sell-buy back transaction.
Securitisation	Securitisation is a process by which credit exposures are aggregated into a pool, which is used to back new securities. Under traditional securitisation transactions, assets are sold to a special purpose entity (SPE) who then issues new securities to investors at different level of seniority (credit tranching). This allows the credit quality of the assets to be separated from the credit rating of the originating institution and transfers risk to external investors in a way that meets their risk appetite. Under synthetic securitisation transactions, the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitized remain exposures of the originating institution.

Securitisation position(s)	The positions assumed by the Group following the purchase of securities issued by Asset-Backed Securitisation programmes or those retained following the origination of a securitisation programme.
Specialised lending	Specialised lending exposures are defined as an exposure to an entity which was created specifically to finance and/or operate physical assets, where the contractual arrangements given the lender a substantial degree of control over the assets and the income that they generate and the primary source of repayment of the obligation is the income generated by the assets being financed, rather than the independent capacity of a broader commercial enterprise.
Special Purpose Entities (SPEs)	SPEs are entities that are created to accomplish a narrow and well defined objective. There are often specific restrictions or limits around their ongoing activities. Transactions with SPEs take a number of forms, including: the provision of financing to fund asset purchases, or commitments to provide financing for future purchases; derivative transactions to provide investors in the SPE with a specified exposure; the provision of liquidity or backstop facilities which may be drawn upon if the SPE experiences future funding difficulties; and direct investment in the notes or equity issued by SPEs.
Standardised Approach (SA)	In relation to credit risk, a method for calculating credit risk capital requirements using External Credit Assessment Institutions (ECAI) ratings and supervisory risk-weights. In relation to operational risk, a method of calculating the operational risk capital requirement by the application of a supervisory defined percentage charge to the gross income of eight specified business lines.
Stressed Value at Risk (SVAR)	A regulatory market risk measure based on potential market movements for a continuous one-year period of stress for a trading portfolio.
Through the cycle (TTC)	Reduces the volatility in the estimation of the probability of default by considering the average conditions over the economic cycle at the point of default, versus the point in time (PIT) approach, which considers economic conditions at the point of the economic cycle at which default occurs.
Tier 1 capital	Tier 1 capital comprises Common Equity Tier 1 capital plus Additional Tier 1 securities and related share premium accounts.
Tier 1 capital ratio	Tier 1 capital as a percentage of risk-weighted assets.
Tier 2 capital	Tier 2 capital comprises qualifying subordinated liabilities and related share premium accounts.
Total Loss Absorbing Capacity (TLAC)	An international standard for TLAC issued by the FSB, which requires G-SIBs to have sufficient loss absorbing and recapitalisation capacity available in resolution, to minimise impacts on financial stability, maintain the continuity of critical functions and avoid exposing public funds to loss.
Total Return Swap (TRS)	A derivative transaction that swaps the total return on a financial instrument, including cash flows and capital gains or losses, for an interest rate return.
Trading book	The trading book consists of all positions in CRD financial instrument and commodities which are fair valued through the profit and loss account for accounting purposes, which are held either with trading intent or in order to hedge other elements of the trading book and which are either free of any restrictive covenants on their tradability or ability to be hedged.
Value at Risk (VAR)	A quantitative measure of market risk estimating the potential loss that will not be exceeded in a set time period at a set statistical confidence level.
Write downs	After an advance has been identified as impaired and is subject to an impairment allowance, the stage may be reached whereby it is concluded that there is no realistic prospect of further recovery. Write downs will occur when and to the extent that, the whole or part of a debt is considered irrecoverable.
Wrong way risk	Wrong way risk occurs when an exposure increase is coupled with a decrease in the credit quality of the obligor.

Prudential disclosure reference

	CRR article ref.	Requirement summary	Disclosure
Scope of disclosure requirement
431	(1)	Institutions shall publicly disclose the information referred to in Titles II and III in accordance with the provisions laid down in this Title, subject to the exceptions referred to in Article 432.	The Group publishes Pillar 3 disclosures
	(2)	Institutions that have been granted permission by the competent authorities under Part Three for the instruments and methodologies referred to in Title III of this Part shall publicly disclose the information laid down therein.	The Group applies the standardised approach, RWAs and capital requirements for operational risk are shown in Table 20: (OV1) on page 28 and in the 2024 Annual Reports and Accounts on page 273.
	(3)	The management body or senior management shall adopt formal policies to comply with the disclosure requirements laid down in this Part and put in place and maintain internal processes, systems and controls to verify that the institution's disclosures are appropriate and in compliance with the requirements laid down in this Part. At least one member of the management body or senior management shall attest in writing that the relevant institution has made the disclosures required under this Part in accordance with the formal policies and internal processes, systems and controls. The written attestation and the key elements of the institution's formal policies to comply with the disclosure requirements shall be included in the institutions' disclosures. Information to be disclosed in accordance with this Part shall be subject to the same level of internal verification as that applicable to the management report included in the institution's financial report. Institutions shall also have policies in place to verify that their disclosures convey their risk profile comprehensively to market participants. Where institutions find that the disclosures required under this Part do not convey the risk profile comprehensively to market participants, they shall publicly disclose information in addition to the information required to be disclosed under this Part. Nonetheless, institutions shall only be required to disclose information that is material and not proprietary or confidential in accordance with Article 432.	The Group has a dedicated policy governing prudential disclosure requirements in place.
	(4)	All quantitative disclosures shall be accompanied by a qualitative narrative and any other supplementary information that may be necessary in order for the users of that information to understand the quantitative disclosures, noting in particular any significant change in any given disclosure compared to the information contained in the previous disclosures.
	(5)	Institutions shall, if requested, explain their rating decisions to SMEs and other corporate applicants for loans, providing an explanation in writing when asked. The administrative costs of the explanation shall be proportionate to the size of the loan.	The Group provides ratings decisions to SMEs and corporates upon request.
		Non-material, proprietary or confidential information
432	(1)	With the exception of the disclosures laid down in point (c) of Article 435(2) and in Articles 437 and 450, institutions may omit one or more of the disclosures listed in Titles II and III where the information provided by those disclosures is not regarded as material. Information in disclosures shall be regarded as material where its omission or misstatement could change or influence the assessment or decision of a user of that information relying on it for the purpose of making economic decisions.	Items omitted from disclosure are listed in section 1.3. Regulatory disclosure - Framework on page 2.

CRR article ref.		Requirement summary	Disclosure
	(2)	Institutions may also omit one or more items of information referred to in Titles II and III where those items include information that is regarded as proprietary or confidential in accordance with this paragraph, except for the disclosures laid down in Articles 437 and 450. Information shall be regarded as proprietary to institutions where disclosing it publicly would undermine their competitive position. Proprietary information may include information on products or systems that would render the investments of institutions therein less valuable, if shared with competitors. Information shall be regarded as confidential where the institutions are obliged by customers or other counterparty relationships to keep that information confidential.	See Article 432(1) above
	(3)	In the exceptional cases referred to in paragraph 2, the institution concerned shall state in its disclosures the fact that the specific items of information are not disclosed and the reason for not disclosing those items, and publish more general information about the subject matter of the disclosure requirement, except where that subject matter is, in itself, proprietary or confidential.	All material, non-confidential and non-proprietary information is disclosed by the Group in its 2024 Pillar 3 and 2024 Annual Report and Accounts.
		Frequency of disclosure
433		Institutions shall publish the disclosures required under Titles II and III in the manner set out in Articles 433a, 433b and 433c. Annual disclosures shall be published on the same date as the date on which institutions publish their financial statements or as soon as possible thereafter. Semi-annual and quarterly disclosures shall be published on the same date as the date on which the institutions publish their financial reports for the corresponding period where applicable or as soon as possible thereafter. Any delay between the date of publication of the disclosures required under this Part and the relevant financial statements shall be reasonable.	Section 1.3 Regulatory disclosure – Framework sub-section on Frequency on page 4.
	Means of disclosure
434	(1)	Institutions shall disclose all the information required under Titles II and III in electronic format and in a single medium or location. The single medium or location shall be a standalone document that provides a readily accessible source of prudential information for users of that information or a distinctive section included in or appended to the institutions' financial statements or financial reports containing the required disclosures and being easily identifiable to those users.	Section 1.3 Regulatory disclosure - Framework, sub-section on Verification on page 4. The 2024 Pillar 3 document is made publicly available on the Group website with the 2024 Annual Report and Accounts and other public disclosures.
	(2)	Institutions shall make available on their website or, in the absence of a website, in any other appropriate location an archive of the information required to be disclosed in accordance with this Part. That archive shall be kept accessible for a period of time that shall be no less than the storage period set by national law for information included in the institutions' financial reports.	The Group discharges parts of the prudential disclosure requirements in the 2024 Annual Reports and Accounts, in Main Features and GSIB disclosures, with cross references to exact locations provided in its Pillar 3 document.
		Risk management objectives and policies
435	(1)	Institutions shall disclose their risk management objectives and policies for each separate category of risk, including the risks referred to in this Title. These disclosures shall include:	See below
	(1)(a)	The strategies and processes to manage those categories of risks	Section 1.4 Risk management on page 4. Risk management approach section in the 2024 Annual Report and Accounts on pages 196 to 206.
	(1)(b)	The structure and organisation of the relevant risk management function including information on the basis of its authority, its powers and accountability in accordance with the institution's incorporation and governing documents	See Article 435 (1)(a) above
	(1)(c)	The scope and nature of risk reporting and measurement systems	See Article 435 (1)(a) above

CRR article ref.		Requirement summary	Disclosure
	(1)(d)	The policies for hedging and mitigating risk, and the strategies and processes for monitoring the continuing effectiveness of hedges and mitigants	See Article 435 (1)(a) above
	(1)(e)	A declaration approved by the management body on the adequacy of risk management arrangements of the institution providing assurance that the risk management systems put in place are adequate with regard to the institution's profile and strategy
	(1)(f)	A concise risk statement approved by the management body succinctly describing the relevant institution's overall risk profile associated with the business strategy; that statement shall include: (i) key ratios and figures providing external stakeholders with a comprehensive view of the institution's management of risk, including how the risk profile of the institution interacts with the risk tolerance set by the management body; (ii) information on intragroup transactions and transactions with related parties that may have a material impact of the risk profile of the consolidated group.	See Article 435 (1)(a) above Key ratios and figures are highlighted in section 1.2 on pages 2 to 3
	(2) (2)(a)	Institutions shall disclose the following information regarding governance arrangements: The number of directorships held by members of the	See below 2024 Annual Reports and Accounts, Board of Directors, on
	(2)(b)	management body The recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise	page 105 to 109 2024 Annual Reports and Accounts, Board of Directors, on pages 105 to 109 and Governance and Nomination Committee on pages 137 to 142
	(2)(c)	The policy on diversity with regard to selection of members of the management body, its objectives and any relevant targets set out in that policy, and the extent to which those objectives and targets have been achieved	2024 Annual Reports and Accounts, Governance and Nomination Committee, on pages 137 to 142. Further information published on the Group website sc.com/ boarddiversitypolicy
	(2)(d)	Whether or not the institution has set up a separate risk committee and the number of times the risk committee has me	2024 Annual Reports and Accounts, Board Risk Committee, on pages 129 to 133
	(2)(e)	The description of the information flow on risk to the management body	2024 Annual Reports and Accounts, Board Risk Committee, on pages 129 to 133
	Scope of application
436		Institutions shall disclose the following information regarding the scope of application of the CRR as follows:	See below
	(a)	The name of the institution to which the CRR applies.	Name of the Group and the Group logo are displayed on the cover page of the disclosures.
	(b)	A reconciliation between the consolidated financial statements prepared in accordance with the applicable accounting framework and the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One; that reconciliation shall outline the differences between the accounting and regulatory scopes of consolidation and the legal entities included within the regulatory scope of consolidation where it differs from the accounting scope of consolidation; the outline of the legal entities included within the regulatory scope of consolidation shall describe the method of regulatory consolidation where it is different from the accounting consolidation method, whether those entities are fully or proportionally consolidated and whether the holdings in those legal entities are deducted from own funds.	Table 3: Regulatory Consolidation on page 7. Table 4: Outline of the differences in the scope of consolidation (LI3) on page 7.
	(c)	A breakdown of assets and liabilities of the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One, broken down by type of risks as referred to under this Part.	Table 5: Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories (UK LI1) on page 9

	CRR article ref.	Requirement summary	Disclosure
	(d)	A reconciliation identifying the main sources of differences between the carrying value amounts in the financial statements under the regulatory scope of consolidation as defined in Sections 2 and 3 of Title II of Part One, and the exposure amount used for regulatory purposes; that reconciliation shall be supplemented by qualitative information on those main sources of differences.	Table 6: Main sources of differences between regulatory exposure amounts and carrying values in financial statements (UK LI2) on page 11
	(e)	For exposures from the trading book and the non-trading book that are adjusted in accordance with Article 34 and Article 105, a breakdown of the amounts of the constituent elements of an institution's prudent valuation adjustment, by type of risks, and the total of constituent elements separately for the trading book and non-trading book positions.	Table 7: Prudent valuation adjustments (PVA) (UK PV1) on page 12
	(f)	Any current or expected material practical or legal impediment to the prompt transfer of own funds or repayment of liabilities between the parent undertaking and its subsidiaries.
	(g)	The aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation, and the name or names of those subsidiaries.
	(h)	Where applicable, the circumstances under which use is made of the derogation referred to in Article 7 or the individual consolidation method laid down in Article 9.
Own funds
437	(a)	A full reconciliation of Common Equity Tier 1 items, Additional Tier 1 items, Tier 2 items and filters and deductions applied to own funds of the institution pursuant to Articles 32 to 36, 56, 66 and 79 with the balance sheet in the audited financial statements of the institution.	Table 9: Composition of regulatory own funds (UK CC1) on page 15 Table 10: Reconciliation of regulatory own funds to balance sheet in the audited financial statements (UK CC2) on page 17
	(b)	A description of the main features of the Common Equity Tier 1 and Additional Tier 1 instruments and Tier 2 instruments issued by the institution.	Details of the Group's capital instruments are set out in the Group's Main Features of Capital Instruments document available on the Group's website at https://www.sc.com/ en/investors/credit-ratings-fixed-income/#capitalsecurities.
	(c)	The full terms and conditions of all Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments.	See Article 437(1)(b) above
	(d)	A separate disclosure of the nature and amounts of the following: (i) each prudential filter applied pursuant to Articles 32 to 35; (ii) items deducted pursuant to Articles 36, 56 and 66; (iii) items not deducted pursuant to Articles 47, 48, 56, 66 and 79;	Table 9: Composition of regulatory own funds (UK CC1) on page 15 Table 10: Reconciliation of regulatory own funds to balance sheet in the audited financial statements (UK CC2) on page 17
	(e)	A description of all restrictions applied to the calculation of own funds in accordance with the CRR and the instruments, prudential filters and deductions to which those restrictions apply	There were no restrictions applied to the calculation of own funds
	(f)	A comprehensive explanation of the basis on which capital ratios are calculated where those capital ratios are calculated by using elements of own funds determined on a basis other than the basis laid down in the CRR.	The Group follows own funds calculation set out in the CRR, in the format set out by the below implementing regulation.
		Disclosure of Own Funds and Eligible Liabilities
437a		Institutions that are subject to Article 92a or 92b shall disclose the following information regarding their own funds and eligible liabilities:	See below
	(a)	The composition of their own funds and eligible liabilities, their maturity and their main features.	Details of the Group's capital instruments are set out in the Group's Main Features of Capital Instruments document available on the Group's website at https://www.sc.com/ en/investors/credit-ratings-fixed-income/#capitalsecurities

CRR article ref.	Requirement summary	Disclosure
(b)	The ranking of eligible liabilities in the creditor hierarchy.	Table 12: Resolution entity – creditor ranking at legal entity level (TLAC3) on page 20 Table 13: Standard Chartered Bank – creditor ranking (TLAC2) on page 21 Table 14: Standard Chartered Bank (Hong Kong) Limited – creditor ranking (TLAC2) on page 22 Table 15: Standard Chartered Bank Korea Limited – creditor ranking (TLAC2) on page 23 Table 16: Standard Chartered Bank (Singapore) Limited – creditor ranking (TLAC2) on page 24 Table 17: Standard Chartered Bank (China) Limited – creditor ranking (TLAC2) on page 25
(c)	The total amount of each issuance of eligible liabilities instruments referred to in Article 72b and the amount of those issuances that is included in eligible liabilities items within the limits specified in Article 72b(3) and (4).	Table 11: TLAC composition for G-SIBs (TLAC1) on page 19
(d)	The total amount of excluded liabilities referred to in Article 72a(2).	Table 12: Resolution entity – creditor ranking at legal entity level (TLAC3) on page 20
	Own Funds Requirements and Risk-Weighted Exposure Amounts
438	Institutions shall disclose the following information regarding their compliance with Article 92 and rules 3.1(1) (a) and 3.4 of the Internal Capital Adequacy Assessment Part of the PRA Rulebook:	See below
(a)	A summary of their approach to assessing the adequacy of their internal capital to support current and future activities.	Section 2.1 Capital management on page 14 Treasury Risk on pages 203 to 204 of the 2024 Annual Reports and Accounts
(b)	The amount of the additional own funds requirements based on the supervisory review and evaluation process (within the meaning of regulation 34A of the Capital Requirements Regulations) and its composition in terms of Common Equity Tier 1, additional Tier 1 and Tier 2 instruments.	Table 1: Key metrics template (UK KM1) on page 2
(c)	The result of the institution's internal capital adequacy assessment process.	Section 2.1 Capital management on page 14 Treasury Risk on pages 203 to 204 of the 2024 Annual Reports and Accounts
(d)	The total risk-weighted exposure amount and the corresponding total own funds requirement determined in accordance with Article 92, to be broken down by the different risk categories set out in Part Three and, where applicable, an explanation of the effect on the calculation of own funds and risk-weighted exposure amounts that results from applying capital floors and not deducting items from own funds.	Table 20: Overview of risk weighted exposure amounts (UK OV1) on page 28
(e)	The on- and off-balance-sheet exposures, the risk weighted exposure amounts and associated expected losses for each category of specialised lending referred to in Table 1 of Article 153(5) and the on- and off-balance sheet exposures and risk-weighted exposure amounts for the categories of equity exposures set out in Article 155(2).	Excluded on the grounds of materiality
(f)	The exposure value and the risk-weighted exposure amount of own funds instruments held in any insurance undertaking, reinsurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.	Not applicable
(g)	The supplementary own funds requirement and the capital adequacy ratio of the financial conglomerate calculated in accordance with the provisions implementing Article 6 of Directive 2002/87/EC and Annex I to that Directive where method 1 or 2 set out in that Annex is applied.	Table 24: RWA flow statements of market risk exposures under the IMA (UK MR2-B) on page31
(h)	The variations in the risk-weighted exposure amounts of the current disclosure period compared to the immediately preceding disclosure period that result from the use of internal models, including an outline of the key drivers explaining those variations.	Table 22: RWEA flow statements of credit risk exposures under the IRB approach (UK CR8) on page 30 Table 23: RWEA flow statements of CCR exposures under the IMM (UK CCR7) on page 30

CRR article ref.	Requirement summary	Disclosure
Exposure to counterparty credit risk
439	Institutions shall disclose the following information regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three:	See below
(a)	A description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties.	Section 4.2. Counterparty credit risk on page 108
(b)	A description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves.	Section 4.2. Counterparty credit risk on page 108
(c)	A description of policies with respect to General Wrong Way risk and Specific Wrong-Way risk as defined in Article 291.	Section 4.2. Counterparty credit risk on page 108
(d)	The amount of collateral the institution would have to provide if its credit rating were downgraded.	Section 4.2. Counterparty credit risk on page 108
(e)	For derivative transactions, the amount of segregated and unsegregated collateral received and posted per type of collateral; and for securities financing transactions, the total amount of collateral received and posted per type of collateral; provided in each case that: (i) institutions shall not disclose such amounts unless both the fair value of collateral posted in the form of debt securities and the fair value of collateral received in that form exceed GBP 125 billion; and	Table 90: Credit derivatives exposures (UK CCR6) on page 111
	(ii) for the purposes of subparagraph (i), institutions shall use the twelve month rolling arithmetic mean of the fair value of collateral received or posted (as the case may be) in the form of debt securities, determined using quarterly data calculated in a manner consistent with data reported under Article 430(g) and covering the twelve months immediately preceding the disclosure reference date;
(f)	For derivative transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Sections 3 to 6 of Chapter 6 of Title II of Part Three, whichever method is applicable, and the associated risk exposure amounts broken down by applicable method.	Table 88: Analysis of CCR exposure by approach (UK CCR1) on page 110
(g)	For securities financing transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three, whichever method is used, and the associated risk exposure amounts broken down by applicable method.	Table 88: Analysis of CCR exposure by approach (UK CCR1) on page 110
(h)	The exposure values after credit risk mitigation effects and the associated risk exposures for credit valuation adjustment capital charge, separately for each method as set out in Title VI of Part Three.	Table 91: Transactions subject to own funds requirements for CVA risk (UK CCR2) on page 111
(i)	The exposure value to central counterparties and the associated risk exposures within the scope of Section 9 of Chapter 6 of Title II of Part Three, separately for qualifying and non-qualifying central counterparties, and broken down by types of exposures.	Table 89: Exposures to CCPs (UK CCR8) on page 111
(j)	The notional amounts and fair value of credit derivative transactions; credit derivative transactions shall be broken down by product type; within each product type, credit derivative transactions shall be broken down further by credit protection bought and credit protection sold.
(k)	The estimate of alpha where the institution has received the permission of the competent authorities to use its own estimate of alpha in accordance with Article 284(9).	Table 88: Analysis of CCR exposure by approach (UK CCR1) on page 110
(m)	for institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II Part Three, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2), as applicable.	Table 88: Analysis of CCR exposure by approach (UK CCR1) on page 110

CRR article ref.		Requirement summary	Disclosure
		Countercyclical capital buffers
440		Institutions shall disclose the following information in relation to their compliance with the requirement for a countercyclical capital buffer referred to in regulation 2 of the Capital Requirements (Capital Buffers and Macro prudential Measures) Regulations 2014:	See below
	(a)	The geographical distribution of the exposure amounts and risk-weighted exposure amounts of its credit exposures used as a basis for the calculation of their countercyclical capital buffer.	Table 18: Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (UK CCyB1) on page 26
	(b)	The amount of their institution-specific countercyclical capital buffer.	Table 19: Amount of institution-specific countercyclical capital buffer (UK CCyB2) on page 27
		Indicators of global systemic importance
441	(1)	G-SIIs shall disclose, on an annual basis, the values of the indicators used for determining their score in accordance with the identification methodology referred to in regulation 23 of Part 4 of Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014.	Discussed in Section 1.4. Regulatory disclosure framework on page 4
		Exposures to Credit Risk and Dilution Risk
442		Institutions shall disclose the following information regarding their exposure to credit risk and dilution risk:	See below
	(a)	The scope and definitions that they use for accounting purposes of 'past due' and 'impaired' and the differences, if any, between the definitions of 'past due' and 'default' for accounting and regulatory purposes.	Glossary sections of Pillar 3 and the Annual Report and Accounts on pages 174 to 178 and 399 to 405 respectively Credit risk section of the 2024 Annual Report and Accounts on pages 201 to 202.
	(b)	A description of the approaches and methods adopted for determining specific and general credit risk adjustments.	Section 3.4. Credit risk quality on page 58 Note 8 of the 2024 Annual Report and Account on pages 302 to 307
	(c)	Information on the amount and quality of performing, non-performing and forborne exposures for loans, debt securities and off-balance-sheet exposures, including their related accumulated impairment, provisions and negative fair value changes due to credit risk and amounts of collateral and financial guarantees received.	Table 46: Performing and non-performing exposures and related provisions (UK CR1) on page 59 Table 49: Credit quality of forborne exposures (UK CQ1) on page 62 Table 51: Quality of non-performing exposures by geography (UK CQ4) on page 65 Table 52: Credit quality of loans and advances to non financial corporations by industry (UK CQ5) on page 66
	(d)	An ageing analysis of accounting past due exposures.	Table 50: Credit quality of performing and non-performing exposures by past due days (UK CQ3) on page 63
	(e)	The gross carrying amounts of both defaulted and non-defaulted exposures, the accumulated specific and general credit risk adjustments, the accumulated write-offs taken against those exposures and the net carrying amounts and their distribution by geographical area and industry type and for loans, debt securities and off-balance-sheet exposures.	Table 46: Performing and non-performing exposures and related provisions (UK CR1) on page 59 Table 49: Credit quality of forborne exposures (UK CQ1) on page 62 Table 51: Quality of non-performing exposures by geography (UK CQ4) on page 65 Table 52: Credit quality of loans and advances to non financial corporations by industry (UK CQ5) on page 66
	(f)	Any changes in the gross amount of defaulted on- and off-balance-sheet exposures, including, as a minimum, information on the opening and closing balances of those exposures, the gross amount of any of those exposures reverted to non-defaulted status or subject to a write-off.	Table 46: Performing and non-performing exposures and related provisions (UK CR1) on page 59 Table 49: Credit quality of forborne exposures (UK CQ1) on page 62 Table 51: Quality of non-performing exposures by geography (UK CQ4) on page 65 Table 52: Credit quality of loans and advances to non financial corporations by industry (UK CQ5) on page 66
	(g)	The breakdown of loans and debt securities by residual maturity.	Table 47: Maturity of exposures (UK CR1-A) on page 61
		Encumbered and unencumbered assets
443		Institutions shall disclose information concerning their encumbered and unencumbered assets. For those purposes, institutions shall use the carrying amount per exposure class broken down by asset quality and the total amount of the carrying amount that is encumbered and unencumbered. Disclosure of information on encumbered and unencumbered assets shall not reveal emergency liquidity assistance provided by central banks.	Table 104: Encumbered and unencumbered assets (UK AE1) on page 128 Table 105: Collateral received and own debt securities issued (UK AE2) on page 129 Table 106: Sources of encumbrance (UK AE3) on page 129
		Use of the Standardised Approach

Pillar 3 disclosures Prudential disclosure reference

CRR article ref.	Requirement summary	Disclosure
444	Chapter 2 of Title II of Part Three shall disclose the following information for each of the exposure classes set out in Article 112:	See below
(a)	The names of the nominated ECAIs and export credit agencies and the reasons for any changes in those nominations over the disclosure period.	Section 3.7. standardised risk weight profile on page 89
(b)	The exposure classes for which each ECAI or export credit agency is used.	Section 3.7. standardised risk weight profile on page 89
(c)	A description of the process used to transfer the issuer and issue credit ratings onto items not included in the trading book.	Section 3.7. standardised risk weight profile on page 89
(d)	The association of the external rating of each nominated ECAI or export credit agency with the risk weights that correspond to the credit quality steps as set out in Chapter 2 of Title II of Part Three taking into account that it is not necessary to disclose that information where the institutions comply with the standard association published by the competent authority.	Section 3.7. standardised risk weight profile on page 89
(e)	The exposure values and the exposure values after credit risk mitigation associated with each credit quality step as set out in Chapter 2 of Title II of Part Three, by exposure class, as well as those deducted from own funds.	Table 51: Quality of non-performing exposures by geography (UK CQ4) on page 65 Table 52: Credit quality of loans and advances to non financial corporations by industry (UK CQ5) on page 66
	Exposure to market risk
445	Institutions calculating their own funds requirements in accordance with points (b) and (c) of Article 92(3) shall disclose those requirements separately for each risk referred to in those provisions. In addition, own funds requirements for the specific interest rate risk of securitisation positions shall be disclosed separately.	Table 82: Market risk under standardised approach (UK MR1) on page 105
	Operational risk management
446	Institutions shall disclose the following information about their operational risk management:	The Group applies STD approach for measuring capital requirements, described in section 1.4. Risk management under Operational Risk on page 5
(a)	The approaches for the assessment of own funds requirements for operational risk that the institution qualifies for.	Table 99: Operational risk own funds requirements and risk-weighted exposure amounts (UK OR1) on page 119
(b)	Where the institution makes use of it, a description of the methodology set out in Article 312(2), which shall include a discussion of relevant internal and external factors being considered in the institution's advanced measurement approach.	Not applicable
(c)	In the case of partial use, the scope and coverage of the different methodologies used.	Not applicable
Key metrics
447	Institutions shall disclose the following key metrics in a tabular format:	See below
(a)	The composition of their own funds and their own funds requirements as calculated in accordance with Article 92.	Table 1: Key metrics template (UK KM1) on page 2
(b)	The total risk exposure amount as calculated in accordance with Article 92(3).	Table 1: Key metrics template (UK KM1) on page 2
(c)	Where applicable, the amount and composition of additional own funds which the institutions are required to hold in accordance with regulation 34(1) of the Capital Requirements Regulations.	Table 1: Key metrics template (UK KM1) on page 2
(d)	Their combined buffer requirement which the institutions are required to hold in accordance with regulation 35 of the Capital Requirements (Capital Buffers and Macro prudential Measures) Regulations 2014.	Table 1: Key metrics template (UK KM1) on page 2
(e)	The following information in relation to their leverage ratio: (i) for all institutions, their leverage ratio and total exposure measure; (ii) for LREQ firms, the information in Article 451(1)(b) and (g) and Article 451(2)(b) to (d);	Table 1: Key metrics template (UK KM1) on page 2

CRR article ref.		Requirement summary	Disclosure
	(f)	The following information in relation to their liquidity coverage ratio as calculated in accordance with Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook: (i) the average or averages, as applicable, of their liquidity coverage ratio based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;	Table 1: Key metrics template (UK KM1) on page 2
		(ii) the average or averages, as applicable, of their total liquid assets, after applying the relevant haircuts, included in the liquidity buffer pursuant to the Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period; (iii) the averages of their liquidity outflows, inflows and net liquidity outflows as calculated pursuant to Chapter 2 of
		the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
	(g)	The following information in relation to their net stable funding requirement as calculated in accordance with Title IV of Part Six:	Table 1: Key metrics template (UK KM1) on page 2
		(i) the average or averages, as applicable, of their net stable funding ratio based on end-of-the-quarter observations over the preceding four quarters, for each quarter of the relevant disclosure period;
		(ii) the average or averages, as applicable, of their available stable funding based on end-of-the-quarter observations over the preceding four quarters, for each quarter of the relevant disclosure period;
		(iii) the average or averages, as applicable, of their required stable funding based on end-of-the-quarter observations over the preceding four quarters, for each quarter of the relevant disclosure period;
	(h)	Their own funds and eligible liabilities ratios and their components, numerator and denominator, as calculated in accordance with Articles 92a and 92b and broken down at the level of each resolution group, where applicable.
		Exposure to interest rate risk on positions not included in the trading book
448	(1)	Institutions shall disclose the following quantitative and qualitative information on the risks arising from potential changes in interest rates that affect both the economic value of equity and the net interest income of their non-trading book activities referred to in in Chapter 9 of the Internal Capital Adequacy Assessment (ICAA) Part of the PRA Rulebook:	See below
	(1)(a)	The changes in the economic value of equity calculated under the following six supervisory shock scenarios referred to in Rule 9.7 of the ICAA Part of the PRA Rulebook for the current and previous disclosure periods: (i) parallel shock up; (ii) parallel shock down; (iii) steepener shock (short rates down and long rates up); (iv) flattener shock (short rates up and long rates down);	Table 100: Quantitative information on IRRBB (UK IRRBB1) on page 121
		(v) short rates shock up; (vi) short rates shock down;
	(1)(b)	The changes in the net interest income calculated under the following two supervisory shock scenarios referred to in Rule 9.7 of the ICAA Part of the PRA Rulebook for the current and previous disclosure periods: (i) parallel shock up; (ii) parallel shock down;	Table 100: Quantitative information on IRRBB (UK IRRBB1) on page 121
	(1)(c)	A description of key modelling and parametric assumptions used to calculate changes in the economic value of equity and in the net interest income required under points (a) and (b) of this paragraph.	Section 6 on Interest rate risk in the banking book on pages 120 to 121.

CRR article ref.	Requirement summary	Disclosure
(1)(d)	An explanation of the significance of the risk measures disclosed under points (a) and (b) of this paragraph and of any significant variations of those risk measures since the previous disclosure reference date.	Section 6 on Interest rate risk in the banking book on pages 120 to 121
(1)(e)	The description of how institutions define, measure, mitigate and control the interest rate risk of their non-trading book activities for the purposes of the competent authorities' review in accordance with Chapter 9 of the ICAA Part of the PRA Rulebook, including: (i) a description of the specific risk measures that the institutions use to evaluate changes in their economic value of equity and in their net interest income; (ii) a description of the key modelling and parametric assumptions used in the institutions' internal measurement systems for the purpose of calculating changes in the economic value of equity and in net interest income, as required under points (a) and (b) of this paragraph, if those assumptions differ from those used for the purposes of Chapter 9 of the ICAA Part of the PRA Rulebook or from those specified in Annex XXXVIII of Chapter 6 of this Disclosure (CRR) Part of the PRA Rulebook, including the rationale for those differences; (iii) a description of the interest rate shock scenarios that institutions use to estimate the interest rate risk; (iv) the recognition of the effect of hedges against those interest rate risks, including internal hedges that meet the requirements laid down in Article 106(3); (v) an outline of how often the evaluation of the interest rate risk occurs;	Section 6 on Interest rate risk in the banking book on pages 120 to 121
(1)(f)	The description of the overall risk management and mitigation strategies for those risks.	Section 6 on Interest rate risk in the banking book on pages 120 to 121
(1)(g)	Average and longest repricing maturity assigned to non-maturing deposits.	Section 6 on Interest rate risk in the banking book on pages 120 to 121
2	By way of derogation from paragraph 1 of this Article, the requirements set out in points (c) and (e)(i) to (e)(iv) of paragraph 1 of this Article for descriptions relating to economic value of equity shall not apply to institutions that use the standardised framework referred to in Rule 9.1B of the ICAA Part of the PRA Rulebook
	Exposure to securitisation position
449	Institutions calculating risk-weighted exposure amounts in accordance with Chapter 5 of Title II of Part Three or own funds requirements in accordance with Article 337 or 338 shall disclose the following information separately for their trading and non-trading book activities:	See below
(a)	A description of their securitisation and re-securitisation activities, including their risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions, whether they use the simple, transparent and standardised securitisation (STS) as defined in point (10) of Article 242, and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy.	Section 3.9 Securitisation on pages 91 to 93
(b)	The type of risks they are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions providing a distinction between STS and non-STS positions and: (i) the risk retained in own-originated transactions; (ii) the risk incurred in relation to transactions originated by third parties	Section 3.9 Securitisation on pages 91 to 93
(c)	Their approaches for calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies and with a distinction between STS and non-STS positions.	Section 3.9 Securitisation on pages 91 to 93

CRR article ref.	Requirement summary	Disclosure
(d)	A list of SSPEs falling into any of the following categories, with a description of their types of exposures to those SSPEs, including derivative contracts: (i) SSPEs which acquire exposures originated by the institutions; (ii) SSPEs sponsored by the institutions; (iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services; (iv) SSPEs included in the institutions' regulatory scope of consolidation	Section 3.9 Securitisation on page 91
(e)	A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three.	Section 3.9 Securitisation on page 91
(f)	A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions.	Section 3.9 Securitisation on page 91
(g)	A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions.	Section 3.9 Securitisation on page 92
(h)	The names of the ECAIs used for securitisations and the types of exposure for which each agency is used.	Section 3.9 Securitisation on pages 91 to 93
(i)	Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three, including the structure of the internal assessment process and relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels.	Section 3.9 Securitisation on pages 91 to 93
(j)	Separately for the trading book and the non-trading book, the carrying amount of securitisation exposures, including information on whether institutions have transferred significant credit risk in accordance with Articles 244 and 245, for which institutions act as originator, sponsor or investor, separately for traditional and synthetic securitisations, and for STS and non-STS transactions and broken down by type of securitisation exposures.	Table 74: Securitisation exposures in the non-trading book (UK-SEC1) on page 93 Table 75: Securitisation exposures in the trading book (UK-SEC2) on page 95
(k)	For the trading and the non-trading book activities, the following information: (i) the aggregate amount of securitisation positions where institutions act as originator or sponsor and the associated risk-weighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1250%, broken down between traditional and synthetic securitisations and between securitisation and re-securitisation exposures, separately for STS and non-STS positions, and further broken down into a meaningful number of risk-weight or capital requirement bands and by approach used to calculate the capital requirements ; (ii) the aggregate amount of securitisation positions where institutions act as investor and the associated risk-weighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1250%, broken down between traditional and synthetic securitisations, securitisation and re-securitisation positions, and STS and non-STS positions, and further broken down into a meaningful number of risk weight or capital requirement bands and by approach used to calculate the capital requirements;	Table 76: Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor (UK-SEC3) on page 97 Table 77: Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor (UK-SEC4) on page 99

CRR article ref.		Requirement summary	Disclosure
	(l)	For exposures securitised by the institution, the amount of exposures in default and the amount of the specific credit risk adjustments made by the institution during the current period, both broken down by exposure type.	Table 78: Exposures securitised by the institution - Exposures in default and specific credit risk adjustments (UK-SEC5) on page 101
	Remuneration policy
450		Institutions shall disclose the following information regarding their remuneration policy and practices for those categories of staff whose professional activities have a material impact on risk profile of the institutions:
	(1)(a)	Information concerning the decision-making process used for determining the remuneration policy, as well as the number of meetings held by the main body overseeing remuneration during the financial year, including, where applicable, information about the composition and the mandate of a remuneration committee, the external consultant whose services have been used for the determination of the remuneration policy and the role of the relevant stakeholders	2024 Annual Reports and Accounts on pages 143 to 181
	(1)(b)	Information about the link between pay of the staff and their performance.	2024 Annual Reports and Accounts on pages 143 to 181
	(1)(c)	The most important design characteristics of the remuneration system, including information on the criteria used for performance measurement and risk adjustment, deferral policy and vesting criteria.	2024 Annual Reports and Accounts on pages 143 to 181
	(1)(d)	The ratios between fixed and variable remuneration set in accordance with rules 15.9 to 15.13 of the Remuneration Part of the PRA Rulebook	2024 Annual Reports and Accounts on pages 143 to 181
	(1)(e)	Information on the performance criteria on which the entitlement to shares, options or variable components of remuneration is based.	2024 Annual Reports and Accounts on pages 143 to 181
	(1)(f)	The main parameters and rationale for any variable component scheme and any other non-cash benefits.	2024 Annual Reports and Accounts on pages 143 to 181
	(1)(g)	Aggregate quantitative information on remuneration, broken down by business area.	Table 111: Information on remuneration of staff whose professional activities have a material impact on institutions' risk profile (identified staff) (UK REM5) on page 137
	(1)(h)	Aggregate quantitative information on remuneration, broken down by senior management and members of staff whose professional activities have a material impact on the risk profile of the institutions, indicating the following: (i) the amounts of remuneration for the financial year, split into fixed remuneration including a description of the fixed components, and variable remuneration, and the number of beneficiaries; (ii) the amounts and forms of awarded variable remuneration, split into cash, shares, share-linked instruments and other types separately for the part paid upfront and the deferred part; (iii) the amounts of deferred remuneration awarded for previous performance periods, split into the amount due to vest in the financial year and the amount due to vest in subsequent years; (iv) the amount of deferred remuneration due to vest in the financial year, and the number of beneficiaries of those awards; (v) the guaranteed variable remuneration awards during the financial year, and the number of beneficiaries of those awards; (vi) severance payments awarded in previous periods, that have been paid out during the financial year; (vii) the amounts of severance payments awarded during the financial year, split into paid upfront and deferred, the number of beneficiaries of those payments and highest payment that has been awarded to a single person;	Table 107: Remuneration awarded for the financial year (UK REM1) on page 132 Table 108: Special payments to staff whose professional activities have a material impact on institutions' risk profile (identified staff) (UK REM2) on page 133 Table 109: Deferred remuneration (UK REM3) on page 134

CRR article ref.		Requirement summary	Disclosure
	(1)(i)	The number of individuals that have been remunerated EUR 1 million or more per financial year, with the remuneration between EUR 1 million and EUR 5 million broken down into pay bands of EUR 500 000 and with the remuneration of EUR 5 million and above broken down into pay bands of EUR 1 million.	See Article 450 (1)(h)(i) above
	(1)(k)	Information on whether the institution benefits from a derogation laid down in the Remuneration Part of the PRA Rulebook at 5.3, and/or 12.2 (second subparagraph), and 15.A1(3). For the purposes of point (k) of the first subparagraph of this paragraph, institutions that benefit from such a derogation shall indicate whether they benefit from that derogation on the basis of the Remuneration Part of the PRA Rulebook at 5.3, and/or 12.2 (second subparagraph), and 15.A1(3). They shall also indicate for which of the remuneration principles they apply the derogation(s), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration.	See Article 450 (1)(h)(i) above
	(2)	For large institutions, the quantitative information on the remuneration of institutions' collective management body referred to in this Article shall also be made available to the public, differentiating between executive and non-executive members. Institutions shall comply with the requirements set out in this Article in a manner that is appropriate to their size, internal organisation and the nature, scope and complexity of their activities and without prejudice to the GDPR.	See tables 131 to 135 on pages 164 to 169
Leverage
451		Institutions shall disclose the following information regarding their leverage ratio as calculated in accordance with Article 429 of Chapter 3 of the Leverage Ratio (CRR) Part and their management of the risk of excessive leverage:	See below
	(1)(a)	The leverage ratio.	Table 26: LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1) on page 32 Table 27: LRCom: Leverage ratio common disclosure (UK LR2) on page 33 Table 28: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (UK LR3) on page 34
	(1)(b)	The leverage ratio calculated as if central bank claims were required to be included in the total exposure measure.	Table 26: LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1) on page 32 Table 27: LRCom: Leverage ratio common disclosure (UK LR2) on page 33 Table 28: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (UK LR3) on page 34
	(1)(c)	A breakdown of the total exposure measure, as well as a reconciliation of the total exposure measure with the relevant information disclosed in published financial statements.	Table 26: LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1) on page 32 Table 27: LRCom: Leverage ratio common disclosure (UK LR2) on page 33 Table 28: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (UK LR3) on page 34
	(1)(d)	A description of the processes used to manage the risk of excessive leverage.	Section 2.6 Leverage Ratio on page 32
	(1)(e)	A description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers.	Section 2.6 Leverage ratio on page 32
	(1)(f)	In relation to the quarterly periods up to 31 December 2023, the leverage ratio calculated as if Article 468 of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part.

Pillar 3 disclosures Prudential disclosure reference

CRR article ref.	Requirement summary	Disclosure
(1)(g)	In relation to the quarterly periods up to 31 December 2024, the leverage ratio calculated as if Article 473a of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part.
(2)	An LREQ firm must disclose each of the following	See below
(2)(a)	The average exposure measure.	Table 27: LRCom: Leverage ratio common disclosure (UK LR2) on page 33
(2)(b)	The average leverage ratio.	Table 27: LRCom: Leverage ratio common disclosure (UK LR2) on page 33
(2)(c)	The average leverage ratio calculated as if central bank claims were required to be included in the total exposure measure; and	Table 27: LRCom: Leverage ratio common disclosure (UK LR2) on page 33
(2)(d)	The countercyclical leverage ratio buffer.	Table 27: LRCom: Leverage ratio common disclosure (UK LR2) on page 33
(3)	An LREQ firm must disclose such information as is necessary to enable users to understand changes in the firm's total exposure measure and tier 1 capital (leverage) over the quarter that have affected the firm's average leverage ratio.
(4)	Subject to paragraph 5	See below
(4)(a)	For the purposes of paragraph 2(a) an LREQ firm must calculate its average exposure measure for a quarter as the sum of: (i) the arithmetic mean of the firm's total exposure measure in relation to on-balance sheet assets and securities financing transactions on each day in the quarter; and (ii) the arithmetic mean of the firm's total exposure measure excluding on-balance sheet assets and securities financing transactions on the last day of each month in
4(b)	the quarter; and For the purposes of paragraphs 2(a) and 3, an LREQ firm must calculate its average leverage ratio for a quarter as its capital measure divided by its exposure measure where the: (i) capital measure is the arithmetic mean of the firm's tier 1 capital (leverage) on the last day of each month in the quarter; and (ii) exposure measure is the sum derived in accordance with (a), unless paragraph 5 applies in which case it shall be the sum derived in accordance with that paragraph.
(5)	In relation to the quarterly periods up to 1 January 2023 an LREQ firm must calculate its average exposure measure for a quarter as the sum of:
(5)(a)	The arithmetic mean of the firm's total exposure measure in relation to on-balance sheet assets on each day in the quarter; and
(5)(b)	The arithmetic mean of the firm's total exposure measure excluding on-balance sheet assets on the last day of each month in the quarter.
Liquidity Requirements
451a (1)	Institutions that are subject to Part Six shall disclose information on their liquidity coverage ratio, net stable funding ratio and liquidity risk management in accordance with this Article.	Section 7 Liquidity risk on pages 122 to 130
(2)	Institutions shall disclose the following information in relation to their liquidity coverage ratio as calculated in accordance with the Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook:	See below
(2)(a)	The average or averages, as applicable, of their liquidity coverage ratio based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period.	Table 101: Liquidity Coverage Ratio (LCR) (UK LIQ1) on page 123

CRR article ref.		Requirement summary	Disclosure
	(2)(b)	The average or averages, as applicable, of their total liquid assets, after applying the relevant haircuts, included in the liquidity buffer pursuant to the Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period, and a description of the composition of that liquidity buffer.	Table 101: Liquidity Coverage Ratio (LCR) (UK LIQ1) on page 123
	(2)(c)	The averages of their liquidity outflows, inflows and net liquidity outflows as calculated in accordance with the Chapter 2 of the Liquidity Coverage Ratio (CRR) Part of the PRA Rulebook, based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period and the description of their composition.	Table 101: Liquidity Coverage Ratio (LCR) (UK LIQ1) on page 123
	(3)	Institutions shall disclose the following information in relation to their net stable funding ratio as calculated in accordance with Title IV of Part Six:	See below
	(3)(a)	Averages of their net stable funding ratio calculated in accordance with Chapter 2 of Title IV of Part Six for each quarter of the relevant disclosure period, based on end-of the-quarter observations over the preceding four quarters.	Table 102: Net Stable Funding Ratio (UK LIQ2) on page 125
	(3)(b)	An overview of the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six for each quarter of the relevant disclosure period, comprising averages based on end-of-the-quarter observations over the preceding four quarters.	Table 102: Net Stable Funding Ratio (UK LIQ2) on page 125
	(3)(c)	An overview of the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six for each quarter of the relevant disclosure period, comprising averages based on end-of-the-quarter observations over the preceding four quarters	Table 102: Net Stable Funding Ratio (UK LIQ2) on page 125
	(4)	Institutions shall disclose the arrangements, systems, processes and strategies put in place to identify, measure, manage and monitor their liquidity risk in accordance with the Internal Liquidity Adequacy Assessment Part of the PRA Rulebook.	Section 7 Liquidity Risk on pages 122 to 130
		Use of the IRB Approach to credit risk
452		Institutions calculating the risk-weighted exposure amounts under the IRB Approach to credit risk shall disclose the following information:	See below
	(a)	The competent authority's permission of the approach or approved transition.	Section 3.3 Internal Ratings Based models on pages 35 to 37Table 67: Scope of the use of IRB and SA approaches (UK CR6-A) on page 84
	(b)	For each exposure class referred to in Article 147, the percentage of the total exposure value of each exposure class subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three, as well as the part of each exposure class subject to a roll-out plan; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall disclose separately the percentage of the total exposure value of each exposure class subject to that permission.	Section 3.3 Internal Ratings Based models on pages 35 to 37 Table 67: Scope of the use of IRB and SA approaches (UK CR6-A) on page 84 Table 54: Internal default grade probabilities and mapping to external ratings on page 71
	(c)	The control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on: (i) the relationship between the risk management function and the internal audit function; (ii) the rating system review; (iii) the procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models; (iv) the procedure to ensure the accountability of the functions in charge of developing and reviewing the models;	Section 3.3 Internal Ratings Based models on pages 35 to 37 Table 67: Scope of the use of IRB and SA approaches (UK CR6-A) on page 84

CRR article ref.	Requirement summary	Disclosure
(d)	The role of the functions involved in the development, approval and subsequent changes of the credit risk models.	Section 3.3 Internal Ratings Based models on pages 35 to 37 Table 67: Scope of the use of IRB and SA approaches (UK CR6-A) on page 84
(e)	The scope and main content of the reporting related to credit risk models.	Section 3.3 Internal Ratings Based models on pages 35 to 37 Table 67: Scope of the use of IRB and SA approaches (UK CR6-A) on page 84
(f)	A description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering: (i) the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods; (ii) where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure; (iii) where applicable, the definitions, methods and data for estimation and validation of conversion factors, including assumptions employed in the derivation of those variables;	Section 3.3 Internal Ratings Based models on pages 35 to 37 Table 67: Scope of the use of IRB and SA approaches (UK CR6-A) on page 84
(g)	As applicable, the following information in relation to each exposure class referred to in Article 147: (i) their gross on-balance-sheet exposure; (ii) their off-balance-sheet exposure values prior to the relevant conversion factor; (iii) their exposure after applying the relevant conversion factor and credit risk mitigation; (iv) any model, parameter or input relevant for the understanding of the risk weighting and the resulting risk exposure amounts disclosed across a sufficient number of obligor grades (including default) to allow for a meaningful differentiation of credit risk; (v) separately for those exposure classes in relation to which institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, and for exposures for which the institutions do not use such estimates, the values referred to in points (i) to (iv) subject to that permission;	Tables 55 to 66: IRB approach – Credit risk exposures by exposure class and PD range on pages 72 to 83
(h)	Institutions' estimates of PDs against the actual default rate for each exposure class over a longer period, with separate disclosure of the PD range, the external rating equivalent, the weighted average and arithmetic average PD, the number of obligors at the end of the previous year and of the year under review, the number of defaulted obligors, including the new defaulted obligors, and the annual average historical default rate.	Tables 31 to 40: IRB approach – Back-testing of PD per exposure class (UK CR9) on pages 38 to 47 Tables 41 to 45: IRB – Backtesting of probability of default (PD) (UK CR9.1) on pages 48 to 56
	Use of credit risk mitigation techniques
453	Institutions using credit risk mitigation techniques shall disclose the following information:	See below
(a)	The core features of the policies and processes for on- and off-balance-sheet netting and an indication of the extent to which institutions make use of balance sheet netting.	Section 3.7. Credit risk mitigation on page 89
(b)	The core features of the policies and processes for eligible collateral evaluation and management.	See 453(a) above
(c)	A description of the main types of collateral taken by the institution to mitigate credit risk.	See 453(a) above
(d)	For guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purpose of reducing capital requirements, excluding those used as part of synthetic securitisation structures	See 453(a) above

CRR article ref.		Requirement summary	Disclosure
	(e)	Information about market or credit risk concentrations within the credit mitigation taken.	See 453(a) above
	(f)	For institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, the total exposure value not covered by any eligible credit protection and the total exposure value covered by eligible credit protection after applying volatility adjustments; the disclosure set out in this point shall be made separately for loans and debt securities and including a breakdown of defaulted exposures.	Table 69: CRM techniques overview: Disclosure of the use of credit risk mitigation techniques (UK CR3) on page 86
	(g)	The corresponding conversion factor and the credit risk mitigation associated with the exposure and the incidence of credit risk mitigation techniques with and without substitution effect.	Table 70: UK CR4 – Credit risk exposure and CRM effects on page 87
	(h)	For institutions calculating risk-weighted exposure amounts under the Standardised Approach, the on- and off-balance-sheet exposure value by exposure class before and after the application of conversion factors and any associated credit risk mitigation.	Table 70: UK CR4 – Credit risk exposure and CRM effects on page 87
	(i)	For institutions calculating risk-weighted exposure amounts under the Standardised Approach, the risk weighted exposure amount and the ratio between that risk-weighted exposure amount and the exposure value after applying the corresponding conversion factor and the credit risk mitigation associated with the exposure; the disclosure set out in this point shall be made separately for each exposure class.	Table 70: UK CR4 – Credit risk exposure and CRM effects on page 87
	(j)	For institutions calculating risk-weighted exposure amounts under the IRB Approach, the risk-weighted exposure amount before and after recognition of the credit risk mitigation impact of credit derivatives; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall make the disclosure set out in this point separately for the exposure classes subject to that permission.	Table 71: UK CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques on page 88 Table 72: UK CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques on page 88
		Use of the Advanced Measurement Approaches to operational risk
454		The institutions using the Advanced Measurement Approaches set out in Articles 321 to 324 for the calculation of their own funds requirements for operational risk shall disclose a description of their use of insurance and other risk transfer mechanisms for the purpose of mitigating that risk.	The Group does not hold a permission to use the advanced measurement approach for operational risk
		Use of Internal Market Risk Models
455		Institutions calculating their capital requirements in accordance with Article 363 shall disclose the following information:	See below
	(a)	For each sub-portfolio covered: (i) the characteristics of the models used; (ii) where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model; (iii) a description of stress testing applied to the sub portfolio; (iv) a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;	The Group does not have IMA approval for incremental default and migration risk for correlation trading. A The Group does not have IMA approval for incremental default and migration risk for correlation trading.
	(b)	The scope of permission by the competent authority.	Section 4.1 under the heading Regulatory VaR and Regulatory VaR vs. management VaR on pages 102
	(c)	A description of the extent and methodologies for compliance with the requirements set out in Articles 104 and 105	Section 4.1 under the heading Trading book and Valuation framework on pages 102

Pillar 3 disclosures Prudential disclosure reference

CRR article ref.	Requirement summary	Disclosure
(d)	The highest, the lowest and the mean of the following: (i) the daily value-at-risk measures over the reporting period and at the end of the reporting period; (ii) the stressed value-at-risk measures over the reporting period and at the end of the reporting period; (iii) the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and at the end of the reporting period	Table 83 IMA values for trading portfolios (UK MR3) on page 106
(e)	The elements of the own funds requirement as specified in Article 364.	Table 84 Market risk under the internal Model Approach (IMA) (UK MR2-A) on page 106
(f)	The weighted average liquidity horizon for each sub portfolio covered by the internal models for incremental default and migration risk and for correlation trading.	The Group has no model permissions for specific rate and comprehensive risk measure.
(g)	A comparison of the daily end-of-day value-at-risk measures to the one-day changes of the portfolio's value by the end of the subsequent business day together with an analysis of any important overshooting during the reporting period.	Backtesting overshooting are shown in tables 85 and 86 (UK MR4) on page 107

Summary of differences

Summary of differences between Pillar 3 Disclosures and the Risk and capital review section of the Annual Report and Accounts

The Group's Pillar 3 Disclosures for 31 December 2024 provide details from a regulatory perspective on certain aspects of credit risk, market risk and operational risk. The quantitative disclosures in the Pillar 3 Disclosures will not, however, be directly comparable to those in the Risk and capital review

section of the Annual Report and Accounts as they are largely based on internally modelled risk metrics such as PD, LGD and EAD under Basel framework, whereas the quantitative disclosures in the Risk review are based on IFRS. EAD differs from the IFRS exposure primarily due to the inclusion of undrawn credit lines and off-balance sheet commitments. In addition, a number of the credit risk disclosures within the Pillar 3 Disclosures are only provided for the internal ratings based portfolio.

Topic	Annual Report and Accounts	Pillar 3 Disclosures
Basis of requirements	• The Group's Annual Report and Accounts are prepared in accordance with the requirements of IFRS as endorsed by the EU, the UK Companies Act 2006, and the UK, Hong Kong and India Listing rules	• The Group's Pillar 3 Disclosures provide details on risk from a regulatory perspective to fulfil Basel III / CRD V requirements which have been implemented in the UK by the Prudential Regulatory Authority (PRA) via the 'Disclosure (CRR)' part of the PRA Rulebook.
Basis of preparation	• The quantitative credit risk disclosures in the Risk review are based on IFRS. • Loans and advances are analysed between the four client segments of Corporate & Institutional, Commercial, Private and Retail Banking (split by industry classification codes) • Market risk disclosures are presented using VaR methodology for the trading and non- trading books	• Provides details from a regulatory perspective on certain aspects of credit risk, market risk and operational risk. For credit risk this is largely based on internally modelled risk metrics such as PD, LGD and EAD under Basel rules • Loans and advances are analysed between those that are internal ratings basis (IRB) and standardised, split by standard CRR categories • Market risk and operational risk disclosures are based on the capital required
Coverage	• All external assets which have an exposure to credit risk • Market risk exposure in the trading and non-trading books • Liquidity risk analysis of contractual maturities, liquid assets and encumbered assets	• The credit risk disclosures are provided for approved portfolios as per the IRB approach and remaining portfolios are assessed as per Standardised rules as prescribed in the CRR • The PRA has granted the Group permission to use the internal model approach (IMA) covering the majority of market risk in the trading book. Positions outside the IMA scope are assessed according to standard CRR rules • The Standardised Approach consistent with the CRR requirements is used to assess its regulatory operational risk capital requirement
Credit rating and measurement	• Overview of credit risk management credit grading and the use of IRB models is on page 236 • Maximum exposure to credit risk set out on page 207 • Internal credit grading analysis provided by business segment for both performing and non-performing loans and advances on pages 210 to 218 • External credit grading analysis for unimpaired debt securities and treasury bills is set out on pages 210 to 218	• Details of IRB and Standardised approach to credit risk is set out on pages 35 to 37 • For the IRB portfolio, page 71 provides an indicative mapping of the Group's credit grades in relation to Standard & Poor's credit ratings. • Minimum regulatory capital requirements for credit risk on page 28 • Credit grade analysis provided for the IRB portfolio only. EAD within the IRB portfolio after CRM, Undrawn commitments, exposure weighted average LGD and weighted average risk-weight internal credit grade on pages 72 to 83 and 114 to 118 • Credit quality step analysis for Standardised portfolio is provided on pages 86 to 87

Topic	Annual Report and Accounts	Pillar 3 Disclosures
Credit risk mitigation	• CRM approach is set out on page 249 • Overview of collateral held and other credit risk mitigants provided on page 249. Quantitative overview of other risk mitigants including: • Securitisations, where the Group transfers the rights to collect principal and interest on client loan assets to third parties • Master netting agreements, CSAs and cash collateral for derivatives	• Provides details on CRM from a regulatory perspective by providing EAD after CRM by IRB exposure class. Explanation is given on what constitutes eligible collateral including explanations of funded and unfunded protection. The main type of collateral for the Group's Standardised portfolio is also disclosed. Please refer to pages 86 to 87 • Extensive disclosures on securitisation including notional and carrying amounts, details of securitisation programmes where the Group is an originator, the accounting and governance of securitisation activities and retained exposures and carrying value by risk weight band and by geography. Please refer to pages 93 to 101 • EAD for items subject to CCR risk pre and post credit mitigation is disclosed. The products that are covered under CCR include 'repo style' transactions and derivative transactions. Please refer to page 101
Market risk	• Details of the VaR methodology, and VAR (trading and non trading) is disclosed by risk type on pages 247 to 248 • Details on Group Treasury's market risk, including a table showing a parallel shift in the yield curves, on page 254	• Provides details of the internal model approvals, such as the CAD2 granted by the PRA and the extension of the CAD2 scope to include coal market risk. • Market risk capital requirements for the trading book disclosed by risk type on page 105

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