Standard Chartered PLC

Quarterly Report • May 2, 2024

Standard Chartered PLC Pillar 3 Disclosures 31 March 2024

Incorporated in England and Wales with registered number 966425 Registered Office: 1 Basinghall Avenue, London, EC2V 5DD, England

1.	Purpose and basis of preparation 1
2.	Frequency 1
3.	Verification 1
4.	Key prudential metrics 2
	Table 1: Key metrics template (UK KM1) 2
	Table 2: Key metrics – TLAC requirements (at resolution group level) (KM2) 3
5.	Capital and leverage 4
	Table 3: Capital base 4
	Table 4: Leverage ratio 5
	LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1) 5 Table 5:
	LRCom: Leverage ratio common disclosure (UK LR2) 6 Table 6:
	Table 7: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and
	exempted exposures) (UK LR3) 7
	Table 8: Overview of risk weighted exposure amounts (UK OV1) 8
	Table 9: Movement analysis for RWA 9
	Table 10: RWEA flow statements of credit risk exposures under the IRB approach (UK CR8) 9
	Table 11: RWEA flow statements of CCR exposures under the IMM (UK CCR7) 10
	Table 12: RWA flow statements of market risk exposures under the IMA (MR2-B) 10
6.	Liquidity 11
	Table 13: Quantitative information of LCR (UK LIQ1) 11
7.	Forward looking statements 13
	Annex 1 Key metrics - Standard Chartered - Solo Consolidation 14
	Table 14: Standard Chartered - Solo Consolidation – Leverage ratio 14

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 March 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 quarterly Pillar 3 disclosures of Standard Chartered PLC ('the Group') as at 31 March 2024 and should be read in conjunction with the Group's Q1 2024 Results Statement: Balance sheet, capital and leverage.

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

2 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 the PRA guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of the UK onshored CRR, and the Guidelines on disclosure requirements under Part Eight 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.

3 VERIFICATION

Whilst the 31 March 2024 Pillar 3 Disclosures 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 Group's Q1 2024 Results Statement have been applied to confirm compliance with PRA regulations.

4 KEY PRUDENTIAL METRICS

Table 1: Key metrics template (UK KM1)

		31.03.24	31.12.23	30.09.23	30.06.23	31.03.23
		\$million	\$million	\$million	\$million	\$million
	Available capital amounts
1	Common Equity Tier 1 (CET1) capital	34,279	34,314	33,569	34,896	34,402
	Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous	34,279	34,314	33,569	34,896	34,402
	ECLs transitional arrangements had not been applied
2	Tier 1 capital	40,765	39,806	39,061	40,388	39,894
	Tier 1 capital as if IFRS 9 or analogous ECLs transitional	40,765	39,806	39,061	40,388	39,894
	arrangements had not been applied
3	Total capital	52,538	51,741	51,112	52,669	52,318
	Total capital as if IFRS 9 or analogous ECLs transitional	52,538	51,741	51,112	52,669	52,318
	arrangements had not been applied
	Risk-weighted exposure amounts
4	Total risk-weighted exposure amount	252,116	244,151	241,506	249,117	250,893
	Total risk-weighted exposure amount if IFRS 9 or analogous	252,119	244,151	241,506	249,117	250,893
	ECLs transitional arrangements had not been applied
	Risk-based capital ratios as a percentage of RWA
5	Common Equity Tier 1 ratio	13.6%	14.1%	13.9%	14.0%	13.7%
	Common Equity Tier 1 ratio as if IFRS 9 or analogous ECLs	13.6%	14.1%	13.9%	14.0%	13.7%
	transitional arrangements had not been applied
6	Tier 1 ratio	16.2%	16.3%	16.2%	16.2%	15.9%
	Tier 1 ratio as if IFRS 9 or analogous ECLs transitional	16.2%	16.3%	16.2%	16.2%	15.9%
	arrangements had not been applied
7	Total capital ratio	20.8%	21.2%	21.2%	21.1%	20.9%
	Total capital ratio as if IFRS 9 or analogous ECLs transitional	20.8%	21.2%	21.2%	21.1%	20.9%
	arrangements had not been applied
	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	0.38%	0.39%	0.37%	0.29%	0.28%
10	Global Systemically Important Institution buffer	1.00%	1.00%	1.00%	1.00%	1.00%
11	Combined buffer requirement	3.88%	3.89%	3.87%	3.79%	3.78%
UK 11a	Overall capital requirements	10.50%	10.51%	10.48%	10.39%	10.38%
	CET1 available after meeting the total SREP own funds	6.97%	7.43%	7.29%	7.40%	7.09%
12	requirements
	Leverage ratio
13	Leverage ratio total exposure measure	854,711	847,142	823,546	844,979	857,214
14	Leverage ratio	4.8%	4.7%	4.7%	4.8%	4.7%
	Additional leverage ratio disclosure requirements
14a	Fully loaded ECL accounting model leverage ratio excluding	4.8%	4.7%	4.7%	4.8%	4.7%
	claims on central banks (%)
14b	Leverage ratio including claims on central banks (%)	4.4%	4.2%	4.2%	4.3%	4.2%
14c	Average leverage ratio excluding claims on central banks	4.6%	4.6%	4.7%	4.7%	4.6%
	(%)
14d	Average leverage ratio including claims on central banks (%)	4.1%	4.1%	4.2%	4.2%	4.2%
14e	Countercyclical leverage ratio buffer (%)	0.1%	0.1%	0.1%	0.1%	0.1%
	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (Weighted value -	187,777	185,986	181,663	177,767	178,289
	average)
UK 16a	Cash outflows - Total weighted value	183,826	182,716	181,470	180,200	182,573
UK 16b	Cash inflows - Total weighted value	66,037	66,652	66,418	66,341	64,371
16	Total net cash outflows (adjusted value)	117,790	116,064	115,052	113,859	118,202
17	Liquidity coverage ratio	159.7%	160.4%	158.0%	156.2%	151.2%
	Net Stable Funding Ratio
18	Total available stable funding	404,275	403,238	400,424	396,309	392,258
19	Total required stable funding	297,556	296,467	296,235	296,814	298,838
20	NSFR ratio (%)	135.9%	136.0%	135.2%	133.5%	131.3%

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 f ive 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 30 per cent in 2020; 50 per cent in 2021; and 75 per cent in 2022. From 2023 onwards th ere is no transitional relief on these components. The proportion phased in for any increase in the balance from 1 Janu ary 2020 at each reporting date is 0 per cent in 2020; 0 per cent in 2021; 25 per cent in 2022; 50 per cent in 2023; and 75 per cent in 2024. 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.

	31.03.24	31.12.23	30.09.23	30.06.23	31.03.23
	\$million	\$million	\$million	\$million	\$million
Resolution group
Total loss-absorbing capacity (TLAC) available	84,417	81,310	80,460	79,847	78,424
Fully loaded ECL accounting model TLAC available	84,417	81,310	80,460	79,847	78,424
Total RWA at the level of the resolution group	252,116	244,151	241,506	249,117	250,893
TLAC as a percentage of RWA	33.5%	33.3%	33.3%	32.1%	31.3%
Fully loaded ECL accounting model TLAC as a	33.5%	33.3%	33.3%	32.1%	31.3%
percentage of fully
loaded ECL accounting model RWA (%)
Leverage ratio exposure measure at the level of the	854,711	847,142	823,546	844,979	857,214
resolution group
TLAC as a percentage of leverage exposure measure	9.9%	9.6%	9.8%	9.4%	9.1%
Fully loaded ECL accounting model TLAC as a	9.9%	9.6%	9.8%	9.4%	9.1%
percentage of fully loaded ECL accounting model
Leverage exposure measure
Does the subordination exemption in the	Yes	Yes	Yes	Yes	Yes
antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply?
Does the subordination exemption in the penultimate	No	No	No	No	No
paragraph of Section 11 of the FSB TLAC Term Sheet
apply?
If the capped subordination exemption applies, the	N/A	N/A	N/A	N/A	N/A
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 (%)

Table 2: Key metrics - TLAC requirements (KM2)

5 CAPITAL AND LEVERAGE

Table 3: Capital Base

	31.03.24	31.12.23
CET1	13.6%	14.1%
Tier 1 capital	16.2%	16.3%
Total capital	20.8%	21.2%

	\$million	\$million
CET1 instruments and reserves
Capital instruments and the related share premium accounts	5,295	5,321
of which: share premium accounts	3,989	3,989
Retained earnings1	27,502	24,930
Accumulated other comprehensive income (and other reserves)	8,247	9,171
Non-controlling interests (amount allowed in consolidated CET1)	256	217
Independently reviewed interim and year-end profits/(losses)	1,407	3,542
Foreseeable dividends	(830)	(768)
CET1 capital before regulatory adjustments	41,877	42,413
CET1 regulatory adjustments
Additional value adjustments (prudential valuation adjustments)	(726)	(730)
Intangible assets (net of related tax liability)	(6,066)	(6,128)
Deferred tax assets that rely on future profitability (excludes those arising from temporary differences)	(51)	(41)
Fair value reserves related to net losses on cash flow hedges	4	(91)
Deduction of amounts resulting from the calculation of excess expected loss	(784)	(754)
Net gains on liabilities at fair value resulting from changes in own credit risk	231	(100)
Defined-benefit pension fund assets	(103)	(95)
Fair value gains arising from the institution's own credit risk related to derivative liabilities	(70)	(116)
Exposure amounts which could qualify for risk weighting of 1,250%	(33)	(44)
of which: securitisation positions	(23)	(33)
of which: free deliveries	(10)	(11)
Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant)	-	-
Total regulatory adjustments to CET1	(7,598)	(8,099)
CET1 capital	34,279	34,314
Additional Tier 1 capital (AT1) instruments	6,506	5,512
AT1 regulatory adjustments	(20)	(20)
AT1 capital	6,486	5,492
Tier 1 capital	40,765	39,806
Tier 2 capital instruments	11,803	11,965
Tier 2 regulatory adjustments	(30)	(30)
Tier 2 capital	11,773	11,935
Total capital	52,538	51,741
Total risk-weighted assets	252,116	244,151

1 Retained earnings include the effect of regulatory consolidation adjustments

CET1 ratio decreased to 13.6 per cent with profit accretion more than offset by the \$1 billion share buyback and reduction from higher RWA.

Leverage Ratio

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 automatic 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.

Table 4 below presents both the Group's leverage ratios.

Table 4: Leverage ratio

	31.03.24	31.12.23
	\$million	\$million
Tier 1 capital (end point)	40,765	39,806
Leverage exposure	854,711	847,142
Leverage ratio	4.8%	4.7%
Leverage exposure quarterly average	868,496	853,968
Leverage ratio quarterly average	4.6%	4.6%
Countercyclical leverage ratio buffer	0.1%	0.1%
G-SII additional leverage ratio buffer	0.4%	0.4%

Table 5: LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1)

		31.03.24	31.12.23
		\$million	\$million
1	Total assets as per published financial statements	812,525	822,844
2	Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation	518	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)	(81,482)	(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	(101)	(95)
7	Adjustment for eligible cash pooling transactions	-	-
8	Adjustment for derivative financial instruments	10,211	4,512
9	Adjustment for securities financing transactions (SFTs)	5,062	6,639
10	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off balance sheet exposures)	122,233	123,572
11	(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced tier 1 capital (leverage))	(1,510)	(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	(12,745)	(16,082)
13	Total exposure measure	854,711	847,142

1. Other Adjustments include Cash Collateral posted \$(6,685) million, Tier-1 Capital deduction other than disclosed in above row11 \$(6,247) million, DTL \$187 million

Table 6: LRCom: Leverage ratio common disclosure (UK LR2)

		31.03.24	31.12.23
		\$million	\$million
	On-balance sheet exposures (excluding derivatives and SFTs)
1	On-balance sheet items (excluding derivatives, SFTs, but including collateral)	671,493	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)	(6,685)	(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))	(7,757)	(7,883)
7	Total on-balance sheet exposures (excluding derivatives and SFTs)	657,051	657,622
8	Derivative exposures Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation	16,720	14,660
	margin)
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	44,602	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)	(5,740)	(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	130,047	130,300
12	(Adjusted effective notional offsets and add-on deductions for written credit derivatives)	(128,624)	(128,941)
13	Total derivatives exposures	57,006	54,946
	Securities financing transaction exposures
14	Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions	110,006	107,876
15	(Netted amounts of cash payables and cash receivables of gross SFT assets)	(15,165)	(10,295)
16	Counterparty credit risk exposure for SFT assets	5,062	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	99,903	104,220
	Other off-balance sheet exposures
19	Off-balance sheet exposures at gross notional amount	502,869	509,093
20	(Adjustments for conversion to credit equivalent amounts)	(380,636)	(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	122,233	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)	40,765	39,806
24	Total exposure measure including claims on central banks	936,193	940,360
UK-24a	(-) Claims on central banks excluded	(81,482)	(93,218)
UK-24b	Total exposure measure excluding claims on central banks	854,711	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	4.8%	4.7%
	losses measured at fair value through other comprehensive income had not been applied (%)
UK-25c	Leverage ratio including claims on central banks (%)	4.4%	4.2%
26	Regulatory minimum leverage ratio requirement (%)	3.3%	3.3%

Table 6: LRCom: Leverage ratio common disclosure (UK LR2) continued

		31.03.24	31.12.23
		\$million	\$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	94,442	91,360
	netted of amounts of associated cash payables and cash receivable
29	Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted	94,841	97,581
	of amounts of associated cash payables and cash receivables
UK-31	Average total exposure measure including claims on central banks	959,142	952,997
UK-32	Average total exposure measure excluding claims on central banks	868,496	853,968
UK-33	Average leverage ratio including claims on central banks	4.1%	4.1%
UK-34	Average leverage ratio excluding claims on central banks	4.6%	4.6%

Table 7: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (UK LR3)

		31.03.24	31.12.23
		\$million	\$million
UK-1	Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:	664,808	665,505
UK-2	Trading book exposures	64,834	49,107
UK-3	Banking book exposures, of which:	599,974	616,398
UK-4	Covered bonds	7,437	8,020
UK-5	Exposures treated as sovereigns	217,699	226,131
UK-6	Exposures to regional governments, MDB, international organisations and PSE not treated as	3,603	2,051
	sovereigns
UK-7	Institutions	61,973	69,038
UK-8	Secured by mortgages of immovable properties	86,949	90,290
UK-9	Retail exposures	26,705	27,507
UK-10	Corporates	137,548	132,627
UK-11	Exposures in default	6,021	6,091
UK-12	Other exposures (e.g. equity, securitisations, and other non-credit obligation assets)	52,039	54,643

Table 8 below presents the RWA and the regulatory capital requirements calculated at 8 per cent of RWA for each risk type and approach.

Table 8: Overview of risk weighted exposure amounts (UK OV1)

		31.03.24		31.12.23
		Risk weighted assets	Regulatory capital requirement1	Risk weighted assets	Regulatory capital requirement1
		\$million	\$million	\$million	\$million
1	2 Credit risk (excluding CCR)	164,200	13,136	160,359	12,829
2	Of which standardised approach	36,290	2,903	35,039	2,803
4	Of which slotting approach	3,879	310	4,112	329
5	Of which the advanced IRB (AIRB) approach	124,031	9,922	121,208	9,697
6	3 Counterparty credit risk - CCR	19,227	1,538	20,801	1,664
7	Of which the standardised approach	3,363	269	3,457	277
8	Of which internal model method (IMM)	9,760	781	9,085	727
UK 8a	Of which exposures to a CCP	846	68	918	73
UK 8b	Of which CVA	2,370	190	2,046	164
9	Of which other CCR	2,888	231	5,295	424
15	Settlement risk	-	-	-	-
16	Securitisation exposures in the non-trading book (after the cap)	5,746	460	6,337	507
17	Of which SEC-IRBA approach	2,867	229	3,123	250
18	Of which SEC-ERBA (including IAA)	2,402	192	2,879	230
19	Of which SEC-SA approach	477	38	335	27
UK 19a	Of which 1250%/ deduction	-	-	-	-
20	Position, foreign exchange and commodities risks (Market risk)	29,302	2,344	24,867	1,989
21	Of which the standardised approach	14,052	1,124	11,960	957
22	Of which IMA	15,250	1,220	12,908	1,033
UK 22a	Large exposures	-	-	-	-
23	4 Operational risk	29,805	2,384	27,861	2,229
UK 23b	Of which standardised approach	29,805	2,384	27,861	2,229
24	Amounts below the thresholds for deduction (subject to 250% risk weight)	3,836	307	3,926	314
	Floor Adjustment	-	-	-	-
29	Total	252,116	20,169	244,151	19,532

1 The regulatory capital requirement is calculated as 8 per cent of the risk-weighted assets, 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 Standardised approaches

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

RWA increased by \$8.0 billion, or 3.3 per cent from 31 December 2023 to \$252.1 billion. This was driven by:

• o Credit Risk increased by \$1.6 billion in the first quarter to \$193.0 billion. There was a \$2.3 billion increase from asset size and a \$1.3 billion increase from model and methodology changes, partly offset by a \$2.2 billion reduction from currency translation
• o Market Risk increased \$4.4 billion due to RWA being deployed to support Markets income growth
• o Operational Risk increased \$1.9 billion primarily due to an increase in average income as measured over a rolling three-year time horizon, with higher 2023 income replacing lower 2020 income

Further details on RWA movements by risk type, and for credit risk IRB (excluding counterparty credit risk) and market risk IMA exposures can be found in tables 6, 7, 8 and 9 respectively.

Table 9: Movement analysis for RWA

	Credit risk IRB2	Credit risk SA	Credit risk Total	Counterparty Credit risk	Total Credit & Counterparty Credit risk	Operational risk	Market risk	Total
	\$million	\$million	\$million	\$million	\$million	\$million	\$million	\$million
As at 31 December 2023	131,657	38,965	170,622	20,801	191,423	27,861	24,867	244,151
Asset size	1,622	2,107	3,729	(1,388)	2,341	-	-	2,341
Asset quality	174	-	174	6	180	-	-	180
Model updates	1,280	-	1,280	-	1,280	-	-	1,280
Methodology and policy	-	-	-	-	-	-	(1,300)	(1,300)
Acquisitions and disposals	-	-	-	-	-	-	-	-
Foreign exchange movements	(1,554)	(469)	(2,023)	(192)	(2,215)	-	-	(2,215)
Other, including non-credit risk 1 movements	-	-	-	-	-	1,944	5,735	7,679
As at 31 March 2024	133,179	40,603	173,782	19,227	193,009	29,805	29,302	252,116

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

2 See Table 8: Overview of RWA (OV1). To note that 'Securitisation', 'Settlement risk' and 'Amounts below the threshold for deduction (subject to 250% risk-weight)' are included in credit risk

Table 10: RWEA flow statements of credit risk exposures under the IRB approach (UK CR8)

		Risk-weighted assets1	Regulatory capital requirement1
		\$million	\$million
	1 As at 31 December 2023	131,657	10,533
	2 Asset size	1,621	130
	3 Asset quality	174	14
	4 Model updates	1,280	102
	5 Methodology and policy	-	-
	6 Acquisitions and disposals	-	-
7	Foreign exchange movements	(1,554)	(124)
	2 8 Other	-	-
	3 9 As at 31 March 2024	133,179	10,654

1 Includes securitisation and non-credit obligation assets, but excludes counterparty credit risk

2 RWA efficiencies are disclosed against 'Other'

3 See Table 8: Overview of RWA (OV1). Comprises advanced IRB credit risk \$127,910 million and securitisation of \$5,269 million

Table 11: RWEA flow statements of CCR exposures under the IMM (UK CCR7)

		Risk-weighted assets	Regulatory capital requirement
		\$million	\$million
1	As at 31 December 2023	9,085	727
2	Asset size	751	60
3	Asset quality	101	8
4	Model updates	-	-
5	Methodology and policy	-	-
6	Acquisitions and disposals	-	-
7	Foreign exchange movements	(177)	(14)
8	1 Other	-	-
9	As at 31 March 2024	9,760	781

1 RWA efficiencies are disclosed against 'Other'

Table 12: RWA flow statements of market risk exposures under the IMA (UK MR2-B)

		VaR	SVaR	IRC	CRM	Other1	Total RWA	Total capital requirement
		\$million	\$million	\$million	\$million	\$million	\$million	\$million
1	At 31 December 2023	2,965	4,240	-	-	5,703	12,908	1,033
1a	Regulatory adjustment	-	-	-	-	-	-	-
1b	RWAs post adjustment at 31 December 2023 2	2,965	4,240	-	-	5,703	12,908	1,033
	Movement in risk levels	(69)	3,117	-	-	594	3,642	291
3	Model updates/changes	-	-	-	-	-	-	-
4	Methodology and policy	(300)	(800)	-	-	(200)	(1,300)	(104)
5	Acquisitions and disposals	-	-	-	-	-	-	-
6	Foreign exchange movements	-	-	-	-	-	-	-
7	Other	-	-	-	-	-	-	-
	8a At 31 March 2024	2,596	6,557	-	-	6,097	15,250	1,220
8b	Regulatory adjustment	-	-	-	-	-
8	RWAs post adjustment at 31 March 2024	2,596	6,557	-	-	6,097	15,250	1,220

1 Other IMA capital add-ons for market risks not fully captured in either VaR or SVaR

5 LIQUIDTY

Table 13: Quantitative information of LCR (UK LIQ1)

		31.03.24
		Total unweighted value Total weighted value (average) (average)
		30.06.23	30.09.23	31.12.23	31.03.24	30.06.23	30.09.23	31.12.23	31.03.24
		\$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)					177,767	181,663	185,986	187,777
	Cash outflows
2	Retail deposits and deposits from small business customers, of which:	148,432	151,822	155,462	160,852	15,343	16,109	16,638	16,641
3	Stable deposits	38,224	38,608	38,922	35,837	1,911	1,930	1,946	1,792
4	Less stable deposits	110,207	113,214	116,540	125,015	13,432	14,179	14,692	14,849
5	Unsecured wholesale funding, of which:	266,165	265,664	264,910	265,422	118,416	118,997	119,196	120,081
6	Operational deposits (all counterparties) and deposits in	122,617	119,363	116,323	110,232	30,544	29,764	29,038	27,540
7	networks of cooperative banks Non-operational deposits (all	138,834	141,240	142,912	149,431	83,159	84,173	84,484	86,783
	counterparties)
8	Unsecured debt	4,714	5,061	5,675	5,758	4,714	5,061	5,675	5,758
9	Secured wholesale funding					4,844	5,175	5,182	5,321
10	Additional requirements	96,968	98,310	100,421	101,849	30,789	30,671	31,016	30,774
11	Outflows related to derivative	15,514	16,074	16,987	18,005	15,397	15,295	15,319	15,074
	exposures and other collateral
	requirements
12	Outflows related to loss of funding on debt products	2	2	2	2	2	2	2	2
13	Credit and liquidity facilities	81,452	82,234	83,433	83,842	15,390	15,374	15,696	15,699
14	Other contractual funding obligations	13,459	12,665	12,096	11,172	8,414	8,116	8,172	8,192
15	Other contingent funding obligations	230,818	234,414	238,805	244,096	2,393	2,401	2,512	2,818
16	Total cash outflows					180,200	181,470	182,716	183,826
	Cash inflows
17	Secured lending (e.g. reverse repos)	63,571	63,891	60,759	57,672	6,488	7,456	7,846	8,477
18	Inflows from fully performing exposures	58,054	57,588	57,488	56,103	41,394	41,422	41,134	39,969
19	Other cash inflows	28,217	27,428	27,855	27,989	18,459	17,540	17,672	17,591
EU-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)
EU-19b	(Excess inflows from a related specialised					-	-	-	-
	credit institutions)
20	Total cash inflows	149,842	148,907	146,102	141,763	66,341	66,418	66,652	66,037
EU-20a	Fully exempt inflows	-	-	-	-	-	-	-	-
EU-20b	Inflows subject to 90% cap	-	-	-	-	-	-	-	-
EU-20c	Inflows subject to 75% cap	141,591	140,752	139,529	135,793	66,341	66,418	66,652	66,037
	Total adjusted value
21	Liquidity buffer					177,767	181,663	185,986	187,777
22	Total net cash outflows					113,859	115,052	116,064	117,790
23	Liquidity coverage ratio (%)					156%	158%	160%	160%

Table 13: Quantitative information of LCR (UK LIQ1) continued

		31.12.23
		Total unweighted value Total weighted value (average)
							(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)					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	Outflows related to derivative exposures	37,815	38,224	38,608	38,922	1,891	1,911	1,930	1,946
4	and other collateral requirements Outflows related to loss of funding on debt	107,754	110,207	113,214	116,540	12,664	13,432	14,179	14,692
5	products 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	141,179	138,834	141,240	142,912	85,425	83,159	84,173	84,484
8	counterparties) 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	15,359	15,514	16,074	16,987	15,291	15,397	15,295	15,319
	and other collateral requirements
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
EU-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)
EU-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
EU-20a	Fully exempt inflows	-	-	-	-	-	-	-	-
EU-20b	Inflows subject to 90% cap	-	-	-	-	-	-	-	-
EU-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%

7 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 forward-looking 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 forward-looking 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 Key metrics - Standard Chartered - Solo Consolidation

Table 14: Standard Chartered - Solo Consolidation – Leverage ratio

		31.03.24	31.12.23	30.09.23	30.06.23	31.03.23
		\$million	\$million	\$million	\$million	\$million
	Leverage ratio
13	Leverage ratio total exposure measure	420,058	422,638	413,417	433,764	441,134
14	Leverage ratio	4.6%	4.4%	4.4%	4.3%	4.2%
	Additional leverage ratio disclosure requirements
14a	Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%)	4.6%	4.4%	4.4%	4.3%	4.2%
14b	Leverage ratio including claims on central banks (%)	4.1%	3.9%	3.8%	3.8%	3.8%
14c	Average leverage ratio excluding claims on central banks (%)	4.3%	4.2%	4.3%	4.2%	4.1%
14d	Average leverage ratio including claims on central banks (%)	3.8%	3.7%	3.7%	3.7%	3.7%
14e	Countercyclical leverage ratio buffer (%)	0.1%	0.1%	0.1%	0.1%	0.1%