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
CONTENTS | |||
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 | |
Table 5: LRSum: Summary reconciliation of accounting assets and leverage ratio exposures (UK LR1) | 5 | ||
Table 6: LRCom: Leverage ratio common disclosure (UK LR2) | 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.
1 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
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 | 847,142 | 823,546 | 844,979 | 857,214 | |||
854,711 | ||||||||
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 | 404,275 | |||||||
18 | Total available stable funding | 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% |
2 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
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.
Table 2: Key metrics - TLAC requirements (KM2)
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 | 81,310 | 80,460 | 79,847 | 78,424 | |
84,417 | |||||
Total RWA at the level of the resolution group | 244,151 | 241,506 | 249,117 | 250,893 | |
252,116 | |||||
TLAC as a percentage of RWA | 33.5% | 33.3% | 33.3% | 32.1% | 31.3% |
Fully loaded ECL accounting model TLAC as a | 33.3% | 33.3% | 32.1% | 31.3% | |
33.5% | |||||
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 (%)
3 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
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 | (51) | (41) | ||||
differences) | ||||||
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.
4 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
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 | 455 | |||
518 | |||||
scope of prudential consolidation | |||||
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 | (101) | (95) | ||
accounting | |||||
7 | Adjustment for eligible cash pooling transactions | - | - | ||
8 | Adjustment for derivative financial instruments | 10,211 | 4,512 | ||
9 | Adjustment for securities financing transactions (SFTs) | 6,639 | |||
5,062 | |||||
10 | Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off- | 122,233 | 123,572 | ||
balance sheet exposures) | |||||
11 | (Adjustment for prudent valuation adjustments and specific and general provisions which | (1,510) | (1,485) | ||
have reduced tier 1 capital (leverage)) | |||||
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 | (16,082) | |||
(12,745) | |||||
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
5 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
Table 6: LRCom: Leverage ratio common disclosure (UK LR2)
31.03.24 31.12.23
1
2
3
4
5
6
7
8
UK-8a
9 UK-9a
UK-9b 10 UK-10aUK-10b 11 12
13
14
15
16 UK-16a
17 UK-17a
18
19
20
21
22
UK-22a
UK-22b
UK-22g
UK-22k
23
24 UK-24a
UK-24b
25 UK-25aUK-25b
UK-25c 26
On-balance sheet exposures (excluding derivatives and SFTs)
On-balance sheet items (excluding derivatives, SFTs, but including collateral)
Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework
(Deductions of receivables assets for cash variation margin provided in derivatives transactions) (Adjustment for securities received under securities financing transactions that are recognised as an asset)
(General credit risk adjustments to on-balance sheet items) (Asset amounts deducted in determining tier 1 capital (leverage))
Total on-balance sheet exposures (excluding derivatives and SFTs)
Derivative exposures
Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin)
Derogation for derivatives: replacement costs contribution under the simplified standardised approach
Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions Derogation for derivatives: potential future exposure contribution under the simplified standardised approach
Exposure determined under the original exposure method (Exempted CCP leg of client-cleared trade exposures) (SA-CCR)
(Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach)
(Exempted CCP leg of client-cleared trade exposures) (original exposure method) Adjusted effective notional amount of written credit derivatives
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
Total derivatives exposures
Securities financing transaction exposures
Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions (Netted amounts of cash payables and cash receivables of gross SFT assets)
Counterparty credit risk exposure for SFT assets
Derogation for SFTs: counterparty credit risk exposure in accordance with Articles 429e(5) and 222 of the CRR
Agent transaction exposures
(Exempted CCP leg of client-cleared SFT exposures)
Total securities financing transaction exposures
Other off-balance sheet exposures
Off-balance sheet exposures at gross notional amount (Adjustments for conversion to credit equivalent amounts)
(General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures)
Off-balance sheet exposures
Excluded exposures
(Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR)
(Exposures exempted in accordance with point (j) of Article 429a(1) of the CRR (on- and off- balance sheet))
(Excluded excess collateral deposited at triparty agents)
(Total exempted exposures)
Capital and total exposures
Tier 1 capital (leverage)
Total exposure measure including claims on central banks (-) Claims on central banks excluded
Total exposure measure excluding claims on central banks
Leverage ratio
Leverage ratio excluding claims on central banks (%)
Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%)
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 (%) Leverage ratio including claims on central banks (%)
Regulatory minimum leverage ratio requirement (%)
$million | $million | |
671,493 | 675,338 | |
- | - | |
(6,685) | (9,833) | |
- | - |
- | - |
(7,757) | (7,883) |
657,051 | 657,622 |
16,720 | 14,660 |
- | - |
44,602 | 43,041 |
- | - |
- | - |
(5,740) | (4,114) |
- | - |
- | - |
130,047 | 130,300 |
(128,624) | (128,941) |
57,006 | 54,946 |
110,006 107,876
(15,165) (10,295)
5,062 6,639
- -
- | - |
- | - |
99,903 | 104,220 |
502,869 509,093
(380,636) (385,521)
- -
122,233 | 123,572 |
- | - |
- | - |
- | - |
- | - |
40,765 | 39,806 |
936,193 | 940,360 |
(81,482) | (93,218) |
854,711 | 847,142 |
4.8% 4.7%
4.8% 4.7%
4.8% 4.7%
4.4% 4.2%
3.3% 3.3%
6 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
Table 6: LRCom: Leverage ratio common disclosure (UK LR2) continued
31.03.24 31.12.23
27 UK-27aUK-27b
28
29
UK-31UK-32UK-33UK-34
Additional leverage ratio disclosure requirements - leverage ratio buffers
Leverage ratio buffer (%)
Of which: G-SII or O-SII additional leverage ratio buffer (%)
Of which: countercyclical leverage ratio buffer (%)
Additional leverage ratio disclosure requirements - disclosure of mean values
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
Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables
Average total exposure measure including claims on central banks Average total exposure measure excluding claims on central banks Average leverage ratio including claims on central banks Average leverage ratio excluding claims on central banks
$million $million
0.5% | 0.5% |
0.4% | 0.4% |
0.1% | 0.1% |
94,442 | 91,360 |
94,841 | 97,581 |
959,142 952,997
868,496 853,968
4.1% 4.1%
4.6% 4.6%
Table 7: LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (UK LR3)
UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: UK-2 Trading book exposures
UK-3 Banking book exposures, of which:
UK-4 Covered bonds
UK-5 Exposures treated as sovereigns
UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns
UK-7 Institutions
UK-8 Secured by mortgages of immovable properties
UK-9 Retail exposures
UK-10 Corporates
UK-11 Exposures in default
UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets)
31.03.24 | 31.12.23 |
$million | $million |
664,808 | 665,505 |
64,834 | 49,107 |
599,974 | 616,398 |
7,437 | 8,020 |
217,699 | 226,131 |
3,603 | 2,051 |
61,973 69,038
86,949 90,290
26,705 27,507
137,548 132,627
6,021 6,091
52,039 54,643
7 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
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)
- Credit risk (excluding CCR)2
- Of which standardised approach
- Of which slotting approach
- Of which the advanced IRB (AIRB) approach
- Counterparty credit risk - CCR3
- Of which the standardised approach
- Of which internal model method (IMM)
UK 8a Of which exposures to a CCP
UK 8b Of which CVA
9 | Of which other CCR |
- Settlement risk
- Securitisation exposures in the non-trading book (after the cap)
- Of which SEC-IRBA approach
- Of which SEC-ERBA (including IAA)
- Of which SEC-SA approach
UK 19a Of which 1250%/ deduction
- Position, foreign exchange and commodities risks (Market risk)
- Of which the standardised approach
- Of which IMA
UK 22a | Large exposures |
23 | Operational risk4 |
UK 23b Of which standardised approach
24 Amounts below the thresholds for deduction (subject to 250% risk weight)
Floor Adjustment
29 Total
31.03.24
Risk- Regulatory
weighted capital
assets requirement1
$million $million
164,200 13,136
36,290 2,903
3,879 310
124,031 9,922
19,227 1,538
3,363 269
9,760 781
846 68
2,370 190
2,888 | 231 | |||
- | - | |||
5,746 | 460 | |||
2,867 | 229 | |||
2,402 | 192 |
477 38
--
29,302 2,344
14,052 1,124
15,250 1,220
--
29,805 2,384
29,805 2,384
3,836 307
--
252,116 20,169
31.12.23
Risk- Regulatory
weighted capital
assets requirement1
$million $million
160,359 12,829
35,039 2,803
4,112 329
121,208 9,697
20,801 1,664
3,457 277
9,085 727
918 73
2,046 164
5,295 | 424 | |
- | - | |
6,337 | 507 |
3,123 250
2,879 230
335 27
--
24,867 | 1,989 | ||
11,960 | 957 | ||
12,908 | 1,033 | ||
- | - | ||
27,861 | 2,229 | ||
27,861 | 2,229 | ||
3,926 | 314 | ||
- | - | ||
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:
- 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
- Market Risk increased $4.4 billion due to RWA being deployed to support Markets income growth
- 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.
8 | Standard Chartered Pillar 3 Disclosures 31 March 2024 | www.sc.com |
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Standard Chartered plc published this content on 02 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 02 May 2024 12:58:32 UTC.