Standard Chartered : 3Q 2020 - Pillar 3 disclosure (29 October 2020, PDF)

Standard Chartered PLC

Pillar 3 Disclosures

30 September 2020

Incorporated in England with registered number 966425

Principal 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 for the Group (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: UK and CRR leverage ratio ...........................................................................................................................	5
	Table 5: Overview of RWA (OV1) ................................................................................................................................	6
	Table 6: Movement analysis for RWA..........................................................................................................................	7
	Table 7: RWA flow statements of credit risk exposures under IRB (CR8) ......................................................................	7
	Table 8: RWA flow statements of CCR exposures under the IMM (CCR7)....................................................................	8
	Table 9: RWA flow statements of market risk exposures under an IMA (MR2-B)...........................................................	8
6.	Forward looking statements .........................................................................................................................................	9

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 30 September 2020 in accordance with the European Union's (EU) 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 European Banking Authority's (EBA) guidelines on disclosure requirements (EBA/GL/2016/11) published in December 2016.

This report presents the quarterly Pillar 3 disclosures of Standard Chartered PLC ('the Group') as at 30 September 2020 and should be read in conjunction with the Group's 3Q 2020 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 EBA guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of Regulation (EU) No 575/2013, and the Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013 (EBA/GL/2014/14 and EBA/GL/2016/11). 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 30 September 2020 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 3Q 2020 Results Statement have been applied to confirm compliance with PRA regulations.

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Standard Chartered Pillar 3 Disclosures 30 September 2020

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4	KEY PRUDENTIAL METRICS
Table 1: Key metrics for the Group (KM1)
		30.09.2020	30.06.2020	31.03.2020	31.12.2019	30.09.2019
		$million	$million	$million	$million	$million
Available capital amounts
Common Equity Tier 1 (CET1)
38,449	37,625	36,467	36,513	36,386
Common Equity Tier 1 (CET1) as if IFRS 9 or analogous ECLs	38,061	37,260	36,171	36,154	36,027
transitional arrangements had not been applied
Tier 1		44,060	43,237	41,087	43,677	43,539
Tier 1 as if IFRS 9 or analogous ECLs transitional arrangements had	43,672	42,872	40,791	43,318	43,180
not been applied
Total capital	57,051	56,468	53,458	55,965	54,940
Total capital as IFRS 9 or analogous ECLs transitional arrangements	56,663	56,103	53,162	55,606	54,581
had not been applied
Risk-weighted asset amounts
Total risk-weighted assets (RWA)	266,664	262,552	272,653	264,090	268,668
Total risk-weighted assets if IFRS 9 or analogous ECLs transitional
266,838	262,659	272,760	264,220	268,798
arrangements had not been applied
Risk-based capital ratios as a percentage of RWA
Common Equity Tier 1 ratio
14.4%	14.3%	13.4%	13.8%	13.5%
Common Equity Tier 1 ratio as if IFRS 9 or analogous ECLs	14.3%	14.2%	13.3%	13.7%	13.4%
transitional arrangements had not been applied
Tier 1 ratio	16.5%	16.5%	15.1%	16.5%	16.2%
Tier 1 ratio as if IFRS 9 or analogous ECLs transitional arrangements	16.4%	16.3%	15.0%	16.4%	16.1%
had not been applied
Total capital ratio	21.4%	21.5%	19.6%	21.2%	20.4%
Total capital ratio as if IFRS 9 or analogous ECLs transitional
21.2%	21.4%	19.5%	21.1%	20.3%
arrangements had not been applied
Additional CET1 buffer requirements as a percentage of RWA
Capital conservation buffer requirement
2.50%	2.50%	2.50%	2.50%	2.50%
Countercyclical buffer requirement	0.15%	0.14%	0.15%	0.35%	0.41%
Bank G-SIB and/or D-SIB additional requirements	1.00%	1.00%	1.00%	1.00%	1.00%
Total of bank CET1 specific buffer requirements	3.65%	3.64%	3.65%	3.85%	3.91%
CET1 available after meeting the bank's minimum capital	8.05%	7.96%	6.54%	7.44%	7.15%
requirements
Total capital requirement1	10.00%	10.01%	10.04%	10.24%	10.00%
UK leverage ratio
Total UK leverage ratio exposure measure	819,300	806,596	823,495	801,252	814,810
UK leverage ratio
5.2%	5.2%	4.9%	5.2%	5.1%
UK leverage ratio as if IFRS 9 or analogous ECLs transitional	5.2%	5.2%	4.8%	5.2%	5.1%
arrangements had not been applied
Liquidity Coverage Ratio
Total HQLA
155,965	152,828	150,302	151,901	150,927
Total net cash outflow	108,095	107,697	107,446	107,632	102,518
LCR ratio2	144.3%	142.0%	140.0%	141.3%	147.5%

1 Includes a Pillar 2A CET1 requirement of around 1.8 per cent being 56 per cent of the total Pillar 2A requirement. The Group's current Pillar 2A requirement has been set as a nominal value, at Q3'20 2020 this represented is 3.3 per cent of RWA. This requirement will vary over time with RWA. Potential future offset to Pillar 2A requirements from changes to the countercyclical buffer in PS15/20 are not considered here

2 LCR ratio represents a rolling 12 month average LCR. The spot LCR as at 30 September 2020 was 142.3%

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Standard Chartered applies the transitional arrangements to accounting provisions recognised after 1 January 2018 under IFRS 9, as permitted by Regulation (EU) 2017/2395 and amended by Regulation (EU) 2020/873 of the European Parliament and of the Council in response to the COVID-19 pandemic.

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. For the balance incurred up to 31 December 2019, the proportion phased in at each reporting period is 2020, 30 per cent; 2021, 50 per cent; and 2022, 75 per cent. From 2023 onwards there is no transitional relief. For any increase in the balance after 1 January 2020 there is full relief in 2020 and 2021, followed by a proportionate phase in at each reporting period of 2022, 25 per cent; 2023, 50 per cent; and 2024, 75 per cent. From 2025 onwards there is no transitional relief.

The application of the transitional relief results in a negligible effect on the CET1 ratio as the capital impact of ECL on the standardised portfolio, net of tax, has been largely offset. As there is no capital impact from additional provisions on advanced IRB portfolios, the related deferred tax asset continues to be recognised in full in CET1.

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)

	30.09.20	30.06.20	31.03.20	31.12.19	30.09.19
	$million	$million	$million	$million	$million
Resolution group
Total loss-absorbing capacity (TLAC) available	81,079	80,472	77,585	75,649	74,359
Fully loaded ECL accounting model TLAC available		80,107	77,289	75,290	74,000
80,714
Total RWA at the level of the resolution group	266,664	262,552	272,653	264,090	268,668
TLAC as a percentage of RWA		30.7%	28.5%	28.6%	27.7%
30.4%
Fully loaded ECL accounting model TLAC as a percentage	30.3%	30.5%	28.3%	28.5%	27.5%
of fully
loaded ECL accounting model RWA (%)	819,300
Leverage ratio exposure measure at the level of the	806,596	823,495	801,252	814,810
resolution group
TLAC as a percentage of leverage exposure measure	9.9%	10.0%	9.4%	9.4%	9.1%
Fully loaded ECL accounting model TLAC as a percentage		10.0%	9.4%	9.4%	9.1%
9.9%
of fully loaded ECL accounting model Leverage exposure
measure
Does the subordination exemption in the antepenultimate	Yes	Yes	Yes	Yes	Yes
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 amount	N/A	N/A	N/A	N/A	N/A
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 (%)

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Standard Chartered Pillar 3 Disclosures 30 September 2020

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