TIDMLLOY
RNS Number : 5543F
Lloyds Banking Group PLC
28 July 2016
Lloyds Banking Group plc
2016 Half-Year
Pillar 3 disclosures
28 July 2016
BASIS OF PRESENTATION
This report presents the condensed half-year Pillar 3
disclosures of Lloyds Banking Group plc ('the Group') as at 30 June
2016, prepared in accordance with European Banking Authority (EBA)
guidelines on Pillar 3 disclosure frequency. The report should be
read in conjunction with the 2016 Lloyds Banking Group Half-Year
Results News Release.
The EBA guidelines on Pillar 3 disclosure frequency set out key
information that institutions in the EU banking sector should
consider disclosing on a more frequent than annual basis under
Pillar 3. The Group's assessment of these guidelines has resulted
in the disclosure of specific capital and leverage information at
the interim quarter ends, with further detailed analysis provided
at half-year as covered by this report. These half-year disclosures
remain in addition to the full annual disclosure of the Group's
Pillar 3 report. Risk-weighted assets by type of risk are included
in the individual half-year Management Reports for the Group's
significant subsidiaries; 'Lloyds Bank Group' and 'Bank of Scotland
Group'.
A number of significant differences exist between accounting
disclosures published in accordance with International Financial
Reporting Standards (IFRS) and Pillar 3 disclosures published in
accordance with prudential requirements which prevent direct
comparison in a number of areas. Of particular note are the
differences surrounding scope of consolidation, the definition of
credit risk exposure and the recognition, classification and
valuation of capital securities.
Unless otherwise specified, credit risk exposures are defined as
the exposure at default (EAD), prior to the application of credit
risk mitigation (CRM). EAD is defined as the aggregate of drawn (on
balance sheet) exposures, undrawn (off balance sheet) commitments
and contingent liabilities, after application of credit conversion
factors (CCF), and other relevant regulatory adjustments. Notable
exceptions to this definition include securitisation positions and
counterparty credit risk exposures. A summary, noting the
definitions applied, is provided below.
Exposure type Exposure type
Credit risk exposures (excluding
securitisation positions) EAD pre CRM(1)
Counterparty credit risk
exposures EAD post CRM
Securitisation positions The aggregate of the Group's
retained or purchased positions,
excluding those positions
rated below BB- or that
are unrated and therefore
deducted from capital.
(1) For credit risk exposures risk-weighted under the
Standardised Approach the EAD pre CRM value is
stated net of specific credit risk adjustments
(SCRAs). SCRAs relating to credit risk exposures
risk-weighted under a relevant Internal Ratings
Based (IRB) Approach methodology are netted against
expected losses.
FORWARD LOOKING STATEMENTS
This document contains certain forward looking statements with
respect to the business, strategy and plans of Lloyds Banking Group
and its current goals and expectations relating to its future
financial condition and performance. Statements that are not
historical facts, including statements about Lloyds Banking Group's
or its directors' and/or management's beliefs and expectations, are
forward looking statements. By their nature, forward looking
statements involve risk and uncertainty because they relate to
events and depend upon circumstances that will or may occur in the
future. Factors that could cause actual business, strategy, plans
and/or results (including but not limited to the payment of
dividends) to differ materially from the plans, objectives,
expectations, estimates and intentions expressed in such forward
looking statements made by the Group or on its behalf include, but
are not limited to: general economic and business conditions in the
UK and internationally; market related trends and developments;
fluctuations in interest rates (including low or negative rates),
exchange rates, stock markets and currencies; the ability to access
sufficient sources of capital, liquidity and funding when required;
changes to the Group's credit ratings; the ability to derive cost
savings; changing customer behaviour including consumer spending,
saving and borrowing habits; changes to borrower or counterparty
credit quality; instability in the global financial markets,
including Eurozone instability, the exit by the UK from the
European Union (EU) and the potential for one or more other
countries to exit the EU or the Eurozone and the impact of any
sovereign credit rating downgrade or other sovereign financial
issues; technological changes and risks to cyber security; natural,
pandemic and other disasters, adverse weather and similar
contingencies outside the Group's control; inadequate or failed
internal or external processes or systems; acts of war, other acts
of hostility, terrorist acts and responses to those acts,
geopolitical, pandemic or other such events; changes in laws,
regulations, accounting standards or taxation, including as a
result of an exit by the UK from the EU, a further possible
referendum on Scottish independence; changes to regulatory capital
or liquidity requirements and similar contingencies outside the
Group's control; the policies, decisions and actions of
governmental or regulatory authorities or courts in the UK, the EU,
the US or elsewhere including the implementation and interpretation
of key legislation and regulation; the ability to attract and
retain senior management and other employees; requirements or
limitations on the Group as a result of HM Treasury's investment in
the Group; actions or omissions by the Group's directors,
management or employees including industrial action; changes to the
Group's post-retirement defined benefit scheme obligations; the
provision of banking operations services to TSB Banking Group plc;
the extent of any future impairment charges or write-downs caused
by, but not limited to, depressed asset valuations, market
disruptions and illiquid markets; the value and effectiveness of
any credit protection purchased by the Group; the inability to
hedge certain risks economically; the adequacy of loss reserves;
the actions of competitors, including non-bank financial services
and lending companies; and exposure to regulatory or competition
scrutiny, legal, regulatory or competition proceedings,
investigations or complaints. Please refer to the latest Annual
Report on Form 20-F filed with the US Securities and Exchange
Commission for a discussion of certain factors together with
examples of forward looking statements. Except as required by any
applicable law or regulation, the forward looking statements
contained in this document are made as of today's date, and Lloyds
Banking Group expressly disclaims any obligation or undertaking to
release publicly any updates or revisions to any forward looking
statements. The information, statements and opinions contained in
this document do not constitute a public offer under any applicable
law or an offer to sell any securities or financial instruments or
any advice or recommendation with respect to such securities or
financial instruments.
Contents
Table Risk-weighted assets movement by key driver
1:
Table Capital requirements
2:
Table Credit risk exposures
3:
Table Corporate master scale
4:
Table Retail master scale
5:
Table Corporate Main exposure by PD grade
6:
Table Corporate SME exposure by PD grade
7:
Table Central governments and central bank exposures
8: by PD grade
Table Institution exposures by PD grade
9:
Table Residential mortgages (SME) exposures by
10: PD grade
Table Residential mortgages (non-SME) exposures
11: by PD grade
Table Qualifying revolving retail exposures by
12: PD grade
Table Other SME exposures by PD grade
13:
Table Other non-SME exposures by PD grade
14:
Table Corporate Specialised Lending exposures
15: subject to supervisory slotting
Table Lloyds Banking Group own funds template
16:
Table Lloyds Banking Group leverage ratio common
17: disclosure
Table Lloyds Banking Group summary reconciliation
18: of accounting assets and leverage ratio
exposures
2016 Half-Year Pillar 3 Update
The following disclosures include information on Lloyds Banking
Group's own-funds, leverage, risk-weighted assets and capital
requirements by type of risk and by exposure class. Additional
detail has been included in relation to the Group's exposures
subject to the Internal Ratings Based (IRB) approach.
At 30 At 31
June Dec
2016 2015
Key ratios and risk-weighted assets
Fully loaded common equity tier 1 (CET1)
capital ratio(2) 13.0% 13.0%
Fully loaded tier 1 capital ratio 15.4% 15.2%
Fully loaded total capital ratio 18.7% 18.0%
Fully loaded total risk-weighted assets GBP222,297m GBP222,747m
Transitional CET1 capital ratio 13.1% 12.8%
Transitional tier 1 capital ratio 16.4% 16.4%
Transitional total capital ratio 21.8% 21.5%
Transitional total risk-weighted assets GBP222,778m GBP222,845m
Leverage ratio(1,2) 4.7% 4.8%
Average leverage ratio(3) 4.8%
(1) Reported on a fully loaded basis.
(2) The common equity tier 1 and leverage ratios at
31 December 2015 were reported on a pro forma basis,
including the dividend paid by the Insurance business
in February 2016 relating to 2015.
(3) The average leverage ratio is based on the average
of the month end tier 1 capital and exposure measures
over the quarter (1 April 2016 to 30 June 2016).
The average of 4.8 per cent compares to 4.7 per
cent at the start and end of the quarter.
Table 1: Risk-weighted assets movement by key driver
Credit Credit Counterparty
risk risk Credit credit Market Operational
IRB STA risk risk(3) risk risk Total
GBPm GBPm GBPm GBPm GBPm GBPm GBPm
Fully loaded risk-weighted
assets as at 31
December 2015 222,747
Less total threshold
risk-weighted
assets(1, 2) (10,690)
Risk-weighted
assets as at
31 December 2015 151,563 20,443 172,006 10,153 3,775 26,123 212,057
Asset size (1,940) (831) (2,771) (1,220) (137) - (4,128)
Acquisitions and
disposals (1,686) - (1,686) 38 - - (1,648)
Model updates 3,229 (28) 3,201 99 (418) - 2,882
Methodology and
policy (327) 121 (206) - - - (206)
Asset quality (1,931) 143 (1,788) 1,203 (64) - (649)
Movement in risk
levels - - - - (215) - (215)
Foreign exchange
movements 2,506 420 2,926 453 (19) - 3,360
Risk-weighted
assets as at
30 June 2016 151,414 20,268 171,682 10,726 2,922 26,123 211,453
------- ------ ------- ------------ ------ ----------- --------
Threshold risk-weighted
assets(1) 11,325
--------
Transitional risk-weighted
assets as at 30June
2016 222,778
--------
Movement to fully
loaded
risk-weighted
assets(2) (481)
--------
Fully loaded risk-weighted
assets as at 30
June 2016 222,297
--------
(1) Threshold risk-weighted assets reflect the element
of significant investments and deferred tax assets
that are permitted to be
risk-weighted instead of deducted from CET1 capital.
Significant investments primarily arise from the
investment in the Group's Insurance business.
(2) Differences may arise between transitional and
fully loaded threshold risk-weighted assets where
deferred tax assets reliant on future profitability
and arising from temporary timing differences and
significant investments exceed the fully loaded
threshold limit, resulting in an increase in amounts
deducted from CET1 capital rather than being risk-weighted.
(3) Counterparty credit risk includes movements in
contributions to the default fund of central counterparties
and movements in credit valuation adjustment risk.
The risk-weighted assets movement table provides analysis of the
reduction in risk-weighted assets in the period by risk type and an
insight into the key drivers of the movements. The key driver
analysis is compiled on a monthly basis through the identification
and categorisation of risk-weighted asset movements and is subject
to management judgment.
Movements in credit risk-weighted assets in the six months to 30
June 2016 were driven by the following:
-- Asset size movements include risk-weighted asset movements
arising from new lending and asset run-off. During the six months
to 30 June, credit risk-weighted assets assessed on both
Standardised and Internal Ratings Based approaches decreased by
GBP2.8 billion primarily due to repayments and exits, partly offset
by growth in targeted customer segments.
-- Disposal of the Group's interest in Visa Europe and further
disposals within the run-off business reduced credit risk- weighted
assets by GBP1.7 billion.
-- Model update increases of GBP3.2 billion were mainly driven
by a change in approach for the Retail Buy-to-let mortgage
portfolio and other small model refinements.
-- Methodology and policy movements include changes due to
refinements in the application of regulatory policy.
-- Asset quality movements capture movements in the assessed
quality of assets due to changes in borrower risk, including
changes in the economic environment. Net reductions in credit
risk-weighted assets of GBP1.8 billion primarily relate to model
calibrations and a net change in credit quality, partially offset
by increases in valuation of centrally held strategic equity
investments.
-- Foreign exchange movements reflect the depreciation of
Sterling which has contributed to a GBP2.9 billion increase in
credit risk-weighted assets of which GBP2.3 billion arose in the
final week of June following the outcome of the EU referendum.
Counterparty credit risk and CVA risk increases of GBP0.6
billion are principally driven by yield curve and foreign exchange
movements of which GBP0.9 billion arose in the final week of June
following the outcome of the EU referendum, partially offset by
increased capital relief from CVA related hedges.
Market risk-weighted assets reduced by GBP0.9 billion due to a
reduction in the Value-at-Risk multiplier and active portfolio
management.
The risk-weighted assets and Pillar 1 capital requirements, by
key regulatory risk type, of the Group as at 30 June 2016 are
presented in the table below.
Table 2: Capital requirements
June-16 June-16 Dec-15 Dec-15
Pillar Pillar
Risk- 1 Risk- 1
weighted capital weighted capital
assets requirements assets requirements
CREDIT RISK GBPm GBPm GBPm GBPm
Exposures subject to the
IRB approach
Foundation IRB approach
Corporate - main 43,103 3,448 43,005 3,441
Corporate - SME 8,471 678 8,814 705
Corporate - specialised
lending 6 1 8 1
Central governments and
central banks 1,661 133 1,347 108
Institutions 1,216 97 1,430 114
Retail IRB approach
Retail mortgages 39,032 3,122 38,252 3,060
of which: residential mortgages
(SME) 2,891 231 3,214 257
of which: residential mortgages
(non-SME) 36,141 2,891 35,038 2,803
Qualifying revolving retail
exposures 12,066 965 12,501 1,000
Other SME 1,766 141 1,807 145
Other non-SME 11,523 922 11,352 908
Other IRB approaches(1)
Corporate - specialised
lending 14,296 1,144 14,386 1,151
Equities - exchange traded 2,484 199 2,837 227
Equities - private equity 5,649 452 5,664 453
Equities - other 1,321 106 1,392 111
Securitisation positions(2) 3,069 245 3,266 261
Non-credit obligation assets(3) 5,751 460 5,502 440
--------- ------------- --------- -------------
Total - IRB approach 151,414 12,113 151,563 12,125
--------- ------------- --------- -------------
Exposures subject to the
standardised approach
Central governments and - - - -
central banks
Regional governments or - - - -
local authorities
Public sector entities 3 - 2 -
Multilateral development - - - -
banks
Institutions 36 3 24 2
Corporates 11,829 946 11,921 954
Retail 3,088 247 2,880 230
Secured by mortgages on
immovable property 2,092 167 2,109 168
of which: residential property 2,063 165 2,078 166
of which: commercial property 29 2 31 2
Exposures in default 1,074 86 1,198 96
Other items(3) 2,146 172 2,309 185
--------- ------------- --------- -------------
Total - standardised approach 20,268 1,621 20,443 1,635
--------- ------------- --------- -------------
Total credit risk 171,682 13,734 172,006 13,760
--------- ------------- --------- -------------
Threshold - significant
investments 8,349 668 7,817 625
Threshold - deferred tax 2,976 238 2,971 238
--------- ------------- --------- -------------
Total credit risk (transitional) 183,007 14,640 182,794 14,623
--------- ------------- --------- -------------
Table 2: Capital requirements (continued)
June-16 June-16 Dec-15 Dec-15
Risk- Pillar Risk- Pillar
weighted 1 weighted 1
assets capital assets capital
requirements requirements
GBPm GBPm GBPm GBPm
COUNTERPARTY CREDIT RISK
IRB approach 8,485 679 7,328 586
Standardised approach 531 43 509 41
Central counterparties 143 11 144 12
Settlement risk - - - -
Contributions to the default
fund of a central counterparty 466 37 488 39
--------- ------------- --------- -------------
Total counterparty credit
risk 9,625 770 8,469 678
--------- ------------- --------- -------------
Credit valuation adjustment
(CVA)
Standardised method 1,101 88 1,684 135
--------- ------------- --------- -------------
Total credit valuation adjustment 1,101 88 1,684 135
--------- ------------- --------- -------------
MARKET RISK
Internal models approach 2,466 197 3,224 258
Standardised approach
Interest rate position risk
requirement 374 30 477 38
of which: specific interest
rate risk of securitisation
positions 32 3 78 6
Equity position risk requirement - - - -
Foreign exchange position
risk requirement 82 7 74 6
Commodity position risk
requirement - - - -
--------- ------------- --------- -------------
Total market risk 2,922 234 3,775 302
--------- ------------- --------- -------------
OPERATIONAL RISK
Standardised approach 26,123 2,090 26,123 2,090
--------- ------------- --------- -------------
Total operational risk 26,123 2,090 26,123 2,090
--------- ------------- --------- -------------
Total - transitional 222,778 17,822 222,845 17,827
--------- ------------- --------- -------------
(1) Credit risk exposures subject to other IRB approaches
include specialised lending exposures risk-weighted
in accordance with supervisory slotting criteria,
equity exposures risk-weighted in accordance with
the Simple Risk Weight Method and securitisation
positions risk-weighted in accordance with the
Internal Assessment Approach (IAA) and Ratings
Based Approach (RBA).
(2) Securitisation positions exclude amounts allocated
to the 1,250 per cent risk weight category. These
amounts are deducted from capital after the application
of specific credit risk adjustments (SCRA), rather
than being risk-weighted.
(3) Other items (Standardised Approach) and non-credit
obligation assets (IRB Approach) predominantly
relate to other balance sheet assets that have
no associated credit risk. These comprise various
non-financial assets, including fixed assets, cash,
items in the course of collection, prepayments
and sundry debtors.
Table 3: Credit risk exposures
June-16 June-16 June-16 Dec-15 Dec-15 Dec-15
Credit Risk- Average Credit Risk- Average
risk weighted risk risk weighted risk
exposure assets weight exposure assets weight
Exposure class GBPm GBPm % GBPm GBPm %
Exposures subject
to the IRB approach
Foundation IRB approach
Corporate - main 80,887 43,103 53% 80,629 43,005 53%
Corporate - SME 12,833 8,471 66% 12,964 8,814 68%
Corporate - specialised
lending 5 6 128% 6 8 120%
Central governments
and central banks 20,844 1,661 8% 15,716 1,347 9%
Institutions 6,697 1,216 18% 7,364 1,430 19%
Retail IRB approach
Retail mortgages 338,264 39,032 12% 341,807 38,252 11%
of which: residential
mortgages (SME) 10,462 2,891 28% 10,517 3,214 31%
of which: residential
mortgages
(non-SME) 327,802 36,141 11% 331,290 35,038 11%
Qualifying revolving
retail exposures 37,424 12,066 32% 36,975 12,501 34%
Other SME 2,493 1,766 71% 2,661 1,807 68%
Other non-SME 15,351 11,523 75% 14,331 11,352 79%
Other IRB approaches(1)
Corporate - specialised
lending 19,836 14,296 72% 19,887 14,386 72%
Equities - exchange
traded 857 2,484 290% 978 2,837 290%
Equities - private
equity 2,973 5,649 190% 2,981 5,664 190%
Equities - other 357 1,321 370% 376 1,392 370%
Securitisation positions(2) 20,853 3,069 15% 22,125 3,266 15%
Non-credit obligation
assets(3) 9,387 5,751 61% 9,228 5,502 60%
--------- --------- ------- --------- --------- -------
Total - IRB approach 569,061 151,414 27% 568,028 151,563 27%
--------- --------- ------- --------- --------- -------
Exposures subject
to the standardised
approach
Central governments
and central banks 99,949 - - 88,415 - -
Regional governments
or local authorities 1 - 20% 1 - 20%
Public sector entities 3 3 100% 2 2 100%
Multilateral development
banks 1,436 - - 997 - -
Institutions 195 36 18% 170 24 14%
Corporates 14,185 11,829 83% 14,463 11,921 82%
Retail 4,735 3,088 65% 4,438 2,880 65%
Secured by mortgages
on immovable property 5,783 2,092 36% 5,840 2,109 36%
of which: residential
property 5,754 2,063 36% 5,809 2,078 36%
of which: commercial
property 29 29 100% 31 31 100%
Exposures in default 923 1,074 116% 1,005 1,198 119%
Other items(3) 3,324 2,146 65% 3,204 2,309 72%
--------- --------- ------- --------- --------- -------
Total - standardised
approach 130,534 20,268 16% 118,535 20,443 17%
--------- --------- ------- --------- --------- -------
Total credit risk 699,595 171,682 25% 686,563 172,006 25%
--------- --------- ------- --------- --------- -------
Threshold - significant
investments 3,340 8,349 250% 3,127 7,817 250%
Threshold - deferred
tax 1,191 2,976 250% 1,188 2,971 250%
--------- --------- ------- --------- --------- -------
Total credit risk
(transitional) 704,126 183,007 26% 690,878 182,794 26%
--------- --------- ------- --------- --------- -------
(1) Credit risk exposures subject to other IRB approaches
include corporate specialised lending exposures
risk-weighted in accordance with supervisory slotting
criteria, equity exposures risk-weighted in accordance
with the Simple Risk Weight Method and securitisation
positions risk-weighted in accordance with the
IAA and the RBA.
(2) Securitisation positions exclude amounts allocated
to the 1,250 per cent risk weight category. These
amounts are deducted from capital, after the application
of SCRAs, rather than being risk-weighted at 1,250
per cent.
(3) Other items (Standardised Approach) and non-credit
obligation assets (IRB approach) predominantly
relate to other balance sheet assets that have
no associated credit risk. These comprise various
non-financial assets, including fixed assets, cash,
items in the course of collection, prepayments
and sundry debtors.
Exposures subject to the IRB approach - key movements
FIRB Corporate Main
-- Overall Corporate Main exposures have remained relatively
flat, with underlying reductions driven by active portfolio
management, offset by the impact of Sterling depreciation,
particularly in the last week of June.
FIRB Corporate SME
-- The average risk-weight on FIRB Corporate SME lending has
reduced to 66 per cent, driven by targeted new lending which has
resulted in an overall improvement in credit quality. This has also
led to a reduction in the average PD.
FIRB Central governments and central banks
-- FIRB Central governments and central banks exposures
increased by GBP5.1 billion driven by an increase in deposits with
the Federal Reserve.
Retail IRB Residential mortgages
-- Retail IRB residential mortgage exposures decreased by GBP3.5
billion reflecting the Group's focus on balancing margin and risk
considerations with volume growth in the current competitive low
growth market. The small increase in average risk weight was driven
by model updates.
Retail Qualifying revolving
-- Retail IRB Qualifying revolving retail exposures increased by
GBP0.4 billion largely due to targeted growth in credit cards. The
average risk weight reduced from 34 per cent to 32 per cent largely
due to improved asset quality.
Retail Other non-SME
-- Retail other (non-SME) exposures have increased by GBP1.0
billion and average risk weights have reduced from 79 per cent to
75 per cent primarily as a result of continued growth in UK Motor
Finance
Equities
-- There was a minimal reduction in equities compared to
December 2015 as the impact of disposals of certain strategic
investments (including Visa Europe) was largely offset by increases
in the valuation of centrally held investments.
Securitisation positions
-- Securitisation exposures decreased by GBP1.3 billion mainly due to net sales in the period.
Exposures subject to the Standardised Approach - key
movements
Standardised Central governments and central banks
-- Standardised central governments and central banks' exposures
increased by GBP11.5 billion primarily due to management of the
liquid asset portfolio, specifically placement of funds with
European sovereigns, primarily Netherlands.
Internal Rating Scales
Within the Group, PD internal rating scales are used in
assessing the credit quality of the Foundation IRB and Retail IRB
portfolios. Two separate scales exist within the business - a
Corporate Master Scale which covers all relevant corporate, central
government and central bank and institution portfolios and a Retail
Master Scale which covers all relevant retail portfolios.
PD master scales
Table 4: Corporate master scale
In commercial portfolios the PD models segment counterparties
into a number of rating grades, with each grade representing a
defined range of default probabilities and there are a number of
different model rating scales. Counterparties/exposures migrate
between rating grades if the assessment of the PD changes. The
modelled PD 'map' through local scales to a single Corporate
(non-retail) master scale comprising of 19 non-default ratings.
Together with four default ratings the Corporate master scale forms
the basis on which internal reporting is completed. These ratings
scales can also be mapped to External Ratings as shown below.
Range External S&P Rating
PD Grades Lower Mid Upper (Approximate Equivalent)
1-4 0.000% 0.018% 0.035% AAA to AA-
5 0.036% 0.043% 0.050% A+
6 0.051% 0.060% 0.080% A
7 0.081% 0.110% 0.140% A-
8 0.141% 0.180% 0.220% BBB+
9 0.221% 0.280% 0.340% BBB
10 0.341% 0.420% 0.500% BBB-
11 0.501% 0.630% 0.760% BB+
12 0.761% 1.000% 1.240% BB
13 1.241% 1.620% 2.000% BB-
14 2.001% 2.600% 3.200% B+
15 3.201% 4.200% 5.200% B+
16 5.201% 6.200% 7.200% B
17 7.201% 8.700% 10.200% B-
18 10.201% 12.000% 13.800% B-
19 13.801% 31.000% 99.999% CCC to C
20 - 23 (Default) 100.000% 100.000% 100.000% Default
Table 5: Retail master scale
In the principal retail portfolios, EAD and loss given default
models are also in use. For reporting purposes, customers are
segmented into a number of rating grades, each representing a
defined range of default probabilities and exposures migrate
between rating grades if the assessment of the counterparty PD
changes. The Retail master scale comprises 13 non-default ratings
and one default rating.
Range
PD Grades Lower Mid Upper
0 0.000% 0.050% 0.100%
1 0.101% 0.251% 0.400%
2 0.401% 0.601% 0.800%
3 0.801% 1.001% 1.200%
4 1.201% 1.851% 2.500%
5 2.501% 3.501% 4.500%
6 4.501% 6.001% 7.500%
7 7.501% 8.751% 10.000%
8 10.001% 12.001% 14.000%
9 14.001% 17.001% 20.000%
10 20.001% 25.001% 30.000%
11 30.001% 37.501% 45.000%
12 45.001% 72.500% 99.999%
Default 100.000% 100.000% 100.000%
Analysis of credit risk exposures subject to the Foundation IRB
Approach
The section that follows provides a detailed analysis, by PD
Grade, of credit risk exposures subject to the Foundation IRB
approach.
Disclosures provided in the tables that follow take into account
PD floors and LGD floors specified by regulators in respect of the
calculation of regulatory capital requirements.
Table 6: Corporate Main exposure by PD grade
June-16 June-16 June-16 Dec-15 Dec-15 Dec-15
Exposure Exposure
Credit weighted Average Credit weighted Average
risk average risk risk average risk
exposure PD weight exposure PD weight
GBPm % % GBPm % %
PD Grades
1 - 4 9,823 0.03% 22.82% 9,675 0.03% 22.93%
5 2,957 0.04% 25.91% 2,872 0.04% 28.29%
6 5,929 0.06% 21.68% 5,879 0.06% 22.61%
7 11,494 0.11% 32.41% 11,489 0.11% 32.37%
8 11,791 0.18% 41.34% 12,507 0.18% 42.08%
9 11,161 0.28% 55.01% 10,342 0.28% 55.17%
10 9,384 0.42% 65.15% 9,714 0.42% 65.34%
11 5,123 0.63% 77.50% 5,396 0.63% 78.40%
12 4,932 1.01% 92.06% 4,753 1.00% 92.06%
13 3,377 1.63% 108.87% 2,864 1.63% 110.86%
14 2,158 2.60% 126.05% 2,567 2.60% 127.72%
15 402 4.18% 144.87% 677 4.14% 134.21%
16 848 6.19% 154.58% 293 6.20% 155.32%
17 332 8.73% 201.26% 424 8.73% 176.91%
18 72 11.80% 217.89% 36 11.72% 230.78%
19 137 24.89% 240.42% 155 19.94% 227.16%
20 - 23 (Default) 967 100.00% - 986 100.00% -
--------- --------- ------- --------- --------- -------
Total 80,887 1.75% 53.29% 80,629 1.75% 53.34%
--------- --------- ------- --------- --------- -------
Table 7: Corporate SME exposure by PD grade
June-16 June-16 June-16 Dec-15 Dec-15 Dec-15
Exposure Exposure
Credit weighted Average Credit weighted Average
risk average risk risk average risk
exposure PD weight exposure PD weight
GBPm % % GBPm % %
PD Grades
1 - 4 139 0.03% 20.82% 142 0.03% 20.79%
5 140 0.04% 25.48% 157 0.04% 26.06%
6 330 0.06% 25.50% 284 0.06% 22.29%
7 430 0.11% 24.85% 393 0.11% 26.30%
8 498 0.18% 38.98% 299 0.18% 36.03%
9 547 0.28% 47.00% 565 0.28% 46.75%
10 770 0.43% 49.92% 782 0.43% 49.38%
11 2,522 0.63% 59.05% 2,535 0.63% 59.29%
12 2,151 1.06% 71.30% 2,089 1.06% 70.80%
13 1,363 1.66% 81.67% 1,327 1.66% 81.23%
14 1,589 2.60% 91.92% 1,600 2.60% 95.23%
15 380 4.23% 95.53% 389 4.23% 96.34%
16 498 5.88% 110.14% 808 6.02% 124.66%
17 271 8.66% 122.94% 265 8.61% 127.48%
18 231 10.80% 130.18% 220 10.73% 129.01%
19 155 29.01% 152.95% 148 24.88% 157.35%
20 - 23 (Default) 819 100.00% - 961 100.00% -
--------- --------- ------- --------- --------- -------
Total 12,833 8.32% 66.01% 12,964 9.39% 67.99%
--------- --------- ------- --------- --------- -------
--
Table 8: Central governments and central bank exposures by PD
grade
June-16 June-16 June-16 Dec-15 Dec-15 Dec-15
Exposure Exposure
Credit weighted Average Credit weighted Average
risk average risk risk average risk
exposure PD weight exposure PD weight
GBPm % % GBPm % %
PD Grades
1 - 4 20,687 0.01% 7.73% 15,716 0.01% 8.57%
5 - - - - - -
6 157 0.06% 39.24% - - -
7 - - - - - -
8 - - - - - -
9 - - - - - -
10 - - - - - -
11 - - - - - -
12 - - - - - -
13 - - - - - -
14 - - - - - -
15 - - - - - -
16 - - - - - -
17 - - - - - -
18 - - - - - -
19 - - - - - -
20 - 23 (Default) - - - - - -
--------- --------- ------- --------- --------- -------
Total 20,844 0.01% 7.97% 15,716 0.01% 8.57%
--------- --------- ------- --------- --------- -------
Table 9: Institution exposures by PD grade
June-16 June-16 June-16 Dec-15 Dec-15 Dec-15
Exposure Exposure
Credit weighted Average Credit weighted Average
risk average risk risk average risk
exposure PD weight exposure PD weight
GBPm % % GBPm % %
PD Grades
1 - 4 2,088 0.03% 10.47% 2,781 0.03% 11.25%
5 868 0.04% 8.65% 954 0.04% 9.23%
6 2,398 0.06% 11.97% 2,179 0.06% 10.40%
7 371 0.11% 16.11% 387 0.11% 21.98%
8 250 0.18% 36.52% 242 0.18% 43.38%
9 228 0.28% 60.16% 214 0.28% 62.82%
10 156 0.43% 55.12% 218 0.43% 65.24%
11 236 0.67% 61.69% 290 0.73% 75.00%
12 46 1.00% 89.51% 43 1.01% 93.53%
13 6 1.56% 102.61% 7 1.69% 110.81%
14 1 2.10% 103.72% 1 2.20% 132.33%
15 9 4.23% 149.25% 7 4.24% 157.47%
16 - - - - - -
17 - - - - - -
18 26 12.00% 200.46% - - -
19 1 30.62% 245.83% 24 14.50% 247.44%
20 - 23 (Default) 13 100.00% - 17 100.00% -
--------- --------- ------- --------- --------- -------
Total 6,697 0.35% 18.16% 7,364 0.39% 19.42%
--------- --------- ------- --------- --------- -------
Analysis of credit risk exposures subject to the Retail IRB
Approach
This section provides a detailed analysis, by PD Grade, of
credit risk exposures subject to the Retail IRB Approach.
Disclosures provided in the tables below take into account PD
floors and LGD floors specified by regulators in respect of the
calculation of regulatory capital requirements.
Table 10: Residential mortgages (SME) exposures by PD grade
June-16 June-16 June-16 June-16 June-16 June-16
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD(1) weight (gross) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 - - - - - -
1 - - - - - -
2 4,755 0.62% 16.08% 11.94% 501 491
3 2,161 1.12% 17.82% 19.80% 147 143
4 1,018 1.67% 18.06% 26.00% 53 52
5 894 2.62% 18.58% 35.24% 40 38
6 632 5.67% 18.90% 53.42% 24 23
7 92 8.04% 18.77% 66.12% 1 1
8 378 10.61% 19.81% 75.50% 14 13
9 175 18.02% 20.01% 90.35% 5 5
10 - - - - - -
11 68 34.10% 19.79% 95.14% 1 1
12 17 78.18% 22.21% 47.33% - -
Default 272 100.00% 8.63% 147.58% 3 3
--------- --------- --------- ------- ------------ ------------
Total 10,462 4.94% 17.08% 27.63% 789 770
--------- --------- --------- ------- ------------ ------------
Dec-15 Dec-15 Dec-15 Dec-15 Dec-15 Dec-15
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitment
risk average average risk commitment (after
exposure PD LGD(1) weight (gross) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 - - - - - -
1 - - - - - -
2 4,523 0.62% 16.46% 12.28% 475 464
3 2,257 1.12% 17.94% 20.04% 146 142
4 1,054 1.67% 18.48% 26.79% 58 56
5 934 2.62% 18.93% 36.01% 39 38
6 616 5.67% 19.32% 56.39% 27 27
7 72 8.04% 20.70% 72.77% 1 1
8 398 10.61% 20.13% 76.77% 16 15
9 198 18.02% 20.84% 93.75% 5 5
10 - - - - - -
11 70 34.10% 20.19% 98.73% 1 1
12 20 78.18% 21.92% 45.43% - -
Default 375 100.00% 7.91% 164.85% 5 5
--------- --------- --------- ------- ----------- -----------
Total 10,517 5.98% 17.35% 30.56% 773 754
--------- --------- --------- ------- ----------- -----------
Table 11: Residential mortgages (non-SME) exposures by PD
grade
June-16 June-16 June-16 June-16 June-16 June-16
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD(1) weight (gross)(2) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 191,947 0.11% 9.43% 2.86% 9,032 8,617
1 89,697 0.46% 11.01% 10.04% 1,758 1,601
2 17,946 1.40% 13.46% 23.88% 196 191
3 6,139 2.29% 15.30% 35.17% 43 40
4 7,656 3.78% 18.01% 51.51% 170 38
5 3,073 6.73% 19.84% 78.80% 2 1
6 2,302 14.22% 14.96% 79.63% - -
7 880 17.54% 14.12% 91.15% - -
8 665 24.55% 15.39% 102.03% - -
9 896 33.65% 11.96% 80.58% - -
10 903 43.85% 12.35% 83.70% - -
11 670 58.76% 12.54% 73.07% 2 2
12 909 74.42% 13.53% 54.42% - -
Default 4,119 100.00% 14.68% 74.33% - -
--------- --------- --------- ------- ------------ ------------
Total 327,802 2.45% 10.65% 11.03% 11,203 10,490
--------- --------- --------- ------- ------------ ------------
Dec-15 Dec-15 Dec-15 Dec-15 Dec-15 Dec-15
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD(1) weight (gross)(2) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 187,636 0.10% 9.34% 2.50% 8,287 7,759
1 94,669 0.47% 10.96% 9.49% 2,038 1,931
2 17,081 1.39% 13.29% 22.32% 155 150
3 7,299 2.27% 14.43% 31.55% 106 106
4 8,954 3.85% 16.44% 45.81% 181 43
5 3,671 7.27% 18.42% 69.99% 6 5
6 2,981 13.49% 14.76% 74.82% - -
7 455 19.15% 19.34% 109.26% - -
8 1,066 25.06% 13.68% 84.77% - -
9 988 31.89% 12.54% 81.54% - -
10 938 43.64% 12.84% 78.48% - -
11 830 56.80% 12.93% 67.77% 2 2
12 703 73.07% 14.07% 51.99% 1 -
Default 4,019 100.00% 14.46% 61.54% - -
--------- --------- --------- ------- ------------ ------------
Total 331,290 2.46% 10.59% 10.58% 10,776 9,996
--------- --------- --------- ------- ------------ ------------
(1) The 10 per cent LGD floor that applies to residential
mortgage exposures is applied at portfolio level
rather than at account level. This means that LGD
per cent for a given grade can be less than 10
per cent but that for the relevant portfolio cannot.
(2) Undrawn commitments predominantly relate to pipeline
mortgages, offered but not drawn down by the customer.
Table 12: Qualifying revolving retail exposures by PD grade
June-16 June-16 June-16 June-16 June-16 June-16
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD weight (gross) CCF)(1)
GBPm % % % GBPm GBPm
PD Grade
0 11,237 0.05% 76.09% 2.66% 15,407 10,665
1 9,861 0.22% 75.66% 9.12% 14,180 8,088
2 4,601 0.58% 79.41% 21.13% 4,541 2,997
3 2,269 1.00% 79.48% 32.16% 1,820 1,151
4 3,544 1.75% 79.74% 48.94% 2,142 1,457
5 2,229 3.32% 79.84% 77.77% 908 720
6 1,882 6.16% 80.70% 118.65% 890 721
7 480 8.55% 80.38% 144.84% 108 119
8 354 11.59% 80.63% 172.53% 66 84
9 219 16.56% 80.60% 205.94% 35 51
10 134 24.34% 80.51% 239.12% 17 28
11 79 36.08% 80.39% 258.76% 9 15
12 96 66.61% 81.23% 195.97% 6 16
Default 439 100.00% 35.09% 226.57% 40 -
--------- --------- --------- ------- ------------ ------------
Total 37,424 2.70% 77.07% 32.24% 40,169 26,112
--------- --------- --------- ------- ------------ ------------
Dec-15 Dec-15 Dec-15 Dec-15 Dec-15 Dec-15
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD weight (gross) CCF)(1)
GBPm % % % GBPm GBPm
PD Grade
0 10,807 0.05% 76.00% 2.71% 14,803 10,238
1 9,869 0.22% 76.10% 9.21% 13,656 8,271
2 4,220 0.57% 78.41% 20.64% 4,583 2,715
3 2,290 0.99% 79.13% 31.89% 1,901 1,198
4 3,571 1.75% 79.46% 48.80% 2,196 1,544
5 2,345 3.33% 79.58% 77.57% 973 774
6 1,675 6.03% 80.59% 116.86% 788 563
7 722 8.31% 79.99% 141.84% 166 255
8 401 11.47% 80.29% 170.88% 74 91
9 234 16.39% 80.45% 204.68% 36 52
10 148 24.14% 80.05% 237.07% 18 30
11 85 36.15% 79.90% 257.23% 10 15
12 108 67.90% 80.82% 188.61% 7 17
Default 500 100.00% 33.37% 243.96% 38 -
--------- --------- --------- ------- ------------ ------------
Total 36,975 2.97% 76.88% 33.81% 39,249 25,763
--------- --------- --------- ------- ------------ ------------
(1) Undrawn commitments post credit conversion can
exceed the gross undrawn equivalents where there
is an assumption that future drawings will be higher
than the current limit.
Table 13: Other SME exposures by PD grade
June-16 June-16 June-16 June-16 June-16 June-16
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD weight (gross) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 - - - - - -
1 - - - - - -
2 929 0.61% 76.11% 58.40% 516 516
3 417 1.12% 76.47% 66.47% 142 142
4 228 1.67% 76.87% 76.96% 59 59
5 306 2.62% 75.83% 85.01% 46 46
6 147 5.67% 78.38% 95.60% 29 29
7 72 8.04% 70.89% 105.65% 5 5
8 91 10.61% 81.32% 113.26% 18 18
9 32 18.02% 79.45% 137.79% 4 4
10 - - - - - -
11 12 34.10% 83.64% 178.63% - -
12 7 78.18% 85.48% 117.98% 1 1
Default 252 100.00% 9.65% 46.59% 4 4
--------- --------- --------- ------- ------------ ------------
Total 2,493 12.58% 69.76% 70.85% 824 824
--------- --------- --------- ------- ------------ ------------
Dec-15 Dec-15 Dec-15 Dec-15 Dec-15 Dec-15
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD weight (gross) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 - - - - - -
1 - - - - - -
2 990 0.61% 75.29% 48.52% 517 517
3 480 1.12% 75.07% 65.46% 148 148
4 249 1.67% 75.94% 76.44% 60 60
5 332 2.62% 75.63% 85.21% 49 49
6 165 5.67% 76.75% 94.24% 30 30
7 72 8.04% 70.76% 106.61% 5 5
8 104 10.61% 80.64% 113.06% 17 17
9 37 18.02% 80.78% 141.22% 4 4
10 - - - - - -
11 15 34.10% 81.21% 174.25% 1 1
12 8 78.18% 86.66% 119.12% 1 1
Default 209 100.00% 11.21% 48.63% 3 3
--------- --------- --------- ------- ------------ ------------
Total 2,661 10.43% 70.63% 67.91% 835 835
--------- --------- --------- ------- ------------ ------------
Table 14: Other non-SME exposures by PD grade
June-16 June-16 June-16 June-16 June-16 June-16
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD weight (gross) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 316 0.08% 34.22% 7.65% - -
1 3,138 0.36% 40.58% 24.83% 7 1
2 2,506 0.68% 57.11% 50.01% 12 2
3 1,129 1.00% 86.74% 93.40% 9 2
4 4,840 1.68% 64.24% 83.50% 16 3
5 1,816 3.29% 74.50% 111.21% 11 2
6 688 5.91% 72.96% 116.06% 4 1
7 145 8.86% 81.53% 139.53% 1 1
8 131 11.26% 72.87% 136.09% 1 -
9 93 18.00% 90.77% 204.58% 1 1
10 79 21.95% 52.88% 130.65% - -
11 106 34.82% 42.84% 119.27% - -
12 70 72.97% 78.20% 139.39% 1 -
Default 294 100.00% 31.31% 222.57% - -
--------- --------- --------- ------- ------------ ------------
Total 15,351 4.34% 60.50% 75.06% 63 13
--------- --------- --------- ------- ------------ ------------
Dec-15 Dec-15 Dec-15 Dec-15 Dec-15 Dec-15
Exposure Exposure Undrawn
Credit weighted weighted Average Undrawn commitments
risk average average risk commitments (after
exposure PD LGD weight (gross) CCF)
GBPm % % % GBPm GBPm
PD Grade
0 232 0.08% 34.93% 7.84% - -
1 2,832 0.35% 42.14% 24.40% 4 1
2 2,237 0.68% 58.00% 50.61% 7 1
3 1,122 1.00% 86.69% 93.11% 5 1
4 4,526 1.70% 66.36% 86.41% 9 2
5 1,728 3.30% 76.52% 114.30% 6 1
6 688 5.82% 76.19% 120.98% 3 1
7 174 8.82% 80.60% 137.67% 1 -
8 128 11.35% 75.27% 140.95% 1 -
9 84 17.94% 91.48% 205.90% 1 -
10 66 22.00% 55.27% 136.61% - -
11 98 34.91% 43.77% 121.90% - -
12 75 71.81% 80.23% 148.34% - -
Default 341 100.00% 28.29% 236.37% - -
--------- --------- --------- ------- ------------ ------------
Total 14,331 4.87% 62.41% 79.22% 37 7
--------- --------- --------- ------- ------------ ------------
Corporate Specialised Lending Exposures Subject to Supervisory
Slotting
The Group applies the Supervisory Slotting Approach to certain
corporate specialised lending exposures (including the Group's
commercial real estate exposures).
As at 30 June 2016 corporate specialised lending exposures
subject to supervisory slotting amounted to GBP19.8 billion (31
December 2015: GBP19.9 billion). Risk-weighted assets arising from
this amounted to GBP14.3 billion (31 December 2015: GBP14.4
billion) as analysed in the table below.
Table 15: Corporate specialised lending exposures subject to
supervisory slotting
Remaining Remaining Remaining Remaining
maturity maturity maturity maturity
<2.5 years >2.5 years <2.5 years >2.5 years
------------------- ------------------- ------------------- -------------------
June-16 June-16 June-16 June-16 Dec-15 Dec-15 Dec-15 Dec-15
Risk- Risk- Risk- Risk-
weighted weighted weighted weighted
Exposure assets Exposure assets Exposure assets Exposure assets
Grade GBPm GBPm GBPm GBPm GBPm GBPm GBPm GBPm
1) Strong(1) 2,712 1,180 5,220 3,389 1,597 798 6,260 3,864
2) Good 2,534 1,771 5,683 5,026 2,799 1,955 4,942 4,358
3) Satisfactory 845 968 1,312 1,494 912 1,045 1,596 1,822
4) Weak 20 48 169 420 5 13 214 531
5) Default(2) 930 - 411 - 1,099 - 463 -
-------- --------- -------- --------- -------- --------- -------- ---------
Total 7,041 3,967 12,795 10,329 6,412 3,811 13,475 10,575
-------- --------- -------- --------- -------- --------- -------- ---------
(1) The average risk weight percentage in the Strong
slotting grade is below the specified regulatory
value as a result of exposures to customers which
are classed as Strong, typically in the shipping
industry, having facilities which have been structured
such that the Group also benefits from additional
financial collateral from third parties which is
not ordinarily part of the security package for
Slotting transactions. As a result, recognition
of the collateral is applied outside the standard
Slotting risk weights, in line with the IRB approach,
resulting in a risk weight that is below that ordinarily
used in Slotting.
(2) Exposures categorised as 'default' do not attract
a risk weighting but are instead treated as expected
loss deductions at a rate of 50 per cent of the
exposure value.
Table 16: Lloyds Banking Group own funds template
Transitional Fully loaded
rules rules
------------------ ------------------
At 30 At 31 At 30 At 31
June Dec June Dec
2016 2015 2016 2015
GBPm GBPm GBPm GBPm
Common equity tier 1 (CET1)
capital: instruments and
reserves
Capital instruments and
related share premium accounts 24,558 24,558 24,558 24,558
-------- -------- -------- --------
of which: called up share
capital 7,146 7,146 7,146 7,146
of which: share premium 17,412 17,412 17,412 17,412
-------- -------- -------- --------
Retained earnings(2) 8,128 7,755 8,128 7,755
Accumulated other comprehensive
income and other reserves
(including unrealised gains
and losses) 12,264 10,182 12,264 10,182
Foreseeable dividend (911) (1,427) (911) (1,427)
-------- -------- -------- --------
Common equity tier 1 (CET1)
capital before regulatory
adjustments 44,039 41,068 44,039 41,068
-------- -------- -------- --------
Common equity tier 1 (CET1)
capital: regulatory adjustments
Additional value adjustments (744) (372) (744) (372)
Intangible assets (net of
related tax liability) (1,627) (1,719) (1,627) (1,719)
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) of the CRR
are met) (4,213) (3,874) (4,213) (3,874)
Fair value reserves related
to gains or losses on cash
flow hedges (2,809) (727) (2,809) (727)
Negative amounts resulting
from the calculation of
expected loss amounts - (270) - (270)
Gains or losses on liabilities
valued at fair value resulting
from changes in own credit
standing (120) 5 (120) 5
Defined benefit pension
fund assets (818) (721) (818) (721)
Direct and indirect holdings
by the Group of own CET1
instruments (90) (177) (90) (177)
Direct, indirect and synthetic
holdings by the Group of
the CET1 instruments of
financial sector entities
where the Group has a significant
investment in those entities
(amount above 10% threshold
and net of eligible short
positions) (2) (4,287) (4,500) (4,287) (4,500)
Exposure amount of the following
items which qualify for
a risk weight of 1,250%,
where the Group has opted
for the deduction alternative (220) (169) (220) (169)
-------- -------- -------- --------
of which: securitisation
positions (220) (169) (220) (169)
-------- -------- -------- --------
Amount exceeding the 15%
threshold - - (193) (39)
-------- -------- -------- --------
of which: 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 - - (142) (29)
of which: deferred tax assets
arising from temporary differences - - (51) (10)
-------- -------- -------- --------
Total regulatory adjustments
applied to common equity
tier 1 (CET1) (14,928) (12,524) (15,121) (12,563)
-------- -------- -------- --------
Common equity tier 1 (CET1)
capital 1 29,111 28,544 28,918 28,505
-------- -------- -------- --------
Table 16: Lloyds Banking Group own funds template
(continued)
Transitional Fully loaded
rules rules
At 30 At 31 At 30 At 31
June Dec June Dec
2016 2015 2016 2015
GBPm GBPm GBPm GBPm
Additional tier 1 (AT1)
capital: instruments
Capital instruments and
related share premium accounts 5,355 5,355 5,355 5,355
------- ------------------------ ------- -------------------------
of which: classified as
equity under applicable
accounting standards 5,355 5,355 5,355 5,355
------- ------------------------ ------- -------------------------
Amount of qualifying items
referred to in Article 484
(4) of the CRR and the related
share premium accounts subject
to phase out from AT1 791 818 - -
Qualifying Tier 1 capital
included in consolidated
AT1 capital (including minority
interests not included in
CET1) issued by subsidiaries
and held by third parties 2,480 3,004 - -
------- ------------------------ ------- -------------------------
of which: instruments issued
by subsidiaries subject
to
phase out 2,480 3,004 - -
------- ------------------------ ------- -------------------------
Additional tier 1 (AT1)
capital before regulatory
adjustments 8,626 9,177 5,355 5,355
------- ------------------------ ------- -------------------------
Additional tier 1 (AT1)
capital: regulatory adjustments
Residual amounts deducted
from AT1 capital with regard
to deduction from Tier 2
capital during the transitional
period pursuant to Article
475 of the CRR (1,288) (1,177) - -
------- ------------------------ ------- -------------------------
of which: significant investments
in Tier 2 instruments of
other financial sector entities (1,288) (1,177) - -
------- ------------------------ ------- -------------------------
Total regulatory adjustments
applied to additional tier
1 (AT1) capital (1,288) (1,177) - -
------- ------------------------ ------- -------------------------
Additional tier 1 (AT1)
capital 7,338 8,000 5,355 5,355
------- ------------------------ ------- -------------------------
Tier 1 capital 36,449 36,544 34,273 33,860
Tier 2 (T2) capital: Instruments
and provisions
Capital instruments and
related share premium accounts 4,027 2,134 4,818 2,952
Amount of qualifying items
referred to in Article 484
(5) of the CRR and the related
share premium accounts subject
to phase out from T2 10 10 - -
Qualifying own funds instruments
included in consolidated
T2 capital (including minority
interests and AT1 instruments
not included in CET1 or
AT1) issued by subsidiaries
and held by third parties 9,580 10,843 5,065 6,016
------- ------------------------ ------- -------------------------
of which: instruments issued
by subsidiaries subject
to
phase out 4,450 4,763 - -
------- ------------------------ ------- -------------------------
Credit risk adjustments 114 221 114 221
------- ------------------------ ------- -------------------------
Tier 2 (T2) capital before
regulatory adjustments 13,731 13,208 9,997 9,189
------- ------------------------ ------- -------------------------
Tier (T2) capital: regulatory
adjustments
Direct and indirect holdings
by the Group of the T2 instruments
and subordinated loans of
financial sector entities
where the Group has a significant
investment in those entities
(net of eligible short positions) (1,509) (1,756) (2,797) (2,933)
------- ------------------------ ------- -------------------------
Total regulatory adjustments
applied to tier 2 (T2) capital (1,509) (1,756) (2,797) (2,933)
------- ------------------------ ------- -------------------------
Tier 2 (T2) capital 12,222 11,452 7,200 6,256
------- ------------------------ ------- -------------------------
Total capital 48,671 47,996 41,473 40,116
------- ------------------------ ------- -------------------------
Total risk-weighted assets 222,778 222,845 222,297 222,747
------- ------------------------ ------- -------------------------
Table 16: Lloyds Banking Group own funds template
(continued)
Transitional Fully loaded
rules rules
-------------- --------------
At 30 At 31 At 30 At 31
June Dec June Dec
2016 2015 2016 2015
GBPm GBPm GBPm GBPm
Capital ratios and buffers
Common Equity Tier 1
(as a percentage of risk
exposure amount) 13.1% 12.8% 13.0% 12.8%
Tier 1 (as a percentage
of risk exposure amount) 16.4% 16.4% 15.4% 15.2%
Total capital (as a percentage
of risk exposure amount) 21.8% 21.5% 18.7% 18.0%
Institution specific buffer
requirement (CET1 requirement
in accordance with article
92(1)(a) plus capital conservation
and countercyclical buffer
requirements, plus systemic
risk buffer, plus the systemically
important institution buffer
(G-SII or O-SII buffer),
expressed as a percentage
of risk exposure amount) 0.628% 0.001% 0.628% 0.001%
------ ------ ------ ------
of which: capital conservation
buffer requirement(3) 0.625% - 0.625% -
of which: countercyclical
buffer requirement 0.003% 0.001% 0.003% 0.001%
------ ------ ------ ------
Common Equity Tier 1 available
to meet buffers (as a percentage
of risk exposure amount)(1) 8.6% 8.3% 8.5% 8.3%
------ ------ ------ ------
Amounts below the threshold
for deduction
(before risk weighting)
Direct and indirect holdings
of the capital of financial
sector entities where the
Group does not have a significant
investment in those entities
(amount below 10% threshold
and net of eligible short
positions) 1,379 1,552 1,379 1,552
Direct and indirect holdings
by the Group of the CET1
instruments of financial
sector entities where the
Group has a significant
investment in those entities
(amount below 10% threshold
and net of eligible short
positions) 3,340 3,127 3,340 3,127
Deferred tax assets arising
from temporary differences
(amount below 10% threshold,
net of related tax liability
where the conditions in
38 (3) are met) 1,191 1,188 1,191 1,188
------ ------ ------ ------
Applicable caps on the inclusion
of provisions in Tier 2
Credit risk adjustments
included in T2 in respect
of exposures subject to
internal ratings-based approach
(prior to the application
of the cap) 114 221 114 221
Cap on inclusion of credit
risk adjustments in T2 under
internal ratings-based approach 958 953 958 953
------ ------ ------ ------
Capital instruments subject
to phase-out arrangements
(only applicable between
1 Jan 2013 and 1 Jan 2022)
Current cap on AT1 instruments
subject to phase out arrangements 3,305 3,856 - -
Amount excluded from AT1
due to cap (excess over
cap after redemptions and
maturities) 1,861 671 - -
Current cap on T2 instruments
subject to phase out arrangements 8,600 10,034 - -
------ ------ ------ ------
(1) Excluding CET1 required to meet Pillar 2A requirements under
fully loaded.
(2) The presentation of the deconsolidation of the Group's insurance
entities has been amended at June 2016 with comparative figures
restated accordingly.
(3) The capital conservation buffer requirement is the percentage
applicable at the reporting date. This will increase to 2.5 per
cent by 2019.
Table 17: Lloyds Banking Group leverage ratio common
disclosure
At 30 At 31
June Dec
2016 2015
Fully Fully
loaded loaded
GBPm GBPm
On-balance sheet exposures (excluding
derivatives and SFTs)
On-balance sheet items (excluding derivatives,
SFTs and fiduciary assets,
but including collateral) 626,734 609,110
Asset amounts deducted in determining
Tier 1 capital (10,627) (9,112)
-------- ------------------------
Total on-balance sheet exposures (excluding
derivatives, SFTs and fiduciary assets) 616,107 599,998
-------- ------------------------
Derivative exposures
Replacement cost associated with all
derivatives transactions (i.e. net
of eligible cash variation margin) 9,923 6,392
Add-on amounts for PFE associated with
all derivatives transactions (mark-to-market
method) 13,050 12,966
Gross-up for derivatives collateral
provided where deducted from the balance
sheet assets pursuant to the applicable
accounting framework 762 2,371
Deductions of receivables assets for
cash variation margin provided in derivatives
transactions (3,527) (3,689)
Adjusted effective notional amount
of written credit derivatives 857 813
Adjusted effective notional offsets
and add-on deductions for written credit
derivatives (158) (131)
-------- ------------------------
Total derivative exposures 20,907 18,722
-------- ------------------------
Securities financing transaction exposures
Gross SFT assets (with no recognition
of netting), after adjusting for sales
accounting transactions 38,586 39,604
Netted amounts of cash payables and
cash receivables of gross SFT assets (3,356) (5,909)
Counterparty credit risk exposure for
SFT assets 1,793 3,361
-------- ------------------------
Total securities financing transaction
exposures 37,023 37,056
-------- ------------------------
Other off-balance sheet exposures
Off-balance sheet exposures at gross
notional amount 129,834 129,491
Adjustments for conversion to credit
equivalent amounts (69,961) (73,067)
-------- ------------------------
Other off-balance sheet exposures 59,873 56,424
-------- ------------------------
Capital and total exposure measure
Tier 1 capital 34,273 33,860
Leverage ratio total exposure measure 733,910 712,200
-------- ------------------------
Leverage ratio
-------- ------------------------
Leverage ratio 4.7% 4.8%
-------- ------------------------
Table 18: Lloyds Banking Group summary reconciliation of
accounting assets and leverage ratio exposures
At 30 At 31
June Dec
2016 2015
Fully Fully
loaded loaded
GBPm GBPm
Total assets as per published financial
statements 848,232 806,688
Adjustment for entities which are consolidated
for accounting purposes but are outside
the scope of regulatory consolidation (140,421) (135,926)
Adjustments for derivative financial
instruments (23,587) (9,235)
Adjustments for securities financing
transactions (SFTs) 440 3,361
Adjustment for off-balance sheet items
(i.e. conversion to credit equivalent
amounts of
off-balance sheet exposures) 59,873 56,424
Other adjustments (10,627) (9,112)
--------- ---------
Leverage ratio total exposure measure 733,910 712,200
--------- ---------
CONTACTS
For further information please contact:
INVESTORS AND ANALYSTS
Douglas Radcliffe
Group Investor Relations Director
020 7356 1571
douglas.radcliffe@finance.lloydsbanking.com
Mike Butters
Director of Investor Relations
020 7356 1187
mike.butters@finance.lloydsbanking.com
Andrew Downey
Director of Investor Relations
020 7356 2334
andrew.downey@finance.lloydsbanking.com
CORPORATE AFFAIRS
Ed Petter
Group Media Relations Director
020 8936 5655
ed.petter@lloydsbanking.com
Matt Smith
Head of Corporate Media
020 7356 3522
matt.smith@lloydsbanking.com
Registered office: Lloyds Banking Group plc, The Mound,
Edinburgh, EH1 1YZ
Registered in Scotland no. 95000
This information is provided by RNS
The company news service from the London Stock Exchange
END
IR EADXPAEDKEFF
(END) Dow Jones Newswires
July 28, 2016 11:00 ET (15:00 GMT)
Lloyds Banking (LSE:LLOY)
Historical Stock Chart
From Aug 2024 to Sep 2024
Lloyds Banking (LSE:LLOY)
Historical Stock Chart
From Sep 2023 to Sep 2024
