We could not find any results for:
Make sure your spelling is correct or try broadening your search.
Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
---|---|---|---|---|---|
Lloyds Banking Group Plc | LSE:LLOY | London | Ordinary Share | GB0008706128 | ORD 10P |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.32 | 0.52% | 62.18 | 62.00 | 62.04 | 62.06 | 61.34 | 61.62 | 180,387,101 | 16:35:02 |
Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
---|---|---|---|---|---|
Commercial Banks, Nec | 23.74B | 5.46B | 0.0888 | 6.98 | 38.03B |
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)
1 Year Lloyds Banking Chart |
1 Month Lloyds Banking Chart |
It looks like you are not logged in. Click the button below to log in and keep track of your recent history.
Support: +44 (0) 203 8794 460 | support@advfn.com
By accessing the services available at ADVFN you are agreeing to be bound by ADVFN's Terms & Conditions