Company: LLOBF
Filing Date: 2025-02-20
Form Type: 6-K
Source: 0001654954-25-001688
Chunk: 47

Company: Lloyds Banking Group plc
Filing Date: 2025-02-20
Form: 6-K
Chunk 47
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. The repayment of TFSME has been factored into the Group's funding plans.

The Group's credit ratings are well positioned and continue to reflect the strength of the Group's management and franchise, along with its robust financial performance, capital and funding position. In November 2024, Fitch upgraded the Group's ratings by one notch.

1 Based on a monthly simple average over the previous 12 months.

### INTEREST RATE SENSITIVITY
The Group manages the risk to its earnings and capital from movements in interest rates centrally by hedging the net liabilities which are stable or less sensitive to movements in rates. As at 31 December 2024, the Group's sterling structural hedge had a notional balance of £242 billion, a reduction from £247 billion at 31 December 2023. This is consistent with the balance at the end of the second and third quarters of 2024 (30 September 2024: £242 billion, 30 June 2024: £242 billion), given stability in deposit flows.

**Illustrative cumulative impact of parallel shifts in interest rate curve 1**

The table below shows the banking book net interest income sensitivity to an instantaneous parallel shift in interest rates. Sensitivities reflect shifts in the interest rate curve. The actual impact will also depend on the prevailing regulatory and competitive environment at the time. This sensitivity is illustrative and does not reflect new business margin implications and/or pricing actions today or in future periods, other than as outlined. The sensitivity is greater on downward parallel shifts due to pricing lags on deposit accounts.

The following assumptions have been applied:

● Instantaneous parallel shift in interest rate curve, including UK Bank Rate

● Balance sheet remains constant

● Illustrative 50 per cent pass-through on deposits and 100 per cent pass-through on assets, which could be different in practice

|                  | Year 1 
 £m     |     | Year 2 
 £m     |     | Year 3 
 £m     |
| +50 basis points | c.225  |     | c.350  |     | c.600  |
| +25 basis points | c.125  |     | c.175  |     | c.300  |
| -25 basis points | -c.150 |     | -c.175 |     | -c.300 |
| -50 basis points | -c.300 |     | -c.375 |     | -c.600 |

1 Sensitivity based on model