Company: LLOBF
Filing Date: 2025-10-28
Form Type: 424B2
Source: 0000950103-25-013729
Chunk: 40

Company: Lloyds Banking Group plc
Filing Date: 2025-10-28
Form: 424B2
Chunk 40
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 levels of capital, including common equity Tier 1 capital, or MREL, as required by these
frameworks (as may be amended from time to time) may result in restrictions on distributions being applied pursuant to which we may be
required to cancel (in whole or in part) interest payments in respect of the Additional Tier 1 Securities. Cancellation (in whole or in
part) of interest payments in respect of the Additional Tier 1 Securities may affect the value of your investment in the Additional Tier
1 Securities.

We are required, on a consolidated basis, to hold
a minimum amount of total regulatory capital of 8% of risk weighted assets, a minimum amount of Tier 1 Capital of 6% of risk weighted
assets and a minimum amount of common equity Tier 1 capital of 4.5% of risk weighted assets (the “Pillar 1 requirements”).
In addition, the PRA requires us to hold extra capital to cover risks not covered or insufficiently covered by the Pillar 1 requirements
(the “Pillar 2A requirements”). Our Pillar 2A CET1 requirement as of September 30, 2025 was approximately 1.4% of risk
weighted assets. The methodology for Pillar 2A is currently undergoing a PRA review, with a two-part PRA consultation process. In May
2025, the PRA published a consultation paper (CP12/25) which makes proposals in respect of credit risk, operation risk, pension obligation
risk, market risk and counterparty credit risk. The PRA has stated that it will conduct a more in-depth review of individual methodologies
within Pillar 2A in the future.

In addition, the capital that firms use to meet
their minimum requirements (Pillar 1 own funds and Pillar 2A) cannot be counted towards meeting the “combined buffer requirement”,
meaning that the combined buffer requirement will effectively be applied above both the Pillar 1 own funds and Pillar 2A requirements.

In addition to the requirements described above,
we must maintain several capital buffers, which are required to be met with common equity Tier 1 capital and which have been fully phased
in since January 1, 2019. The combination of (i) the capital conservation buffer (the “CCB”) (which increased to 2.5%
from 2019), (ii) the time-varying countercyclical capital buffer (“CCyB