Company: LLOBF
Filing Date: 2025-02-20
Form Type: 6-K
Source: 0001654954-25-001688
Chunk: 45

Company: Lloyds Banking Group plc
Filing Date: 2025-02-20
Form: 6-K
Chunk 45
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3 Total ECL includes £20 million relating to other non-customer-related assets (31 December 2023: £45 million).

4 Includes £81 million within write-offs and other relating to the securitisation of primarily legacy Retail mortgages, totalling £2.0 billion of gross loans and advances to customers.

CREDIT RISK (continued)

Total expected credit loss allowance sensitivity to economic assumptions - statutory and underlying A basis

The measurement of ECL reflects an unbiased probability-weighted range of possible future economic outcomes. The Group achieves this by generating four economic scenarios to reflect the range of outcomes; the central scenario reflects the Group's base case assumptions used for medium-term planning purposes, an upside and a downside scenario are also selected together with a severe downside scenario. If the base case moves adversely, it generates a new, more adverse downside and severe downside which are then incorporated into the ECL. Consistent with prior years, the base case, upside and downside scenarios carry a 30 per cent weighting; the severe downside is weighted at 10 per cent.

The following table shows the Group's ECL for the probability-weighted, upside, base case, downside and severe downside scenarios, with the severe downside scenario incorporating adjustments made to CPI inflation and UK Bank Rate paths. The stage allocation for an asset is based on the overall scenario probability-weighted probability of default and hence the staging of assets is constant across all the scenarios. In each economic scenario the ECL for individual assessments is held constant reflecting the basis on which they are evaluated. Judgemental adjustments applied through changes to model inputs or parameters, or more qualitative post model adjustments, are apportioned across the scenarios in proportion to modelled ECL where this better reflects the sensitivity of these adjustments to each scenario. The probability-weighted view shows the extent to which a higher ECL allowance has been recognised to take account of multiple economic scenarios relative to the base case; the uplift on a statutory basis being £445 million compared to £678 million at 31 December 2023.

|                                 | Probability- 
 weighted     
 £m           |       |     | Upside 
     £m |     | Base case 
        £m |     | Downside 
       £m |     |   Severe 
 downside 
       £m |
| UK mortgages                    |              |   852 |     |    345 |     |       567 |     |    1,064 |     |    2,596 |
| Credit cards                    |              |