Company: LLOBF
Filing Date: 2025-07-24
Form Type: 6-K
Source: 0001654954-25-008460
Chunk: 51

Company: Lloyds Banking Group plc
Filing Date: 2025-07-24
Form: 6-K
Chunk 51
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 |     |         0.6 |     |   8.0 |

1 Primarily Australian dollar, Japanese yen and Singapore dollar.

2 Includes significant risk transfer securitisations.

### 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. The notional balance of the sterling structural hedge increased to £244 billion at 30 June 2025 (31 December 2024: £242 billion).

**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% pass-through on deposits and 100% pass-through on assets, which could be different in practice

|                  | Year 1 
 £m     |     | Year 2 
 £m     |     | Year 3 
 £m     |
| +50 basis points | c.150  |     | c.350  |     | c.600  |
| +25 basis points | c.75   |     | c.175  |     | c.300  |
| -25 basis points | -c.100 |     | -c.175 |     | -c.300 |
| -50 basis points | -c.200 |     | -c.350 |     | -c.600 |

1 Sensitivity based on modelled impact on banking book net interest income, including the future impact of structural hedge maturities. Annual impacts are presented for illustrative purposes only and are based on a number of assumptions which are subject to change. Year 1 reflects the 12 months from the 30 June 2025 balance sheet position.

### STATUTORY INFORMATION
The half-year ended 31 December 2024 information disclosed throughout the report is presented as supplementary information and is not required to be disclosed in accordance with I