Company: LLOBF
Filing Date: 2025-07-24
Form Type: 6-K
Source: 0001654954-25-008460
Chunk: 64

Company: Lloyds Banking Group plc
Filing Date: 2025-07-24
Form: 6-K
Chunk 64
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11,003 |     |                      |     |              |
| Financial liabilities at fair value through profit or               
 loss                                                                |                                                                 |                                       |          |     |                      |     |              |
| Securitisation and other notes                                      | Discounted cash flows                                           | Interest                              
 rate spreads (+/-50bps)               |       22 |     |                    1 |     |           -1 |
| Derivative financial liabilities                                    |                                                                 |                                       |          |     |                      |     |              |
| Interest rate derivatives                                           | Option pricing model                                            | Interest                              
 rate volatility (11%/183%)            |      422 |     |                   17 |     |          -15 |
| Level 3 financial liabilities carried at fair value                 |                                                                 |                                       |      444 |     |                      |     |              |

1 Where the exposure to an unobservable input is managed on a net basis, only the net impact is shown in the table.

2 Ranges are shown where appropriate and represent the highest and lowest inputs used in the level 3 valuations.

3 Underlying asset/net asset values represent fair value.

#### Unobservable inputs
Significant unobservable inputs affecting the valuation of debt securities, unlisted equity investments and derivatives are unchanged from those described in the Group's financial statements for the year ended 31 December 2024.

NOTES TO THE CONDENSED CONSOLIDATED HALF-YEAR FINANCIAL STATEMENTS (UNAUDITED) (continued)

Note 10: Fair values of financial assets and liabilities (continued)

#### Reasonably possible alternative assumptions
Valuation techniques applied to many of the Group's level 3 instruments often involve the use of two or more inputs whose relationship is interdependent. The calculation of the effect of reasonably possible alternative assumptions included in the table above reflects such relationships and is unchanged from that described in note 17 to the Group's financial statements for the year ended 31 December 2024.

The table below summarises the carrying values of financial assets and liabilities measured at amortised cost in the Group's consolidated balance sheet. The fair values presented in the table are at a specific date and may be significantly different from the amounts which will actually be paid or received on the maturity or settlement date.

|                                         | At 30 June 2025 |     |         |     | At 31 December 2024 |     |         |
|                                         |        Carrying 
           value 
              £m |     |    Fair 
   value 
      £m |