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Lloyds Bank plc
Report and Accounts
2021
Member of Lloyds Banking Group
Registered Office: 25 Gresham Street, London EC2V 7HN. Registered in England No. 2065
Lloyds Bank plc
Contents
Principal activities
Lloyds Bank plc (the Bank) and its subsidiary undertakings (the Group) provide a wide range of banking and financial services through branches
and offices in the UK and in certain locations overseas.
The Group’s revenue is earned through interest and fees on a broad range of financial services products including current accounts, savings,
mortgages, credit cards, motor finance and unsecured loans to personal and business banking customers; and lending, transactional banking,
working capital management, risk management and debt capital markets services to commercial customers.
Business review
Income statement
During the year ended 31 December 2021, the Lloyds Bank Group recorded a profit before tax of £5,785 million, an increase of £4,456 million
compared with £1,329 million in 2020; the increase reflected, in particular, the improved economic outlook for the UK in 2021. The Lloyds Bank
Group profit before tax for the year ended 31 December 2021 included a profit before tax of £5,024 million from its Retail division and a profit
before tax of £1,536 million from its Commercial Banking division.
Total income increased by £88 million, or 1 per cent, to £14,673 million in 2021 compared with £14,585 million in 2020, reflecting an increase of
£266 million in net interest income partly offset by a decrease of £178 million in other income.
Net interest income was £11,036 million in 2021, an increase of £266 million, or 2 per cent compared to £10,770 million in 2020. Average interest
earning assets increased by £2,762 million to £576,276 million in 2021 compared to £573,514 million in 2020 as growth in new mortgage lending
was offset by lower balances in the closed mortgage book, credit cards and motor finance, as well as the continued optimisation of the
Corporate and Institutional book within Commercial Banking. The net interest margin increased as the benefit of lower funding costs more than
offset the impact of a change in asset mix.
Other income was £178 million, or 5 per cent, lower at £3,637 million in 2021 compared to £3,815 million in 2020.
Net trading income was £365 million lower at £385 million in 2021 compared with £750 million in 2020, reflecting the change in fair value of
interest rate derivatives and foreign exchange contracts in the banking book not mitigated through hedge accounting. Other operating income
was £51 million, or 2 per cent, lower at £1,999 million in 2021 compared to £2,050 million in 2020, reflecting lower levels of operating lease rental
income, as a result of a reduction in the Lex vehicle fleet size, and reduced gains on disposal of financial assets at fair value through other
comprehensive income, partly offset by increases in the level of cost recharges to other Lloyds Banking Group entities. Fee and commission
income was £271 million, or 14 per cent, higher at £2,195 million compared to £1,924 million in 2020 as a result of increases across most fee
categories as customer activity increased and the economy improved. Fee and commission expense increased by £33 million, or 4 per cent, to
£942 million compared with £909 million in 2020, as a consequence of increased customer activity.
Operating expenses increased by £1,010 million, or 11 per cent to £10,206 million in 2021 compared with £9,196 million in 2020 primarily
reflecting higher charges for regulatory and legal provisions (see below). Staff costs were £77 million, or 2 per cent, higher at £3,692 million in
2021 compared with £3,615 million in 2020; as the impact of staff reductions and lower levels of redundancy costs has been offset by higher
bonus accruals following the recovery in the Group's profitability. Premises and equipment costs were £210 million lower at £215 million in 2021
compared with £425 million in 2020, reflecting higher gains on disposal of operating lease assets at the end of the contract term and gains on
disposal of Group premises. Other expenses were £1,040 million, or 42 per cent, higher at £3,522 million in 2021 compared with £2,482 million in
2020, driven by the increase in charges for regulatory and legal provisions and higher communications and data processing costs as the Group
develops and maintains its information technology infrastructure. Depreciation and amortisation costs were £107 million, or 4 per cent, higher at
£2,777 million in 2021 compared to £2,670 million in 2020, in part reflecting a software asset write-off as a result of investment in new technology
and systems infrastructure.
The Group incurred a regulatory and legal provisions charge in operating expenses of £1,177 million in 2021 compared to £414 million in 2020.
The charge in 2021 includes the costs in relation to HBOS Reading and litigation costs and redress and operational costs in respect of litigation
and other ongoing legacy programmes. During 2021, £790 million has been recognised in relation to HBOS Reading estimated future awards
and operational costs, of which £600 million was recognised in the fourth quarter. This reflects the Group's estimate of its full liability and
includes the expected future cost in relation to the independent Foskett Panel re-review, operational costs in relation to Dame Linda Dobbs'
review which is considering whether the issues relating to HBOS Reading were investigated and appropriately reported by the Group during the
period January 2009 to January 2017 and other programme costs. The final outcome could be significantly different once the re-review is
concluded.
Impairment improved by £5,378 million to a credit of £1,318 million in 2021 compared with a charge of £4,060 million in 2020, largely reflecting
the improved UK macroeconomic outlook. Overall the Group’s loan portfolio continues to be well-positioned, reflecting a prudent through-the-
cycle approach to credit risk with high levels of security. The Group's ECL allowance reduced in the year by £2,132 million to £4,000 million,
compared to £6,132 million at 31 December 2020, following the improvements to the UK economic outlook. Observed credit performance
remained robust in the year, with the flow of assets into arrears, defaults and write-offs remaining at low levels.
The Group’s base case economic scenario used to calculate the ECL allowance assumes that unemployment will remain close to the reduced
level of c.4.3 per cent observed in the fourth quarter following the end of the coronavirus job retention scheme. The ECL allowance continues to
reflect a probability-weighted view of future economic scenarios built out from the base case and its associated conditioning assumptions, with
a 30 per cent weighting applied to base case, upside and downside scenarios and a 10 per cent weighting to the severe downside. All scenarios
have improved since the start of the year, following the changes made to the base case outlook.
In 2021, the Lloyds Bank Group recorded a tax expense of £583 million compared to a tax credit of £137 million in 2020. The tax charge in 2021
includes a credit of £1,168 million arising on the remeasurement of deferred tax assets following the substantive enactment by the UK
Government of an increase in the corporation tax rate from 19 per cent to 25 per cent, effective on 1 April 2023.
The Lloyds Bank Group’s post-tax return on average total assets increased to 0.86 per cent compared to 0.24 per cent in the year ended 31
December 2020.
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1
Balance sheet
Total assets were £2,910 million higher at £602,849 million at 31 December 2021 compared to £599,939 million at 31 December 2020. Cash and
balances at central banks were £4,391 million, or 9 per cent, higher at £54,279 million compared to £49,888 million at 31 December 2020
reflecting increased liquidity holdings as a result of the inflow of customer deposits; and retirement benefit assets were £2,817 million higher at
£4,531 million compared to £1,714 million at 31 December 2020 as a result of actuarial gains and employer contributions. Financial assets at
amortised cost decreased by £1,650 million to £490,316 million compared to £491,966 million at 31 December 2020. Loans and advances to
customers increased in the year by £5,135 million to £430,829 million, compared to £425,694 million at 31 December 2020, however this was
more than offset by a decrease in reverse repurchase agreements, held for liquidity purposes, of £6,365 million, or 11 per cent, from
£56,073 million at 31 December 2020 to £49,708 million at 31 December 2021. The increase in loans and advances to customers reflected growth
in the open mortgage book, partly offset by reductions in the closed mortgage book, other Retail balances and Commercial lending (in part
due to optimisation activities). Derivative financial instruments were £2,830 million lower at £5,511 million compared to £8,341 million at 31
December 2020, driven by movements in the yield curve.
Total liabilities were £3,256 million, or 1 per cent, higher at £562,077 million compared to £558,821 million at 31 December 2020. Customer
deposits were £24,221 million, or 6 per cent, higher at £449,373 million at 31 December 2021 compared to £425,152 million at 31 December
2020. There has been continued growth in retail current account and savings balances, reflecting reduced consumer spending during the
coronavirus pandemic, which has only been partly offset by lower levels of commercial deposits. Repurchase agreement balances were
£1,922 million, or 7 per cent, higher at £30,106 million compared to £28,184 million at 31 December 2020 however deposits from banks were
£2,867 million lower at £3,363 million compared to £6,230 million at 31 December 2020 reflecting a reduced need for this source of funding.
Debt securities in issue were £10,569 million lower at £48,724 million at 31 December 2021 compared to £59,293 million at 31 December 2020 as
the availability of Government support and liquidity measures and increased levels of customer deposits have reduced the need for new
funding issuance. Amounts due to fellow Lloyds Banking Group undertakings were £5,385 million lower at £1,490 million compared to
£6,875 million at 31 December 2020 and derivative liabilities were £3,585 million lower at £4,643 million compared to £8,228 million at 31
December 2020, again driven by movements in the yield curve.
Total equity has decreased by £346 million, or 1 per cent, from £41,118 million at 31 December 2020 to £40,772 million at 31 December 2021 as
retained profits for the year have been offset by dividends paid and a net redemption of other equity instruments; and a negative movement on
the Group's cash flow hedging reserve has been offset by a positive remeasurement in respect of the Group's post-retirement defined benefit
schemes.
Capital
The Group’s common equity tier 1 (CET1) capital ratio has increased to 16.7 per cent (31 December 2020: 15.5 per cent) largely reflecting profits
for the year and a reduction in risk-weighted assets, partially offset by dividends paid (net of the brought forward foreseeable dividend accrual),
pension contributions made to the defined benefit pension schemes and a release of IFRS 9 transitional relief which largely offset the
impairment credit through profits.
Risk-weighted assets reduced by £9,286 million, or 5 per cent, from £170,862 million at 31 December 2020 to £161,576 million at 31 December
2021. This was primarily as a result of optimisation activity undertaken in Commercial Banking, partially offset by balance sheet growth in the
business. Credit migrations have had a limited impact on the risk-weighted asset position, in part due to the increase in house prices.
The transitional total capital ratio remained at 23.5 per cent, with the benefit of the increase in CET1 capital and reduction in risk-weighted
assets broadly offset by reductions in Additional Tier 1 (AT1) and Tier 2 capital instruments. The latter largely reflected the reduction in
transitional limits applied to legacy tier 1 and tier 2 capital instruments and calls made on both AT1 and tier 2 capital instruments, partially offset
by new issuances.
The UK leverage ratio reduced to 5.3 per cent (31 December 2020: 5.5 per cent) as a result of the reduction in the fully loaded total tier 1 capital
position which was partially offset by the reduction in the leverage exposure measure, the latter primarily reflecting movements in securities
financing transactions and off-balance sheet items, net of increased balance sheet lending.
Future developments
Information about future developments is provided within the Principal risks and uncertainties section below.
Reflecting the needs of stakeholders in Board decisions
The Board is responsible for the long-term success of the Bank, setting and overseeing culture, purpose, values and strategy. The Board’s
understanding of stakeholders’ interests is central to these responsibilities, and informs key aspects of Board decision-making.
Acknowledging the breadth of the Bank’s stakeholders and the size of the organisation, stakeholder engagement takes place at a number of
levels. In addition to direct engagement by members of the Board, the Board considers the stakeholder impacts of all proposals submitted to it
from across the Bank. Stakeholder interests are central to the Board’s delegation of the management of the business to the Executive.
In turn the Executive, including the Group Chief Executive and Chief Financial Officer, routinely provide the Board with details of non-Board
stakeholder interaction and feedback through their regular business updates. Stakeholder interests are also identified by the Executive for
consideration in all other proposals put to the Board.
Interaction has again mostly been undertaken virtually this year where necessary, in compliance with the government’s COVID-19 requirements.
Section 172(1) Statement
In accordance with the Companies Act 2006 (the Act), the Directors provide this statement describing how they have had regard to the matters
set out in section 172(1) of the Act, when performing their duty to promote the success of the Bank under section 172. Further details on key
actions are also contained within the Corporate Governance Statement on pages 10 to 13.
The Directors remain mindful in all their deliberations of the long-term consequences of their decisions, as well as the importance of the Bank
maintaining a reputation for high standards of business conduct and the Board engaging with, and taking account of the views of, key
stakeholders.
Key Stakeholder Engagement
The Non-Executive Directors undertook an engagement programme which allowed them to hear directly from customers, clients and
colleagues, to help understand what matters in their lives, the role the Bank plays in supporting them and how the Bank is performing in that
regard. A range of activities took place, which will extend into 2022, including meeting with customers, attending client visits and sitting with
colleagues to understand the Bank’s culture and discuss future ways of working. The Non-Executive Directors found these sessions to be of
great benefit, giving many valuable insights which they take account of, as appropriate, in their decision-making.
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Our Stakeholders
Customers
The Board remains committed to understanding and addressing our customers’ needs, which is vital to setting and achieving the Bank’s goals.
Examples of Board engagement with customers included:
Regular Board updates identifying key areas of customer concern, covering a range of internal and external measures including customer
indices and market share updates
These regular updates gave valuable insight into performance in delivering on customer-related objectives, on improving customer
outcomes and in determining where further action was required
The Group Chief Executive attended customer engagement events, an important opportunity for customers to raise any concerns directly
Shareholders
The Bank is a wholly owned subsidiary of Lloyds Banking Group. The Directors ensure that the strategy, priorities, processes and practices of the
Bank are fully aligned where required to those of Lloyds Banking Group, ensuring that the interests of Lloyds Banking Group as the Bank's sole
shareholder are duly acknowledged. Further information in respect of the relationship of Lloyds Banking Group with its shareholders is included
within the Strategic Report within the Lloyds Banking Group Annual Report and Accounts for 2021, available on the Lloyds Banking Group
website.
Colleagues
Colleagues are central to the delivery of strategy and ambitions and this is recognised by the Board in its engagement with colleagues
throughout the year. In 2021, the Board reviewed how it engages with the workforce and decided that the Responsible Business Committee
should be the designated body for the Board’s engagement with the workforce, creating a dedicated resource of Non-Executive Directors,
while retaining a commitment for the whole Board to continue to engage with colleagues. The Responsible Business Committee reports
regularly to the Board on all of its activities, including colleague engagement.
The Board will continue to consider its arrangements in engagement with the workforce to ensure the arrangements remain effective and
continue to give a meaningful understanding of the views of the workforce and to encourage dialogue between the Board and the workforce.
Examples of Board engagement included:
Consideration by the Responsible Business Committee of regular workforce engagement updates, covering key themes raised by
colleagues, trends on people matters and updates on colleague sentiment
A further annual report summarising engagement activity, key themes and issues raised during the year
Consideration of the outcomes of surveys completed by colleagues, including annual and adhoc surveys, and review of progress in
addressing the matters colleagues raised
Board member attendance at a range of business area leadership meetings, Community Calls and colleague network events
Informal colleague dinners and breakfast meetings were held by the Group Chief Executive
Town Hall sessions hosted by both the Chair and the Group Chief Executive with Board member attendance, complemented by
engagement sessions led by other senior leaders, with feedback shared with the wider Board
During the year the Bank communicated directly with colleagues detailing performance, changes in the economic and regulatory environment
and updates on key strategic initiatives. Meetings were held throughout the year between the Bank and our recognised unions.
Given improved Bank performance in 2021, the Remuneration Committee approved Group Performance Share awards for colleagues.
Colleagues are eligible to participate in HMRC-approved share plans which promote share ownership by giving employees an opportunity to
invest in Lloyds Banking Group shares.
Society and environment
The Board places great importance on engagement and action to help these communities prosper, and to help build a more sustainable and
inclusive future. Engagement with communities, and as relevant to environmental considerations included:
Dedicated updates on climate, environmental, social and governance related matters, covering all aspects of the Bank’s business, and the
Board reviews progress against any action it considers is required
The Board is supported in environmental matters by its Responsible Business Committee, which considers stakeholder views on all matters
relating to the Group’s goals to be a trusted, sustainable, inclusive and responsible business.
The Board continues to value the support of Lloyds Banking Group’s regional colleague ambassadors, who help in establishing strong
relationships with local politicians, councils and other community institutions across the UK
Regulators and government
The Board continues to maintain strong and open relationships with our regulators and government authorities, including key stakeholders such
as HMRC and HM Treasury. Relevant engagement included:
The Chair and individual Directors, in particular the Chairs of the Board’s committees, held continuing discussions with the FCA and PRA on
a number of aspects of the regulatory agenda
The Board regularly reviewed updates on wider regulatory interaction, providing a view of key areas of regulatory focus, and also progress
made in addressing key regulatory priorities
A meeting was held between the Board and the PRA to discuss the outcome and progress of action relevant to the PRA’s Periodic Summary
Meeting letter
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Suppliers
The Group relies on a number of partners for important aspects of our operations and customer service provision. The Board recognises the
importance of these relationships, and engagement with suppliers included:
The Board continues to have zero tolerance towards modern slavery in the supply chain, and receives updates on ongoing enhancements to
the Group’s supplier practices, including measures to address the risk of human trafficking and modern slavery in our wider supply chain
Key Decisions
Climate change
Investors, customers, regulators & government and society & environment
The Board remains committed to the ambitious climate change goals set for Lloyds Banking Group in 2020, including reducing the emissions
we finance by more than 50 per cent by 2030 and achieving net zero by 2050 or sooner, with a number of key steps already having been taken in
this regard, under the Board’s supervision. The Board has also given much consideration to progress against these objectives, and during the
year oversaw a number of additional commitments to further drive progress.
These included three new pledges specifically relevant to operations, ranging from further reducing our own carbon footprint with targets for
reduced emissions and energy use in respect of buildings and colleague travel, and related collaboration with key stakeholders including our
suppliers. Progress against all of related initiatives and activities continues to be closely monitored by the Board. Climate ambitions and related
stakeholder interests have also been a key consideration for the Board during the course of the year in the development of purpose and
strategy.
Further information on our progress in meeting climate ambitions can be found in Lloyds Banking Group's supplementary 2021 Climate Report.
Ways of working and culture
Colleagues and suppliers
Transforming ways of working has been a key priority for the Board, as colleagues have continued to adjust to the changes necessitated by the
COVID-19 pandemic, which have now resulted in fundamental changes in how people work. The Board recognised the importance of reacting
to these changes as they evolved during the year, and oversaw a multiphase transition to new ways of working, acknowledging both external
change and colleague sentiment.
The Board has overseen the development of an ‘activity led’ approach to hybrid working, recognising that the diverse nature of jobs within the
Bank and the colleagues who fulfil them, means that a ‘one size fits all’ approach to hybrid working would not be appropriate. The Board has
focused on ensuring the overarching vision for future ways of working remained grounded in evolving values and behaviours by adopting a ‘test
and learn’ approach, prioritising colleague safety and wellbeing throughout.
The Board understands that both the physical and technological workplace need to change to align to colleague needs now and in the future. It
has supported the acceleration of activity under the Future Workplace programme to transform office work spaces and deploy modern
workplace technology enablers for new ways of working.
In addition, the Board has continued to oversee initiatives to implement cultural change through the Lloyds Banking Group culture plan. This
plan covers areas including career progression, simplification of processes and ensuring colleagues are given the opportunity to continually
develop their skills to meet the changing needs of our customers. It is continually developed based on both colleague feedback and in
response to external events.
Strategy
Investors, colleagues, regulators & government and society & environment
As implementation of Strategic Review 2021 completed, and our new Group Chief Executive joined the organisation in August, the Board
considered that this was the appropriate time to revisit the strategy for the coming years, ensuring that the focus remained on our central
purpose of Helping Britain Prosper.To that end, under the Board’s guidance, the Group Chief Executive led a process of reviewing the strategic
priorities.
The development of the new strategy drew on the customer insights the Bank and Board gathers through regular surveys and interactions with
our customers, feedback from bi-annual colleague surveys, and proactive regular engagement with our regulators and other stakeholders. The
Bank also sought feedback on specific aspects of the strategy development, such as the new mission, through colleague surveys and interactive
sessions, as well as targeted customer and client research. In addition to regular sessions, the Board held a number of dedicated sessions with
senior management during the development of the strategy, allowing both reflection on stakeholder feedback and input from Board members
on key aspects of the development of the strategy.
This included the requirement for the strategy to be driven by our purpose, ensuring focus on meeting customer needs in a conduct-friendly
manner, and moving the business to more sustainable growth.The Board will continue to take the invaluable feedback and views of its
stakeholders into consideration as the new strategy is implemented, ensuring we stay true to our commitments to meeting the needs of all our
stakeholders.
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RISK OVERVIEW
EFFECTIVE RISK MANAGEMENT AND CONTROL
Our approach to risk
Lloyds Bank Group adopts the Lloyds Banking Group enterprise risk management framework supplemented by additional management and
control activities to address the Lloyds Bank Group's specific requirements.
Employing informed risk decision-making and robust risk management, supported by a consistent risk-focused culture; striving to protect the
Group and its stakeholders.
A prudent approach to risk is fundamental to our business model and drives our participation choices.
The risk management section from pages 15 to 67 provides an in-depth picture of how risk is managed within the Group, including the
approach to risk appetite, risk governance, stress testing and detailed analysis of the principal risk categories including the framework by which
these risks are identified, managed, mitigated and monitored.
Our enterprise risk management framework
Lloyds Banking Group’s comprehensive enterprise risk management framework, that applies to Lloyds Bank Group, is the foundation for the
delivery of effective risk control. It enables proactive identification, active management and monitoring of the Group’s risks, which is supported
by our One Risk and Control Self-Assessment approach.
The Group’s risk appetite, principles, policies, procedures, controls and reporting are regularly reviewed and updated to ensure they remain
fully in line with regulation, law, corporate governance and industry good practice.
The Board is responsible for approving the Group’s Board risk appetite statement annually. Board-level risk appetite metrics are augmented by
further sub-Board level metrics and cascaded into more detailed business metrics and limits. Regular close monitoring and comprehensive
reporting to all levels of management and the Board ensures appetite limits are maintained and subject to stress analysis at a risk type and
portfolio level, as appropriate.
Governance is maintained through delegation of authority from the Board down to individuals. Senior executives are supported by a
committee-based structure which is designed to ensure open challenge and enable effective Board engagement and decision-making. More
information on our Risk committees is available on pages 19 to 20.
Risk culture and the customer
Following the successful transition between the previous, interim and new Lloyds Banking Group Chief Executives, a transparent risk culture
continues to resonate across the organisation and is supported by the Board and its tone from the top.
Risk management requires all colleagues to play their part, with individuals taking responsibility for their actions. The Group aims to support this
through ongoing investment in infrastructure and developing colleagues’ capabilities.
Senior management articulate the core risk values to which the Group aspires, based on the Group’s prudent business model and approach to
risk management with the Board’s guidance.
The Group is open, honest and transparent with colleagues working in collaboration with business areas to:
Support effective risk management and provide constructive challenge
Share lessons learned and understand root causes when things go wrong
Consider horizon risks and opportunities
The Group aims to maintain a strong focus on building and sustaining long-term relationships with customers through the economic cycle.
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Connectivity of risks and our strategic risk management framework
COVID-19 has demonstrated how individual risks in aggregate, through their interconnectivity, can place significant pressure on the Group’s
strategy, business model and performance. In response to these unprecedented events, a new strategic risk management framework was
approved.
Extensive work has been undertaken in 2021 to build a deeper analytical understanding of the Group’s key strategic risk themes and risk
connectivity. The Group is committed to advancing these capabilities in 2022, while further integrating strategic risk into Group-wide business
planning, placing it at the heart of our strategic priorities and Group-wide risk management.
The risks can be defined as:
Principal: The Board-approved enterprise-wide risk categories, including strategic risk, used to monitor and report the risk exposures posing
the greatest impact to the Group.
Strategic: A principal risk arising from:
A failure to understand the potential impact of strategic responses on existing risk types
Incorrect assumptions about internal or external operating environments
Inappropriate strategic responses and business plans
Emerging: A future internal or external event or trend, which could have a material positive or adverse impact on the Group and our customers,
but where the probability, timescale and/or materiality may be difficult to accurately assess.
PRINCIPAL RISKS
Despite a resilient recovery, 2021 has been another year of significant uncertainty, with COVID-19 accelerating broad structural changes,
including ways of working and impacts to global and domestic economies.
COVID-19 has continued to have a significant impact on all risk types in 2021. Understanding and managing its impacts dynamically has
remained a major area of focus. The Group has responded quickly to the challenges faced, putting in place risk mitigation strategies and
refining its investment and strategic plans.
All of the Group’s principal risks, which are outlined in this section, are reported regularly to the Board Risk Committee and the Board.
As part of a review of the Group’s risk categories, governance risk is no longer a principal risk and is now classified as a secondary risk category.
A detailed review of the Group’s enterprise risk management framework is planned for 2022, which may result in further changes to our principal
risks.
The risk management section from pages 15 to 67 provides a more in-depth picture of how each principal risk is managed within the Group.
Risk trends:  è Stable risk  é Increased risk  ê Decreased risk  y New risk embedding
Market risk è
The Group’s structural hedge has increased to £235 billion (2020: £181 billion) mostly due to a significant growth in customer deposits. Both
customer behaviour and hedging of these balances are reviewed regularly to ensure near-term interest rate exposure is managed.
The Group’s defined benefit pension schemes have seen an improvement in IAS 19 accounting surplus to £4.3 billion, (2020: £1.5 billion). This is
due to strong asset returns, an increase in the discount rate and deficit reduction contributions, partially offset by higher gilt yields and inflation.
Key mitigating actions:
Structural hedge programmes implemented to stabilise earnings
Equity and credit spread risks are closely monitored and, where appropriate, asset and liability matching is undertaken
The Group’s defined benefit pension schemes continue to monitor their credit allocation and longevity hedge as well as the hedges in
place against nominal rate and inflation movements
Credit risk ê
The Group continued to actively support its customers throughout 2021, with a range of flexible options and payment holidays, as well as
lending through the UK Government support schemes. This support, alongside the other public policy interventions, has contributed to the
economic recovery in 2021 and helped keep credit defaults and business failures at low levels.
The improved economic outlook was a key driver of the 2021 impairment credit of £1,318 million, which compares to the full year impairment
charge of £4,060 million taken in 2020 in light of anticipated losses resulting from the pandemic. Although reduced in 2021, the Group still holds
appropriate customer related expected credit loss allowances of £3,998 million (2020: £6,127 million).
Key mitigating actions:
Prudent, through-the-cycle risk appetite
Robust risk assessment, models and credit sanctioning
Sector and asset class concentrations closely monitored and controlled
Group-wide Road to Recovery programme established to manage and support increases in businesses experiencing financial difficulties
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Strategic report
6
Funding and liquidity risk ê
The Group maintained its robust funding and liquidity position throughout 2021.
Ahead of the closure of the Term Funding Scheme with additional incentives for SMEs (TFSME) in October 2021, the Group drew additional
funds, taking the total amount outstanding to £30 billion as at 31 December 2021, facilitating a significant reduction in money market and
wholesale funding.
Key mitigating actions:
The Group manages and monitors liquidity risks and ensures that liquidity risk management systems and arrangements are adequate with
regard to the internal risk appetite, Group strategy and regulatory requirements
Significant customer deposit base, driven by inflows to trusted brands
Capital risk ê
The Group’s common equity tier 1 (CET1) capital ratio has increased to 16.7 per cent (31 December 2020: 15.5 per cent) largely reflecting profits
for the year and a reduction in risk-weighted assets, partially offset by dividends paid (net of the brought forward foreseeable dividend accrual),
pension contributions made to the defined benefit pension schemes and a release of IFRS 9 transitional relief which largely offset the
impairment credit through profits.
The implementation of regulatory changes on 1 January 2022 reduced the CET1 capital ratio to 14.1 per cent which remains above internal risk
appetite levels and minimum regulatory capital requirements.
Key mitigating actions:
The Group has a capital management framework that includes the setting of capital risk appetite and capital planning and stress testing
activities
The Group monitors early warning indicators and maintains a Capital Contingency Framework as part of the Lloyds Banking Group Recovery
Plan which are designed to identify emerging capital concerns at an early stage, so that mitigating actions can be taken, if needed
Change/execution risk è
The change/execution risk profile has remained stable with proactive reprioritisation and management of the Group’s change portfolio
continuing through 2021. Focus has remained on the ongoing evolution and strengthening of the control framework and change capability
required to support the Group’s business and technology transformation plans.
Key mitigating actions:
Continued evolution and enhancement of the Group change policy, method and control environment
Measurement and reporting of change/execution risk
Providing sufficient skilled resources to safely deliver and embed the change portfolio and support future transformation plans
Conduct risk ê
Overall improvement in conduct risk as a result of the Group’s continued support to customers impacted by COVID-19, with focus on outcomes
for customers with UK Government support schemes, treating customers in financial difficulty fairly and working through legacy issues.
Key mitigating actions:
Robust conduct risk framework in place to support delivery of fair customer outcomes, market integrity and competition requirements
Active engagement with regulatory bodies and key stakeholders to ensure that the Group’s strategic conduct focus continues to meet
evolving stakeholder expectations
Data risk è
Investment continues to be made to enhance the maturity of data risk management, data capabilities and focus on the end-to-end
management of data risk, including our suppliers.
Key mitigating actions:
Delivered a data strategy and enhanced capability in data management and privacy, assurance of suppliers and data controls and processes
Embedded data by design and data ethics principles into the data science lifecycle
People risk è
In 2021, there has been continued pressure on colleague workloads and further significant changes to ways of working, as colleagues who
worked from home during the pandemic transition into a workstyle based on their role. Colleague feedback has been provided via the annual
colleague survey, and work is underway to address the key themes identified.
Key mitigating actions:
Delivery of strategies to attract, retain and develop high calibre people with the required capabilities, together with implementation of
rigorous succession planning for our senior leaders
Continued focus on the Group’s culture by developing and delivering initiatives that reinforce appropriate behaviours
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Operational resilience risk ê
Despite ongoing heightened risks from COVID-19, business continuity plans have remained resilient. Policy statements published by the
regulators in March 2021 have driven further activity to enhance the existing approach to operational resilience. Technology resilience remains a
key area of focus.
Key mitigating actions:
Refreshed operational resilience strategy to deliver against new regulation and improve the Group’s ability to respond to incidents while
delivering key services to customers
Investment in technology improvements, including enhancements to the resilience of systems that support critical business processes
Operational risk è
Against the backdrop of COVID-19, economic uncertainty and changes in senior management throughout the year, the operational risk profile
has remained broadly stable with operational losses in line with previous years. Cyber and security, technology and sourcing continue to be the
most material operational risk areas.
Key mitigating actions:
The Group continues to review and invest in its control environment to ensure it addresses the inherent risks faced
The Group employs a range of risk management strategies, including: avoidance, mitigation, transfer (including insurance) and acceptance
Model risk é
Model risk remains above pre-pandemic levels. The effect of government-led customer support schemes weakened relationships between
model inputs and outputs, and there remains a reliance on the use of judgement, particularly in the areas of forecasting and impairment.
However, recent months have seen more stable patterns for model outputs, and model drivers are expected to remain valid in the longer term.
In common with the rest of the industry, changes required to capital models following new regulations will create a temporary increase in the
risk relating to these models during the period of transition.
Key mitigating actions:
The model risk management framework, established by and with continued oversight from an independent team in the Risk division,
provides the foundation for managing and mitigating model risk within the Group
Regulatory and legal risk è
Regulatory engagement through 2021 has focused on the Group’s response to COVID-19, strategic transformation and regulatory initiatives.
Proactive engagement on emerging focus areas has helped the regulatory risk profile remain broadly stable, despite the previously announced
regulatory fine relating to the past communication of historical home insurance renewals.
Legal risk continues to be impacted by the evolving UK legal and regulatory landscape due to the UK’s exit from the EU and other changing
regulatory standards as well as uncertainty arising from the current and future litigation landscape.
Key mitigating actions:
Lloyds Banking Group policies and procedures set out the principles and key controls that should apply across the business which are
aligned to Lloyds Banking Group risk appetite
Business units identify, assess and implement policy and regulatory requirements and establish local controls, processes, procedures and
resources to ensure appropriate governance and compliance
Strategic risk y
Strategic risk is a significant source of risk for the Group, influencing the Group’s strategy, business model, performance and risk profile.
Significant work has been undertaken during 2021 to understand the risk implications of the Group’s strategy and the key drivers of strategic
risk. These are outlined in more detail on the following pages.
Key mitigating actions:
Considering the strategic implications of emerging trends and addressing them through our strategy
Integration of strategic risk into business planning process and embedding into day-to-day risk management
Climate risk y
The Group continued to embed climate risk into its activities, including undertaking detailed analysis of its portfolios and the pathways required
to reduce the emissions that the Group finances. This included deep dives into sectors at increased risk from the impacts of climate change.
The Group has continued to develop scenario modelling capabilities and Lloyds Banking Group completed Part I of the Bank of England’s 2021
Biennial Exploratory Scenario on the Financial Risks for Climate Change.
Key mitigating actions:
Established Lloyds Banking Group climate risk policy in place
Ongoing development of climate assessment tools and methodologies
Climate risk is included as part of regular risk reporting to the Board
Initial consideration of the Group’s key climate risks undertaken as part of Lloyds Banking Group's financial planning process
Continued progress against the Task Force on Climate-related Financial Disclosures (TCFD) recommendations, enhancing our climate
related financial disclosures
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Strategic report
8
EMERGING RISKS
Horizon scanning and emerging risks are important considerations for the Group, enabling our business to identify the most pertinent risks and
opportunities and respond through our strategic planning and long-term risk mitigation framework.
Internal working groups have been established to regularly scan the horizon and identify emerging risks. This is supplemented by consultation
with external experts, to gain an external context, ensuring broad coverage.
Progress has been made this year on a data-driven approach, piloting a methodology for interrogating industry news and other external data
sources, using available technology to further expand our insight. It is intended to develop this further in 2022, to incorporate more
sophisticated technology and innovation practices.
In many cases, the Group’s most notable emerging risks are aligned with the themes identified. These emerging risks themes raise questions in
respect of our participation choices, HR policies, recruitment and retention strategies in response to the changing socio-economic, competitive
and technological landscape.
The emerging risks that the Group has monitored during 2021 are outlined in more detail in pages 21 to 23 of the risk management section.
Financial risk management objectives and policies
Information regarding the financial risk management objectives and policies of the Group, in relation to the use of financial instruments, is given
in notes 41 and 44 to the accounts. The Group’s approach to risk management including risk policies, risk appetite, measurement bases and
sensitivities, in particular for credit risk, market risk and liquidity risk, is aligned to those of Lloyds Banking Group plc, the Bank’s ultimate parent.
Further information can be found in the Lloyds Banking Group plc annual report.
The Group maintains risk management systems and internal controls relating to the financial reporting processes designed to:
ensure that accounting policies are appropriately and consistently applied;
enable the calculation, preparation and reporting of financial outcomes in line with applicable standards; and
ensure that disclosures are made on a timely basis in accordance with statutory and regulatory requirements.
The 2021 Strategic Report has been approved by the Board of Directors.
On behalf of the Board
Robin Budenberg
Chair
Lloyds Bank plc
8 March 2022
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Strategic report
9
Results
The consolidated income statement on page 79 shows a statutory profit before tax for the year ended 31 December 2021 of £5,785 million (year
ended 31 December 2020: £1,329 million).
Dividends
During the year the Bank paid interim dividends of £1,000 million and £1,900 million, a cumulative total of £2,900 million (2020: £nil). The
Directors have not recommended a final dividend for the year ended 31 December 2021 (2020: £nil).
Post balance sheet events
There were no material post balance sheet events.
Going concern
The going concern of the Bank and the Group is dependent on successfully funding their respective balance sheets and maintaining adequate
levels of capital. In order to satisfy themselves that the Bank and the Group have adequate resources to continue to operate for the foreseeable
future, the Directors have reviewed the Bank and the Group’s operating plan and its funding and capital positions, including consideration of
the short-term implications of the COVID-19 pandemic and climate change. The Directors have also taken into account the impact of further
stress scenarios.
Accordingly, the Directors conclude that the Group has adequate resources to continue in operational existence for a period of at least 12
months from the date of the approval of the financial statements and therefore it is appropriate to continue to adopt the going concern basis in
preparing the accounts.
Corporate Governance Statement
In accordance with the Large and Medium-sized Companies and Groups (Accounts and Reports) Regulations 2008 (as amended by the
Companies (Miscellaneous Reporting) Regulations 2018) (the ‘Regulations’), for the year ended 31 December 2021, the Bank has in its corporate
governance arrangements applied the Wates Corporate Governance Principles for Large Private Companies (the ‘Principles’), which are
available at www.frc.org.uk. The following section explains the Bank’s approach to corporate governance, and its application of the Principles.
Fundamental to the Bank’s strategy are high standards of corporate governance. A Corporate Governance Framework is in place for Lloyds
Banking Group, the Bank, Bank of Scotland plc and HBOS plc, with all four companies sharing a common approach to governance. The
framework is designed to meet the specific needs of each company, setting the wider approach and applicable standards in respect of the
Bank’s corporate governance practices, including addressing the matters set out in the Principles and the governance requirements of the
operation of the Bank, as part of Lloyds Banking Group’s Ring Fenced Bank.
This includes the matters reserved to the Board, and the matters the Board has chosen to delegate to management, including decision making
on operational matters such as those relating to credit, liquidity, and the day-to-day management of risk. Governance arrangements, including
the Corporate Governance Framework, are reviewed periodically to ensure they remain fit for purpose. The Board delegates further
responsibilities to the Group Chief Executive, who is supported by the Group Executive Committee, the composition of which is detailed on
pages 74 to 75 of the Lloyds Banking Group Annual Report and Accounts for 2021. The Corporate Governance Framework of the Bank further
addresses the requirements of the Principles as discussed on pages 11 to 12.
Board and Committee composition and Board attendance in 202112
Board Member
Board
Nomination
Committee
Audit
Committee
Board Risk
Committee
Remuneration
Committee
Robin Budenberg1
10/10 (C)
6/6 (C)
2/2
6/6
Charlie Nunn2
4/4
Sir António Horta–Osório3
3/3
William Chalmers4
10/10
Alan Dickinson5
10/10
6/6
6/6
8/8
6/6 (C)
Sarah Bentley
10/10
2/2
6/6
Brendan Gilligan
10/10
6/6
8/8
Nigel Hinshelwood
10/10
6/6
6/6
8/8
6/6
Sarah Legg
10/10
6/6 (C)
8/8
Lord Lupton1
10/10
2/2
Amanda Mackenzie1,6
10/10
4/4
2/2
6/6
Harmeen Mehta7
2/2
Nick Prettejohn8
7/7
4/4
5/5
6/6
Stuart Sinclair1,5,9
8/1011
5/611
2/2
4/611
Sara Weller1,10
4/4
2/2
2/2
4/4
Catherine Woods
10/10
6/6
8/8 (C)
6/6
(C)Chair
1The Board Risk Committee was reconstituted with effect from 29 March 2021 to
streamline that Committee’s membership. With effect from 29 March 2021, the
Committee comprised Catherine Woods (Chair), Alan Dickinson, Sarah Legg and, until
his retirement from the Board, Nick Prettejohn.
2Charlie Nunn joined the Board on 16 August 2021.
3Sir António Horta-Osório retired from the Board on 30 April 2021.
4William Chalmers, Chief Financial Officer, was acting Group Chief Executive from when
Sir António Horta-Osório retired on 30 April 2021 and until Charlie Nunn’s appointment
to the Board on 16 August 2021.
5Alan Dickinson succeeded Stuart Sinclair as Chair of the Remuneration Committee on
24 November 2021.
6Amanda Mackenzie joined the Nomination Committee on 23 June 2021.
7Harmeen Mehta joined the Board on 1 November 2021.
8Nick Prettejohn retired from the Board on 30 September 2021.
9Stuart Sinclair plans to retire from the Board at the AGM in May 2022.
10Sara Weller retired from the Board on 20 May 2021.
11Unable to attend some meetings due to medical reasons.
12Where a Director is unable to attend a meeting he/she receives papers in advance and
has the opportunity to provide comments to the Chair of the Board or to the relevant
Committee Chair.
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Directors’ report
10
Principle One – Purpose and Leadership
The Board is collectively responsible for the long term success of the Bank. It achieves this by agreeing the Bank’s strategy, within the wider
strategy of Lloyds Banking Group, and overseeing delivery against it. The Bank’s strategy is discussed further in the Strategic Report. The Board
also assumes responsibility for the management of the culture, values and wider standards of the Bank, within the equivalent standards set by
Lloyds Banking Group. The Board’s understanding of stakeholders’ interests is central to these responsibilities and informs key aspects of Board
decision making.
Acknowledging the needs of all stakeholders is fundamental to the way the Bank operates, as is maintaining the highest standards of business
conduct, which along with ensuring delivery for customers is a vital part of the corporate culture. The Bank’s approach is further influenced by
the need to build a culture in which everyone feels included, empowered and inspired to do the right thing for customers. To this end, the
Board plays a lead role in establishing, promoting, and monitoring the Bank’s corporate culture and values, with the Corporate Governance
Framework ensuring such matters receive the level of prominence in Board and Executive decision making which they require. The Bank’s
corporate culture and values align to those of Lloyds Banking Group, which are discussed in more detail on page 80 of the Lloyds Banking
Group Annual Report and Accounts for 2021.
Principle Two – Board Composition
The Bank is led by a Board comprising a Non-Executive Chair, independent Non-Executive Directors and Executive Directors, further details of
the Directors can be found on page 14. The Board considers its composition regularly and is committed to ensuring it has the right balance of
skills and experience. The Board considers its current size and composition is appropriate to the Bank’s circumstances. The Board places great
emphasis on ensuring its membership reflects diversity in its broadest sense. New appointments are made on merit, taking account of the
specific skills and experience, independence and knowledge needed to ensure a rounded board and the diversity benefits each candidate can
bring overall. There are a range of initiatives across Lloyds Banking Group to help ensure unbiased career progression opportunities. Progress
on diversity objectives is monitored by the Board and built into its assessment of executive performance.
The Board is supported by its committees, the operation of which are discussed below, which make recommendations to the Board on matters
delegated to them, in particular in relation to internal control, risk, financial reporting and remuneration matters. Each committee has written
terms of reference setting out its delegated responsibilities. Each committee comprises Non-Executive Directors with appropriate skills and
experience and is chaired by an experienced chairman. The committee Chairs report to the Board at the next Board meeting. The Board
undertakes a periodic review of its effectiveness, which provides an opportunity to consider ways of identifying greater efficiencies, ways to
maximise strengths and highlights areas of further development. Given the appointment of a new Group Chief Executive in August 2021 and
the development of the Bank’s ongoing strategy within the wider Lloyds Banking Group, the Board agreed that an evaluation of its effectiveness
would be conducted in 2022 to allow the review to cover the Board’s effectiveness in overseeing these developments.
Principle Three – Director Responsibilities
The Directors assume ultimate responsibility for all matters, and along with senior management are committed to maintaining a robust control
framework as the foundation for the delivery of good governance, including the effective management of delegation through the Corporate
Governance Framework. Policies are also in place in relation to potential conflicts of interest which may arise. All Directors have access to the
services of the Company Secretary, and independent professional advice is available to the Directors at the expense of Lloyds Banking Group,
where they judge it necessary to discharge their duties as directors.
The Board is supported by its committees which make recommendations on matters delegated to them under the Corporate Governance
Framework. The management of all committees is in keeping with the basis on which meetings of the Board are managed, with open debate,
and adequate time for members to consider proposals which are put forward. The Chair of the Board and each Board committee assumes
responsibility with support from the Company Secretary for the provision to each meeting of accurate and timely information.
Principle Four – Opportunity and Risk
The Board oversees the development and implementation of the Bank’s strategy, within the context of the wider strategy of Lloyds Banking
Group, which includes consideration of all strategic opportunities. The Board is also responsible for the long term sustainable success of the
Bank, generating value for its shareholders and ensuring a positive contribution to society. The Board agrees the Bank’s culture, purpose, values
and strategy, within that of Lloyds Banking Group, and agrees the related standards of the Bank, again within the relevant standards of Lloyds
Banking Group. Further specific aims and objectives of the Board are formalised within the Corporate Governance Framework, which also sets
out the matters reserved for the Board.
Strong risk management is central to the strategy of the Bank, which along with a robust risk control framework acts as the foundation for the
delivery of effective management of risk. The Board agrees the Bank’s risk appetite and ensures the Bank manages risk effectively, delegating
related authorities to individuals through the Corporate Governance Framework and the further management hierarchy. Board level
engagement coupled with the direct involvement of senior management in risk issues ensures that escalated issues are promptly addressed,
and remediation plans are initiated where required. The Bank’s risk appetite, principles, policies, procedures, controls and reporting are
managed in conjunction with those of Lloyds Banking Group, and as such are regularly reviewed to ensure they remain fully in line with
regulations, law, corporate governance and industry best practice. The Bank’s principal risks are discussed further on pages 6 to 8.
Principle Five – Remuneration
The Remuneration Committee of the Board, in conjunction with the Remuneration Committee of Lloyds Banking Group (the ‘Remuneration
Committees’), assume responsibility for the Bank’s approach to remuneration. This includes reviewing and making recommendations on
remuneration policy as relevant to the Bank, ranging from the remuneration of Directors and members of the Executive to that of all other
colleagues employed by the Bank. This includes colleagues where the regulators require the Bank to implement a specific approach to their
remuneration, such as Senior Managers and other material risk takers. The activities of the Remuneration Committees extend to matters of
remuneration relevant to subsidiaries of the Bank, where such subsidiary does not have its own remuneration committee. Certain members of
the Lloyds Banking Group Executive, including the Group People and Property Director, are authorised to act upon the decisions made by the
Remuneration Committees, and to undertake such other duties relevant to remuneration as delegated to them.
Principle Six – Stakeholders
The COVID-19 pandemic continued to have an effect on the way we live, including on the Bank’s many stakeholders. The Board has monitored
the impact of the pandemic on the Group’s and Bank’s business and its stakeholders, seeking to ensure that the challenges posed by the
pandemic were addressed. The Board considered related updates from management as events unfolded, covering matters including the
continued impact on customers, colleagues, suppliers and other stakeholders, approving suitable action as required.
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Directors’ report
11
The Bank as part of Lloyds Banking Group operates under Lloyds Banking Group’s wider Responsible Business approach, which acknowledges
that the Bank has a responsibility to help address the economic, social and environmental challenges which the UK faces, and as part of this
understand the needs of the Bank’s external stakeholders, including in the development and implementation of strategy. Central to this is
Lloyds Banking Group’s Helping Britain Prosper plan, in which the Bank participates. During the the year there was a focus on the response to
COVID, and Helping Britain Recover. This involved bringing together many of the Board’s key stakeholders, to determine how the Bank could
best support the recovery from the pandemic, the outcomes of this initiative being set out on pages 26 to 29 of the Lloyds Banking Group
Annual Report and Accounts for 2021.
In 2021 the Responsible Business Committee of Lloyds Banking Group provided further oversight and support of Lloyds Banking Group’s and
the Bank’s plans for embedding responsible business in the Banks' core purpose. The approach of the Board in respect of its key stakeholders is
described further in a separate statement made in compliance with the Regulations on pages 2 to 4.
Directors
The names of the current Directors are shown on page 14. Changes to the composition of the Board since 1 January 2021 up to the date of this
report are shown in the table below.
Joined the Board
Left the Board
Charlie Nunn
16 August 2021
Harmeen Mehta
1 November 2021
Lord Blackwell
1 January 2021
Sir António Horta-Osório
30 April 2021
Sara Weller
20 May 2021
Nick Prettejohn
30 September 2021
Stuart Sinclair will retire as a director of the Bank at the forthcoming Lloyds Banking Group AGM.
Directors’ indemnities
The Directors of the Bank, including the former Directors who retired during the year, have entered into individual deeds of indemnity with
Lloyds Banking Group plc which constitute ‘qualifying third party indemnity provisions’ for the purposes of the Companies Act 2006. The deeds
indemnify the Directors to the maximum extent permitted by law and remain in force. The deeds were in force during the whole of the financial
year or from the date of appointment in respect of the Directors appointed in 2021. In addition, Lloyds Banking Group plc had appropriate
Directors’ and Officers’ liability insurance cover in place throughout 2021. Deeds for existing Directors are available for inspection at the Bank’s
registered office.
Lloyds Banking Group plc has also granted deeds of indemnity by deed poll and by way of entering into individual deeds, which constitute
‘qualifying third party indemnity provisions’ to the Directors of the Group’s subsidiary companies, including former Directors who retired during
the year, and to colleagues subject to the provisions of the Senior Managers and Certification Regime. Such deeds were in force during the
financial year ended 31 December 2021 and remain in force as at the date of this report. Qualifying pension scheme indemnities have also been
granted to the Trustees of Lloyds Banking Group’s Pension Schemes, including those schemes relevant to the Bank, which were in force for the
whole of the financial year and remain in force as at the date of this report.
Information required under DTR 7.2
Certain information is incorporated into this report by reference. Information about internal control and risk management systems relating to
the financial reporting process can be found on page 9.
Information about share capital is shown in note 31 on page 152. The Bank is a wholly owned subsidiary of Lloyds Banking Group plc, which
holds all of the Bank’s issued ordinary share capital.
The Directors manage the business of the Bank under the powers set out in the Companies Act 2006 and the Bank’s articles of association,
these powers include those in relation to the issue or buy back of the Bank’s shares.
The appointment and retirement of Directors is governed by the Bank’s articles of association and the Companies Act 2006. The Bank’s articles
of association may only be amended by a special resolution of the shareholders in a general meeting.
Conflicts of interest
The Board has a comprehensive procedure for reviewing, and as permitted by the Companies Act 2006 and the Bank’s articles of association,
approving actual and potential conflicts of interest. Directors have a duty to notify the Chair and Company Secretary as soon as they become
aware of actual or potential conflict situations. Changes to commitments of all Directors are reported to the Board and a register of directors'
interests is regularly reviewed and authorised by the Board to ensure the authorisation status remains appropriate.
Lord Lupton is a senior adviser to Greenhill Europe, an investment bank focused on providing financial advice on significant mergers,
acquisitions, restructurings, financings and capital raising to corporations, partnerships, institutions and governments. The Board has recognised
that potential conflicts may arise as a result of these positions. The Board has authorised the potential conflicts and requires Lord Lupton to
recuse himself from discussions, should the need arise.
Branches, future developments and financial risk management objectives and policies
The Bank provides a wide range of banking and financial services through branches and offices in the UK and overseas. Information regarding
future developments and financial risk management objectives and policies of the Group in relation to the use of financial instruments that
would otherwise be required to be disclosed in the Directors’ report, and which is incorporated into this report by reference, can be found in
the Strategic Report.
Share capital
Information about share capital is shown in note 31 on page 152. This information is incorporated into this report by reference. The Bank did not
repurchase any of its shares during 2021 (2020: none). There are no restrictions on the transfer of shares in the Bank other than as set out in the
articles of association and certain restrictions which may from time to time be imposed by law and regulations.
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Directors’ report
12
Change of control
The Bank is not party to any significant agreements which take effect, alter or terminate upon a change of control of the Bank following a
takeover bid. There are no agreements between the Bank and its Directors or employees providing compensation for loss of office or
employment that occurs because of a takeover bid.
Research and development activities
During the ordinary course of business the Bank develops new products and services within the business units.
Supporting disability
As part of Lloyds Banking Group, the Bank has the ambition of supporting our colleagues with disabilities and long-term health conditions to be
the best that they can be, and to be valued for who they are. Lloyds Banking Group holds the Business Disability Forum Gold Standard
accreditation and has retained Disability Confident status from the Department for Work and Pensions. Bespoke training, career development
and adjustments for colleagues and applicants with disabilities, including those who became disabled while employed.
Information incorporated by reference
The following additional information forms part of the Directors’ Report, and is incorporated by reference.
Content
Pages
Disclosures required under the Large and Medium-sized
Companies and Groups (Accounts and Reports) Regulations 2008
Statement of employee engagement
3 to 4
Statement of other stakeholder engagement
3 to 4
Significant contracts
Details of related party transactions are set out in note 38 on pages 158 to 160.
Streamlined Energy and Carbon Reporting
The Bank has taken advantage of the exemption from Streamlined Energy and Carbon Reporting (SECR) reporting requirements in its own
Directors' report as it is covered by the Lloyds Banking Group SECR report given in the Lloyds Banking Group plc 2021 Annual Report and
Accounts, available at www.lloydsbankinggroup.com/investors/financial-downloads.html
Statement of directors’ responsibilities
The Directors are responsible for preparing the Annual Report and the financial statements in accordance with applicable law and regulations.
Company law requires the Directors to prepare financial statements for each financial year. Under that law, the Directors are required to prepare
the Bank’s financial statements in accordance with international accounting standards in conformity with the requirements of the Companies Act
2006. Under company law, the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of
the state of affairs of the Bank and of the profit or loss of the Bank for that period. In preparing these financial statements, the Directors are
required to properly select and apply accounting policies; present information, including accounting policies, in a manner that provides
relevant, reliable, comparable and understandable information; provide additional disclosures when compliance with the specific requirements
in international accounting standards in conformity with the requirements of the Companies Act 2006 are insufficient to enable users to
understand the impact of particular transactions, other events and conditions on the entity’s financial position and financial performance; and
make an assessment of the Bank’s ability to continue as a going concern.
The Directors are responsible for keeping adequate accounting records that are sufficient to show and explain the Bank’s transactions and
disclose with reasonable accuracy at any time the financial position of the Bank and enable them to ensure that the financial statements comply
with the Companies Act 2006. They are also responsible for safeguarding the assets of the Bank and hence for taking reasonable steps for the
prevention and detection of fraud and other irregularities. A copy of the financial statements is placed on the website
www.lloydsbankinggroup.com/investors/financial-downloads.html The Directors are responsible for the maintenance and integrity of all
information relating to the Bank on that website. Legislation in the UK governing the preparation and dissemination of financial statements may
differ from legislation in other jurisdictions.
Each of the current Directors who are in office as at the date of this report, and whose names and functions are listed on page 14 of this annual
report, confirm that, to the best of his or her knowledge:
The Bank’s financial statements, which have been prepared in accordance with international accounting standards in conformity with the
requirements of the Companies Act 2006 give a true and fair view of the assets, liabilities, financial position and profit or loss of the Bank
The management report contained in the Strategic Report and the Directors’ report includes a fair review of the development and
performance of the business and the position of the Bank together with a description of the principal risks and uncertainties they face
The Annual Report and Accounts, taken as a whole, are fair, balanced and understandable and provides the information necessary for
shareholders to assess the Bank’s position, performance, business model and strategy. The Directors have also separately reviewed and
approved the strategic report.
Independent auditor and audit information
Each person who is a Director at the date of approval of this report confirms that, so far as the Director is aware, there is no relevant audit
information of which the Bank’s auditor is unaware and each Director has taken all the steps that he or she ought to have taken as a Director to
make himself or herself aware of any relevant audit information and to establish that the Bank’s auditor is aware of that information. This
confirmation is given and should be interpreted in accordance with the provisions of the Companies Act 2006.
On behalf of the Board
Kate Cheetham
Company Secretary
8 March 2022
Lloyds Bank plc
Registered in England & Wales
Company Number 2065
Lloyds Bank plc
Directors’ report
13
Executive Directors:
Charlie Nunn Group Chief Executive
William Chalmers Chief Financial Officer
Non-Executive Directors:
Robin Budenberg CBE Chair
Alan Dickinson Deputy Chair
Sarah Bentley
Brendan Gilligan
Nigel Hinshelwood
Sarah Legg
Lord Lupton CBE
Amanda Mackenzie OBE
Harmeen Mehta
Stuart Sinclair
Catherine Woods
Lloyds Bank plc
Current Directors
14
RISK MANAGEMENT
All narrative and quantitative tables are unaudited unless otherwise stated. The audited information is required to comply with the requirements
of relevant International Financial Reporting Standards.
Risk management is at the heart of Helping Britain Prosper and creating a more sustainable and inclusive future for people and businesses.
Our mission is to protect our customers, shareholders, colleagues and the Group, while enabling sustainable growth in targeted segments. This
is achieved through informed risk decisions and robust risk management, supported by a consistent risk-focused culture.
The risk overview (pages 5 to 9) provides a summary of risk management within the Group and the key focus areas for 2021, including the
significant impact that COVID-19 continues to have on all principal risks faced by the Group. The risk overview also highlights the importance of
the connectivity of principal, emerging and strategic risks and how they are embedded into the Group's strategic risk management framework.
This full risk management section provides a more in-depth picture of how risk is managed within the Group, detailing the Group’s emerging
risks, approach to stress testing, risk governance, committee structure, appetite for risk and a full analysis of the principal risk categories (pages
23 to 67), the framework by which risks are identified, managed, mitigated and monitored.
Each principal risk category is described and managed using the following standard headings: definition, exposures, measurement, mitigation
and monitoring.
LLOYDS BANK GROUP’S APPROACH TO RISK
The Group operates a prudent approach to risk with rigorous management controls to support sustainable business growth and minimise
losses. Through a strong and independent risk function (Risk division), a robust control framework is maintained to identify and escalate current
and emerging risks, support sustainable growth within the Group's risk appetite, and to drive and inform good risk reward decision-making.
To meet ring-fencing requirements, core UK retail and commercial financial services and ancillary retail activities are ring-fenced from other
activities of the Lloyds Banking Group. The Group has adopted the enterprise risk management framework (ERMF) of Lloyds Banking Group
and supplemented with additional tailored practices to address the ring-fencing requirements.
The Group’s ERMF is structured to align with the industry-accepted internal control framework standards.
The ERMF applies to every area of the business and covers all types of risk. It is reviewed, updated and approved by the Board at least annually
to reflect any changes in the nature of the Group's business and external regulations, law, corporate governance and industry best practice. The
ERMF provides the Group with an effective mechanism for developing and embedding risk policies and risk management strategies which are
aligned with the risks faced by its businesses. It also seeks to facilitate effective communication on these matters across the Group.
Role of the Lloyds Bank Group Board and senior management
Key responsibilities of the Board and senior management include:
Approval of the ERMF and Board risk appetite
Approval of Group-wide risk principles and policies
The cascade of delegated authority (for example to Board sub-committees and the Group Chief Executive)
Effective oversight of risk management consistent with risk appetite
Risk appetite
The Group's approach to setting, governing, embedding and monitoring risk appetite is detailed in the risk appetite framework, a key
component of the ERMF.
Risk appetite is defined within the Group as the amount and type of risk that the Group is prepared to seek, accept or tolerate in delivering its
strategy.
Group strategy and risk appetite are developed in tandem. Business planning aims to optimise value within the Group's risk appetite
parameters and deliver on its promise to Help Britain Prosper.
The Group’s risk appetite statement details the risk parameters within which the Group operates. The statement forms part of the Group's
control framework and is embedded into its policies, authorities and limits, to guide decision-making and risk management. Group risk appetite
is regularly reviewed and refreshed to ensure appropriate coverage across our principal risks and any emerging risks, and to align with internal
or external change.
The Board is responsible for approving the Group’s Board risk appetite statement annually. Group Board-level metrics are augmented by
further sub-Board-level metrics and cascaded into more detailed business appetite metrics and limits.
The following areas are currently included in the Group Board risk appetite:
Market: the Group has effective controls in place to identify and manage the market risk inherent in our customer and client focused activities
Credit: the Group has a conservative and well balanced credit portfolio through the economic cycle, generating an appropriate return on
equity, in line with the Group’s target return on equity in aggregate
Funding and liquidity: the Group maintains a prudent liquidity profile and a balance sheet structure that limits its reliance on potentially volatile
sources of funding
Capital: the Group maintains capital levels commensurate with a prudent level of solvency to achieve financial resilience and market confidence
Change/execution: the Group has limited appetite for negative impacts on customers, colleagues, or the Group as a result of change activity
Conduct: the Group delivers fair outcomes for its customers
Data: the Group has zero appetite for data related regulatory fines or enforcement actions
People: the Group leads responsibly and proficiently, manages people resource effectively, supports and develops colleague skills and talent,
creates and nurtures the right culture and meets legal and regulatory obligations related to its people
Lloyds Bank plc
Risk management
15
Operational resilience: the Group has limited appetite for disruption to services to customers and stakeholders from significant unexpected
events
Operational: the Group has robust controls in place to manage operational losses, reputational events and regulatory breaches. It identifies and
assesses emerging risks and acts to mitigate these
Model: material models are performing in line with expectations
Regulatory and legal: the Group interprets and complies with all relevant regulation and all applicable laws (including codes of conduct which
could have legal implications) and/or legal obligations
Climate: the Group takes action to identify, manage and mitigate its climate risk and support the Group and its customers in transitioning to a
low carbon economy
Governance frameworks
The Group’s approach to risk is based on a robust control framework and a strong risk management culture which are the foundation for the
delivery of effective risk management and guide the way all employees approach their work, behave and make decisions.
Governance is maintained through delegation of authority from the Board to individuals through the management hierarchy. Senior executives
are supported where required by a committee-based structure which is designed to ensure open challenge and support effective decision-
making.
The Group’s risk appetite, principles, policies, procedures, controls and reporting are regularly reviewed and updated where needed to ensure
they remain fully in line with regulation, law, corporate governance and industry good practice.
The interaction of the executive and non-executive governance structures relies upon a culture of transparency and openness that is
encouraged by both the Board and senior management.
Board-level engagement, coupled with the direct involvement of senior management in Group-wide risk issues at Group Executive Committee
level, ensures that escalated issues are promptly addressed and remediation plans are initiated where required.
Line managers are directly accountable for identifying and managing risks in their individual businesses, ensuring that business decisions strike
an appropriate balance between risk and reward and are consistent with the Group’s risk appetite.
Clear responsibilities and accountabilities for risk are defined across the Group through a three lines of defence model which ensures effective
independent oversight and assurance in respect of key decisions.
The Risk Committee governance framework is outlined on page 18.
Three lines of defence model
The ERMF is implemented through a ‘three lines of defence’ model which defines clear responsibilities and accountabilities and ensures
effective independent oversight and assurance activities take place covering key decisions.
Business lines (first line) have primary responsibility for risk decisions, identifying, measuring, monitoring and controlling risks within their areas
of accountability. They are required to establish effective governance and control frameworks for their business to be compliant with Group
policy requirements, to maintain appropriate risk management skills, mechanisms and toolkits, and to act within Group risk appetite parameters
set and approved by the Board.
Risk division (second line) is a centralised function, headed by the Chief Risk Officer, providing oversight and constructive challenge to the
effectiveness of risk decisions taken by business management, providing proactive advice and guidance, reviewing, challenging and reporting
on the risk profile of the Group and ensuring that mitigating actions are appropriate.
It also has a key role in promoting the implementation of a strategic approach to risk management reflecting the risk appetite and ERMF agreed
by the Board that encompasses:
Overseeing embedding of effective risk management processes
Transparent, focused risk monitoring and reporting
Provision of expert and high quality advice and guidance to the Board, executives and management on strategic issues and horizon
scanning, including pending regulatory changes
A constructive dialogue with the first line through provision of advice, development of common methodologies, understanding, education,
training, and development of new risk management tools
The primary role of Group Internal Audit (third line) is to help the Board and executive management protect the assets, reputation and
sustainability of the Group. Group Internal Audit is led by the Group Chief Internal Auditor. Group Internal Audit provides independent
assurance to the Audit Committee and the Board through performing reviews and engaging with committees and executive management,
providing opinion, challenge and informal advice on risk and the state of the control environment. Group Internal Audit is a single independent
internal audit function, reporting to the Audit Committee of the Group and the Audit Committees of the key subsidiaries.
Risk and control cycle from identification to reporting
To allow senior management to make informed risk decisions, the business follows a continuous risk management approach which includes
producing appropriate, accurate and focused risk reporting. The risk and control cycle sets out how this should be approached. This cycle, from
identification to reporting, ensures consistency and is intended to manage and mitigate the risks impacting the Group.
The process for risk identification, measurement and control is integrated into the overall framework for risk governance. Risk identification
processes are forward-looking to ensure emerging risks are identified. Risks are captured and measured using robust and consistent
quantification methodologies. The measurement of risks includes the application of stress testing and scenario analysis, and considers whether
relevant controls are in place before risks are incurred.
Identified risks are reported on a monthly basis or as frequently as necessary to the appropriate committee. The extent of the risk is compared
to the overall risk appetite as well as specific limits or triggers. When thresholds are breached, committee minutes are clear on the actions and
time frames required to resolve the breach and bring risk within tolerances. There is a clear process for escalation of risks and risk events.
Lloyds Bank plc
Risk management
16
All key controls are recorded and assessed on a regular basis, in response to triggers or minimum annually. Control assessments consider both
the adequacy of the design and operating effectiveness. Where a control is not effective, the root cause is established and action plans
implemented to improve control design or performance. Control effectiveness against all residual risks are aggregated by risk category and
reported and monitored via the monthly Consolidated Risk Report (CRR). The CRR is reviewed and independently challenged by the Risk
division and provided to the Risk division Executive Committee and Group Risk Committee. On an annual basis, a point in time assessment is
made for control effectiveness against each risk category and across subgroups. The CRR data is the primary source used for this point-in-time
assessment and a year-on-year comparison on control effectiveness is reported to the Board.
One Risk and Control Self-Assessment (One RCSA) is part of the Group's risk and control strategy to deliver a stronger risk culture and
simplified risk and control environment. Following improvements made to the Group's approach to risk management, implementation was
completed at the end of 2021 across Divisional and Sub-Group Risk Profiles. One RCSA will continue to embed across the Group as risk
practices, data quality, culture and capability mature.
Risk culture
Based on the Group’s prudent business model, prudent approach to risk management, and guided by the Board, the senior management
articulates the core risk values to which the Group aspires, and sets the tone at the top. Senior management establishes a strong focus on
building and sustaining long-term relationships with customers, through the economic cycle. Lloyds Banking Group’s Code of Responsibility
reinforces colleagues’ accountability for the risks they take and their responsibility to prioritise their customers’ needs.
Risk resources and capabilities
Appropriate mechanisms are in place to avoid over-reliance on key personnel or system/technical expertise within the Group. Adequate
resources are in place to serve customers both under normal working conditions and in times of stress, and monitoring procedures are in place
to ensure that the level of available resource can be increased if required. Colleagues undertake appropriate training to ensure they have the
skills and knowledge necessary to enable them to deliver fair outcomes for customers.
There is ongoing investment in risk systems and models alongside the Group’s investment in customer and product systems and processes. This
drives improvements in risk data quality, aggregation and reporting leading to effective and efficient risk decisions.
Risk decision-making and reporting
Risk analysis and reporting enables better understanding of risks and returns, supporting the identification of opportunities as well as better
management of risks.
An aggregate view of the Group’s overall risk profile, key risks and management actions, and performance against risk appetite, including the
CRR, is reported to and discussed monthly at the Lloyds Banking Group and Ring Fenced-Banks Risk Committees with regular reporting to the
Board Risk Committee and the Board.
Rigorous stress testing exercises are carried out to assess the impact of a range of adverse scenarios with different probabilities and severities to
inform strategic planning.
The Chief Risk Officer regularly informs the Board Risk Committee of the aggregate risk profile and has direct access to the Chair and members
of Board Risk Committee.
Financial reporting risk management systems and internal controls
The Group maintains risk management systems and internal controls relating to the financial reporting process which are designed to:
Ensure that accounting policies are appropriately and consistently applied, transactions are recorded accurately, and undertaken in
accordance with delegated authorities, that assets are safeguarded and liabilities are properly stated
Enable the calculation, preparation and reporting of financial, prudential regulatory and tax outcomes in accordance with applicable
International Financial Reporting Standards, statutory and regulatory requirements
Enable certifications by the Senior Accounting Officer relating to maintenance of appropriate tax accounting and in accordance with the
2009 Finance Act
Ensure that disclosures are made on a timely basis in accordance with statutory and regulatory requirements (for example UK Finance Code
for Financial Reporting Disclosure and the US Sarbanes-Oxley Act)
Ensure ongoing monitoring to assess the impact of emerging regulation and legislation on financial, prudential regulatory and tax reporting
Ensure an accurate view of the Group’s performance to allow the Board and senior management to appropriately manage the affairs and
strategy of the business as a whole
The Audit Committee reviews the quality and acceptability of Lloyds Bank Group's financial disclosures. In addition, the Lloyds Banking Group
Disclosure Committee assists the Lloyds Bank Group Chief Executive and Chief Financial Officer in fulfilling their disclosure responsibilities
under relevant listing and other regulatory and legal requirements.
Lloyds Bank plc
Risk management
17
RISK GOVERNANCE
The risk governance structure below is integral to effective risk management across Lloyds Banking Group, including Lloyds Bank Group. To
meet ring-fencing requirements the Boards and Board Committees of Lloyds Banking Group and the Ring-Fenced Banks (Lloyds Bank plc and
Bank of Scotland plc) as well as relevant Committees of Lloyds Banking Group and the Ring-Fenced Banks will sit concurrently, referred to as the
Aligned Board Model. The Risk division is appropriately represented on key committees to ensure that risk management is discussed in these
meetings. This structure outlines the flow and escalation of risk information and reporting from business areas and the Risk division to the Group
Executive Committee and Board. Conversely, strategic direction and guidance is cascaded down from the Board and Group Executive
Committee.
The Company Secretariat supports senior and Board-level committees, and supports the Chairs in agenda planning. This gives a further line of
escalation outside the three lines of defence.
Risk governance structure
Lloyds Bank Group Chief Executive Committees
Lloyds Banking Group and Ring-Fenced Banks Executive
Committee (GEC)
Lloyds Banking Group and Ring-Fenced Banks Risk Committees
(GRC)
Lloyds Banking Group and Ring-Fenced Banks Asset and Liability
Committees (GALCO)
Lloyds Banking Group and Ring-Fenced Banks Cost Management
Committees
Lloyds Banking Group and Ring-Fenced Banks Conduct Review
Committees
Lloyds Banking Group and Ring-Fenced Banks People Committees
Lloyds Banking Group and Ring-Fenced Banks Net Zero
Committees
Lloyds Banking Group and Ring-Fenced Banks Conduct
Investigations Committees
Risk Division Committees and Governance
Lloyds Banking Group and Ring-Fenced Banks Market Risk
Committee
Lloyds Banking Group and Ring-Fenced Banks Economic Crime
Prevention Committee
Lloyds Banking Group and Ring-Fenced Banks Financial Risk
Committee
Lloyds Banking Group and Ring-Fenced Banks Capital Risk
Committee
Lloyds Banking Group and Ring-Fenced Banks Model Governance
Committee
Ring-Fence Compliance Committee
Lloyds Bank plc
Risk management
18
Board, Executive and Risk Committees
The Group’s risk governance structure strengthens risk evaluation and management, while also positioning the Group to manage the changing
regulatory environment in an efficient and effective manner.
Assisted by the Board Risk and Audit Committees, the Board approves the Group’s overall governance, risk and control frameworks and risk
appetite. Refer to the corporate governance section on pages 10 to 13, for further information on Board Committees.
The sub-group, divisional and functional risk committees review and recommend sub-group, divisional and functional risk appetite and monitor
local risk profile and adherence to appetite.
Executive and Risk Committees
Lloyds Bank Group Chief Executive is supported by the following:
Lloyds Banking Group and Ring-Fenced Banks
Executive Committee (GEC)
Assists the Group Chief Executive in exercising their authority in relation to material matters
having strategic, cross-business area or Group-wide implications.
Lloyds Banking Group and Ring-Fenced Banks
Risk Committees (GRC)
Responsible for the development, implementation and effectiveness of Lloyds Banking
Group’s enterprise risk management framework, the clear articulation of the Group’s risk
appetite and monitoring and reviewing of the Group’s aggregate risk exposures, control
environment and concentrations of risk.
Lloyds Banking Group and Ring-Fenced Banks
Asset and Liability Committees (GALCO)
Responsible for the strategic direction of the Group’s assets and liabilities and the profit and
loss implications of balance sheet management actions. The committee reviews and
determines the appropriate allocation of capital, funding and liquidity, and market risk
resources and makes appropriate trade-offs between risk and reward.
Lloyds Banking Group and Ring-Fenced Banks
Cost Management Committees
Leads and shapes the Group’s approach to cost management, ensuring appropriate
governance and process over Group-wide cost management activities and effective control of
the Group’s cost base.
Lloyds Banking Group and Ring-Fenced Banks
Conduct Review Committees
Provides senior management oversight, challenge and accountability in connection with the
Group’s engagement with conduct review matters as agreed with the Group Chief Executive.
Lloyds Banking Group and Ring-Fenced Banks
People Committees
Supporting Lloyds Banking Group's People and Property Director in exercising their
responsibilities in relation to the Group’s people and colleague policies, overseeing the
development of and monitoring adherence to the remuneration policy, oversees compliance
with Senior Managers and Certification Regime (SM&CR) and other regulatory requirements,
monitors colleague engagement surveys, progress of the Group towards its culture targets
and oversees the implementation of action plans.
Lloyds Banking Group and Ring-Fenced Banks
Net Zero Committees
Recommends and implements the strategy and plans for delivering the Group’s aspiration to
be viewed as a trusted responsible business as part of the purpose of Helping Britain Prosper,
reporting to the GEC, GRC, Responsible Business Committee where appropriate on material
sustainability related risk and opportunities across the Group; and recommending to the GEC
and Responsible Business Committee the Group's Responsible Business Report and Helping
Britain Prosper Plan.
Lloyds Banking Group and Ring-Fenced Banks
Conduct Investigations Committee
Responsible for providing recommendations regarding performance adjustment, including
the individual risk-adjustment process and risk-adjusted performance assessment, and making
final decisions on behalf of the Group on the appropriate course of action relating to conduct
breaches, under the formal scope of the SM&CR.
The Lloyds Banking Group and Ring-Fenced Banks Risk Committee is supported through escalation and ongoing reporting by business area
risk committees, cross-divisional committees addressing specific matters of Group-wide significance and the following second line of defence
Risk committees which ensure effective oversight of risk management:
Lloyds Banking Group and Ring-Fenced Banks
Market Risk Committee
Responsible for monitoring, oversight and challenge of market risk exposures across the
Group. Reviews and proposes changes to the market risk management framework, and
reviews the adequacy of data quality needed for managing market risks. It is also responsible
for escalating issues of Group level significance to GEC level (usually via GALCO) relating to
the management of the Group's market risks.
Lloyds Banking Group and Ring-Fenced Banks
Economic Crime Prevention Committee
Brings together accountable stakeholders and subject matter experts to ensure that the
development and application of economic crime risk management complies with the Group's
strategic aims, Group corporate responsibility, Group risk appetite and Group economic
crime prevention (fraud, anti-money laundering, anti-bribery and sanctions) policy. It provides
direction and appropriate focus on priorities to enhance the Group's economic crime risk
management capabilities in line with business and customer objectives while aligning to the
Group's target operating model.
Lloyds Banking Group and Ring-Fenced Banks
Financial Risk Committee
Responsible for overseeing, reviewing, challenging and recommending to GEC/Board Risk
Committee/Board for Lloyds Banking Group and Ring-Fenced Bank (i) annual internal stress
Tests, (ii) all Prudential Regulation Authority (PRA) and any other regulatory stress tests, (iii)
annual liquidity stress tests, (iv) reverse stress tests, (v) Individual Liquidity Adequacy
Assessment (ILAA), (vi) Internal Capital Adequacy Assessment Process (ICAAP), (vii) Pillar 3,
(viii) recovery/resolution plans, and (ix) relevant ad hoc stress tests or other analysis as and
when required by the Committee.
Committees
Risk focus
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Risk management
19
Lloyds Banking Group and Ring-Fenced Banks
Capital Risk Committee
Responsible for providing oversight of all relevant capital matters within the Lloyds Banking
Group, Ring-Fenced Bank and material subsidiaries, including latest capital position and
plans, capital risk appetite proposals, Pillar 2 developments (including stress testing), recovery
and resolution matters and the impact of regulatory reforms and developments specific to
capital.
Lloyds Banking Group and Ring-Fenced Banks
Model Governance Committee
Responsible for supporting the Model Risk and Validation Director in fulfilling their
responsibilities, from a Group-wide perspective, under the Lloyds Banking Group model
governance policy through provision of debate, challenge and support of decisions. The
committee will be held as required to facilitate approval of models, model changes and
model related items as required by model policy, including items related to the governance
framework as a whole and its application.
Ring-Fence Compliance Committee
This committee is designed to provide executive sponsorship and strategic direction to
ongoing perimeter compliance, the closure and remediation of breaches, monitoring and
reporting of new breaches and associated governance and delivery enhancements to the
Ring-Fencing Compliance Risk Framework.
Committees
Risk focus
STRESS TESTING
Overview
Stress testing is recognised as a key risk management tool by the Boards, senior management, the businesses and the Risk and Finance
functions of all parts of the Group and its legal entities. It is fully embedded in the planning process of the Group and its key legal entities as a
key activity in medium-term planning, and senior management is actively involved in stress testing activities via the governance process.
Scenario stress testing is used for:
Risk identification:
Understand key vulnerabilities of the Group and its key legal entities under adverse economic conditions
Risk appetite:
Assess the results of the stress test against the risk appetite of all parts of the Group to ensure the Group and its legal entities are managed
within their risk parameters
Inform the setting of risk appetite by assessing the underlying risks under stress conditions
Strategic and capital planning:
Allow senior management and the Boards of the Group and its applicable legal entities to adjust strategies if the plan does not meet risk
appetite in a stressed scenario
Support the Internal Capital Adequacy Assessment Process (ICAAP) by demonstrating capital adequacy, and meet the requirements of
regulatory stress tests that are used to inform the setting of the Prudential Regulation Authority (PRA) and management buffers (see capital
risk on pages 47 to 54) of the Group and its separately regulated legal entities
Risk mitigation:
Drive the development of potential actions and contingency plans to mitigate the impact of adverse scenarios. Stress testing also links
directly to the recovery planning process of the Group and its legal entities
Internal stress tests
On at least an annual basis, the Group conducts macroeconomic stress tests of the operating plan, which are supplemented with higher-level
refreshes if necessary. The exercise aims to highlight the key vulnerabilities of the Group’s and its legal entities’ business plans to adverse
changes in the economic environment, and to ensure that there are adequate financial resources in the event of a downturn.
Reverse stress testing
Reverse stress testing is used to explore the vulnerabilities of the Group’s and its key legal entities’ strategies and plans to extreme adverse
events that would cause the businesses to fail. Where this identifies plausible scenarios with an unacceptably high risk, the Group or its entities
will adopt measures to prevent or mitigate that and reflect these in strategic plans.
Other stress testing activity
The Group’s stress testing programme also involves undertaking assessments of liquidity scenarios, market risk sensitivities and scenarios, and
business-specific scenarios (see the principal risk categories on pages 6 to 8 for further information on risk-specific stress testing). If required, ad
hoc stress testing exercises are also undertaken to assess emerging risks, as well as in response to regulatory requests. This wide-ranging
programme provides a comprehensive view of the potential impacts arising from the risks to which the Group is exposed and reflects the
nature, scale and complexity of the Group. Lloyds Banking Group participated in Part 1 of the Bank of England’s Climate Biennial Exploratory
Stress test in 2021 and will leverage the experience gained through that exercise to further embed climate risk into risk management and stress
testing activities.
Methodology
The stress tests at all levels must comply with all regulatory requirements, achieved through the comprehensive construction of macroeconomic
scenarios and a rigorous divisional, functional, risk and executive review and challenge process, supported by analysis and insight into impacts
on customers and business drivers.
The engagement of all required business, Risk and Finance teams is built into the preparation process, so that the appropriate analysis of each
risk category’s impact upon the business plans is understood and documented. The methodologies and modelling approach used for stress
testing ensure that a clear link is shown between the macroeconomic scenarios, the business drivers for each area and the resultant stress
testing outputs. All material assumptions used in modelling are documented and justified, with a clearly communicated review and sign-off
process. Modelling is supported by expert judgement and is subject to Lloyds Banking Group model governance policy.
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Risk management
20
Governance
Clear accountabilities and responsibilities for stress testing are assigned to senior management and the Risk and Finance functions throughout
the Group and its key legal entities. This is formalised through the Lloyds Banking Group business planning and stress testing policy and
procedure, which are reviewed at least annually.
The Group Financial Risk Committee (GFRC), chaired by the Chief Risk Officer and attended by the Chief Financial Officer and other senior Risk
and Finance colleagues, is the committee that has primary responsibility for overseeing the development and execution of the Group’s stress
tests.
The review and challenge of the Group’s detailed stress forecasts, the key assumptions behind these, and the methodology used to translate
the economic assumptions into stressed outputs conclude with the appropriate Finance and Risk sign-off. The outputs are then presented to
GFRC and the Board Risk Committee for review and challenge, before being approved by the Board.
EMERGING RISKS
Background and framework
Understanding emerging risks is an essential component of the Group’s risk management approach, enabling the Group to identify the most
pertinent risks and opportunities, and to respond through strategic planning and appropriate risk mitigation.
Although emerging risk is not a principal risk, if left undetected emerging risks have the potential to adversely impact the Group or result in
missed opportunities.
Impacts from emerging risks on the Group’s principal risks can materialise via two different routes:
Emerging risks can impact the Group’s principal risks directly in the absence of an appropriate strategic response.
Alternatively, emerging risks can be a source of new strategic risks, dependent on our chosen response and the underlying assumptions on
how given emerging risks may manifest.
Where an emerging risk is considered material enough in its own right, the Group may choose to recognise the risk as a principal risk. Recent
examples of this include climate risk and strategic risk. Such elevations are considered and approved through the Board as part of the annual
refresh of Lloyds Banking Group's enterprise risk management framework.
Risk identification
The basis for risk identification is founded on collaboration between functions across the Group. The activity incorporates internal horizon
scanning and engagement with external experts to gain an external context, ensuring broad coverage.
This activity is inherently linked with and builds upon the annual strategic planning cycle and is used to identify key external trends, risks and
opportunities for the Group.
The Group is evolving its methodology in respect of the identification and prioritisation of emerging risks. 2021 saw the development of a
quantitative risk assessment methodology for understanding the connectivity of strategic risk. The Group has drawn on this methodology and
findings to  expand its insights.
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Notable emerging risks and their implications
The Group considers the following emerging risk themes as having the potential to increase in significance and affect the performance of the
Group.
Breakdown of the EU
Wide-ranging risks associated with dissolution of the European Union, with member states choosing to
function independently.
Climate change transition risk
Risks arising from the Group's participation choices, policies and investments to support transition to a
zero carbon economy and its ability to meet published climate targets.
Data-driven propositions
Harnessing real-time data, emerging technologies and communication channels, to meet consumer
appetite for bespoke products and services.
Digital currencies
Risks and opportunities posed by introduction of new, or wider adoption of existing, digital currencies,
associated supporting infrastructure and subsequent management.
Evolving regulation
Changing regulatory standards and possibility of retrospective application, driving reputational damage,
fines, litigation and remediation activity.
Future pandemics and the
world’s ability to respond
Economic, political, social and technological impacts caused by mutations of existing viruses, new viruses,
or resistance to treatments for existing illnesses.
Inequality and changing
demographic
Widening wealth and opportunity gap, increasing diversity and changing age mix within society, resulting
in changing demands on banking.
Long term impact of the UK’s exit
from the EU
Long-term macro-economic, regulatory and social impacts on the UK as a result of the UK’s exit from the
EU.
Modern skills and recruitment
diversity
Diversification of recruitment approach in respect of candidate backgrounds, skills and avenues of
attainment, to adapt to a modern technology-driven landscape.
Pace of technological change
Ability to keep pace with accelerating technological change, evolving technology landscape, changing
customer expectations and new product and service propositions.
Populism, de-globalisation and
supply chains
Disenfranchisement driving geopolitical tensions between states, diminishing integration and adverse
effects on supply chains.
Science, technology, engineering
and mathematics (STEM)
qualification supply vs demand
Risks posed by the balance of STEM degree qualification in the UK lagging behind the accelerating
demands for STEM qualified candidates in the workforce.
Scottish independence
Wide-ranging consequences arising from the movement for Scotland to become a sovereign state,
independent from the United Kingdom.
Ways of working
Ability to provide a colleague proposition enabling flexible location and agile working, aligning to
individual requirements, together with associated risks of such arrangements (e.g. Operational, People and
Data risk).
Emerging risk theme
Key considerations
Risk mitigation
Emerging risks are managed through the Group’s strategic risk framework, detailed on page 66. Pertinent emerging risks are considered as part
of the Group’s strategic and business planning processes and primarily addressed through the Group’s strategy.
Key actions to tackle the emerging challenges and capitalise on opportunities as part of the Group’s strategy include the following:
Purpose: At the heart of the Group’s purpose are the themes of inclusion, sustainability and being people-first. As such, the Group’s strategy
aims to fully embed a purpose that supports a more inclusive and sustainable future for the Group’s customers and colleagues.
Outcomes will see products, services and activities, aligning to societal and regulatory expectations, which drive impacts across housing,
financial wellbeing, businesses and jobs, communities, regions, and sustainability.
Customer proposition: As part of its strategy, the Group aims to enhance its proposition, better aligning to its purpose, while supporting
transition to a low carbon economy and adapting to the changing demographic of both its customer base and that of the UK.
Key components include:
Creating better engagement, improving customer journeys and enhancing experiences and tools to drive greater financial resilience and
well-being for customers
Supporting customers and businesses in respect of making their homes, vehicles, properties and activities more sustainable
Capitalising on the Group’s existing asset and product capabilities for corporate and institutional clients to play a leading role in the
transition to Net Zero, addressing regional inequalities and supporting UK prosperity by helping corporates trade internationally
Talent: The Group is firmly committed to being diverse, employing new ways of working, where colleagues are supported in having a growth
mindset and empowered to make decisions at pace.
The strategy places focus on a colleague proposition that can attract and retain the best people, while leveraging talent pools across the UK
and exploring in-house skills growth strategies, alongside partnerships with universities and businesses, to supplement scarce skill sets.
For the long term, the Group intends to use its strategic workforce planning capability for understanding and meeting the evolving demand of
skills from its businesses and functions. This will also act as the bedrock for key strategic decisions and interventions in respect of important
elements of the Group’s talent strategy in the future.
Technology: Simplification of the Group’s estate and leveraging contemporary technologies are core components of the Group’s strategy.
The Group aims to manage the challenges of a rapidly evolving landscape by employing technology that is aligned to industry best practice
refresh rates, while promoting autonomy and empowerment within teams by streamlining governance.
This will be supplemented with an aligned business and technology vision and a rationalised hybrid cloud technology estate and modern
engineering standards.
Lloyds Bank plc
Risk management
22
Data: Being data-driven is central to the Group’s transformation activity. More than one third of the benefits from the Group’s business
strategies are reliant on the ability to successfully leverage data. As such managing data risk and employing strong data ethics are key
considerations for the strategy.
The Group has developed a data management strategy to provide the common framework and direction by uplifting data quality, simplifying
data architecture, enhancing data governance and implementing market leading tools to improve its ability to deliver a data-first culture. The
Group has also invested in data ethics framework and strong governance for its advanced analytics and cloud programmes.
In addition to the strategic actions detailed above, the Group works closely with regulatory authorities and industry bodies to ensure that the
Group can monitor external developments (e.g. potential regulatory divergence from EU) and identify and respond to the evolving landscape,
particularly in relation to regulatory and legal risk.
FULL ANALYSIS OF RISK CATEGORIES
The Group’s risk framework covers all types of risk which affect the Group and could impact on the achievement of its strategic objectives. A
detailed description of each category is provided on pages 23 to 67.
Risk categories recognised by the Group are periodically reviewed to ensure that they reflect the Group risk profile in light of internal and
external factors, such as the Group strategy and the regulatory environment in which it operates. Changes include the recategorisation of
governance risk, from a principal risk type to a secondary risk under operational risk, plus enhancement to the naming of some secondary risk
categories.
Principal risk categories
Secondary risk categories
Market risk
– Trading book
– Pensions
Page 24
– Banking book
Credit risk
– Retail credit
– Commercial credit
Page 28
Funding and liquidity risk
– Funding and liquidity
Page 43
Capital risk
– Capital
Page 47
Change/execution risk
– Change/execution
Page 55
Conduct risk
– Conduct
Page 56
Data risk
– Data
Page 58
People risk
– People
– Health and safety
Page 59
Operational resilience risk
– Operational resilience
Page 60
Operational risk
– Business process
– Financial reporting
– Security
Page 62
– Economic crime financial
– Governance
– Sourcing and supply chain management
– Economic crime fraud
– Internal service provision
– External service provision
– IT systems
Model risk
– Model
Page 64
Regulatory and legal risk
– Regulatory compliance
– Legal
Page 65
Strategic risk
– Strategic
Page 66
Climate risk
– Climate
Page 67
The Group considers both reputational and financial impact in the course of managing all its risks and therefore does not classify reputational
impact as a separate risk category.
Lloyds Bank plc
Risk management
23
MARKET RISK
DEFINITION
Market risk is defined as the risk that the Group's capital or earnings profile is affected by adverse market rates or prices, in particular interest
rates and credit spreads in both the Banking business and the Group’s defined benefit pension schemes.
MEASUREMENT
Group risk appetite is calibrated primarily to a number of multi-risk Group economic scenarios, and is supplemented with sensitivity-based
measures. The scenarios assess the impact of unlikely, but plausible, adverse stresses on income with the worst case for banking activities,
defined benefit pensions, insurance and trading portfolios reported against independently, and across the Group as a whole.
The Group risk appetite is cascaded first to the Group Asset and Liability Committee (GALCO), chaired by the Chief Financial Officer, where risk
appetite is approved and monitored by risk type, and then to the Group Market Risk Committee (GMRC) where risk appetite is sub-allocated by
division. These metrics are reviewed regularly by senior management to inform effective decision-making.
MITIGATION
GALCO is responsible for approving and monitoring Group market risks, management techniques, market risk measures, behavioural
assumptions, and the market risk policy. Various mitigation activities are assessed and undertaken across the Group to manage portfolios and
seek to ensure they remain within approved limits. The mitigation actions will vary dependent on exposure but will, in general, look to reduce
risk in a cost effective manner by offsetting balance sheet exposures and externalising to the financial markets dependent on market liquidity.
The market risk policy is owned by Group Corporate Treasury (GCT) and refreshed annually. The policy is underpinned by supplementary
market risk procedures, which define specific market risk management and oversight requirements.
MONITORING
GALCO and GMRC regularly review high level market risk exposure as part of the wider risk management framework. They also make
recommendations to the Board concerning overall market risk appetite and market risk policy. Exposures at lower levels of delegation are
monitored at various intervals according to their volatility, from daily in the case of trading portfolios to monthly or quarterly in the case of less
volatile portfolios. Levels of exposures compared to approved limits and triggers are monitored by Risk and appropriate escalation procedures
are in place.
How market risks arise and are managed across the Group’s activities is considered in more detail below.
BANKING ACTIVITIES
Exposures
The Group’s banking activities expose it to the risk of adverse movements in market rates or prices, predominantly interest rates, credit spreads,
exchange rates and equity prices. The volatility of market rates or prices can be affected by both the transparency of prices and the amount of
liquidity in the market for the relevant asset, liability or instrument.
Interest rate risk
Yield curve risk in the Group’s divisional portfolios, and in the Group’s capital and funding activities, arises from the different repricing
characteristics of the Group’s non-trading assets, liabilities and off-balance sheet positions.
Basis risk arises from the potential changes in spreads between indices, for example where the Bank lends with reference to a central bank rate
but funds with reference to a market rate, e.g. SONIA, and the spread between these two rates widens or tightens.
Optionality risk arises predominantly from embedded optionality within assets, liabilities or off-balance sheet items where either the Group or
the customer can affect the size or timing of cash flows. One example of this is mortgage prepayment risk where the customer owns an option
allowing them to prepay when it is economical to do so. This can result in customer balances amortising more quickly or slowly than anticipated
due to customers’ response to changes in economic conditions.
Foreign exchange risk
Economic foreign exchange exposure arises from the Group’s investment in its overseas operations (net investment exposures are disclosed in
note 44 on page 179). In addition, the Group incurs foreign exchange risk through non-functional currency flows from services provided by
customer-facing divisions, the Group’s debt and capital management programmes and is exposed to volatility in its CET1 ratio, due to the
impact of changes in foreign exchange rates on the retranslation of non-Sterling-denominated risk-weighted assets.
Equity risk
Equity risk arises primarily from exposure to the Lloyds Banking Group share price through deferred shares and deferred options granted to
employees as part of their benefits package.
Credit spread risk
Credit spread risk arises largely from: (i) the liquid asset portfolio held in the management of Group liquidity, comprising of government,
supranational and other eligible assets; (ii) the Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA) sensitivity to credit
spreads; (iii) a number of the Group’s structured medium-term notes where the Group has elected to fair value the notes through the profit and
loss account; and (iv) banking book assets in Commercial Banking held at fair value under IFRS 9.
Measurement
Interest rate risk exposure is monitored monthly using, primarily:
Market value sensitivity: this methodology considers all repricing mismatches (behaviourally adjusted where appropriate) in the current balance
sheet and calculates the change in market value that would result from an instantaneous 25, 100 and 200 basis points parallel rise or fall in the
yield curve. Sterling interest rates are modelled with a floor below zero per cent, with negative rate floors also modelled for non-Sterling
currencies where appropriate (product-specific floors apply). The market value sensitivities are calculated on a static balance sheet using
principal cash flows excluding interest, commercial margins and other spread components and are therefore discounted at the risk-free rate.
Interest income sensitivity: this measures the impact on future net interest income arising from various economic scenarios. These include
instantaneous 25, 100 and 200 basis point parallel shifts in all yield curves and the Group economic scenarios. Sterling interest rates are
modelled with a floor below zero per cent, with negative rate floors also modelled for non-Sterling currencies where appropriate (product-
specific floors apply). These scenarios are reviewed every year and are designed to replicate severe but plausible economic events, capturing
risks that would not be evident through the use of parallel shocks alone such as basis risk and steepening or flattening of the yield curve.
Additional negative rate scenarios are also used, where floors are removed, to ensure that this risk is monitored; however, these are not
measured against the limit framework for the purposes of risk appetite.
Lloyds Bank plc
Risk management
24
Unlike the market value sensitivities, the interest income sensitivities incorporate additional behavioural assumptions as to how and when
individual products would reprice in response to changing rates.
Reported sensitivities are not necessarily predictive of future performance as they do not capture additional management actions that would
likely be taken in response to an immediate, large, movement in interest rates. These actions could reduce the net interest income sensitivity,
help mitigate any adverse impacts or they may result in changes to total income that are not captured in the net interest income.
Structural hedge: the structural hedging programme managing interest rate risk in the banking book relies on assumptions made around
customer behaviour. A number of metrics are in place to monitor the risks within the portfolio.
The Group has an integrated Asset and Liability Management (ALM) system which supports non-traded asset and liability management of the
Group. This provides a single consolidated tool to measure and manage interest rate repricing profiles (including behavioural assumptions),
perform stress testing and produce forecast outputs. The Group is aware that any assumptions-based model is open to challenge. A full
behavioural review is performed annually, or in response to changing market conditions, to ensure the assumptions remain appropriate and the
model itself is subject to annual re-validation, as required under Lloyds Banking Group's model governance policy. The key behavioural
assumptions are:
Embedded optionality within products
The duration of balances that are contractually repayable on demand, such as current accounts and overdrafts, together with net free
reserves of the Group
The re-pricing behaviour of managed rate liabilities, such as variable rate savings
The table below shows, split by material currency, the Group’s market value sensitivities to an instantaneous parallel up and down 25 and 100
basis points change to all interest rates.
Lloyds Bank Group Banking activities: market value sensitivity (audited)
2021
2020
Up
25bps
£m
Down
25bps
£m
Up
100bps
£m
Down
100bps
£m
Up
25bps
£m
Down
25bps
£m
Up
100bps
£m
Down
100bps
£m
Sterling
26.1
(27.6)
98.4
(129.8)
66.3
7.3
265.3
10.4
US Dollar
(0.3)
0.9
(1.1)
4.0
(2.2)
3.7
(8.6)
7.9
Euro
(5.1)
(2.9)
(19.3)
(11.5)
(6.3)
(5.0)
(24.1)
(9.0)
Other
(0.2)
0.3
(1.0)
0.8
(0.2)
Total
20.5
(29.3)
77.0
(136.5)
57.8
6.0
232.4
9.3
This is a risk-based disclosure and the amounts shown would be amortised in the income statement over the duration of the portfolio.
The market value sensitivity to a down 100 basis points shock has increased due to rates being higher than at year end 2020 leading to a larger
downshock being applied before hitting the modelled interest rate floor. The sensitivity to an up 100 basis points shock has decreased as a
result of hedging activity and changes to mortgage prepayment assumptions.
The table below shows supplementary value sensitivity to a steepening and flattening (c.100 basis points around the three-year point) in the
yield curve. This ensures there are no unintended consequences to managing risk to parallel shifts in rates.
Lloyds Bank Group Banking activities: market value sensitivity to a steepening and flattening of the yield curve
(audited)
2021
2020
Steepener
£m
Flattener
£m
Steepener
£m
Flattener
£m
Sterling
85.8
(114.4)
(53.2)
14.3
US Dollar
(7.0)
8.2
(6.4)
7.5
Euro
(13.8)
(6.9)
(16.4)
(3.9)
Other
0.2
(0.2)
(0.1)
0.5
Total
65.2
(113.3)
(76.1)
18.4
The table below shows the banking book one year net interest income sensitivity to an instantaneous parallel up and down 25 basis points
change to all interest rates.
Lloyds Bank Group Banking activities: net interest income sensitivity (audited)
2021
2020
Up
25bps
£m
Down
25bps
£m
Up
25bps
£m
Down
25bps
£m
Client facing activity and associated hedges
174.9
(406.7)
254.6
(142.5)
Lloyds Bank plc
Risk management
25
The table below shows supplementary income sensitivity on a one to three-year forward-looking basis to an instantaneous parallel up 25, down
25 and up 50 basis points change to all interest rates.
Lloyds Bank Group Banking activities: three year net interest income sensitivity (audited)
2021
Up 25bps
Down 25bps
Up 50bps
Year 1
Year 2
Year 3
Year 1
Year 2
Year 3
Year 1
Year 2
Year 3
£m
£m
£m
£m
£m
£m
£m
£m
£m
Client-facing activity and associated hedges
174.9
269.8
397.3
(406.7)
(512.0)
(639.0)
348.7
526.9
782.1
Year 1 net interest income sensitivity, to up 25 basis points, has decreased year-on-year mostly due to the additional structural hedging that has
been transacted in 2021 in addition to the use of simpler illustrative pass through assumptions. The increase in risk sensitivity year-on-year, to
down 25 basis points, is driven by greater modelled margin compression risk following the rise in interest rates in December 2021. This results in
the full 25 basis points downshock being applied at December 2021 whereas a 10 basis points shock was applied at December 2020 due to the
Group’s assumption, at the time, for modelling Sterling interest rates with a floor of zero per cent (product-specific floors apply).
The three year net interest income sensitivity to a down 25 basis points shock is driven predominantly by margin compression on Retail and
Commercial Bank savings products as well as structural hedge maturities to be reinvested in years two and three. The sensitivity to an up 25
basis points and 50 basis points shock is largely due to reinvestment of structural hedge maturities.
The sensitivities are illustrative and do not reflect new business margin implications and/or pricing actions, other than as outlined.
The following assumptions have been applied:
Instantaneous parallel shift in interest rate curve, including bank base rate
Balance sheet remains constant
Illustrative 50 per cent deposit pass-through
Basis risk, foreign exchange, equity and credit spread risks are measured primarily through scenario analysis by assessing the impact on profit
before tax over a 12-month horizon arising from a change in market rates, and reported within the Board risk appetite on a monthly basis.
Supplementary measures such as sensitivity and exposure limits are applied where they provide greater insight into risk positions. Frequency of
reporting supplementary measures varies from daily to quarterly appropriate to each risk type.
Mitigation
The Group’s policy is to optimise reward while managing its market risk exposures within the risk appetite defined by the Board. Lloyds Banking
Group's market risk policy and procedures outlines the hedging process, and the centralisation of risk from divisions into Group Corporate
Treasury (GCT), e.g. via the transfer pricing framework. GCT is responsible for managing the centralised risk and does this through natural
offsets of matching assets and liabilities, and appropriate hedging activity of the residual exposures, subject to the authorisation and mandate
of GALCO within the Board risk appetite. The hedges are externalised to the market by derivative desks within GCT and the Commercial Bank.
The Group mitigates income statement volatility through hedge accounting. This reduces the accounting volatility arising from the Group’s
economic hedging activities and any hedge accounting ineffectiveness is continuously monitored.
The largest residual risk exposure arises from balances that are deemed to be insensitive to changes in market rates (including current accounts,
a portion of variable rate deposits and investable equity), and is managed through the Group’s structural hedge. Consistent with the Group’s
strategy to deliver stable returns, GALCO seeks to minimise large reinvestment risk, and to smooth earnings over a range of investment tenors.
The structural hedge consists of longer-term fixed rate assets or interest rate swaps and the amount and duration of the hedging activity is
reviewed regularly by GALCO.
While the Bank faces margin compression in low rate environments, its exposure to pipeline and prepayment risk are not considered material
and are hedged in line with expected customer behaviour. These are appropriately monitored and controlled through divisional Asset and
Liability Committees (ALCOs).
Net investment foreign exchange exposures are managed centrally by GCT, by hedging non-Sterling asset values with currency borrowing.
Economic foreign exchange exposures arising from non-functional currency flows are identified by divisions and transferred and managed
centrally. The Group also has a policy of forward hedging its forecasted currency profit and loss to year end. The Group makes use of both
accounting and economic foreign exchange exposures, as an offset against the impact of changes in foreign exchange rates on the value of
non-Sterling-denominated risk-weighted assets. This involves the holding of a structurally open currency position; sensitivity is minimised where,
for a given currency, the ratio of the structural open position to risk-weighted assets equals the CET1 ratio. Continually evaluating this structural
open currency position against evolving non-Sterling-denominated risk-weighted assets mitigates volatility in the Group’s CET1 ratio.
Monitoring
The appropriate limits and triggers are monitored by senior executive committees within the Banking divisions. Banking assets, liabilities and
associated hedging are actively monitored and if necessary rebalanced to be within agreed tolerances.
DEFINED BENEFIT PENSION SCHEMES
Exposures
The Group’s defined benefit pension schemes are exposed to significant risks from their assets and liabilities. The liability discount rate exposes
the Group to interest rate risk and credit spread risk, which are partially offset by fixed interest assets (such as gilts and corporate bonds) and
swaps. Equity and alternative asset risk arises from direct asset holdings. Scheme membership exposes the Group to longevity risk. Increases to
pensions in deferment and in payment expose the Group to inflation risk.
For further information on defined benefit pension scheme assets and liabilities please refer to note 27 on page 140.
Measurement
The Group's management of the schemes’ assets is the responsibility of the Trustees of the schemes who are responsible for setting the
investment strategy and for agreeing funding requirements with the Group. The Group will be liable for meeting any funding deficit that may
arise. As part of the triennial valuation process, the Group will agree with the Trustees a funding strategy to eliminate the deficit over an
appropriate period.
Longevity risk is measured using both 1-in-20 year stresses (risk appetite) and 1-in-200 year stresses (regulatory capital).
Lloyds Bank plc
Risk management
26
Mitigation
The Group takes an active involvement in agreeing mitigation strategies with the schemes’ Trustees. An interest rate and inflation hedging
programme is in place to reduce liability risk. The schemes have also reduced equity allocation and invested the proceeds in credit assets. The
Trustees have put in place longevity swaps to mitigate longevity risk. The merits of longevity risk transfer and hedging solutions are reviewed
regularly.
Monitoring
In addition to the wider risk management framework, governance of the schemes includes two specialist pensions committees.
The surplus, or deficit, in the schemes is tracked monthly along with various single factor and scenario stresses which consider the assets and
liabilities holistically. Key metrics are monitored monthly including the Group’s capital resources of the scheme, the performance against risk
appetite triggers, and the performance of the hedged asset and liability matching positions.
TRADING PORTFOLIOS
Exposures
The Group’s trading activity is small relative to its peers. The Group’s trading activity is undertaken solely to meet the financial requirements of
commercial and retail customers for foreign exchange and interest rate products. These activities support customer flow and market making
activities.
All trading activities are performed within the Commercial Banking division. While the trading positions taken are generally small, any extreme
moves in the main risk factors and other related risk factors could cause significant losses in the trading book depending on the positions at the
time. The average 95 per cent 1-day trading VaR (Value at Risk; diversified across risk factors) was £0.1 million for 31 December 2021.
Trading market risk measures are applied to all of the Group’s regulatory trading books and they include daily VaR, sensitivity-based measures,
and stress testing calculations.
Measurement
The Group internally uses VaR as the primary risk measure for all trading book positions.
The risk of loss measured by the VaR model is the minimum expected loss in earnings given the 95 per cent confidence. The total and average
trading VaR numbers reported below have been obtained after the application of the diversification benefits across the five risk types. The
maximum and minimum VaR reported for each risk category did not necessarily occur on the same day as the maximum and minimum VaR
reported at Group level.
The Group’s closing VaR, allowing for diversification, at 31 December 2021 across interest rate risk, foreign exchange risk, equity risk, credit
spread risk and inflation risk was less than £0.05 million. During the year ended 31 December 2021, the Group’s minimum VaR was less than
£0.05 million and its average and maximum VaR was £0.1 million.
For the year ended 31 December 2021, excluding the effects of diversification, the maximum total VaR for all of the above risks was £0.2 million,
the average total VaR was £0.1 million and minimum VaR was less than £0.05 million. The closing VaR at 31 December 2021, excluding the
effects of diversification, was less than £0.06 million.
For the year ended 31 December 2021, the maximum and average interest rate risk VaR was £0.1 million and the minimum interest rate VaR was
less than £0.05 million. The minimum, maximum and average VaR for all other risk types was less than £0.05 million. As at 31 December 2021,
the closing VaR for all risk types was less than £0.05 million.
The market risk for the trading book continues to be low relative to the size of the Group and in comparison to peers. This reflects the fact that
the Group’s trading operations are customer-centric and focused on hedging and recycling client risks.
Although it is an important market standard measure of risk, VaR has limitations. One of them is the use of a limited historical data sample which
influences the output by the implicit assumption that future market behaviour will not differ greatly from the historically observed period.
Another known limitation is the use of defined holding periods which assumes that the risk can be liquidated or hedged within that holding
period. Also calculating the VaR at the chosen confidence interval does not give enough information about potential losses which may occur if
this level is exceeded. The Group fully recognises these limitations and supplements the use of VaR with a variety of other measurements which
reflect the nature of the business activity. These include detailed sensitivity analysis, position reporting and a stress testing programme.
Trading book VaR (1-day 99 per cent) is compared daily against both hypothetical and actual profit and loss at underlying legal entity level
(HBOS and Lloyds Bank).
Mitigation
The level of exposure is controlled by establishing and communicating the approved risk limits and controls through policies and procedures
that define the responsibility and authority for risk taking. Market risk limits are clearly and consistently communicated to the business. Any new
or emerging risks are brought within risk reporting and defined limits.
Monitoring
Trading risk appetite is monitored daily with 1-day 95 per cent VaR and stress testing limits. These limits are complemented with position level
action triggers and profit and loss referrals. Risk and position limits are set and managed at both desk and overall trading book levels. They are
reviewed at least annually and can be changed as required within the overall Group risk appetite framework.
Lloyds Bank plc
Risk management
27
CREDIT RISK
DEFINITION
Credit risk is defined as the risk that parties with whom the Group has contracted fail to meet their financial obligations (both on and off-
balance sheet).
EXPOSURES
The principal sources of credit risk within the Group arise from loans and advances, contingent liabilities, commitments, debt securities and
derivatives to customers, financial institutions and sovereigns. The credit risk exposures of the Group are set out in note 44 on page 179.
In terms of loans and advances (for example mortgages, term loans and overdrafts) and contingent liabilities (for example credit instruments
such as guarantees and documentary letters of credit), credit risk arises both from amounts advanced and commitments to extend credit to a
customer or bank. With respect to commitments to extend credit, the Group is also potentially exposed to an additional loss up to an amount
equal to the total unutilised commitments. However, the likely amount of loss may be less than the total unutilised commitments, as most retail
and certain commercial lending commitments may be cancelled based on regular assessment of the prevailing creditworthiness of customers.
Most commercial term commitments are also contingent upon customers maintaining specific credit standards.
Credit risk also arises from debt securities and derivatives. Credit risk exposure for derivatives is limited to the current cost of replacing contracts
with a positive value to the Group. Such amounts are reflected in note 44 on page 179.
Additionally, credit risk arises from leasing arrangements where the Group is the lessor. Note 2(J) on page 94 provides details on the Group’s
approach to the treatment of leases.
The investments held in the Group’s defined benefit pension schemes also expose the Group to credit risk. Note 27 on page 140 provides
further information on the defined benefit pension schemes’ assets and liabilities.
Loans and advances, contingent liabilities, commitments, debt securities and derivatives also expose the Group to refinance risk. Refinance risk
is the possibility that an outstanding exposure cannot be repaid at its contractual maturity date. If the Group does not wish to refinance the
exposure then there is refinance risk if the obligor is unable to repay by securing alternative finance. This may occur for a number of reasons
which may include: the borrower is in financial difficulty, because the terms required to refinance are outside acceptable appetite at the time or
the customer is unable to refinance externally due to a lack of market liquidity. Refinance risk exposures are managed in accordance with the
Group’s existing credit risk policies, processes and controls, and are not considered to be material given the Group’s prudent and through-the-
cycle credit risk appetite. Where heightened refinance risk exists exposures are minimised through intensive account management and, where
appropriate, are classed as impaired and/or forborne.
MEASUREMENT
The process for credit risk identification, measurement and control is integrated into the Board-approved framework for credit risk appetite and
governance.
Credit risk is measured from different perspectives using a range of appropriate modelling and scoring techniques at a number of levels of
granularity, including total balance sheet, individual portfolio, pertinent concentrations and individual customer - for both new business and
existing exposure. Key metrics, which may include total exposure, expected credit loss (ECL), risk-weighted assets, new business quality,
concentration risk and portfolio performance, are reported monthly to Risk Committees and Forums.
Measures such as ECL, risk-weighted assets, observed credit performance, predicted credit quality (usually from predictive credit scoring
models), collateral cover and quality, and other credit drivers (such as cash flow, affordability, leverage and indebtedness) have been
incorporated into the Group's credit risk management practices to enable effective risk measurement across the Group.
The Group has also continued to strengthen its capabilities and abilities for identifying, assessing and managing climate-related risks and
opportunities, recognising that Climate change is likely to result in changes in the risk profile and outlook for the Group's customers, the sectors
the Group operates in and collateral/asset valuations. For further information, please refer to LBG’s 2021 Climate Report.
In addition, stress testing and scenario analysis are used to estimate impairment losses and capital demand forecasts for both regulatory and
internal purposes and to assist in the formulation of credit risk appetite.
As part of the ‘three lines of defence’ model, the Risk division is the second line of defence providing oversight and independent challenge to
key risk decisions taken by business management. The Risk division also tests the effectiveness of credit risk management and internal credit risk
controls. This includes ensuring that the control and monitoring of higher risk and vulnerable portfolios and sectors is appropriate and
confirming that appropriate loss allowances for impairment are in place. Output from these reviews helps to inform credit risk appetite and
credit policy.
As the third line of defence, Group Internal Audit undertakes regular risk-based reviews to assess the effectiveness of credit risk management
and controls.
MITIGATION
The Group uses a range of approaches to mitigate credit risk.
Prudent, through-the-cycle credit principles, risk policies and appetite statements: the independent Risk division sets out the credit
principles, credit risk policies and credit risk appetite statements. These are subject to regular review and governance, with any changes subject
to an approval process. Risk teams monitor credit performance trends and the outlook. Risk teams also test the adequacy of and adherence to
credit risk policies and processes throughout the Group. This includes tracking portfolio performance against an agreed set of credit risk
appetite tolerances.
Robust models and controls: see model risk on page 64.
Limitations on concentration risk: there are portfolio controls on certain industries, sectors and products to reflect risk appetite as well as
individual, customer and bank limit risk tolerances. Credit policies and appetite statements are aligned to the Group’s risk appetite and restrict
exposure to higher risk countries and potentially vulnerable sectors and asset classes. Note 44 on page 181 provides an analysis of loans and
advances to customers by industry (for commercial customers) and product (for retail customers). Exposures are monitored to prevent both an
excessive concentration of risk and single name concentrations. These concentration risk controls are not necessarily in the form of a maximum
limit on exposure, but may instead require new business in concentrated sectors to fulfil additional minimum policy and/or guideline
requirements. The Group’s largest credit limits are regularly monitored by the Board Risk Committee and reported in accordance with
regulatory requirements.
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Risk management
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Defined country risk management framework: the Group sets a broad maximum country risk appetite. Risk-based appetite for all countries is
set within the independent Risk division, taking into account economic, financial, political and social factors as well as the approved business
and strategic plans of the Group.
Specialist expertise: credit quality is managed and controlled by a number of specialist units within the business and Risk division, which
provide for example: intensive management and control; security perfection; maintenance of customer and facility records; expertise in
documentation for lending and associated products; sector-specific expertise; and legal services applicable to the particular market segments
and product ranges offered by the Group.
Stress testing: the Group’s credit portfolios are subject to regular stress testing. In addition to the Group-led, PRA and other regulatory stress
tests, exercises focused on individual divisions and portfolios are also performed. For further information on stress testing process,
methodology and governance see page 20.
Frequent and robust credit risk assurance: assurance of credit risk is undertaken by an independent function operating within the Risk division
which are part of the Group’s second line of defence. Their primary objective is to provide reasonable and independent assurance and
confidence that credit risk is being effectively managed and to ensure that appropriate controls are in place and being adhered to. Group
Internal Audit also provides assurance to the Audit Committee on the effectiveness of credit risk management controls across the Group’s
activities.
Collateral
The principal types of acceptable collateral include:
Residential and commercial properties
Charges over business assets such as premises, inventory and accounts receivable
Financial instruments such as debt securities vehicles
Cash
Guarantees received from third parties
The Group maintains appetite parameters on the acceptability of specific classes of collateral.
For non-mortgage retail lending to small businesses, collateral may include second charges over residential property and the assignment of life
cover.
Collateral held as security for financial assets other than loans and advances is determined by the nature of the underlying exposure. Debt
securities, including treasury and other bills, are generally unsecured, with the exception of asset-backed securities and similar instruments such
as covered bonds, which are secured by portfolios of financial assets. Collateral is generally not held against loans and advances to financial
institutions. However, securities are held as part of reverse repurchase or securities borrowing transactions or where a collateral agreement has
been entered into under a master netting agreement. Derivative transactions with financial counterparties are typically collateralised under a
Credit Support Annex (CSA) in conjunction with the International Swaps and Derivatives Association (ISDA) Master Agreement. Derivative
transactions with non-financial customers are not usually supported by a CSA.
The requirement for collateral and the type to be taken at origination will be based upon the nature of the transaction and the credit quality,
size and structure of the borrower. For non-retail exposures, if required, the Group will often seek that any collateral includes a first charge over
land and buildings owned and occupied by the business, a debenture over the assets of a company or limited liability partnership, personal
guarantees, limited in amount, from the directors of a company or limited liability partnership and key man insurance. The Group maintains
policies setting out which types of collateral valuation are acceptable, maximum loan to value (LTV) ratios and other criteria that are to be
considered when reviewing an application. The fundamental business proposition must evidence the ability of the business to generate funds
from normal business sources to repay a customer or counterparty’s financial commitment, rather than reliance on the disposal of any security
provided.
Although lending decisions are primarily based on expected cash flows, any collateral provided may impact the pricing and other terms of a
loan or facility granted. This will have a financial impact on the amount of net interest income recognised and on internal loss given default
estimates that contribute to the determination of asset quality and returns.
The Group requires collateral to be realistically valued by an appropriately qualified source, independent of both the credit decision process
and the customer, at the time of borrowing. In certain circumstances, for Retail residential mortgages this may include the use of automated
valuation models based on market data, subject to accuracy criteria and LTV limits. Where third parties are used for collateral valuations, they
are subject to regular monitoring and review. Collateral values are subject to review, which will vary according to the type of lending, collateral
involved and account performance. Such reviews are undertaken to confirm that the value recorded remains appropriate and whether
revaluation is required, considering, for example, account performance, market conditions and any information available that may indicate that
the value of the collateral has materially declined. In such instances, the Group may seek additional collateral and/or other amendments to the
terms of the facility. The Group adjusts estimated market values to take account of the costs of realisation and any discount associated with the
realisation of the collateral when estimating credit losses.
The Group considers risk concentrations by collateral providers and collateral type with a view to ensuring that any potential undue
concentrations of risk are identified and suitably managed by changes to strategy, policy and/or business plans.
The Group seeks to avoid correlation or wrong-way risk where possible. Under the Group’s repurchase (repo) policy, the issuer of the collateral
and the repo counterparty should be neither the same nor connected. The same rule applies for derivatives. The Risk division has the necessary
discretion to extend this rule to other cases where there is significant correlation. Countries with a rating equivalent to AA- or better may be
considered to have no adverse correlation between the counterparty domiciled in that country and the country of risk (issuer of securities).
Refer to note 44 on page 200 for further information on collateral.
Additional mitigation for Retail customers
The Group uses a variety of lending criteria when assessing applications for mortgages and unsecured lending. The general approval process
uses credit acceptance scorecards and involves a review of an applicant’s previous credit history using internal data and information held by
Credit Reference Agencies (CRA).
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The Group also assesses the affordability and sustainability of lending for each borrower. For secured lending this includes use of an
appropriate stressed interest rate scenario. Affordability assessments for all lending are compliant with relevant regulatory and conduct
guidelines. The Group takes reasonable steps to validate information used in the assessment of a customer’s income and expenditure.
In addition, the Group has in place quantitative limits such as maximum limits for individual customer products, the level of borrowing to income
and the ratio of borrowing to collateral. Some of these limits relate to internal approval levels and others are policy limits above which the
Group will typically reject borrowing applications. The Group also applies certain criteria that are applicable to specific products, for example
applications for buy-to-let mortgages.
For UK mortgages, the Group’s policy permits owner occupier applications with a maximum LTV of 95 per cent. This can increase to 100 per
cent for specific products where additional security is provided by a supporter of the applicant and held on deposit by the Group. Applications
with an LTV above 90 per cent are subject to enhanced underwriting criteria, including higher scorecard cut-offs and loan size restrictions.
Buy-to-let mortgages within Retail are limited to a maximum loan size of £1,000,000 and 75 per cent LTV. Buy-to-let applications must pass a
minimum rental cover ratio of 125 per cent under stressed interest rates, after applicable tax liabilities. Portfolio landlords (customers with four
or more mortgaged buy-to-let properties) are subject to additional controls including evaluation of overall portfolio resilience.
The Group’s policy is to reject any application for a lending product where a customer is registered as bankrupt or insolvent, or has a recent
County Court Judgment or financial default registered at a CRA used by the Group above de minimis thresholds. In addition, the Group
typically rejects applicants where total unsecured debt, debt-to-income ratios, or other indicators of financial difficulty exceed policy limits.
Where credit acceptance scorecards are used, new models, model changes and monitoring of model effectiveness are independently reviewed
and approved in accordance with the governance framework set by the Group Model Governance Committee.
Additional mitigation for Commercial customers
Individual credit assessment and independent sanction of customer and bank limits: with the exception of small exposures to SME
customers where certain relationship managers have limited delegated sanctioning authority, credit risk in commercial customer portfolios is
subject to sanction by the independent Risk division, which considers the strengths and weaknesses of individual transactions, the balance of
risk and reward, and how credit risk aligns to the Group and divisional risk appetite. Exposure to individual counterparties, groups of
counterparties or customer risk segments is controlled through a tiered hierarchy of credit authority delegations and risk-based credit limit
guidances per client group for larger exposures. Approval requirements for each decision are based on a number of factors including, but not
limited to, the transaction amount, the customer’s aggregate facilities, any risk mitigation in place, credit policy, risk appetite, credit risk ratings
and the nature and term of the risk. The Group’s credit risk appetite criteria for counterparty and customer loan underwriting is generally the
same as that for loans intended to be held to maturity. All hard loan/bond underwriting must be sanctioned by the Risk division. A pre-
approved credit matrix may be used for ‘best efforts’ underwriting.
Counterparty credit limits: limits are set against all types of exposure in a counterparty name, in accordance with an agreed methodology for
each exposure type. This includes credit risk exposure on individual derivatives and securities financing transactions, which incorporates
potential future exposures from market movements against agreed confidence intervals. Aggregate facility levels by counterparty are set and
limit breaches are subject to escalation procedures.
Daily settlement limits: settlement risk arises in any situation where a payment in cash, securities or equities is made in the expectation of a
corresponding receipt in cash, securities or equities. Daily settlement limits are established for each relevant counterparty to cover the
aggregate of all settlement risk arising from the Group’s market transactions on any single day. Where possible, the Group uses Continuous
Linked Settlement in order to reduce foreign exchange (FX) settlement risk.
Master netting agreements
It is credit policy that a Group-approved master netting agreement must be used for all derivative and traded product transactions and must be
in place prior to trading, with separate documentation required for each Group entity providing facilities. This requirement extends to trades
with clients and the counterparties used for the Bank’s own hedging activities, which may also include clearing trades with Central
Counterparties (CCPs).
Any exceptions must be approved by the appropriate credit sanctioner. Master netting agreements do not generally result in an offset of
balance sheet assets and liabilities for accounting purposes, as transactions are usually settled on a gross basis. However, within relevant
jurisdictions and for appropriate counterparty types, master netting agreements do reduce the credit risk to the extent that, if an event of
default occurs, all trades with the counterparty may be terminated and settled on a net basis. The Group’s overall exposure to credit risk on
derivative instruments subject to master netting agreements can change substantially within a short period, since this is the net position of all
trades under the master netting agreement.
Other credit risk transfers
The Group also undertakes asset sales, credit derivative based transactions, securitisations (including significant risk transfer transactions),
purchases of credit default swaps and purchase of credit insurance as a means of mitigating or reducing credit risk and/or risk concentration,
taking into account the nature of assets and the prevailing market conditions.
MONITORING
In conjunction with the Risk division, businesses identify and define portfolios of credit and related risk exposures and the key behaviours and
characteristics by which those portfolios are managed and monitored. This entails the production and analysis of regular portfolio monitoring
reports for review by senior management. The Risk division in turn produces an aggregated view of credit risk across the Group, including
reports on material credit exposures, concentrations, concerns and other management information, which is presented to the divisional risk
committees and forums, Group Risk Committee and the Board Risk Committee.
Models
The performance of all models used in credit risk is monitored in line with the Group’s model governance framework - see model risk on page
64.
Intensive care of customers in financial difficulty
The Group operates a number of solutions to assist borrowers who are experiencing financial stress. The material elements of these solutions
through which the Group has granted a concession, whether temporarily or permanently, are set out below.
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Forbearance
The Group’s aim in offering forbearance and other assistance to customers in financial distress is to benefit both the customer and the Group by
supporting its customers and acting in their best interests by, where possible, bringing customer facilities back into a sustainable position.
The Group offers a range of tools and assistance to support customers who are encountering financial difficulties. Cases are managed on an
individual basis, with the circumstances of each customer considered separately and the action taken judged as being appropriate and
sustainable for both the customer and the Group.
Forbearance measures consist of concessions towards a debtor that is experiencing or about to experience difficulties in meeting its financial
commitments. This can include modification of the previous terms and conditions of a contract or a total or partial refinancing of a troubled
debt contract, either of which would not have been required had the debtor not been experiencing financial difficulties.
The provision and review of such assistance is controlled through the application of an appropriate policy framework and associated controls.
Regular review of the assistance offered to customers is undertaken to confirm that it remains appropriate, alongside monitoring of customers’
performance and the level of payments received.
The Group classifies accounts as forborne at the time a customer in financial difficulty is granted a concession. However, where customers were
temporarily impacted by COVID-19, the Group looked to follow regulator principles and guidance on the granting of concessions resulting from
the impact of the pandemic.
Balances in default or classified as Stage 3 are always considered to be non-performing. Balances may be non-performing but not in default or
Stage 3, where for example they are within their non-performing forbearance cure period.
Non-performing exposures can be reclassified as performing forborne after a minimum 12-month cure period, providing there are no past due
amounts or concerns regarding the full repayment of the exposure. A minimum of a further 24 months must pass from the date the forborne
exposure was reclassified as performing forborne before the account can exit forbearance. If conditions to exit forbearance are not met at the
end of this probation period, the exposure shall continue to be identified as forborne until all the conditions are met.
The Group’s treatment of loan renegotiations is included in the impairment policy in note 2(H) on page 93.
Customers receiving support from UK Government sponsored programmes
To assist customers in financial distress, the Group participates in UK Government sponsored programmes for households, including the
Income Support for Mortgage Interest programme, under which the government pays the Group all or part of the interest on the mortgage on
behalf of the customer. This is provided as a government loan which the customer must repay.
Support for customers during the COVID-19 pandemic
Working closely with the UK Government and regulators, the Group supported its retail, small business and commercial customers through a
comprehensive and unprecedented range of flexible measures to help alleviate temporary financial pressure on customers during the crisis.
For retail customers, the Group provided payment holidays of up to three months across a range of products including mortgages, personal
loans, credit cards and motor finance, extensions of up to 6 months in total were available.
Similarly, the Group provided significant support for its small business and commercial customers as well as providing loans to businesses under
the different government schemes, including Bounce Back Loan Scheme (BBLS), Coronavirus Business Interruption Loan Scheme (CBILS) and
Coronavirus Large Business Interruption Loan Scheme (CLBILS). These schemes closed in March 2021, replaced by the Recovery Loan Scheme
through which the Group is also providing support. The Group continues to provide ongoing support to BBLS customers through the Pay As
You Grow (PAYG) scheme, where customers are able to access a number of options including repayment holidays and term extensions. The
Group also supported its customers through repayment holidays and its own COVID-19 fund which included fee-free lending for new overdrafts
or overdraft limit increases as well as new or increased invoice discounting and finance facilities. The Group also offered SME customers a
mentoring service to help navigate a path beyond the pandemic.
LLOYDS BANK GROUP CREDIT RISK PORTFOLIO IN 2021
Overview
Performance across the Group’s lending portfolios has been robust, driven in part by the successful public policy interventions to address
the financial impacts of COVID-19, including government-backed lending schemes and payment holidays, which have limited the increase in
unemployment and helped keep credit defaults and business failures low
Portfolios have also benefitted from the Group’s proactive risk management and prudent credit risk appetite, with robust cashflow criteria
and LTVs in the Group's secured portfolios
However, looking forward some portfolio deterioration may be expected, especially considering the withdrawal of government COVID-19
support measures and effects from a number of downside risks, including higher inflation and rising interest rates
Repayments under the government-backed lending schemes began in the second half of 2021, with arrears levels being carefully
monitored, alongside continued review of customer trends and indicators to ensure early signs of customer distress are quickly identified
The Group continues to hold appropriate expected credit loss (ECL) allowances in light of the uncertainties and to protect against downside
risks
The impairment credit in 2021 was £1,318 million, compared to a charge of £4,060 million in 2020. The full-year credit resulted from a release
of expected credit loss allowances based upon improvements to the macroeconomic outlook for the UK, combined with robust observed
credit performance, with a low run rate impairment charge
As a result, the Group’s customer related ECL allowances reduced in the period from £6,127 million to £3,998 million. Reductions in
Commercial Banking ECL allowances also reflected improved outcomes on restructuring cases, reduction in Stage 2 exposures and lower
flows to default
Stage 2 loans and advances to customers reduced from £51,280 million to £34,884 million and as a percentage of total lending reduced by
3.4 percentage points to 7.2 per cent (31 December 2020: 10.6 per cent), predominantly reflecting the improvement in the Group’s forward-
looking macroeconomic assumptions. Of these, 89.0 per cent were up to date (31 December 2020: 91.6 per cent). Stage 2 coverage reduced
to 3.4 per cent (31 December 2020: 4.6 per cent)
Stage 3 loans and advances to customers reduced in the period to £6,406 million (31 December 2020: £6,443 million) but remained stable as
a percentage of total lending at 1.3 per cent (31 December 2020: 1.3 per cent). Stage 3 coverage reduced by 5.0 percentage points to 27.4
per cent (31 December 2020: 32.4 per cent), largely driven by an increase in Retail BBLS assets which hold zero ECL allowances due to the
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Risk management
31
UK Government guarantee in place, the improved macroeconomic outlook, and a small number of single name releases in Commercial
Banking, including coronavirus impacted restructuring cases
Prudent risk appetite and risk management
The Group continues to take a prudent approach to credit risk and has a through-the-cycle credit risk appetite, while working closely with
customers to help and support them through and recover from the crisis
Sector and asset class concentrations within the portfolios are closely monitored and controlled, with mitigating actions taken where
appropriate. Sector and product caps and policies limit exposure to certain higher risk and vulnerable sectors and asset classes
The Group’s effective risk management seeks to ensure early identification and management of customers and counterparties who may be
showing signs of distress
The Group will continue to work closely with its customers throughout the recovery to ensure they receive the appropriate level of support,
including where repayments under the UK Government scheme lending fall due
Impairment (credit) charge by division
Loans and
advances to
customers
Loans and
advances to
banks
Financial
assets at
fair value
through other
comprehensive
income
Undrawn
balances
2021
2020
£m
£m
£m
£m
£m
£m
UK mortgages
(271)
(2)
(273)
478
Credit cards
29
(78)
(49)
800
Loans and overdrafts
83
(44)
39
739
UK Motor Finance
(149)
(2)
(151)
226
Other
(7)
(14)
(21)
141
Retail
(315)
(140)
(455)
2,384
SME
(218)
(19)
(237)
264
Corporate and other1
(541)
(4)
(3)
(72)
(620)
1,016
Commerical Banking
(759)
(4)
(3)
(91)
(857)
1,280
Other
(7)
1
(6)
396
Total impairment (credit) charge
(1,081)
(4)
(2)
(231)
(1,318)
4,060
1.Corporate and other primarily comprises Mid Corporates and Corporate and Institutional.
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Group loans and advances to customers
The following pages contain analysis of the Group’s loans and advances to customers by sub-portfolio. Loans and advances to customers are
categorised into the following stages:
Stage 1 assets comprise of newly originated assets (unless purchased or originated credit impaired), as well as those which have not
experienced a significant increase in credit risk. These assets carry an expected credit loss allowance equivalent to the expected credit losses
that result from those default events that are possible within 12 months of the reporting date (12 month expected credit losses).
Stage 2 assets are those which have experienced a significant increase in credit risk since origination. These assets carry an expected credit loss
allowance equivalent to the expected credit losses arising over the lifetime of the asset (lifetime expected credit losses).
Stage 3 assets have either defaulted or are otherwise considered to be credit impaired. These assets carry a lifetime expected credit loss.
Purchased or originated credit-impaired assets (POCI) are those that have been originated or acquired in a credit impaired state. This includes
within the definition of credit impaired the purchase of a financial asset at a deep discount that reflects impaired credit losses.
Total expected credit loss allowance
At 31 Dec
2021
At 31 Dec
2020
£m
£m
Customer related balances
Drawn
3,804
5,701
Undrawn
194
426
3,998
6,127
Other assets
2
5
Total expected credit loss allowance
4,000
6,132
Movements in total expected credit loss allowance
Opening ECL
at 31 Dec
2020
Write-offs
and other1
Income
statement
charge
(credit)
Net ECL
decrease
Closing ECL
at 31 Dec
2021
£m
£m
£m
£m
£m
UK mortgages
1,027
83
(273)
(190)
837
Credit cards
923
(353)
(49)
(402)
521
Loans and overdrafts
715
(309)
39
(270)
445
UK Motor Finance
501
(52)
(151)
(203)
298
Other
229
(43)
(21)
(64)
165
Retail
3,395
(674)
(455)
(1,129)
2,266
SME
502
(10)
(237)
(247)
255
Corporate and other
1,813
(132)
(620)
(752)
1,061
Commercial Banking
2,315
(142)
(857)
(999)
1,316
Other
422
2
(6)
(4)
418
Total2
6,132
(814)
(1,318)
(2,132)
4,000
1Contains adjustments in respect of purchased or originated credit-impaired financial assets.
2Total ECL includes £2 million relating to other non customer-related assets (31 December 2020: £5 million).
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Loans and advances to customers and reverse repurchase agreements and expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 2
as % of
total
Stage 3
as % of
total
£m
£m
£m
£m
£m
%
%
At 31 December 2021
Loans and advances to customers and reverse
repurchase agreements
UK mortgages
273,629
21,798
1,940
10,977
308,344
7.1
0.6
Credit cards
12,148
2,077
292
14,517
14.3
2.0
Loans and overdrafts
8,181
1,105
271
9,557
11.6
2.8
UK Motor Finance
12,247
1,828
201
14,276
12.8
1.4
Other
16,414
1,959
778
19,151
10.2
4.1
Retail
322,619
28,767
3,482
10,977
365,845
7.9
1.0
SME
27,260
3,002
843
31,105
9.7
2.7
Corporate and other
32,056
3,081
2,019
37,156
8.3
5.4
Commercial Banking
59,316
6,083
2,862
68,261
8.9
4.2
Other1
47,143
34
62
47,239
0.1
0.1
Total gross lending
429,078
34,884
6,406
10,977
481,345
7.2
1.3
ECL allowance on drawn balances
(909)
(1,112)
(1,573)
(210)
(3,804)
Net balance sheet carrying value
428,169
33,772
4,833
10,767
477,541
Customer related ECL allowance (drawn and
undrawn)
UK mortgages
49
394
184
210
837
Credit cards
144
249
128
521
Loans and overdrafts
136
170
139
445
UK Motor Finance2
108
74
116
298
Other
45
65
55
165
Retail
482
952
622
210
2,266
SME
61
104
90
255
Corporate and other
63
140
857
1,060
Commercial Banking
124
244
947
1,315
Other
406
2
9
417
Total
1,012
1,198
1,578
210
3,998
Customer related ECL allowance (drawn and
undrawn) as a percentage of loans and advances to
customers and reverse repurchase agreements3
UK mortgages
1.8
9.5
1.9
0.3
Credit cards
1.2
12.0
56.9
3.6
Loans and overdrafts
1.7
15.4
67.5
4.7
UK Motor Finance
0.9
4.0
57.7
2.1
Other
0.3
3.3
13.8
0.9
Retail
0.1
3.3
20.9
1.9
0.6
SME
0.2
3.5
12.7
0.8
Corporate and other
0.2
4.5
42.5
2.9
Commercial Banking
0.2
4.0
34.8
1.9
Other
0.9
5.9
14.5
0.9
Total
0.2
3.4
27.4
1.9
0.8
1Includes reverse repos of £46.7 billion.
2UK Motor Finance for Stages 1 and 2 include £95 million relating to provisions against residual values of vehicles subject to finance leasing agreements. These provisions are included within
the calculation of coverage ratios.
3Total and Stage 3 ECL allowance as a percentage of drawn balances exclude loans in recoveries in credit cards of £67 million, loans and overdrafts of £65 million, Retail other of £379 million,
SME of £135 million and Corporate and other of £4 million.
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Stage 1
Stage 2
Stage 3
POCI
Total
Stage 2
as % of
total
Stage 3
as % of
total
£m
£m
£m
£m
£m
%
%
At 31 December 2020
Loans and advances to customers and reverse
repurchase agreements
UK mortgages
251,418
29,018
1,859
12,511
294,806
9.8
0.6
Credit cards
11,496
3,273
340
15,109
21.7
2.3
Loans and overdrafts
7,710
1,519
307
9,536
15.9
3.2
UK Motor Finance
12,786
2,216
199
15,201
14.6
1.3
Other
17,879
1,304
184
19,367
6.7
1.0
Retail
301,289
37,330
2,889
12,511
354,019
10.5
0.8
SME
27,015
4,500
791
32,306
13.9
2.4
Corporate and other
29,882
9,438
2,694
42,014
22.5
6.4
Commercial Banking
56,897
13,938
3,485
74,320
18.8
4.7
Other1
57,422
12
69
57,503
0.1
Total gross lending
415,608
51,280
6,443
12,511
485,842
10.6
1.3
ECL allowance on drawn balances
(1,347)
(2,125)
(1,968)
(261)
(5,701)
Net balance sheet carrying value
414,261
49,155
4,475
12,250
480,141
Customer related ECL allowance (drawn and
undrawn)
UK mortgages
107
468
191
261
1,027
Credit cards
240
530
153
923
Loans and overdrafts
224
344
147
715
UK Motor Finance2
197
171
133
501
Other
46
124
59
229
Retail
814
1,637
683
261
3,395
SME
142
234
126
502
Corporate and other
172
475
1,161
1,808
Commercial Banking
314
709
1,287
2,310
Other
410
12
422
Total
1,538
2,346
1,982
261
6,127
Customer related ECL allowance (drawn and
undrawn) as a percentage of loans and advances to
customers and reverse repurchase agreements3
UK mortgages
1.6
10.3
2.1
0.3
Credit cards
2.1
16.2
56.0
6.1
Loans and overdrafts
2.9
22.6
64.2
7.6
UK Motor Finance
1.5
7.7
66.8
3.3
Other
0.3
9.5
39.3
1.2
Retail
0.3
4.4
25.2
2.1
1.0
SME
0.5
5.2
19.1
1.6
Corporate and other
0.6
5.0
43.2
4.3
Commercial Banking
0.6
5.1
38.5
3.1
Other
0.7
17.4
0.7
Total
0.4
4.6
32.4
2.1
1.3
1Includes reverse repos of £54.4 billion.
2UK Motor Finance for Stages 1 and 2 include £192 million relating to provisions against residual values of vehicles subject to finance leasing agreements. These provisions are included
within the calculation of coverage ratios.
3Total and Stage 3 ECL allowance as a percentage of drawn balances exclude loans in recoveries in credit cards of £67 million, loans and overdrafts of £78 million, Retail other of £34 million,
SME of £132 million and Corporate and other of £6 million.
Lloyds Bank plc
Risk management
35
Stage 2 loans and advances to customers and expected credit loss allowance
Up to date
1-30 days past due2
Over 30 days past due
Total
PD movements
Other1
Gross
lending
ECL3
As
% of
gross
lending
Gross
lending
ECL3
As
% of
gross
lending
Gross
lending
ECL3
As
% of
gross
lending
Gross
lending
ECL3
As
% of
gross
lending
Gross
lending
ECL3
As
% of
gross
lending
£m
£m
%
£m
£m
%
£m
£m
%
£m
£m
%
£m
£m
%
At 31 December 2021
UK mortgages
14,845
132
0.9
4,133
155
3.8
1,433
38
2.7
1,387
69
5.0
21,798
394
1.8
Credit cards
1,755
176
10.0
210
42
20.0
86
20
23.3
26
11
42.3
2,077
249
12.0
Loans and overdrafts
505
82
16.2
448
43
9.6
113
30
26.5
39
15
38.5
1,105
170
15.4
UK Motor Finance
581
20
3.4
1,089
26
2.4
124
19
15.3
34
9
26.5
1,828
74
4.0
Other
538
41
7.6
990
15
1.5
294
6
2.0
137
3
2.2
1,959
65
3.3
Retail
18,224
451
2.5
6,870
281
4.1
2,050
113
5.5
1,623
107
6.6
28,767
952
3.3
SME
2,689
96
3.6
192
5
2.6
41
2
4.9
80
1
1.3
3,002
104
3.5
Corporate and other
2,966
138
4.7
69
2
2.9
8
38
3,081
140
4.5
Commercial
Banking
5,655
234
4.1
261
7
2.7
49
2
4.1
118
1
0.8
6,083
244
4.0
Other
18
6
1
16.7
2
8
1
12.5
34
2
5.9
Total
23,897
685
2.9
7,137
289
4.0
2,101
115
5.5
1,749
109
6.2
34,884
1,198
3.4
At 31 December 2020
UK mortgages
22,569
215
1.0
3,078
131
4.3
1,648
43
2.6
1,723
79
4.6
29,018
468
1.6
Credit cards
2,924
408
14.0
220
76
34.5
93
27
29.0
36
19
52.8
3,273
530
16.2
Loans and overdrafts
959
209
21.8
388
68
17.5
126
45
35.7
46
22
47.8
1,519
344
22.6
UK Motor Finance
724
62
8.6
1,321
55
4.2
132
37
28.0
39
17
43.6
2,216
171
7.7
Other
512
56
10.9
651
44
6.8
69
14
20.3
72
10
13.9
1,304
124
9.5
Retail
27,688
950
3.4
5,658
374
6.6
2,068
166
8.0
1,916
147
7.7
37,330
1,637
4.4
SME
4,229
219
5.2
150
6
4.0
40
5
12.5
81
4
4.9
4,500
234
5.2
Corporate and other
9,151
469
5.1
83
3
3.6
28
2
7.1
176
1
0.6
9,438
475
5.0
Commercial
Banking
13,380
688
5.1
233
9
3.9
68
7
10.3
257
5
1.9
13,938
709
5.1
Other
1
11
12
Total
41,069
1,638
4.0
5,902
383
6.5
2,136
173
8.1
2,173
152
7.0
51,280
2,346
4.6
1Includes forbearance, client and product-specific indicators not reflected within quantitative PD assessments.
2Includes assets that have triggered PD movements, or other rules, given that being 1-29 days in arrears in and of itself is not a Stage 2 trigger.
3Expected credit loss allowance on loans and advances to customers (drawn and undrawn).
The Group’s assessment of a significant increase in credit risk, and resulting categorisation of Stage 2, includes customers moving into early
arrears as well as a broader assessment that an up to date customer has experienced a level of deterioration in credit risk since origination. A
more sophisticated assessment is required for up to date customers, which varies across divisions and product type. This assessment
incorporates specific triggers such as a significant proportionate increase in probability of default relative to that at origination, recent arrears,
forbearance activity, internal watch lists and external bureau flags. Up to date exposures in Stage 2 are likely to show lower levels of expected
credit loss (ECL) allowance relative to those that have already moved into arrears given that an arrears status typically reflects a stronger
indication of future default and greater likelihood of credit losses.
Lloyds Bank plc
Risk management
36
Retail
Performance in the Retail portfolio has remained robust, driven in part by the successful public policy interventions, government-backed
lending schemes and payment holidays, which have limited unemployment and helped keep credit defaults and business failures low. The
portfolio has also benefitted from proactive risk management and the continued low interest rate environment
New business quality remains strong
Early arrears rates remain below pre-pandemic levels on personal lending products
Coverage across all IFRS 9 stages has decreased largely due to the improved macroeconomic outlook
Strong credit performance and an improved economic outlook have allowed the Group to progressively unwind many of the additional
precautionary credit quality controls introduced during the pandemic, whilst continuing to ensure that customers and the Group remain
protected against any remaining uncertainty in the economy and cost of living increases
A Retail impairment credit of £455 million for 2021 compares to a charge of £2,384 million for 2020. This significant decrease resulted from a
release of customer related expected credit loss (ECL) allowances driven by the Group's improved macroeconomic outlook, combined with
robust observed credit performance, with charges relating to flows to arrears and defaults remaining low despite expiry of all payment
holidays
Existing IFRS 9 staging rules and triggers have been maintained across Retail, with the exception of minor changes to the Loans & Overdraft
portfolios to tighten criteria and align to the credit cards portfolio. Transfers between stages have been primarily driven by credit risk rating
movements and the estimated impact of the economic factors on a customer’s forward-looking default risk
Retail customer related ECL allowance as a percentage of drawn loans and advances (coverage) decreased to 0.6 per cent (31 December
2020: 1.0 per cent) due to the favourable updates in the Group’s economic forecast. As at 31 December 2021 the majority of ECL decreases
are reflected within Stage 2 under IFRS 9, representing cases which have observed a significant increase in credit risk since origination (SICR)
Stage 2 loans and advances comprises 7.9 per cent of the Retail portfolio (31 December 2020: 10.5 per cent), of which 87.2 per cent are up
to date, performing loans (31 December 2020: 89.3 per cent)
Stage 2 ECL coverage has decreased to 3.3 per cent (31 December 2020: 4.4 per cent), reflecting the improved macroeconomic outlook
Stage 3 loans and advances have remained broadly flat at 1.0 per cent of total loans and advances (31 December 2020: 0.8 per cent and
Stage 3 ECL coverage decreased to 20.9 per cent (31 December 2020: 25.2 per cent) due to an increase in BBLS assets which hold zero ECL
due to the government guarantee in place, and the improved macroeconomic outlook
Portfolios
UK mortgages
The UK mortgages portfolio is well positioned with low arrears and a strong loan to value (LTV) profile. The Group has actively improved the
quality of the portfolio over the years using robust affordability and credit controls, while the balances of higher risk portfolios originated
prior to 2008 have continued to reduce
While the housing market has remained resilient throughout 2021 with strong customer demand, the Group has taken action to protect
credit quality and participates in the government guarantee scheme for greater than 90 per cent LTVs, which provides risk mitigation at the
highest exposures
Total loans and advances increased to £308.3 billion (31 December 2020: £294.8 billion), with a small reduction in average LTV to 42.1 per
cent (31 December 2020: 43.5 per cent). The proportion of balances with an LTV greater than 90 per cent decreased to 0.5 per cent (31
December 2020: 0.6 per cent). The average LTV of new business decreased to 63.3 per cent (31 December 2020: 63.9 per cent)
There was an impairment credit of £273 million for 2021 compared to a charge of £478 million for 2020, reflecting improvements to the UK's
macroeconomic outlook and improved house prices. Total ECL coverage remained stable at 0.3 per cent (31 December 2020: 0.3 per cent)
Stage 2 loans and advances decreased to 7.1 per cent of the portfolio (31 December 2020: 9.8 per cent) and Stage 2 ECL coverage has
increased to 1.8 per cent (31 December 2020: 1.6 per cent). These impacts also reflect improvements in the UK's macroeconomic outlook,
with a reduction in balances transferred into Stage 2 based on the forward-looking view of their credit performance, in addition to
favourable experience and house price assumptions
Stage 3 loans and advances remained stable at 0.6 per cent of the portfolio (31 December 2020: 0.6 per cent) and Stage 3 ECL coverage
decreased to 9.5 per cent (31 December 2020: 10.3 per cent). This reflects favourable credit performance, in addition to favourable house
price assumptions (both observed and forecast)
Credit cards
Credit cards balances decreased to £14.5 billion (31 December 2020 £15.1 billion) due to reduced levels of customer spend
There was an impairment credit of £49 million for 2021, compared to a charge of £800 million for 2020, reflecting lower than anticipated
arrears emergence and improvements in the macroeconomic outlook. Total ECL coverage decreased to 3.6 per cent (31 December 2020:
6.1 per cent)
This favourability is reflected in Stage 2 loans and advances which decreased to 14.3 per cent of the portfolio (31 December 2020: 21.7 per
cent) and Stage 2 ECL coverage which has reduced to 12.0 per cent (31 December 2020: 16.2 per cent)
Stage 3 loans and advances decreased to 2.0 per cent of the portfolio (31 December 2020: 2.3 per cent) and Stage 3 ECL coverage
increased to 56.9 per cent (31 December 2020: 56.0 per cent)
Lloyds Bank plc
Risk management
37
Loans and overdrafts
Loans and advances for personal current account and the personal loans portfolios remained broadly flat at £9.6 billion (31 December 2020:
£9.5 billion), reflecting recovering customer demand with rising economic activity
The impairment charge was £39 million for the full year 2021 compared to £739 million for the full year 2020. This decrease is due to the
improved outlook within the Group's macroeconomic forecasts, in addition to favourable credit performance, reducing both Stage 2 ECL
coverage to 15.4 per cent (31 December 2020: 22.6 per cent) and overall ECL coverage to 4.7 per cent (31 December 2020: 7.6 per cent)
UK Motor Finance
The UK Motor Finance portfolio decreased from £15.2 billion for 2020 to £14.3 billion for 2021 due to reduced market activity and new car
supply issues as a result of the pandemic
There was an impairment credit of £151 million for 2021 compared to a charge of £226 million for 2020, reflecting improvements to the
Group's macroeconomic outlook and higher than expected used car prices. ECL coverage decreased to 2.1 per cent (31 December 2020:
3.3 per cent)
Updates to Residual Value (RV) and Voluntary Termination (VT) risk held against Personal Contract Purchase (PCP) and Hire Purchase (HP)
lending are included within the impairment charge. Observed car price gains partially driven by global supply issues, supported by better
than expected disposal experience, result in combined RV and VT provisions of £95 million as at 31 December 2021 (31 December 2020:
£192 million)
Stage 2 ECL coverage decreased to 4.0 per cent (31 December 2020: 7.7 per cent) and Stage 3 ECL coverage decreased to 57.7 per cent (31
December 2020: 66.8 per cent) this reflects favourable credit performance, in addition to updates to the Group's outlook on used car prices
Other
Other loans and advances decreased slightly to £19.2 billion (31 December 2020: £19.4 billion). The decrease was largely driven by a
reduction in balances on the Bounce Back Loan Scheme (BBLS) and the Coronavirus Business Interruption Loan Scheme (CBILS) as the
schemes closed in March 2021 and repayments commenced from the second quarter of 2021
Bounce Back Loans benefit from Pay as You Grow (PAYG) options including repayment holidays and term extensions which have the
potential to delay recognition of customer financial difficulties
Stage 3 loans and advances increased to 4.1 per cent (31 December 2020: 1.0 per cent) driven largely by BBLS assets. However, Stage 3
coverage reduced to 13.8 per cent (31 December 2020: 39.3 per cent) as these assets hold zero ECL due to government guarantees in place
There was an impairment credit of £21 million for 2021 compared to a charge of £141 million for 2020, primarily due to the improved
outlook within the Group's economic forecasts
Retail UK mortgages loans and advances to customers
At 31 Dec
20211
At 31 Dec
20201
£m
£m
Mainstream
248,013
234,273
Buy-to-let
51,111
49,634
Specialist
9,220
10,899
Total
308,344
294,806
1Balances include the impact of HBOS-related acquisition adjustments.
Lloyds Bank plc
Risk management
38
Interest only mortgages
The Group provides interest only mortgages to owner occupier mortgage customers whereby only payments of interest are made for the term
of the mortgage with the customer responsible for repaying the principal outstanding at the end of the loan term. At 31 December 2021, owner
occupier interest only balances as a proportion of total owner occupier balances had reduced to 18.7 per cent (31 December 2020: 21.6 per
cent). The average indexed loan to value remained low at 36.8 per cent (31 December 2020: 39.0 per cent).
For existing interest only mortgages, a contact strategy is in place during the term of the mortgage to ensure that customers are aware of their
obligations to repay the principal upon maturity of the loan.
Treatment strategies are in place to help customers anticipate and plan for repayment of capital at maturity and support those who may have
difficulty in repaying the principal amount. A dedicated specialist team supports customers who have passed their contractual maturity date and
are unable to fully repay the principal. A range of treatments are offered to customers based on their individual circumstances to create fair and
sustainable outcomes.
Analysis of owner occupier interest only mortgages
At 31 Dec
2021
At 31 Dec
2020
Total
Total
Interest only balances (£m)
48,128
53,077
Stage 1 (%)
70.7
69.0
Stage 2 (%)
17.1
16.3
Stage 3 (%)
2.8
1.7
Purchased or originated credit-impaired (%)
9.4
13.0
Average loan to value (%)
36.8
39.0
Maturity profile (£m)
Due
1,803
1,626
1 year
1,834
2,045
2-5 years
8,889
9,450
6-10 years
17,882
18,351
>11 years
17,720
21,605
Past term interest only balances (£m)1
1,790
1,715
Stage 1 (%)
0.7
0.7
Stage 2 (%)
33.0
28.9
Stage 3 (%)
29.6
24.2
Purchased or originated credit-impaired (%)
36.7
46.2
Average loan to value (%)
33.0
34.4
Negative equity (%)
1.8
2.5
1Balances where all interest only elements have moved past term. Some may subsequently have had a term extension, so are no longer classed as due.
Lloyds Bank plc
Risk management
39
Retail forbearance
The basis of disclosure for forbearance is aligned to definitions used in the European Banking Authority’s FINREP reporting. Total forbearance
for the major retail portfolios has improved by £476 million to £5.4 billion driven primarily by a reduction in customers where the treatment sees
arrears reset and are added to the loan balance (capitalisations).
The main customer treatments included are: repair, where arrears are added to the loan balance and the arrears position cancelled; instances
where there are suspensions of interest and/or capital repayments; past term interest only mortgages; and refinance personal loans.
As a percentage of loans and advances, forbearance loans improved to 1.5 per cent at 31 December 2021 (31 December 2020: 1.7 per cent).
Total expected credit losses (ECL) as a proportion of loans and advances which are forborne has increased to 7.2 per cent (31 December 2020:
7.0 per cent).
Retail forborne loans and advances (audited)
Total
Of which
Stage 2
Of which
Stage 3
Of which
purchased or
originated
credit-
impaired
Expected
credit losses
as a % of
total loans
and advances
which are
foreborne1
£m
£m
£m
£m
%
At 31 December 20212
UK mortgages
4,725
1,216
901
2,600
3.2
Credit cards
288
90
141
32.9
Loans and overdrafts
312
99
131
33.8
UK Motor Finance
102
38
62
37.0
Total
5,427
1,443
1,235
2,600
7.2
At 31 December 2020
UK mortgages
5,106
1,192
823
3,081
3.6
Credit cards
356
130
191
40.0
Loans and overdrafts
353
154
146
36.5
UK Motor Finance
88
50
34
36.3
Total
5,903
1,526
1,194
3,081
7.0
1Expected credit loss allowance as a percentage of total loans and advances which are forborne is calculated excluding loans in recoveries for Credit cards, Loans and overdrafts (31
December 2021: £87 million; 31 December 2020: £75 million).
2In line with FINREP reporting and regulatory guidelines, Retail forborne loans and advances do not include COVID-19 moratoria.
Lloyds Bank plc
Risk management
40
Commercial Banking
Portfolio overview
Commercial Banking has actively supported its customers throughout the pandemic, through a range of propositions including capital
repayment holidays, working capital line increases and financial covenant waivers, as well as supporting small businesses and corporates
through full use of the UK Government lending schemes
Credit performance across the portfolios has been robust, driven in part by the strong market liquidity and government intervention
measures, which have helped to support clients and kept credit defaults and business failures at low levels. Portfolios have also benefitted
from the Group’s prudent risk management and the continued low interest rate environment
As the economy continued its recovery and business’ cashflows started to normalise, there has been an improvement in customer credit risk
ratings, particularly in the larger corporates segment of Commercial, partially reversing some of the downgrades seen earlier during the
pandemic. The Corporate and Institutional business continues to have a predominance of investment grade clients and is well positioned
against the uncertain economic outlook
While some sectors such as travel, transportation, non-essential retail, leisure and hospitality were particularly impacted by the crisis,
exposure to these sectors remains relatively limited and, in general, sectors have been more resilient than anticipated to date. The Group
still expects recovery to be slower in a few of the impacted sectors and anticipates longer term structural changes in these, and a number of
other sectors. Sector and credit risk appetite continue to be proactively managed to ensure the Group is protected, and customers are
supported in the right way
The SME portfolio remains largely secured and credit impacts have been relatively muted throughout the pandemic, recognising that
Government support measures have prevented more widespread defaults and business failures. Repayments under the UK Government
lending schemes began in the second half of 2021, with low arrears to date. The level of arrears continues to be carefully monitored, with
early risk mitigation activities taken as appropriate
Even though economic conditions have improved, significant uncertainties remain, with a number of prevailing headwinds and the
withdrawal of the Government COVID-19 support measures yet to impact portfolio performance. Some credit deterioration is therefore
expected in 2022
However, the Group continues to support its more vulnerable customers early through focused risk management via its Watchlist and
Business Support framework, and will continue to balance prudent risk appetite with ensuring support for financially viable customers on
their road to recovery
Impairments
There was an impairment credit of £857 million in 2021, compared to an impairment charge of £1,280 million in 2020. The credit for 2021
includes a release of expected credit loss (ECL) allowances resulting from improvements to the Group's view of the UK macroeconomic
outlook, and a net release on coronavirus impacted restructuring cases within the Business Support Unit (BSU). The remaining net release
reflects other Stage 3 releases, credit quality improvements, reduced balance sheet lending, and low levels of gross charges from cases
flowing into default. As a result, total ECL allowances reduced by £995 million to £1,315 million at 31 December 2021 (31 December 2020:
£2,310 million)
The Group recognises that credit quality has been partly supported by the UK Government schemes and the ECL provision at 31 December
2021 assumes some additional losses will emerge now that the support has ended and structural change starts to emerge in some sectors
Stage 2 loans and advances reduced by £7,855 million to £6,083 million (31 December 2020: £13,938 million), largely driven by the
improvement in the Group's forward-looking economic assumptions, with 97.3 per cent of Stage 2 balances up to date. As a result, Stage 2
as a proportion of total loans and advances to customers reduced to 8.9 per cent (31 December 2020: 18.8 per cent). Stage 2 ECL coverage
was lower at 4.0 per cent (31 December 2020: 5.1 per cent) with the reduction in coverage a direct result of the change in the forward-look
multiple economic scenarios
Stage 3 loans and advances reduced to £2,862 million (31 December 2020: £3,485 million) and as a proportion of total loans and advances to
customers, reduced to 4.2 per cent (31 December 2020: 4.7 per cent). SME customer flows to Stage 3 have been lower and non-SME flows
were offset by repayments and write-offs. Stage 3 ECL coverage reduced to 34.8 per cent (31 December 2020: 38.5 per cent) predominantly
driven by the release of provisions on a small number of cases in Business Support, including coronavirus impacted restructuring cases,
where coverage levels were relatively higher
Commercial Banking UK Direct Real Estate
Commercial Banking UK Direct Real Estate gross lending stood at £10.9 billion at 31 December 2021 (net of exposures subject to protection
through Significant Risk Transfer (SRT) securitisations). The Group has a further £0.7 billion of real estate lending in Business Banking within
the Retail division
The Group classifies Direct Real Estate as exposure which is directly supported by cash flows from property activities (as opposed to trading
activities, such as hotels, care homes and housebuilders). Exposures of £5.2 billion to social housing providers are also excluded
Recognising this is a cyclical sector, policies and caps are in place to control origination quality and exposure levels, including in a number
of asset type categories. The Group's focus remains on the UK market and business propositions have been written in line with a prudent,
through-the-cycle risk appetite with conservative LTVs, strong quality of income, proven management teams and predominately in stronger
sub sectors
Overall performance has proved resilient despite the rent collection challenge during COVID-19. Retail and Leisure have remained the most
challenged sub sectors, but despite this, the portfolio remains well positioned and proactively managed, with appropriate risk mitigants in
place:
Exposures continue to be heavily weighted towards investment real estate (c.90 per cent) rather than development. Of these investment
exposures, over 82 per cent have an LTV of less than 60 per cent, with an average LTV of 42 per cent
Approximately 90 per cent of exposures greater than £5 million have an interest cover ratio of greater than 2.0 times and in SME, LTV at
origination has been typically limited to c.55 per cent, given prudent repayment cover criteria (which includes a notional base rate
serviceability stress)
Approximately 55 per cent of exposures relate to commercial real estate (with no speculative development lending) with the remainder
predominantly related to residential real estate. The underlying sub sector split is diversified with more limited exposure to higher risk
sub sectors (c.14 per cent of exposures secured by Retail assets, with appetite tightened since 2018)
In the office sub sector, risk appetite continues to be proactively managed with appropriate risk mitigation tightening seen in 2021. The
Group remains focused on high quality origination in this sector
Lloyds Bank plc
Risk management
41
Use of Significant Risk Transfer (SRT) securitisations also acts as a risk mitigant, with run-off of these carefully managed and tracked
Both investment and development lending is subject to specific credit risk appetite criteria. Development lending criteria includes
maximum loan to gross development value and maximum loan to cost, with funding typically only released against completed work, as
confirmed by the Group’s monitoring quantity surveyor
LTV – UK Direct Real Estate
At 31 December 20211,2,3
At 31 December 20201,2,3
Stage 1/2
Stage 3
Total
Stage 1/2
Stage 3
Total
£m
£m
£m
%
£m
£m
£m
%
Investment exposures
Less than 60%
6,461
52
6,513
83.2
5,942
48
5,990
80.2
60% to 70%
617
5
622
8.0
826
7
833
11.2
70% to 80%
129
13
142
1.8
143
143
1.9
80% to 100%
84
2
86
1.1
48
4
52
0.7
100% to 120%
6
102
108
1.4
69
70
139
1.9
120% to 140%
4
4
0.1
40
40
0.5
Greater than 140%
12
46
58
0.7
47
47
0.6
Unsecured4
288
288
3.7
125
97
222
3.0
Subtotal
7,601
220
7,821
100.0
7,153
313
7,466
100.0
Other5
1,460
27
1,487
2,809
39
2,848
Total investment
9,061
247
9,308
9,962
352
10,314
Development
1,233
17
1,250
1,620
27
1,647
UK Government Supported Lending6
362
5
367
429
2
431
Total
10,656
269
10,925
12,011
381
12,392
1Excludes Commercial Banking UK Direct Real Estate exposures subject to protection through Significant Risk Transfer transactions.
2Excludes £0.7 billion in Business Banking, within the Retail division (31 December 2020: £1.0 billion).
3Increased LTV granularity provided for 2021 Investment exposures; for 2020 LTV breakdown only provided for Investment exposures >£1 million.
4Predominantly Investment grade corporate CRE lending where the Group is relying on the corporate covenant.
5Mainly higher volume/lower value exposure within the SME <£1 million real estate portfolio.
6Bounce Back Loan Scheme (BBLS) and Coronavirus Business Interruption Loan Scheme (CBILS) lending to real estate clients, where government guarantees are in place at 100 per cent and
80 per cent, respectively.
Commercial Banking forbearance
Commercial Banking forborne loans and advances (audited)
Total
Of which
Stage 3
£m
£m
At 31 December 2021
Type of forbearance
Refinancing
14
11
Modification
3,624
2,851
Total
3,638
2,862
At 31 December 2020
Type of forbearance
Refinancing
16
15
Modification
4,271
3,470
Total
4,287
3,485
Lloyds Bank plc
Risk management
42
FUNDING AND LIQUIDITY RISK
DEFINITION
Funding risk is defined as the risk that the Group does not have sufficiently stable and diverse sources of funding or the funding structure is
inefficient. Liquidity risk is defined as the risk that the Group has insufficient financial resources to meet its commitments as they fall due, or can
only secure them at excessive cost.
EXPOSURE
Liquidity exposure represents the potential stressed outflows in any future period less expected inflows. The Group considers liquidity exposure
from both an internal and a regulatory perspective.
MEASUREMENT
Liquidity risk is managed through a series of measures, tests and reports that are primarily based on contractual maturities with behavioural
overlays as appropriate. The Group undertakes quantitative and qualitative analysis of the behavioural aspects of its assets and liabilities in
order to reflect their expected behaviour.
MITIGATION
The Group manages and monitors liquidity risks and ensures that liquidity risk management systems and arrangements are adequate with
regard to the internal risk appetite, Group strategy and regulatory requirements. Liquidity policies and procedures are subject to independent
internal oversight by Risk. Overseas branches and subsidiaries of the Group may also be required to meet the liquidity requirements of the
entity’s domestic country. Management of liquidity requirements is performed by the overseas branch or subsidiary in line with Lloyds Banking
Group policy. The Group plans funding requirements over its planning period, combining business as usual and stressed conditions. The Group
manages its liquidity position both with regard to its internal risk appetite and the Liquidity Coverage Ratio (LCR) as required by the PRA, the
Capital Requirements Directive (CRD IV) and the Capital Requirements Regulation (CRR) liquidity requirements.
The Group’s funding and liquidity position is underpinned by its significant customer deposit base, and is supported by strong relationships
across customer segments. The Group has consistently observed that in aggregate the retail deposit base provides a stable source of funding.
Funding concentration by counterparty, currency and tenor is monitored on an ongoing basis and where concentrations do exist, these are
managed as part of the planning process and limited by the internal funding and liquidity risk monitoring framework, with analysis regularly
provided to senior management.
To assist in managing the balance sheet, the Group operates a Liquidity Transfer Pricing (LTP) process which: allocates relevant interest
expenses from the centre to the Group’s banking businesses within the internal management accounts; helps drive the correct inputs to
customer pricing; and is consistent with regulatory requirements. LTP makes extensive use of behavioural maturity profiles, taking account of
expected customer loan prepayments and stability of customer deposits, modelled on historic data.
The Group can monetise liquid assets quickly, either through the repurchase agreements (repo) market or through outright sale. In addition, the
Group has pre-positioned a substantial amount of assets at the Bank of England’s Discount Window Facility which can be used to access
additional liquidity in a time of stress. The Group considers diversification across geography, currency, markets and tenor when assessing
appropriate holdings of liquid assets. The Group’s liquid asset buffer is available for deployment at immediate notice, subject to complying with
regulatory requirements.
MONITORING
Daily monitoring and control processes are in place to address internal and regulatory liquidity requirements. The Group monitors a range of
market and internal early warning indicators on a daily basis for early signs of liquidity risk in the market or specific to the Group. This captures
regulatory metrics as well as metrics the Group considers relevant for its liquidity profile. These are a mixture of quantitative and qualitative
measures, including: daily variation of customer balances; changes in maturity profiles; funding concentrations; changes in LCR outflows; credit
default swap (CDS) spreads; and basis risks.
The Group carries out internal stress testing of its liquidity and potential cash flow mismatch position over both short (up to one month) and
longer-term horizons against a range of scenarios forming an important part of the internal risk appetite. The scenarios and assumptions are
reviewed at least annually to ensure that they continue to be relevant to the nature of the business, including reflecting emerging horizon risks
to the Group. For further information on the Group’s 2021 liquidity stress testing results refer to page 46.
The Group maintains a Contingency Funding Framework as part of the wider Recovery Plan which is designed to identify emerging liquidity
concerns at an early stage, so that mitigating actions can be taken to avoid a more serious crisis developing. Contingency Funding Plan
invocation and escalation processes are based on analysis of five major quantitative and qualitative components, comprising assessment of:
early warning indicators; prudential and regulatory liquidity risk limits and triggers; stress testing results; event and systemic indicators; and
market intelligence.
Funding and liquidity management in 2021
The Group has maintained its robust funding and liquidity position with the loan to deposit ratio remaining stable at 96 per cent as at 31
December 2021 and customer deposit growth remaining strong over the course of the year. Ahead of the closure of the Term Funding Scheme
with additional incentives for SMEs (TFSME) in October 2021, the Group drew additional funds taking the total amount outstanding to £30
billion as at 31 December 2021.
The Group's liquid assets continue to exceed the regulatory minimum and internal risk appetite, with a liquidity coverage ratio (LCR) of 126 per
cent (based on a monthly rolling average over the previous 12 months) as at 31 December 2021.
The Group saw limited term funding needs over the course of 2021 given the availability of customer deposits and TFSME, both of which are
more cost effective sources of funding for the Group. Overall, wholesale funding totalled £63.2 billion as at 31 December 2021.
Lloyds Bank credit ratings continue to reflect the resilience of the bank's business model and the strength of the balance sheet. Over the course
of June and July, Moody’s, S&P and Fitch all returned the outlook on Lloyds Bank’s credit ratings to Stable, from Negative. This reflected better
underlying economic expectations for the UK and the belief that Lloyds Bank is well positioned to benefit from the macroeconomic recovery. In
July, Moody’s finalised and updated their methodology which resulted in a one notch upgrade to the Subordinated issuances of Lloyds Bank.
Lloyds Bank plc
Risk management
43
Lloyds Bank Group funding position
At 31 Dec
At 31 Dec
2021
2020
£bn
£bn
Lloyds Bank Group Funding position
Loans and advances to customers
430.8
425.6
Loans and advances to banks
4.5
4.3
Debt securities at amortised cost
4.6
5.1
Reverse repurchase agreements – non-trading
49.7
56.1
Financial assets at fair value through other comprehensive income
27.8
27.3
Cash and balances at central banks
54.3
49.9
Other assets1
31.1
31.6
Total Lloyds Bank Group assets
602.8
599.9
Less other liabilities1
(18.2)
(21.4)
Funding requirements
584.6
578.5
Customer deposits
449.4
425.2
Wholesale funding2
63.2
79.6
Repurchase agreements – non-trading
0.1
14.5
Term Funding Scheme with additional incentives for SMEs (TFSME)
30.0
13.7
Deposits from fellow Lloyds Banking Group undertakings
1.1
4.4
543.8
537.4
Total equity
40.8
41.1
Funding sources
584.6
578.5
1Other assets and other liabilities primarily include the fair value of derivative assets and liabilities.
2The Group's definition of wholesale funding aligns with that used by other international market participants; including bank deposits, debt securities in issue and subordinated liabilities.
Excludes margins.
Reconciliation of Lloyds Bank Group funding to the balance sheet (audited)
Included
in funding
analysis
Cash
collateral
received
Fair value
and other
accounting
methods
Balance
sheet
£bn
£bn
£bn
£bn
At 31 December 2021
Deposits from banks
1.9
1.4
0.1
3.4
Debt securities in issue
52.4
(3.7)
48.7
Subordinated liabilities
8.9
(0.2)
8.7
Total wholesale funding
63.2
1.4
Customer deposits
449.4
449.4
Total
512.6
1.4
At 31 December 2020
Deposits from banks
3.9
1.8
0.5
6.2
Debt securities in issue
66.4
(7.1)
59.3
Subordinated liabilities
9.3
(0.1)
9.2
Total wholesale funding
79.6
1.8
Customer deposits
425.2
425.2
Total
504.8
1.8
Lloyds Bank plc
Risk management
44
Analysis of 2021 total wholesale funding by residual maturity
Less
than one
month
One to
three
months
Three
to six
months
Six
to nine
months
Nine
months
to one
year
One to
two years
Two to
five years
More than
five years
Total at
31 Dec
2021
Total at
31 Dec
2020
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Deposits from banks
1.8
0.1
1.9
3.9
Debt securities in issue:
Certificates of deposit
0.2
0.1
0.3
3.6
Commercial paper
1.7
1.8
0.1
3.6
5.6
Medium-term notes
0.1
1.2
0.9
1.5
1.7
5.7
12.2
6.1
29.4
31.2
Covered bonds
0.6
0.4
1.0
1.6
0.5
3.4
5.7
3.8
17.0
23.1
Securitisation
0.2
0.6
0.2
0.5
0.1
0.5
2.1
2.9
2.6
3.5
2.2
3.7
2.4
9.6
18.0
10.4
52.4
66.4
Subordinated liabilities
1.6
0.2
1.9
5.2
8.9
9.3
Total wholesale funding1
4.4
5.2
2.2
3.7
2.4
9.8
19.9
15.6
63.2
79.6
1The Group’s definition of wholesale funding aligns with that used by other international market participants; including bank deposits, debt securities and subordinated liabilities. Excludes
balances relating to margins of £1.3 billion (31 December 2020: £1.8 billion).
Total wholesale funding by currency (audited)
Sterling
£bn
US Dollar
£bn
Euro
£bn
Other
currencies
£bn
Total
£bn
At 31 December 2021
16.7
23.6
17.0
5.9
63.2
At 31 December 2020
21.5
28.0
23.6
6.5
79.6
Analysis of 2021 term issuance (audited)
Sterling
US Dollar
Euro
Other
currencies
Total
£bn
£bn
£bn
£bn
£bn
Medium-term notes
1.1
2.6
1.6
5.3
Covered bonds
Private placements1
Subordinated liabilities2
1.6
3.3
4.9
Total issuance
2.7
5.9
1.6
10.2
1Private placements include structured bonds.
2Subordinated liabilities include AT1s.
Lloyds Bank plc
Risk management
45
Liquidity portfolio
At 31 December 2021, the banking business had £114.7 billion of highly liquid unencumbered LCR eligible assets, based on a monthly rolling
average over the previous 12 months post any liquidity haircuts (31 December 2020: £113.4 billion), of which £113.2 billion is LCR level 1 eligible
(31 December 2020: £112.0 billion) and £1.5 billion is LCR level 2 eligible (31 December 2020: £1.4 billion). These assets are available to meet
cash and collateral outflows and regulatory requirements.
LCR eligible assets
Average
Average
20211
20201
£bn
£bn
Level 1
Cash and central bank reserves
50.3
46.5
High quality government/MDB/agency bonds2
60.6
62.6
High quality covered bonds
2.3
2.9
Total
113.2
112.0
Level 23
1.5
1.4
Total LCR eligible assets
114.7
113.4
1Based on 12 months rolling average to 31 December. Eligible assets are calculated as an average of month-end observations over the previous 12 months post any liquidity haircuts.
2Designated multilateral development bank (MDB).
3Includes Level 2A and Level 2B.
LCR eligible assets by currency
Sterling
£bn
US Dollar
£bn
Euro
£bn
Other
currencies
£bn
Total
£bn
At 31 December 2021
Level 1
92.4
7.9
12.9
113.2
Level 2
0.7
0.4
0.4
1.5
Total1
93.1
8.3
12.9
0.4
114.7
At 31 December 2020
Level 1
94.4
7.3
10.3
112.0
Level 2
0.9
0.3
0.2
1.4
Total1
95.3
7.6
10.5
113.4
1Based on 12 months rolling average to 31 December. Eligible assets are calculated as an average of month-end observations over the previous 12 months post any liquidity haircuts.
The banking business also has a significant amount of non-LCR eligible liquid assets which are eligible for use in a range of central bank or
similar facilities. Future use of such facilities will be based on prudent liquidity management and economic considerations, having regard for
external market conditions.
Stress testing results
Internal liquidity stress testing results at 31 December 2021 (calculated as an average of month end observations over the previous 12 months)
showed that the banking business had liquidity resources representing 131 per cent of modelled outflows over a three month period from all
wholesale funding sources, retail and corporate deposits, intraday requirements and rating dependent contracts under the Group’s most severe
liquidity stress scenario.
This scenario includes a two notch downgrade of the Group’s current long-term debt rating and accompanying one notch short-term
downgrade implemented instantaneously by all major rating agencies.
Lloyds Bank plc
Risk management
46
CAPITAL RISK
DEFINITION
Capital risk is defined as the risk that the Group has a sub-optimal quantity or quality of capital or that capital is inefficiently deployed across the
Group.
EXPOSURES
A capital risk event arises when the Group has insufficient capital resources to support its strategic objectives and plans, and to meet both
regulatory and external stakeholder requirements and expectations. This could arise due to a depletion of the Group’s capital resources as a
result of the crystallisation of any of the risks to which it is exposed, or through a significant increase in risk-weighted assets as a result of rule
changes or economic deterioration. Alternatively a shortage of capital could arise from an increase in the minimum requirements for capital,
leverage or MREL either at Group level or regulated entity level. The Group's capital management approach is focused on maintaining sufficient
and appropriate capital resources across all regulated levels of its structure in order to prevent such exposures.
MEASUREMENT
In accordance with UK ring-fencing legislation, the Group was appointed as the Ring-Fenced Bank sub-group (‘RFB sub-group’) under Lloyds
Banking Group plc. As a result the Group is subject to separate supervision by the UK Prudential Regulation Authority (PRA) on a sub-
consolidated basis (as the RFB sub-group) in addition to the supervision applied to Lloyds Bank plc on an individual basis.
The Group maintains capital levels on a consolidated and individual basis commensurate with a prudent level of solvency to achieve financial
resilience and market confidence. To support this, capital risk appetite on both a consolidated and individual basis is calibrated by taking into
consideration both an internal view of the amount of capital to hold as well as external regulatory requirements.
Under UK law, EU capital rules that existed on 31 December 2020 continue to apply to the Group following the end of the transition period for
the UK’s withdrawal from the European Union, subject to the temporary transitional powers (TTP) granted to the PRA which extend until 31
March 2022. The Group continues to therefore measure both its capital requirements and the amount of capital resources it holds to meet those
requirements through applying the regulatory framework defined by the Capital Requirements Directive and Regulation (CRD IV), as amended
by revisions to the Capital Requirements Directive implemented in December 2020 (CRD V) and by those provisions of the revised Capital
Requirements Regulation (CRR II) that came into force in June 2019 and December 2020. The requirements are implemented in the UK by the
PRA and supplemented through additional regulation under the PRA Rulebook and associated statements of policy, supervisory statements and
other guidance.
The remaining provisions of CRR II will apply in the UK from 1 January 2022 and have been largely enacted via the PRA Rulebook.
The minimum amount of total capital, under Pillar 1 of the regulatory capital framework, is set at 8 per cent of total risk-weighted assets. At least
4.5 per cent of risk-weighted assets are required to be covered by common equity tier 1 (CET1) capital and at least 6 per cent of risk-weighted
assets are required to be covered by tier 1 capital. These minimum Pillar 1 requirements are supplemented by additional minimum
requirements under Pillar 2A of the regulatory capital framework, the aggregate of which is referred to as the Group's Total Capital
Requirement (TCR), and a number of regulatory buffers as described below.
Under Pillar 2A, additional minimum requirements are set through the issuance of an Individual Capital Requirement (ICR), which adjusts the
Pillar 1 minimum requirement for those risks not covered or not fully covered under Pillar 1. A key input into the PRA’s ICR process is the
Group’s own assessment of the amount of capital it needs, a process known as the Internal Capital Adequacy Assessment Process (ICAAP).
During the year the PRA reduced the Group’s nominal Pillar 2A capital requirement, which was the equivalent of around 4.0 per cent of risk-
weighted assets as at 31 December 2021, of which the minimum amount to be met by CET1 capital was the equivalent of around 2.2 per cent of
risk-weighted assets. During 2022, the PRA will revert to setting a variable amount for the Group’s Pillar 2A capital requirement (being a set
percentage of risk-weighted assets), with fixed add-ons for certain risk types.
A range of additional regulatory capital buffers apply under the capital rules, which are required to be met with CET1 capital. These include a
capital conservation buffer (2.5 per cent of risk-weighted assets) and a time-varying countercyclical capital buffer (CCyB) which is currently
around 0 per cent of risk-weighted assets following the decision by UK regulators to reduce the UK CCyB rate to nil during the first half of 2020
as part of the measures introduced in response to the coronavirus pandemic. In December 2021 the Bank of England's Financial Policy
Committee announced that the UK CCyB rate will increase to 1 per cent in December 2022, with an expectation that it will increase to 2 per cent
in Q2 2023 if the economy continues to recover broadly in line with the Bank of England’s central projections and upon the assumption there is
no significant change to the financial stability outlook. This would represent an equivalent increase in the Group's CCyB to 0.9 per cent in
December 2022 and 1.9 per cent in Q2 2023, based upon the position of the Group at 31 December 2021.
In addition, the Group in its capacity as the RFB sub-group is subject to an other systemically important institution (O-SII) buffer of 2.0 per cent
of risk-weighted assets (formerly referred to as the systemic risk buffer) which is designed to hold systemically important banks to higher capital
standards so that they can withstand a greater level of stress before requiring resolution. The next review of the RFB sub-group’s O-SII buffer
will take place in December 2023, based upon year-end 2022 financial results, with any changes applying from 1 January 2025. The FPC is
proposing to amend the O-SII buffer framework in order to change the metric for determining the buffer rate from total assets to the UK
leverage exposure measure.
As part of the Group's capital planning process, forecast capital positions are subjected to stress testing to determine the adequacy of the
Group’s capital resources against minimum requirements, including the ICR. The PRA considers outputs from the Group’s stress tests, in
conjunction with other information, as part of the process for informing the setting of a capital buffer for the Group, known as the PRA Buffer.
The PRA requires this buffer to remain confidential.
Usage of the PRA Buffer would trigger a dialogue between the Group and the PRA to agree what action is required whereas a breach of the
combined capital buffer (all other regulatory buffers, as referenced above) would give rise to mandatory restrictions upon any discretionary
capital distributions. The PRA has previously communicated its expectation that banks' capital and liquidity buffers can be drawn down as
necessary to support the real economy through a shock and that sufficient time would be made available to restore buffers in a gradual manner.
In addition to the risk-based capital framework outlined above, the Group is also subject to minimum capital requirements under the UK
Leverage Ratio Framework. The leverage ratio is calculated by dividing fully loaded tier 1 capital resources by the leverage exposure which is a
defined measure of on-balance sheet assets and off-balance sheet items.
Lloyds Bank plc
Risk management
47
The minimum leverage ratio requirement under the UK Leverage Ratio Framework is 3.25 per cent. This is supplemented by a time-varying
countercyclical leverage buffer (CCLB), which is currently 0 per cent of the leverage exposure measure, and an additional leverage ratio buffer of
0.7 per cent of the leverage exposure measure which reflects the application of the Group’s O-SII buffer. Following the FPC’s announcements
on the planned increase of the UK CCyB rate, the Group’s CCLB would be expected to increase to 0.3 per cent in December 2022 and 0.7 per
cent in Q2 2023, based upon the position of the Group at 31 December 2021.
At least 75 per cent of the 3.25 per cent minimum leverage ratio requirement as well as 100 per cent of regulatory leverage buffers must be met
by CET1 capital.
The leverage ratio framework does not currently give rise to higher regulatory capital requirements for the Group than the risk-based capital
framework.
MITIGATION
The Group's capital management framework is part of a comprehensive capital management framework within Lloyds Banking Group that
includes the setting of capital risk appetite and capital planning and stress testing activities. Close monitoring of capital and leverage ratios is
undertaken to ensure the Group meets regulatory requirements and risk appetite levels and deploys its capital resources efficiently.
The Group monitors early warning indicators and maintains a Capital Contingency Framework as part of the Lloyds Banking Group Recovery
Plan which are designed to identify emerging capital concerns at an early stage, so that mitigating actions can be taken, if needed. The
Recovery Plan sets out a range of potential mitigating actions that the Group could take in response to a stress, including as part of the wider
Lloyds Banking Group response. For example the Group is able to accumulate additional capital through the retention of profits over time,
which can be enhanced through reducing or cancelling dividend payments upstreamed to its parent (Lloyds Banking Group plc), by raising new
equity via an injection of capital from its parent and by issuing additional tier 1 or tier 2 capital securities to its parent. The cost and availability of
additional capital from its parent is dependent upon market conditions and perceptions at the time.
The Group is also able to manage the demand for capital through management actions including adjusting its lending strategy, risk hedging
strategies and through business disposals.
Capital policies and procedures are well established and subject to independent oversight.
MONITORING
The Group’s capital is actively managed and monitoring capital ratios is a key factor in the Group’s planning processes and stress testing. Multi-
year base case forecasts of the Group’s capital position, based upon the Group's operating plan, are produced at least annually to inform the
Group capital plan whilst shorter term forecasts are undertaken to understand and respond to variations of the Group’s actual performance
against the plan. The Group’s capital plan is tested for capital adequacy using relevant stress scenarios and sensitivities covering adverse
economic conditions as well as other adverse factors that could impact the Group.
Regular monitoring of the capital position for the Group and its key regulated entities is undertaken by a range of committees, including Group
Capital Risk Committee (GCRC), Group Financial Risk Committee (GFRC), Group and Ring-Fenced Banks Asset and Liability Committees
(GALCO), Group and Ring-Fenced Banks Risk Committees (GRC), Board Risk Committee (BRC) and the Board. This includes reporting of actual
ratios against forecasts and risk appetite, base case and stress scenario projected ratios, and review of early warning indicators and assessment
against the Capital Contingency Framework.
The regulatory framework within which the Group operates continues to be developed at a global level through the Financial Stability Board
(FSB) and Basel Committee on Banking Supervision (BCBS) and within the UK by the PRA and through directions from the Financial Policy
Committee (FPC). The Group continues to monitor these developments very closely, analysing the potential capital impacts to ensure that,
through organic capital generation and management actions, the Group continues to maintain a strong capital position that exceeds both
minimum regulatory requirements and the Group's risk appetite and is consistent with market expectations.
MINIMUM REQUIREMENT FOR OWN FUNDS AND ELIGIBLE LIABILITIES (MREL)
Global systemically important banks (G-SIBs) are subject to an international standard on total loss absorbing capacity (TLAC). The standard,
which first applied from 1 January 2019, is designed to enhance the resilience of the global financial system by ensuring that failing G-SIBs have
sufficient capital to absorb losses and recapitalise under resolution, whilst continuing to provide critical banking services.
In the UK, the Bank of England has implemented the requirements of the international TLAC standard through the establishment of a
framework which sets out minimum requirements for own funds and eligible liabilities (MREL). The purpose of MREL is to require firms to
maintain sufficient own funds and eligible liabilities that are capable of credibly bearing losses or recapitalising a bank whilst in resolution. MREL
can be satisfied by a combination of regulatory capital and certain unsecured liabilities (which must be subordinate to a firm’s operating
liabilities).
The Bank of England's MREL statement of policy (MREL SoP) sets out its approach to setting external MREL and the distribution of MREL
resources internally within groups. Internal MREL resources are intended to enable a material subsidiary to be recapitalised as part of a group
resolution strategy without the need for the Bank of England to apply its resolution powers directly to the subsidiary itself.
The Group’s parent, Lloyds Banking Group plc, is subject to the Bank of England’s MREL SoP and must therefore maintain a minimum level of
external MREL resources. Lloyds Banking Group plc operates a single point of entry (SPE) resolution strategy, with Lloyds Banking Group plc as
the designated resolution entity. Under this strategy, the Group has been identified as a material subsidiary of Lloyds Banking Group plc and
must therefore maintain a minimum level of internal MREL resources. As at 31 December 2021, the Group's internal MREL resources exceeded
the interim minimum required.
The Bank of England completed a review of its existing approach to setting MREL in December 2021 and has published a revised approach
which became effective and binding on the Group from 1 January 2022. There has been no change to the basis for determining the Group’s
internal MREL.
Lloyds Bank plc
Risk management
48
ANALYSIS OF CAPITAL POSITION
The Group’s common equity tier 1 (CET1) capital ratio has increased to 16.7 per cent (31 December 2020: 15.5 per cent) largely reflecting profits
for the year and a reduction in risk-weighted assets, partially offset by dividends paid (net of the brought forward foreseeable dividend accrual),
pension contributions made to the defined benefit pension schemes and a release of IFRS 9 transitional relief which largely offset the
impairment credit through profits.
Risk-weighted assets reduced by £9,286 million, or 5 per cent, from £170,862 million at 31 December 2020 to £161,576 million at 31 December
2021. This was primarily as a result of optimisation activity undertaken in Commercial Banking, partially offset by balance sheet growth in the
business. Credit migrations have had a limited impact on the risk-weighted asset position, in part due to the increase in house prices.
The Group continues to apply the revised IFRS 9 transitional arrangements for capital which provide for temporary capital relief for the increase
in accounting impairment provisions following the initial implementation of IFRS 9 (‘static’ relief) and subsequent relief for any increases in Stage
1 and Stage 2 expected credit losses since 1 January 2020 (‘dynamic’ relief). The transitional arrangements do not cover Stage 3 expected credit
losses.
On 1 January 2022, the CET1 capital ratio reduced by around 250 basis points to 14.1 per cent, reflecting the following:
An increase in risk-weighted assets to £178 billion, in addition to other related modelled impacts on CET1 capital, following the
implementation of new CRD IV mortgage, retail unsecured and commercial banking models to meet revised regulatory standards for
modelled outputs and the UK implementation of the remainder of CRR II which includes a new standardised approach for measuring
counterparty credit risk. These were partially offset by the removal of risk-weighted assets linked to the reversal of the revised treatment that
had previously been applied to intangible software assets. The new CRD IV models are subject to finalisation and approval by the PRA and
therefore uncertainty over the final impacts remains
An increase in intangible software assets deducted from CET1 capital following the reversal of the revised treatment
A reduction in IFRS 9 relief reflecting both phasing under the transitional arrangements and the impact of the new CRD IV models
The transitional total capital ratio remained at 23.5 per cent, with the benefit of the increase in CET1 capital and reduction in risk-weighted
assets broadly offset by reductions in Additional Tier 1 (AT1) and Tier 2 capital instruments. The latter largely reflected the reduction in
transitional limits applied to legacy tier 1 and tier 2 capital instruments and calls made on both AT1 and tier 2 capital instruments, partially offset
by new issuances.
The UK leverage ratio reduced to 5.3 per cent from 5.5 percent at 31 December 2020, as a result of the reduction in the fully loaded total tier 1
capital position which was partially offset by the reduction in the leverage exposure measure, the latter primarily reflecting movements in
securities financing transactions and off-balance sheet items, net of increased balance sheet lending.
TOTAL CAPITAL REQUIREMENT
The Group’s total capital requirement (TCR) as at 31 December 2021, being the aggregate of the Group's Pillar 1 and current Pillar 2A capital
requirements, was £19,364 million (31 December 2020: £20,567 million).
Lloyds Bank plc
Risk management
49
CAPITAL RESOURCES
An analysis of the Group’s capital position as at 31 December 2021 is presented in the following section on both a transitional arrangements
basis and a fully loaded basis in respect of legacy capital securities that were subject to grandfathering provisions prior to 1 January 2022. In
addition the Group’s capital position under both bases reflects the application of the separate transitional arrangements for IFRS 9.
Capital resources (audited)
The table below summarises the consolidated capital position of the Group. The Group’s Pillar 3 disclosures will provide a comprehensive
analysis of the own funds of the Group.
Transitional
Fully loaded
At 31 Dec
2021
At 31 Dec
2020
At 31 Dec
2021
At 31 Dec
2020
£m
£m
£m
£m
Common equity tier 1
Shareholders’ equity per balance sheet
36,410
35,105
36,410
35,105
Adjustment to retained earnings for foreseeable dividends
(1,000)
(1,000)
Adjustment for own credit
133
81
133
81
Cash flow hedging reserve
451
(1,507)
451
(1,507)
Other adjustments1
637
1,894
637
1,894
37,631
34,573
37,631
34,573
less: deductions from common equity tier 1
Goodwill and other intangible assets
(2,870)
(2,986)
(2,870)
(2,986)
Prudent valuation adjustment
(159)
(173)
(159)
(173)
Excess of expected losses over impairment provisions and value adjustments
Removal of defined benefit pension surplus
(3,200)
(1,322)
(3,200)
(1,322)
Deferred tax assets
(4,498)
(3,525)
(4,498)
(3,525)
Common equity tier 1 capital
26,904
26,567
26,904
26,567
Additional tier 1
Additional tier 1 instruments
4,949
7,295
4,268
5,935
Total tier 1 capital
31,853
33,862
31,172
32,502
Tier 2
Tier 2 instruments
6,322
6,825
5,635
5,454
Other adjustments
(266)
(524)
(266)
(524)
Total tier 2 capital
6,056
6,301
5,369
4,930
Total capital resources
37,909
40,163
36,541
37,432
Risk-weighted assets (unaudited)
161,576
170,862
161,576
170,862
Common equity tier 1 capital ratio
16.7%
15.5%
16.7%
15.5%
Tier 1 capital ratio
19.7%
19.8%
19.3%
19.0%
Total capital ratio
23.5%
23.5%
22.6%
21.9%
1Includes an adjustment applied to reserves to reflect the application of the IFRS 9 transitional arrangements for capital.
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Movements in capital resources
The key difference between the transitional capital calculation as at 31 December 2021 and the fully loaded equivalent is primarily related to
legacy capital securities that previously qualified as tier 1 or tier 2 capital, but that do not fully qualify under the regulation, which can be
included in additional tier 1 (AT1) or tier 2 capital (as applicable) up to specified limits which reduced by 10 per cent per annum until 2022. From
1 January 2022, legacy capital securities will cease to be recognised as eligible regulatory capital, with the exception of securities that qualify for
the extended transitional rules under CRR II. As of 31 December 2021, the Group has a single legacy capital security that qualifies for the
extension which will allow it to be recognised as tier 2 capital until June 2025.
The key movements on a transitional capital basis are set out in the table below.
Common
equity tier 1
Additional
tier 1
Tier 2
Total
capital
£m
£m
£m
£m
At 31 December 2020
26,567
7,295
6,301
40,163
Profit for the year
5,202
5,202
Interim dividends paid out on ordinary shares during the year1
(1,900)
(1,900)
IFRS 9 transitional adjustment to retained earnings
(1,254)
(1,254)
Pension contributions
(944)
(944)
Fair value through other comprehensive income reserve
196
196
Deferred tax asset
(973)
(973)
Goodwill and other intangible assets
116
116
Movements in other equity, subordinated liabilities, other tier 2 items and related
adjustments
(2,346)
(245)
(2,591)
Distributions on other equity instruments
(344)
(344)
Other movements2
238
238
At 31 December 2021
26,904
4,949
6,056
37,909
1Net of the brought forward foreseeable dividend accrual of £1,000 million.
2Includes other pension movements.
CET1 capital resources have increased by £337 million over the year, primarily reflecting profits, with the impairment credit more than offset by
the partial unwind of IFRS 9 transitional relief. Further offsets comprised of the following:
the interim ordinary dividend paid out in October 2021
distributions on other equity instruments
pension contributions made to the defined benefit pension schemes
an increase in deferred tax assets deducted from capital which primarily reflects the remeasurement of deferred tax assets following the
announced increase in the UK corporation tax rate from 1 April 2023. The remeasurement has a limited overall capital benefit as the tax
credit through profits is largely offset by the increase in the deferred tax asset deduction.
AT1 capital resources have reduced by £2,346 million during the year, reflecting the reduced transitional limit applied to legacy tier 1 capital
instruments and the net impact of the derecognition of called AT1 capital instruments and subsequent issuance of new AT1 capital instruments.
Tier 2 capital resources have reduced by £245 million during the year, largely reflecting the reduced transitional limit applied to legacy tier 2
capital instruments, the derecognition of called tier 2 capital instruments, regulatory amortisation and the impact of movements in rates,
partially offset by the issuance of new tier 2 capital instruments.
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Risk-weighted assets
At 31 Dec
2021
At 31 Dec
2020
£m
£m
Foundation Internal Ratings Based (IRB) Approach
39,548
43,781
Retail IRB Approach
65,435
65,207
Other IRB Approach
11,028
11,916
IRB Approach
116,011
120,904
Standardised (STA) Approach
19,005
21,673
Credit risk
135,016
142,577
Counterparty credit risk
1,257
2,133
Credit valuation adjustment risk
207
355
Operational risk
22,575
23,307
Market risk
203
210
Risk-weighted assets
159,258
165,582
Threshold risk-weighted assets1
2,318
2,280
Total risk-weighted assets
161,576
170,862
1Threshold risk-weighted assets reflect the element of deferred tax assets that are permitted to be risk-weighted instead of being deducted from CET1 capital.
Risk-weighted assets movement by key driver
Credit risk
IRB
Credit risk
STA
Credit risk
total1
Counterparty
credit risk2
Market
risk
Operational
risk
Total
£m
£m
£m
£m
£m
£m
£m
Total risk-weighted assets as at 31 December 2020
170,862
Less: total threshold risk-weighted assets3
(2,280)
Risk-weighted assets at 31 December 2020
120,904
21,673
142,577
2,488
210
23,307
168,582
Asset size
(3,645)
(628)
(4,273)
(557)
(4,830)
Asset quality
221
(213)
8
(431)
(423)
Model updates
16
16
Methodology and policy
(1,335)
(1,757)
(3,092)
1
(3,091)
Movement in risk levels (Market risk only)
(24)
(24)
Foreign exchange movements
(134)
(70)
(204)
(36)
(240)
Other
(732)
(732)
Risk-weighted assets at 31 December 2021
116,011
19,005
135,016
1,464
203
22,575
159,258
Threshold risk-weighted assets3
2,318
Total risk-weighted assets as at 31 December 2021
161,576
1Credit risk includes securitisation risk-weighted assets.
2Counterparty credit risk includes movements in contributions to the default funds of central counterparties and movements in credit valuation adjustment risk.
3Threshold risk-weighted assets reflect the element of deferred tax assets that are permitted to be risk-weighted instead of being deducted from CET1 capital.
The risk-weighted assets movement table provides analysis of the movement in risk-weighted assets in the period by risk type and an insight
into the key drivers of the movements.
Credit risk, risk weighted assets:
Asset size reduction of £4.3 billion predominantly reflects increased levels of optimisation in Commercial Banking and lower unsecured
balances, partially offset by increased mortgage lending.
Asset quality mainly reflects the impact of retail model calibrations with limited credit migration in part due to the benefit of House Price
Index increases.
Methodology and policy changes of £3.1 billion include reductions in risk-weighted assets through securitisation activity, other optimisation
activity and enhanced identification of SME exposures.
Counterparty credit risk, risk-weighted assets: reduced by £1.0 billion predominantly due to movements in market rates during the period.
Operational risk, risk-weighted assets: reduced by £0.7 billion due to a reduction in 3 year average income levels.
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Leverage ratio
Analysis of leverage movements
The Group’s fully loaded UK leverage ratio reduced to 5.3 per cent (31 December 2020: 5.5 per cent), driven by the impact of the reduction in
the fully loaded total tier 1 capital position. This was offset in part by the reduction in the leverage exposure measure which reduced by £8.9
billion during the year, largely reflecting movements in securities financing transactions and off-balance sheet items, net of increased balance
sheet lending. Following a direction received from the PRA during 2020 the Group is permitted to exclude lending under the UK Government’s
Bounce Back Loan Scheme (BBLS) from the leverage exposure measure.
The average UK leverage ratio was 5.2 per cent over the quarter, which largely reflected a higher average exposure measure compared to the
position at the end of the quarter, partially offset by a higher average fully loaded total tier 1 capital position.
The table below summarises the component parts of the Group's leverage ratio.
Fully loaded
At 31 Dec
2021
At 31 Dec
2020
£m
£m
Total tier 1 capital for leverage ratio
Common equity tier 1 capital
26,904
26,567
Additional tier 1 capital
4,268
5,935
Total tier 1 capital
31,172
32,502
Exposure measure
Statutory balance sheet assets
Derivative financial instruments
5,511
8,341
Securities financing transactions
49,708
56,073
Loans and advances and other assets
547,630
535,525
Total assets
602,849
599,939
Qualifying central bank claims
(50,824)
(43,973)
Deconsolidation adjustments
Derivative financial instruments
2
16
Loans and advances and other assets
(612)
(139)
Total deconsolidation adjustments1
(610)
(123)
Derivatives adjustments
Adjustments for regulatory netting
(2,584)
(2,225)
Adjustments for cash collateral
(905)
(5,601)
Net written credit protection
22
145
Regulatory potential future exposure
3,652
5,744
Total derivatives adjustments
185
(1,937)
Securities financing transactions adjustments
1,321
1,060
Off-balance sheet items
49,349
53,350
Regulatory deductions and other adjustments2
(17,620)
(14,770)
Total exposure measure
584,650
593,546
Average exposure measure3
598,563
UK leverage ratio
5.3%
5.5%
Average UK leverage ratio3
5.2%
1Deconsolidation adjustments relate to the deconsolidation of certain Group entities that fall outside the scope of the Group’s regulatory capital consolidation.
2Includes adjustments to exclude lending under the UK Government’s Bounce Back Loan Scheme (BBLS) and the netting of regular-way purchases and sales awaiting settlement in
accordance with CRR Article 500d.
3The average UK leverage ratio is based on the average of the month end tier 1 capital position and average exposure measure over the quarter (1 October 2021 to 31 December 2021). The
average of 5.2 per cent compares to 5.2 per cent at the start and 5.3 per cent at the end of the quarter.
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Application of IFRS 9 on a full impact basis for capital and leverage
IFRS 9 full impact
At 31 Dec
2021
At 31 Dec
2020
Common equity tier 1 (£m)
26,253
24,591
Transitional tier 1 (£m)
31,202
31,886
Transitional total capital (£m)
38,039
39,422
Total risk-weighted assets (£m)
161,805
171,015
Common equity tier 1 ratio (%)
16.2%
14.4%
Transitional tier 1 ratio (%)
19.3%
18.6%
Transitional total capital ratio (%)
23.5%
23.1%
UK leverage ratio exposure measure (£m)
584,000
591,570
UK leverage ratio (%)
5.2%
5.2%
The Group applies the full extent of the IFRS 9 transitional arrangements for capital as set out under CRR Article 473a (as amended via the CRR
'Quick Fix' revisions published in June 2020). Specifically, the Group has opted to apply both paragraphs 2 and 4 of CRR Article 473a (static and
dynamic relief) and in addition to apply a 100 per cent risk weight to the consequential Standardised credit risk exposure add-back as permitted
under paragraph 7a of the revisions.
As at 31 December 2021, static relief under the transitional arrangements amounted to £264 million (31 December 2020: £370 million) and
dynamic relief amounted to £387 million (31 December 2020: £1,606 million) through CET1 capital.
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CHANGE/EXECUTION RISK
DEFINITION
Change/execution risk is defined as the risk that, in delivering its change agenda, the Group fails to ensure compliance with laws and regulation,
maintain effective customer service and availability, and/or operate within the Group’s risk appetite.
EXPOSURES
Change/execution risks arise when the Group undertakes activities which require products, processes, people, systems or controls to change.
These changes can be as a result of external drivers (for example, a new piece of regulation that requires the Group to put in place a new
process or reporting) and/or internal drivers including business process changes, technology upgrades and strategic business or technology
transformation.
MEASUREMENT
The Group currently measures change/execution risk against defined risk appetite metrics which are a combination of leading, quality and
delivery indicators across the investment portfolio. These indicators are reported through internal governance structures and monthly execution
metrics; which forms part of the Board risk appetite metrics, and are under ongoing evolution and enhancement to ensure ongoing support of
the Group's change agenda.
MITIGATION
The Group takes a range of mitigating actions with respect to change/execution risk. These include the following:
The Board establishes a Group-wide risk appetite and metric for change/execution risk
Ensuring compliance with the change policy and associated policies and procedures, which set out the principles and key controls that
apply across the business and are aligned to the Group risk appetite
Businesses assess the potential impacts of undertaking any change activity on their ability to execute effectively, on customers and
colleagues and on the potential consequences for existing business risk profiles
The implementation of effective governance and control frameworks to ensure adequate controls are in place to manage change activity
and act to mitigate the change/execution risks identified. These controls are monitored in line with the change policy and enterprise risk
management framework
Events and incidents related to change activities are escalated and managed appropriately in line with risk framework guidance
Ensuring there are sufficient, appropriately skilled resources to support the safe delivery of the Group's current and future change portfolio
MONITORING
Change/execution risks are monitored and reported through to the Board and Group Governance Committees in accordance with the Group's
enterprise risk management framework. Risk exposures are assessed monthly through established governance in both the Lloyds Banking
Group Transformation and Business Risk Committees with escalation to Executive Committees where required. Material change/execution
related risk events or incidents are escalated in accordance with the Lloyds Banking Group operational risk policy and change policy. In addition
there is oversight, challenge and reporting at Risk division level to support overall management of risks and ongoing effectiveness of controls.
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CONDUCT RISK
DEFINITION
Conduct risk is defined as the risk of customer detriment across the customer lifecycle including: failures in product management, distribution
and servicing activities; from other risks materialising, or other activities which could undermine the integrity of the market or distort
competition, leading to unfair customer outcomes, regulatory censure, reputational damage or financial loss.
EXPOSURES
The Group faces significant conduct risks, which affect all aspects of the Group’s operations and all types of customers.
Conduct risks can impact directly or indirectly on the Group's customers and could materialise from a number of areas across the Group,
including:
Business and strategic planning that does not sufficiently consider customer needs
Ineffective development, management and monitoring of products, their distribution (including the sales process, fair value assessment and
responsible lending criteria) and post- sales service (including the management of customers in financial difficulties)
Unclear, unfair, misleading or untimely customer communications
A culture that is not sufficiently customer-centric
Poor governance of colleagues’ incentives and rewards and approval of schemes which drive unfair customer outcomes
Ineffective identification, management and oversight of legacy conduct issues
Ineffective management and resolution of customers’ complaints or claims
Outsourcing of customer service and product delivery to third parties that do not have the same level of control, oversight and culture as
the Group
There is a high level of scrutiny regarding financial institutions' treatment of customers, including those in vulnerable circumstances, from
regulatory bodies, the media, politicians and consumer groups. The COVID-19 pandemic has magnified existing challenges, and brought new
challenges for customers, affecting health, income and relationships. The Group continues to apply significant focus to its treatment of
customers in financial difficulties to ensure fair outcomes.
The Group is also exposed to the risk of engaging in activities or failing to manage conduct which could constitute market abuse, undermine
the integrity of a market in which it is active, distort competition or create conflicts of interest.
There continues to be a significant focus on market misconduct, and action has been taken to move to risk-free rates following the ending of
the majority of London Inter-bank Offered Rate (LIBOR) measures on 1st January 2022.
The Group continuously adapts to market developments that could pose heightened conduct risk, including: the potential for more customers
in financial difficulties driven by the increased cost of living/evolving COVID-19 situation, ongoing scrutiny in ensuring transparency and fairness
of pricing communications, increased expectation regarding fair customer treatment due to the introduction of the FCA's Consumer Duty in
2022, and ensuring victims of Authorised Push Payment Fraud receive fair outcomes.
MEASUREMENT
To articulate its conduct risk appetite, the Group has sought more granularity through the use of suitable Conduct Risk Appetite Metrics
(CRAMs) and tolerances that indicate where it may be operating outside its conduct risk appetite.
CRAMs have been designed for services and products offered by the Group and are measured by a consistent set of common metrics. These
contain a range of product design, sales and process metrics (including outcome testing outputs) to provide a more holistic view of conduct
risks; some products also have a suite of additional bespoke metrics.
Each of the tolerances for the metrics are agreed for the individual product or service and are regularly tracked. At a consolidated level these
metrics are part of the Board risk appetite. The Group has, and continues to, evolve its approach to conduct risk measurements, to include
emerging conduct themes.
MITIGATION
The Group takes a range of mitigating actions with respect to conduct risk and remains focused on delivering a leading customer experience.
All three retail brands have now received Accessibility Standards accreditation from the Money and Mental Health Policy Institute in recognition
of the Group's work to make services more accessible for customers with mental health problems. The Group’s ongoing commitment to fair
customer outcomes sets the tone from the top and supports the development our values-led culture with customers at the heart, strengthening
links between actions to support conduct, culture and customer and enabling more effective control management. Actions to encourage good
conduct include:
Conduct risk appetite established at Group and business area level, with metrics included in the Group risk appetite to ensure ongoing
focus
Simplified and enhanced conduct policies and procedures in place to ensure appropriate controls and processes that deliver fair customer
outcomes, and support market integrity and competition requirements
Customer needs considered through divisional customer plans, with integral conduct lens
Cultural transformation: achieving a values-led culture through a consistent focus on behaviours to ensure the Group is transforming its
culture for success in a digital world. This is supported by strong direction and tone from senior executives and the Board
Continuous embedding of the customer vulnerability framework aligned with the FCA guidance on fair treatment of vulnerable customers
launched in January 2021. Development and continued oversight of the implementation of the vulnerability strategy continues through the
Lloyds Banking Group Customer Vulnerability Committee (GCVC) operating at a senior level to prioritise change, drive implementation and
ensure consistency across the Group
Robust product governance framework to ensure products continue to offer customers fair value, and consistently meet their needs
throughout their product lifecycle
Effective complaints management through responding to, and learning from, root causes of complaint volumes and Financial Ombudsman
Service (FOS) change rates
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56
Review and oversight of thematic conduct agenda items at senior committees, ensuring holistic consideration of key Lloyds Banking Group-
wide conduct risks
Robust recruitment and training, with a continued focus on how the Group manages colleagues’ performance with clear customer
accountabilities
Ongoing engagement with third parties involved in serving the Group’s customers to ensure consistent delivery
Monitoring and testing of customer outcomes to ensure the Group delivers fair outcomes for customers throughout the product and service
lifecycle, and make continuous improvements to products, services and processes
Continued focus on market conduct and member of the Fixed Income, Currencies and Commodities Markets Standard Board and
committed to conducting its market activities consistent with the principles of the UK Money Markets code, the Global Precious Metals
Code and the FX Global Code
Adoption of robust change delivery methodology to enable prioritisation and delivery of initiatives to address conduct challenges
Continued focus on proactive identification and mitigation of conduct risk in the Lloyds Banking Group's strategy
Active engagement with regulatory bodies and other stakeholders to develop understanding of concerns related to customer treatment,
effective competition and market integrity, to ensure that the Group’s strategic conduct focus continues to meet evolving stakeholder
expectations
The Group closely monitors the outcomes of business banking customers, particularly those with COVID-19 response products (BBLS,
CBILS) to ensure the appropriate support is in place
MONITORING
Conduct risk is governed through divisional risk committees and significant issues are escalated to the Lloyds Banking Group Risk Committee, in
accordance with the Lloyds Banking Group's enterprise risk management framework, as well as through the monthly Consolidated Risk Report.
Risk exposures are discussed at divisional risk committees, where oversight, challenge and reporting are completed to assess the effectiveness
controls. Remedial action is recommended, if required. All material conduct risk events are escalated in accordance with the Lloyds Banking
Group operational risk policy to the respective Business Managing Director/Head of Business.
A number of activities support the close monitoring of conduct risk including:
The use of CRAMs across the Group, with a clear escalation route to Board
Second line oversight activities
Horizon scanning
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DATA RISK
DEFINITION
Data risk is defined as the risk of the Group failing to effectively govern, manage and control its data (including data processed by third party
suppliers), leading to unethical decisions, poor customer outcomes, loss of value to the Group and mistrust.
EXPOSURES
Data risk is present in all aspects of the business where data is processed, both within the Group and by third parties including colleague and
contractor, prospective and existing customer lifecycle and insight processes. Data risk manifests:
When personal data is not gathered legally, for a legitimate purpose, or is not managed or protected from misuse and/or processed in a
way that complies with General Data Protection Regulations (GDPR) and other data privacy regulatory obligations
When data quality (accuracy, completeness, consistency, uniqueness, validity and timeliness) is not managed, resulting in data used in
systems, processes and products not being fit for the intended purpose
When data records are not created, retained, protected, destroyed, or retrieved appropriately
When data governance fails to provide robust oversight of data decision-making and the control mechanisms to ensure strategies and
management instructions are implemented effectively
When data standards are not maintained across core data, data management risks are not managed and data-related issues are not
remediated as a result of poor data management, resulting in inaccurate, incomplete data that is not available at the right time, to the right
people, to enable business decisions to be made, and regulatory reporting requirements to be fulfilled
When critical data mapping and data information standards are not followed, impacting compliance, traceability and understanding of data
MEASUREMENT
Data risk is measured through a series of quantitative and qualitative indicators, aligned to key sources of data risk for the Group covering data
governance, data management and data privacy and ethics. In addition to risk appetite measures and limits, data risks and controls are
monitored and governed through Group and sub-group committees on a regular basis. Significant issues are escalated to the Group Risk
Committee.
MITIGATION
Data risk is a key component of the Group's enterprise risk management framework, where the focus is on the end-to-end management of data
risk. This ensures that risks are identified, assessed, managed, monitored and reported using the risk and control self-assessment process.
Investment continues to be made to enhance the maturity of data risk management. Examples include:
Delivering a data strategy and data risk and control library to ensure data risks are managed within appetite
Enhancing data quality, capability and awareness in data management and privacy
Enhancing assurance of suppliers
Delivering enhanced controls and processes for data retention and destruction, deleting large volumes of historic over-retained data
Embedding data by design and ethics principles into the data science lifecycle and progressing opportunities to simplify the completion of
privacy records impact assessments
MONITORING
Data risk is governed through Group and sub-group committees and significant issues are escalated to Group Risk Committee, in accordance
with the Lloyds Banking Group’s enterprise risk management framework. Risk exposures are discussed at Group and sub-group committees,
where oversight, challenge and reporting are completed to assess the effectiveness of controls and agree remedial actions. All material data risk
events are escalated in accordance with the Lloyds Banking Group operational risk policy and data risk policies and, where personal data is
concerned, the Group Data Protection Officer. In addition, Group-wide data risk issues and the top data risks that the Group faces are
discussed at the Data Cross Divisional Committee and Group Data Committee.
A number of activities support the close monitoring of data risk, including:
Implementation of the data risk and control library to ensure greater coverage and insight of data risk, and ensuring data risks are managed
within appetite
Design and monitoring of data risk appetite metrics, including key risk indicators and key performance indicators
Monitoring and reporting of progress against the Data Capability Assessment Model
Monitoring of significant data-related issues, complaints, events and breaches
Identification and mitigation of data risk when planning and implementing transformation or business change
Implementation of controls to mitigate data risk, including data privacy, ethics, data management and records management
Effective monitoring and testing of compliance with data privacy and data management regulatory requirements. For example GDPR and
Basel Committee on Banking Supervision (BCBS 239) requirements
Horizon scanning for changes in the external environment, including, but not limited to, changes to laws, rules and regulations; for example,
arising from the UK's exit from the EU and ensuring data flows remain effective
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PEOPLE RISK
DEFINITION
People risk is defined as the risk that the Group fails to provide an appropriate colleague and customer-centric culture, supported by robust
reward and wellbeing policies and processes; effective leadership to manage colleague resources; effective talent and succession management;
and robust control to ensure all colleague-related requirements are met.
EXPOSURES
The Group’s management of material people risks is critical to its capacity to deliver against its strategic objectives, particularly in the context of
organisational, political and external market change and increasing digitisation. The Group is exposed to the following key people risks:
Failure to recruit, develop and retain a diverse workforce, with the appropriate mix and required level of skills and capabilities to meet the
current and future needs of the Group
Non-inclusive culture, ineffective leadership, poor communication, weak performance, inappropriate remuneration policies and poor
colleague conduct
Ineffective succession planning or failure to identify appropriate talent pipeline
Failure to manage capacity, colleagues having excessive demands placed on them resulting in wellbeing issues and business objectives not
being met
Failure to meet all colleague-related legal and regulatory requirements
Inadequately designed people processes that are not resilient to withstand unexpected events
The increasing digitisation of the business is changing the capability mix required and may impact the Group's ability to attract and retain
talent
Senior Managers and Certification Regime (SM&CR) and additional regulatory constraints on remuneration structures may impact the
Group's ability to attract and retain talent
Colleague engagement may be challenged by a number of factors ranging from adjustment to new ways of working, dissatisfaction with
reward; and ongoing media attention on culture within the banking sector
MEASUREMENT
People risk is measured through a series of quantitative and qualitative indicators, aligned to key sources of people risk for the Group such as
succession, diversity, retention, colleague engagement and wellbeing. In addition to risk appetite measures and limits, people risks and controls
are monitored on a monthly basis via the Group’s risk governance framework and reporting structures.
MITIGATION
The Group takes many mitigating actions with respect to people risk. Key areas of focus include:
Focusing on leadership and colleague engagement, through delivery of strategies to attract, retain and develop high calibre people
together with implementation of rigorous succession planning
Continued focus on the Group’s culture and inclusivity strategy by developing and delivering initiatives that reinforce the appropriate
behaviours which generate the best possible long-term outcomes for customers and colleagues
Managing organisational capability and capacity through divisional people strategies to ensure there are the right skills and resources to
meet customers’ needs and deliver the Group's strategic plan
Maintaining effective remuneration arrangements to ensure they promote an appropriate culture and colleague behaviours that meet
customer needs and regulatory expectations
Ensuring colleague wellbeing strategies and support are in place to meet colleague needs, and that the skills and capability growth
required to maximise the potential of our people
Ensuring compliance with legal and regulatory requirements related to SM&CR, embedding compliant and appropriate colleague
behaviours in line with Group policies, values and its people risk priorities
Ongoing consultation with the Group’s recognised unions on changes which impact their members
Reviewing and enhancing people processes to ensure they are fit for purpose and operationally resilient
MONITORING
Monitoring and reporting is undertaken at Board, Group, entity and divisional committees. Key people risk metrics are reported and discussed
monthly at the Group People Risk Committee with escalation to Group Risk and Executive Committees and the Board where required.
All material people risk events are escalated in accordance with Lloyds Banking Group's operational risk policy.
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59
OPERATIONAL RESILIENCE RISK
DEFINITION
Operational resilience risk is defined as the risk that the Group fails to design resilience into business operations, underlying infrastructure and
controls (people, process, technology) so that it is able to withstand external or internal events which could impact the continuation of
operations, and fails to respond in a way which meets customer and stakeholder expectations and needs when the continuity of operations is
compromised.
EXPOSURES
Ineffective operational resilience risk management could lead to vital services not being available to customers, and in extreme circumstances,
bank failure could result. The Group has in place a transparent and effective operating model to identify and monitor critical business processes
from a customer, Group and financial industry perspective. The failure to adequately build resilience into a critical business process may occur in
a variety of ways, including:
The Group being overly reliant on one location to deliver a critical business process
The Group not having an adequate succession plan in place for designated subject matter experts
The Group being overly reliant on a supplier which fails to provide a service
A weakness in the Group’s cyber or security defences leaving it vulnerable to an attack
The Group failing to upgrade its IT systems and leaving them vulnerable to failure
Effective operational resilience ensures the Group designs resilience into its systems, is able to withstand and/or recover from a significant
unexpected event occurring and can continue to provide services to its customers. A significant outage could result in customers being unable
to access accounts or conduct transactions, which as well as presenting significant reputational risk for the Group would negatively impact the
Group’s purpose. Operational resilience is also an area of continued regulatory and industry focus, similar in importance to financial resilience.
Failure to manage operational resilience effectively could impact the following other risk categories:
Regulatory compliance: non-compliance with new/existing operational resilience regulations, for example, through failure to identify
emerging regulation or not embedding regulatory requirements within the Group’s policies, processes and procedures or identify further
future emerging regulation
Operational risk: being unable to safely provide customers with business services
Conduct risk: an operational resilience failure may render the Group liable to fines from the FCA for poor conduct
Market risk: the Group being unable to provide key services could have ramifications for the wider market and could impact share price
MEASUREMENT
Operational resilience risk is managed across the Group through the Group’s enterprise risk management framework and operational risk
policies. Board risk appetite metrics for operational resilience are in place and are well understood. These specific measures are subject to
ongoing monitoring and reporting, including a mandatory review of thresholds on at least an annual basis. To strengthen the management of
operational resilience risk, the Group mobilised an operational resilience enhancement programme which is designed to focus on end-to-end
resilience and the management of key risks to critical processes.
MITIGATION
The Group has increased its focus on operational resilience and has updated its operational resilience strategy to reflect changing priorities of
both customers and regulators. Furthermore, the Group is in the process of responding to the publication of regulatory policy statements.
Focus has been given to ensure compliance, and further consideration to how the existing framework will be adapted including consideration of
important business services and impact tolerances. At the core of its approach to operational resilience are the Group’s critical business
processes which drive all activity, including further mapping of the processes to identify any additional resilience requirements such as impact
tolerances in the event of a service outage. The Group continues to maintain and develop playbooks that guide its response to a range of
interruptions from internal and external threats and tests these through scenario-based testing and exercising.
Lloyds Banking Group's new strategy considers the changing risk management requirements, adapting the change delivery model to be more
agile and develop the people skills and capabilities needed. The Group continues to review and invest in its control environment to ensure it
addresses the risks it faces. Risks are reported and discussed at local governance forums and escalated to executive management and the
Board as appropriate. The Group employs a range of risk management strategies, including: avoidance, mitigation, transfer (including
insurance) and acceptance. Where there is a reliance on third-party suppliers to provide services, the Lloyds Banking Group's sourcing policy
ensures that outsourcing initiatives follow a defined process including due diligence, risk evaluation and ongoing assurance.
During the COVID-19 pandemic, business continuity plans have continued to prove resilient, with particular attention applied to heightened
risks in the supply chain.
Mitigating actions to the principal operational resilience risk are:
Cyber: the threat landscape associated with cyber risk continues to evolve and there is significant regulatory attention on this subject. The
Board continues to invest heavily to protect the Group from cyber-attacks. Investment continues to focus on improving the Group’s
approach to identity and access management, improving capability to detect and respond to cyber-attacks and improved ability to manage
vulnerabilities across the estate. With effect from 1 January 2021, the Group has entered into a cyber insurance policy, which provides cover
for specified information security risks.
IT resilience: the Group continues to optimise its approach to IT and operational resilience by investing in technology improvements and
enhancing the resilience of systems that support the Group’s critical business processes, primarily through the technology resilience
programme, with independent verification of progress on an annual basis. The Board recognises the role that resilient technology plays in
maintaining banking services across the wider industry. As such, the Board dedicates considerable time and focus to this subject at both the
Board and the Board Risk Committee, and continues to sponsor key investment programmes that enhance resilience.
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People: the Group acknowledges the risks associated to the failure to maintain appropriately skilled and available colleagues. The Group
continues to optimise its approach to ensure that, where applicable, colleagues are capable of supporting a critical business process. Key
controls and processes are regularly reported to committee(s) and alignment with Lloyds Banking Group's strategy is closely monitored.
Property: the Group's property portfolio remains a key focus in ensuring resilience requirements are appropriately maintained. Processes
are in place to identify key buildings where a critical business process is performed. Depending on criticality, a number of mitigating
controls are in place to manage the risk of severe critical business process disruption. The Group remains committed to investment in the
upkeep of the property portfolio, primarily through the Group property upkeep investment programme.
Sourcing: the threat landscape associated with third-party suppliers and the critical services they provide continues to receive a significant
amount of regulatory attention. The Group acknowledges the importance of demonstrating control and responsibility for those critical
business services which could cause significant harm to the Group's customers. The Group segments its suppliers by criticality and has
processes in place to support ongoing vendor management.
MONITORING
Monitoring and reporting of operational resilience risk is undertaken at Board, Group, entity and divisional committees. Each committee
monitors key risks, control effectiveness, key risk and control indicators, events, operational losses, risk appetite metrics and the results of
independent testing conducted by the Risk division and/or Group Internal Audit.
The Group maintains a formal approach to operational resilience risk event escalation, whereby material events are identified, captured and
escalated. Root causes are determined, and action plans put in place to ensure an optimum level of control to keep customers and the business
safe, reduce costs, and improve efficiency.
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OPERATIONAL RISK
DEFINITION
Operational risk is defined as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events.
EXPOSURES
The principal operational risks to the Group which could result in customer detriment, unfair customer outcomes, financial loss, disruption and/
or reputational damage are:
A cyber-attack
Failure of IT systems, due to volume of change, and/or aged infrastructure
Internal and/or external economic crime
Failure to ensure compliance with increasingly complex and detailed regulation including anti-money laundering, anti-bribery, counter-
terrorist financing, and financial sanctions and prohibitions laws and regulations
A number of these risks could increase where there is a reliance on third-party suppliers to provide services to the Group or its customers.
MEASUREMENT
Operational risk is managed across the Group through an operational risk framework and operational risk policies. The operational risk
framework includes a risk and control self-assessment process, risk impact likelihood matrix, key risk and control indicators, risk appetite, a
robust operational event management and escalation process, scenario analysis and an operational loss process.
The table below shows high level loss and event trends for the Group using Basel II categories. Based on data captured on the Group’s One
Risk and Control Self-Assessment, in 2021 the highest frequency of events occurred in external fraud (80.19 per cent) and execution, delivery
and process management (10.68 per cent). Clients, products and business practices accounted for 94.70 per cent of losses by value, driven by
legacy issues where impacts materialised in 2021 (excluding PPI).
Operational risk events by risk category (losses greater than or equal to £10,000), excluding PPI1
% of total volume
% of total losses
2021
2020
2021
2020
Business disruption and system failures2
0.49
0.83
(0.64)
0.47
Clients, products and business practices
8.32
12.43
94.70
52.07
Damage to physical assets
0.08
0.41
0.00
14.39
Employee practices and workplace safety
0.29
0.00
0.04
Execution, delivery and process management
10.68
13.09
1.05
26.33
External fraud
80.19
72.78
4.79
6.59
Internal fraud
0.24
0.17
0.10
0.11
Total
100.00
100.00
100.00
100.00
12020 breakdowns have been restated to reflect a number of events that have been reclassified following an internal review.
2Business disruption and system failures benefitted from a recovery in 2021, which related to a 2019 event.
Operational risk losses and scenario analysis is used to inform the Internal Capital Adequacy Assessment Process (ICAAP). The Group calculates
its minimum (Pillar I) operational risk capital requirements using The Standardised Approach (TSA). Pillar II is calculated using internal and
external loss data and extreme but plausible scenarios that may occur in the next 12 months.
MITIGATION
The Group continues to focus on changing risk management requirements, adapting the change delivery model to be more agile and
developing the people skills and capabilities needed. Risks are reported and discussed at local governance forums and escalated to executive
management and the Board as appropriate to ensure the correct level of visibility and engagement. The Group employs a range of risk
management strategies, including: avoidance, mitigation, transfer (including insurance) and acceptance. Where there is a reliance on third-party
suppliers to provide services, Lloyds Banking Group’s sourcing policy ensures that outsourcing initiatives follow a defined process including due
diligence, risk evaluation and ongoing assurance.
Mitigating actions to the principal operational risks are:
The Group adopts a risk-based approach to mitigate the internal and external fraud risks it faces, reflecting the current and emerging fraud
risks within the market. Fraud risk appetite metrics holistically cover the impacts of fraud in terms of losses to the Group, costs of fraud
systems and operations, and customer experience of actual and attempted fraud. Oversight of the appropriateness and performance of
these metrics is undertaken regularly through business area and Group-level committees. This approach drives a continual programme of
prioritised enhancements to the Group’s technology and process and people-related controls; with an emphasis on preventative controls
supported by real time detective controls wherever feasible. Group-wide policies and operational control frameworks are maintained and
designed to provide customer confidence, protect the Group’s commercial interests and reputation, comply with legal requirements and
meet regulatory requirements. The Group’s fraud awareness programme remains a key component of its fraud control environment, and
awareness of fraud risk is supported by mandatory training for all colleagues. This is further strengthened by material annual investment into
both technology and the personal development needs of colleagues. The Group also plays an active role with other financial institutions,
industry bodies and law enforcement agencies in identifying and combatting fraud
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The Group has adopted policies and procedures designed to detect and prevent the use of its banking network for money laundering,
terrorist financing, bribery, tax evasion, human trafficking, modern-day slavery and wildlife trafficking, and activities prohibited by legal and
regulatory sanctions. Against a background of complex and detailed laws and regulations, and of continued criminal and terrorist activity,
the Group regularly reviews and assesses its policies, procedures and organisational arrangements to keep them current, effective and
consistent across markets and jurisdictions. The Group requires mandatory training on these topics for all employees. Specifically, the anti-
money laundering procedures include ‘know-your-customer’ requirements, transaction monitoring technologies, reporting of suspicions of
money laundering or terrorist financing to the applicable regulatory authorities, and interaction between the Group’s Financial Intelligence
Unit and external agencies and other financial institutions. The Group economic crime prevention policy prohibits the payment, offer,
acceptance or request of a bribe, including ‘facilitation payments’ by any employee or agent and provides a confidential reporting service
for anonymous reporting of suspected or actual bribery activity. The Group economic crime prevention policy also sets out a framework of
controls for compliance with legal and regulatory sanctions
In addition to its efforts internally, the Group also contributes to economic crime prevention by supporting and championing industry-level
activity, including:
Working with the Lending Standards Board to improve customer outcomes related to Authorised Push Payment (APP) fraud. The Group
remains a signatory to the industry code for APP fraud, which has improved customer protection and the reimbursement of funds to
victims
Co-chairing the inaugural Public Private Threat Group with National Economic Crime Centre (NECC). This builds on the success of the
Fusion Cell in 2020, which was established in response to the changing economic crime threat related to COVID-19
Maintaining partnerships with key partners such as City of London Police, Global Cyber Alliance and the North East Business Resilience
Centre
Active membership of Stop Scams UK (SSUK), designed to stop scams at source by bringing together partnerships from various industry
sectors. The Group is involved in a new SSUK pilot, Project 159, which aims to provide consumers with a secure connection to their bank
Operational resilience risk, pages 60 to 61, provides further information on the mitigating actions for cyber and IT resilience.
MONITORING
Monitoring and reporting of operational risk is undertaken at Board, Group, entity and divisional committees. Each committee monitors key
risks, control effectiveness, key risk and control indicators, events, operational losses, risk appetite metrics and the results of independent
testing conducted by the Risk division and/or Group Internal Audit.
The Group maintains a formal approach to operational risk event escalation, whereby material events are identified, captured and escalated.
Root causes of events are determined, and action plans put in place to ensure an optimum level of control to keep customers and the business
safe, reduce costs, and improve efficiency.
The insurance programme is monitored and reviewed regularly, with recommendations being made to the Group’s senior management
annually prior to each renewal. Insurers are monitored on an ongoing basis, to ensure counterparty risk is minimised. A process is in place to
manage any insurer rating changes or insolvencies.
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MODEL RISK
DEFINITION
Model risk is defined as the risk of financial loss, regulatory censure, reputational damage or customer detriment, as a result of deficiencies in
the development, application or ongoing operation of models and rating systems.
Models are defined as quantitative methods that process input data into quantitative outputs, or qualitative outputs (including ordinal letter
output) which have a quantitative measure associated with them. Model governance policy is restricted to specific categories of application of
models, principally financial risk, treasury and valuation, with certain exclusions, such as prescribed calculations and project appraisal
calculations.
EXPOSURES
The Group makes extensive use of models. They perform a variety of functions including:
Capital calculation
Credit decisioning, including fraud
Pricing models
Impairment calculation
Stress testing and forecasting
Market risk measurement
As a result of the wide scope and breadth of coverage, there is exposure to model risk across a number of the Group’s principal risk categories.
Model risk remains above pre-pandemic levels. The effect of government-led customer support schemes weakened relationships between
model inputs and outputs, and there remains a reliance on the use of judgement, particularly in the areas for forecasting and impairment.
However, recent months have seen more stable patterns for model outputs, and model drivers are expected to remain valid in the longer term.
In addition, in common with the rest of the industry, changes required to capital models following new regulations will create a temporary
increase in the risk relating to these models during the period of transition. Further information on capital impacts are detailed in the capital risk
section on pages 47 to 54.
MEASUREMENT
The Board risk appetite metric is the key component for measuring the Group’s most material models; performance is reported monthly to the
Group and Board Risk Committees.
MITIGATION
The model risk management framework, established by and with continued oversight from an independent team in the Risk division, provides
the foundation for managing and mitigating model risk within the Group. Accountability is cascaded from the Board and senior management
via the Group enterprise risk management framework.
This provides the basis for Lloyds Banking Group's model governance policy, which defines the mandatory requirements for models across
Lloyds Bank Group, including:
The scope of models covered by the policy
Model materiality
Roles and responsibilities, including ownership, independent oversight and approval
Key principles and controls regarding data integrity, development, validation, implementation, ongoing maintenance and revalidation,
monitoring, and the process for non-compliance
The model owner takes responsibility for ensuring the fitness for purpose of the models and rating systems, supported and challenged by the
independent specialist Group function.
The above ensures all models in scope of policy, including those involved in regulatory capital calculation, are developed consistently and are of
sufficient quality to support business decisions and meet regulatory requirements.
MONITORING
The Lloyds Banking Group Model Governance Committee is the primary body for overseeing model risk. Policy requires that key performance
indicators are monitored for every model to ensure they remain fit for purpose and all issues are escalated appropriately. Material model issues
are reported to the Group and Board Risk Committees monthly, with more detailed papers as necessary to focus on key issues.
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REGULATORY AND LEGAL RISK
DEFINITION
Regulatory and legal risk is defined as the risk of financial penalties, regulatory censure, criminal or civil enforcement action or customer
detriment as a result of failure to identify, assess, correctly interpret, comply with, or manage regulatory and/or legal requirements.
EXPOSURES
The Group has a zero risk appetite for material legal or regulatory breaches. However, due to the wide scope and breadth of its regulatory
permissions, the Group remains exposed to the evolving UK legal and regulatory landscape, such as changes to the Regulatory Framework due
to the UK's exit from the EU and other changing regulatory standards as well as uncertainty arising from the current and future litigation
landscape.
MEASUREMENT
Regulatory and legal risks are measured against a defined risk appetite metric, which is an assessment of material regulatory breaches and
material legal incidents.
MITIGATION
The Group undertakes a range of key mitigating actions to manage regulatory and legal risk. These include the following:
The Board has established a Group-wide risk appetite and metric for regulatory and legal risk
Lloyds Banking Group policies and procedures set out the principles and key controls that should apply across Lloyds Bank Group which are
aligned to the Lloyds Bank Group risk appetite. Mandated policies and processes require appropriate control frameworks, management
information, standards and colleague training to be implemented to identify and manage regulatory and legal risk
Business units identify, assess and implement policy and regulatory requirements and establish local controls, processes, procedures and
resources to ensure appropriate governance and compliance
Business units regularly produce management information to assist in the identification of issues and test management controls are working
effectively
Risk and Legal departments provide oversight, proactive support and constructive challenge to the business in identifying and managing
regulatory and legal issues
Risk division conducts thematic reviews of regulatory compliance and provides oversight of regulatory compliance assessments across
businesses and divisions where appropriate
Business units, with the support of divisional and Group-level teams, conduct ongoing horizon scanning to identify and address changes in
regulatory and legal requirements
The Group engages with regulatory authorities and industry bodies on forthcoming regulatory changes, market reviews and investigations,
ensuring programmes are established to deliver new regulation and legislation
The Group has adapted quickly to evolving regulatory expectations during the COVID-19 pandemic and has engaged with regulatory
authorities throughout
MONITORING
Material risks are managed through the relevant divisional-level committees, with review and escalation through Group-level committees where
appropriate, including the escalation of any material regulatory breaches or material legal incidents.
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STRATEGIC RISK
DEFINITION
Strategic risk is defined as the risk which results from:
Incorrect assumptions about internal or external operating environments
Failure to understand the potential impact of strategic responses and business plans on existing risk types
Failure to respond or the inappropriate strategic response to material changes in the external or internal operating environments
EXPOSURES
The Group faces significant risks due to the changing regulatory and competitive environments in the financial services sector, with an increased
pace, scale and complexity of change. Customer, shareholder and employee expectations continue to evolve and current societal trends are
being accelerated following the COVID-19 pandemic.
Strategic risks can manifest themselves in existing principal risks or as new exposures which could adversely impact the Group and its
businesses.
In considering strategic risks, a key focus is the interconnectivity of individual risks and the cumulative effect of different risks on the Group’s
overall risk profile.
The Group has invested in implementing a robust framework for the identification, assessment and quantification of strategic risks and their
incorporation into business planning and strategic investment decisions. With Board support, the Group will continue to invest in evolving the
strategic risk management framework and embedding it into the Group's day-to-day business operations.
MEASUREMENT
The Group assesses and monitors strategic risk implications as part of business planning and in its day-to-day activities, ensuring they respond
appropriately to internal and external factors including changes to regulatory, macroeconomic and competitive environments. An assessment is
made of the key strategic risks that are considered to impact the Group, leveraging internal and external information and the key mitigants or
actions that could be taken in response.
2021 saw development of the Group’s quantitative risk assessment approach, assessing the:
Connectivity of inherent risks, which can magnify their impact and severity
Time horizons in respect of the crystallisation of impacts, should risks manifest
MITIGATION
The range of mitigating actions includes the following:
Horizon scanning is conducted across the Group to identify potential threats, risks, emerging issues and opportunities and to explore future
trends
The Group’s business planning processes include formal assessment of the strategic risk implications of new business, product entries and
other strategic initiatives
The Group’s governance framework mandates individuals' and committees' responsibilities and decision-making rights, to ensure that
strategic risks are appropriately reported and escalated
MONITORING
A review of the Group’s strategic risks is undertaken on an annual basis and the findings are reported to the Group and Board Risk Committees.
Risks, alongside their control effectiveness, are articulated and reported regularly to Group and Board Risk Committees.
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CLIMATE RISK
DEFINITION
Climate risk is defined as the risk that the Group experiences losses and/or reputational damage as a result of physical events, transition risk, or
as a consequence of the responses to managing these changes, either directly or through our customers.
EXPOSURES
Climate risk can arise from:
Physical risks - changes in climate or weather patterns which are acute, event driven (e.g. flood or storms), or chronic, longer-term shifts (e.g.
rising sea levels or droughts)
Transition risks - changes associated with the move towards a low carbon economy, including changes to policy, legislation and regulation,
technology and changes to customer preferences; or legal risks from failing to manage these changes
Climate risk manifests through, and has the potential to impact, the Group’s existing principal financial and non-financial risks. The Group has
adopted a comprehensive approach to embedding climate risk into its enterprise risk management framework, establishing climate risk as its
own principal risk, as well as its integration into our existing principal risks.
The Group has undertaken an analysis of the main physical and transition risk which may impact the Group and our customers, as well as how
these may impact across the different principal risks within the Group’s enterprise risk management framework. For further information see page
55 in the 2021 Lloyds Banking Group Climate Report.
The Group has identified loans and advances to customers in sectors at increased risk from the impacts of climate change, see page 59 in the
2021 Lloyds Banking Group Climate Report.
MEASUREMENT
In order to identify the main physical and transition risks which could impact the Group, a number of workshops have been held with subject
matter experts across the divisions and Risk division. These workshops have taken into account the sectors most exposed to the risks from
climate change and also the impacts across the other principal risks in the Group’s enterprise risk management framework. These outputs have
been used to establish the key risks impacting the Group to inform where updates are required to the Group’s risk management processes to
ensure suitable management of climate risk.
The Group is continuing to develop a number of metrics to track key areas of climate risk across its main portfolios. In Commercial Banking, the
Group has continued to enhance our internal climate risk assessment methodologies and tools to assess the physical and transition risks
relevant to our clients, developing and launching a bespoke qualitative climate risk assessment tool with a focus on transition risks and
readiness, which will be completed at least annually as part of regular client engagements for our large corporate portfolio.
Initial consideration of climate risks was included within Lloyds Banking Group’s financial planning process, considering the key impacts for the
Group across key business areas where detailed sector reviews have been undertaken.
The Group has continued to develop its scenario modelling capabilities and Lloyds Banking Group participated in the Bank of England’s
Climate Biennial Exploratory Scenario on the Financial Risks for Climate Change. Commentary on climate-related risks was included in the
Group’s annual Individual Capital Adequacy Assessment Process. Work continues to improve our scenario analysis capabilities and other
analytical tools.
MITIGATION
In 2021, the Lloyds Banking Group climate risk policy was established to provide an overarching framework for the management of climate risks,
intended to support appropriate consideration of climate risks across key activities. The policy also supports Lloyds Banking Group’s climate-
related external ambitions and progress against the relevant regulatory requirements, including the Task Force on Climate-related Financial
Disclosures (TCFD) recommendations.
The Group is continuing to integrate consideration of climate risk as part of its activity and processes for managing other principal risks in our
enterprise risk management framework. Lloyds Banking Group’s credit risk policy includes mandatory requirements to consider environmental
risks in key risk management activities. In Commercial Banking, Relationship Managers must ensure that climate risk is considered for all new
and renewal facilities, and specifically commented on for customers who bank with us where total limits exceed £500,000 (excluding automated
renewal process). In Retail, Lloyds Banking Group’s credit risk policies require due regard to be paid to energy efficiency (EPC controls) and
physical risks (such as flood assessments) in our mortgages business, and transition risks (pace and growth of electric vehicles) within our motor
portfolio.
The Group has undertaken sector deep dives where there is lending to customers in sectors at increased risk from the impacts of climate
change, considering both risks and opportunities as the Group looks to support its customers’ responses to climate change.
Lloyds Banking Group has twelve external sector statements that help articulate appropriate areas of climate-related risk appetite and the
Group's approach to the risk assessment of its customers. Lloyds Banking Group is continuing to refine and enhance these statements.
MONITORING
Governance for climate risk is embedded into the Group’s existing governance structure and is complementary to governance of the Group’s
sustainability strategy.
Climate risk is included as part of regular risk reporting to the Lloyds Banking Group and Ring-Fenced Banks Board Risk Committees. This is
currently focused on a qualitative assessment against external expectations and Lloyds Banking Group's external commitments. A Board-
approved risk appetite statement for climate risk is also in place, supported by an initial metric to ensure the Group continues to progress
activities at pace.
The Group is continuing to develop its approach to measuring and monitoring climate risk and will enhance reporting going forward as
understanding and capabilities increase, which will also be used to set further quantitative and qualitative risk appetite metrics as appropriate.
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This document contains certain forward looking statements within the meaning of Section 21E of the US Securities Exchange Act of 1934, as
amended, and section 27A of the US Securities Act of 1933, as amended, with respect to the business, strategy, plans and/or results of Lloyds
Bank plc together with its subsidiaries (the Lloyds Bank Group) and its current goals and expectations. Statements that are not historical or
current facts, including statements about the Lloyds Bank Group's or its directors' and/or management's beliefs and expectations, are forward
looking statements. Words such as, without limitation, ‘believes’, ‘achieves’, ‘anticipates’, ‘estimates’, ‘expects’, ‘targets’, ‘should’, ‘intends’,
‘aims’, ‘projects’, ‘plans’, ‘potential’, ‘will’, ‘would’, ‘could’, ‘considered’, ‘likely’, ‘may’, ‘seek’, ‘estimate’, ‘probability’, ‘goal’, ‘objective’, ‘deliver’,
‘endeavour’, ‘prospects’, ‘optimistic’ and similar expressions or variations on these expressions are intended to identify forward looking
statements. These statements concern or may affect future matters, including but not limited to: projections or expectations of the Lloyds Bank
Group’s future financial position, including profit attributable to shareholders, provisions, economic profit, dividends, capital structure,
portfolios, net interest margin, capital ratios, liquidity, risk-weighted assets (RWAs), expenditures or any other financial items or ratios; litigation,
regulatory and governmental investigations; the Lloyds Bank Group’s future financial performance; the level and extent of future impairments
and write-downs; the Lloyds Bank Group’s ESG targets and/or commitments; statements of plans, objectives or goals of the Lloyds Bank Group
or its management and other statements that are not historical fact; expectations about the impact of COVID-19; and statements of
assumptions underlying such statements. By their nature, forward looking statements involve risk and uncertainty because they relate to events
and depend upon circumstances that will or may occur in the future. Factors that could cause actual business, strategy, plans and/or results
(including but not limited to the payment of dividends) to differ materially from forward looking statements include, but are not limited to:
general economic and business conditions in the UK and internationally; market related risks, trends and developments; risks concerning
borrower and counterparty credit quality; fluctuations in interest rates, inflation, exchange rates, stock markets and currencies; volatility in credit
markets; volatility in the price of our securities; any impact of the transition from IBORs to alternative reference rates; the ability to access
sufficient sources of capital, liquidity and funding when required; changes to the Lloyds Bank Group’s or Lloyds Banking Group plc’s credit
ratings; the ability to derive cost savings and other benefits including, but without limitation, as a result of any acquisitions, disposals and other
strategic transactions; inability to capture accurately the expected value from acquisitions; potential changes in dividend policy; the ability to
achieve strategic objectives; insurance risks; management and monitoring of conduct risk; exposure to counterparty risk; credit rating risk;
tightening of monetary policy in jurisdictions in which the Lloyds Bank Group operates; instability in the global financial markets, including
within the Eurozone, and as a result of ongoing uncertainty following the exit by the UK from the European Union (EU) and the effects of the EU-
UK Trade and Cooperation Agreement; political instability including as a result of any UK general election and any further possible referendum
on Scottish independence; operational risks; conduct risk; technological changes and risks to the security of IT and operational infrastructure,
systems, data and information resulting from increased threat of cyber and other attacks; natural pandemic (including but not limited to the
COVID-19 pandemic) and other disasters; inadequate or failed internal or external processes or systems; acts of hostility or terrorism and
responses to those acts, or other such events; geopolitical unpredictability; risks relating to sustainability and climate change (and achieving
climate change ambitions), including the Lloyds Bank Group’s or the Lloyds Banking Group’s ability along with the government and other
stakeholders to measure, manage and mitigate the impacts of climate change effectively; changes in laws, regulations, practices and accounting
standards or taxation; changes to regulatory capital or liquidity requirements and similar contingencies; assessment related to resolution
planning requirements; the policies and actions of governmental or regulatory authorities or courts together with any resulting impact on the
future structure of the Lloyds Bank Group; failure to comply with anti-money laundering, counter terrorist financing, anti-bribery and sanctions
regulations; failure to prevent or detect any illegal or improper activities; projected employee numbers and key person risk; increased labour
costs; assumptions and estimates that form the basis of our financial statements; the impact of competitive conditions; and exposure to legal,
regulatory or competition proceedings, investigations or complaints. A number of these influences and factors are beyond the Lloyds Bank
Group’s control. Please refer to the latest Annual Report on Form 20-F filed by Lloyds Bank plc with the US Securities and Exchange
Commission (the SEC), which is available on the SEC’s website at www.sec.gov, for a discussion of certain factors and risks. Lloyds Bank plc may
also make or disclose written and/or oral forward-looking statements in other written materials and in oral statements made by the directors,
officers or employees of Lloyds Bank plc to third parties, including financial analysts. Except as required by any applicable law or regulation, the
forward-looking statements contained in this document are made as of today's date, and the Lloyds Bank Group expressly disclaims any
obligation or undertaking to release publicly any updates or revisions to any forward looking statements contained in this document whether as
a result of new information, future events or otherwise. The information, statements and opinions contained in this document do not constitute
a public offer under any applicable law or an offer to sell any securities or financial instruments or any advice or recommendation with respect to
such securities or financial instruments.
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68
INDEPENDENT AUDITORS’ REPORT TO THE MEMBERS OF LLOYDS BANK PLC
Report on the audit of the financial statements
1.Opinion
In our opinion:
the financial statements of Lloyds Bank plc (the ‘Bank’) and its subsidiaries (the ‘Group’ or ‘LB’) give a true and fair view of the state of the
Group’s and of the Bank’s affairs as at 31 December 2021 and of the Group’s profit for the year then ended;
the Group financial statements have been properly prepared in accordance with United Kingdom adopted international accounting
standards and International Financial Reporting Standards (IFRSs) as issued by the International Accounting Standards Board (IASB);
the Bank’s financial statements have been properly prepared in accordance with United Kingdom adopted international accounting
standards and as applied in accordance with the provisions of the Companies Act 2006; and
the financial statements have been prepared in accordance with the requirements of the Companies Act 2006.
We have audited the financial statements which comprise the:
Group
Bank
Consolidated balance sheet as at 31 December 2021;
Consolidated income statement for the year then ended;
Consolidated statement of comprehensive income for the year
then ended;
Consolidated statement of changes in equity for the year then
ended;
Consolidated cash flow statement for the year then ended; and
Notes 1 to 47 to the financial statements, which include the
accounting principles and policies.
Balance sheet as at 31 December 2021;
Statement of comprehensive income for the year then ended;
Statement of changes in equity for the year then ended;
Cash flow statement for the year then ended; and
Notes 1 to 47 to the financial statements, which include the
accounting principles and policies, as applicable to the Bank.
The financial reporting framework that has been applied in their preparation is applicable law and United Kingdom adopted international
accounting standards as applied in accordance with the provisions of the Companies Act 2006.
2.Basis for opinion
We conducted our audit in accordance with International Standards on Auditing (UK) (ISAs (UK)) and applicable law. Our responsibilities under
those standards are further described in the auditor’s responsibilities for the audit of the financial statements section of our report.
We are independent of the Group and the Bank in accordance with the ethical requirements that are relevant to our audit of the financial
statements in the UK, including the Financial Reporting Council’s (the ‘FRC’s’) Ethical Standard as applied to listed public interest entities, and
we have fulfilled our other ethical responsibilities in accordance with these requirements. The non-audit services provided to the Group and the
Bank for the year are disclosed in note 10 to the financial statements. We confirm that we have not provided any non-audit services prohibited
by the FRC’s Ethical Standard to the Group or the Bank.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
3.Audit scope, approach, and execution
Key audit matters
The key audit matters that we identified in the current year were:
Expected credit losses (Group and Bank)
Regulatory and litigation matters (Group and Bank)
Defined benefit obligations (Group and Bank)
IT systems that impact financial reporting (Group and Bank)
Materiality
Overall materiality used for the Group consolidated financial statements was £290 million, which was determined on the
basis of profit before tax and net assets.
Overall materiality used for the Bank’s financial statements was £290 million, which was determined on the basis of net
assets and capped at Group materiality.
Scoping
Our audit scope covers 90% of the Group’s revenue, 95% of the Group’s profit before tax and 97% of the Group’s total
assets.
First year audit transition
This is the first year we have been appointed as auditors to the Group. We undertook a number of transitional procedures to prepare for the
audit including establishing our independence from the Group which involved ceasing a number of commercial relationships and banking
arrangements and changing the financial arrangements for our partners and over 3,000 staff who are in the audit division at Deloitte, or who
work on the Lloyds Banking Group audit including the LB Group and Bank audit. We used the time prior to commencing our audit to meet with
Group leadership and non-executive directors to gain an understanding of the business, its issues and the environment in which it operates.
We became independent of the Group and commenced our audit planning on 1 January 2020. From that date we attended all Audit
Committee meetings, initially in an observer capacity, and continued to meet regularly with Group leadership, non-executive directors and the
Group’s main regulators. We worked alongside the former auditor, reviewed their working papers and shadowed some of their meetings to
gain an understanding of the Group’s processes, their audit risk assessment, and the controls on which they relied for the purposes of issuing
their audit opinion.
Throughout 2020 we held regular meetings of audit partners and senior staff who would be responsible for undertaking the most significant
areas of the Group audit. The main purpose of these meetings were to outline our audit approach, including discussing possible significant
audit risks, the use of analytics in assessing significant and non-significant risks, to discuss testing approaches, and to brief our teams on the
Group’s key processes, systems and structure. During these meetings, we also heard directly from the Group on the changes impacting the
business to inform our audit planning and risk assessment.
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Our audit approach
We structured our approach to the audit to reflect how the Group is organised as well as ensuring our audit was both effective and risk focused.
Our audit approach can be summarised into the following areas that enabled us to obtain the evidence required to form an opinion on the
Group and the Bank’s financial statements:
Risk assessment and audit planning. We identified and instructed partners for the Group and Bank audit, as well as identified partners to
lead areas requiring significant audit judgement including expected credit losses and provisions for regulatory and litigation matters. These
partners met regularly with management to understand business strategy, accounting judgements and estimations and other matters which
arose during the year that could have impacted the Group’s financial reporting. Our risk assessment was further informed by detailed
analytics as well as other quantitative and qualitative audit procedures, including consideration of matters such as the impact of the global
pandemic and climate change on the account balances, disclosures and company practices;
Audit procedures undertaken at a Group level and at the Bank. In addition to the above, the Group’s and the Bank’s operations,
comprised primarily of retail and commercial banking operations, were subject to audit procedures. Government work-from-home orders
and travel restrictions in force during the year required our team to work and communicate remotely. We were able to complete our audit
work through increased videoconferencing and direct reviews of work completed, and continued to attend virtually the planning and
clearance meetings with management. We also performed audit work on the Group and Bank financial statements, including the
consolidation of the Group’s results, the preparation of the financial statements, litigation provisions and exposures in addition to the
Group’s entity level and oversight controls relevant to financial reporting;
Internal controls testing approach. We tested internal controls over financial reporting where our scoping and risk assessment determined
those controls to be relevant to the audit. This included testing of general IT controls, process level controls and entity level controls at the
Group level; and
The impact of climate change on our audit. In planning our audit, we have considered the impact of climate change on the Group’s
operations and subsequent impact on its financial statements. The Group sets out its assessment of the potential impact on page 67 of the
Risk Management section of the Annual Report.
In conjunction with our climate risk specialists, we have held discussions with the Group to understand their:
process for identifying affected operations, including the governance and controls over this process, and the subsequent effect on the
financial reporting for the Group; and
long-term strategy to respond to climate change risks as they evolve including the effect on the Group’s forecasts.
Our audit work has involved:
challenging the completeness of the physical and transition risks identified and considered in the Group’s climate risk assessment and
the conclusion that there is no material impact of climate change risk on the current year financial reporting;
assessing the Group’s qualitative loan sector analysis, which supports the Group’s conclusion that there is no material financial
statement impact of climate risk on expected credit losses; and
assessing disclosures in the annual report, and challenging the consistency between the financial statements and the remainder of the
annual report.
As part of our audit procedures we read the Group’s disclosures on page 67 to consider whether they are materially inconsistent with the
financial statements or knowledge obtained in the audit and we did not identify any material inconsistencies as a result of these procedures.
4.Conclusions relating to going concern
In auditing the financial statements, we have concluded that the directors’ use of the going concern basis of accounting in the preparation of
the financial statements is appropriate.
Our evaluation of the directors’ assessment of the Group’s and the Bank’s ability to continue to adopt the going concern basis of accounting
included:
using our knowledge of the Group and the Bank, the financial services industry, the financial services regulatory environment and the
general economic environment to identify inherent risks in the business model and how such risks might affect the financial resources or
ability to continue operations over the going concern period;
making enquiries of Group management about the assumptions, including climate risk considerations, used in their going concern models,
and assessing the reasonableness of those assumptions and historical forecasting accuracy;
evaluating the Group’s strategic plans, short and longer term financial budgets, funding, liquidity and capital adequacy plans including
internal stress tests;
considering the Group’s operational resilience;
reading analyst reports, industry data, Bank of England reports and other external information to determine if it provided corroborative or
contradictory evidence in relation to the Group’s assumptions;
reviewing correspondence and meeting with prudential and conduct regulators to assess whether there are any matters that may impact the
going concern assessment;
testing the underlying data generated to prepare the forecast scenarios and determined whether there was adequate support for the
assumptions underlying the forecasts; and
evaluating the Group’s disclosures on going concern against the requirements of IAS 1.
Based on the work we have performed, we have not identified any material uncertainties relating to events or conditions that, individually or
collectively, may cast significant doubt on the Group's and the Bank’s ability to continue as a going concern for a period of at least twelve
months from when the financial statements are authorised for issue.
Our responsibilities and the responsibilities of the directors with respect to going concern are described in the relevant sections of this report.
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5.Key audit matters
Key audit matters are those matters that, in our professional judgement, were of most significance in our audit of the financial statements of the
current period and include the most significant assessed risks of material misstatement (whether or not due to fraud) that we identified. These
matters included those which had the greatest effect on: the overall audit strategy, the allocation of resources in the audit, and directing the
efforts of the engagement team.
These matters were addressed in the context of our audit of the financial statements as a whole, and in forming our opinion thereon, and we do
not provide a separate opinion on these matters.
Expected credit losses (Group and Bank)
Key audit matter description
How the scope of our audit responded to the key audit matter
Refer to notes 2, 3, 11, 15 and 44 in the financial statements
The Group has recognised £4.0bn of expected credit losses
(“ECL”) at 31 December 2021. The determination of ECL
consists of a number of assumptions that require a high degree
of judgement and involve complex impairment modelling. The
key areas we identified as having the most significant level of
management judgement were in respect of:
Multiple Economic Scenarios (MES);
Retail ECL; and
Commercial ECL.
Multiple economic scenarios
The measurement of expected credit losses is required to
reflect an unbiased probability-weighted range of possible
future outcomes.
The Group’s economics team develops the future economic
scenarios. Firstly, a base case forecast is produced based on a
set of conditioning assumptions, which are designed to reflect
the Group’s best view of future events. A full distribution of
economic scenarios around this base case is produced using a
Monte Carlo simulation and scenarios within that distribution
are ranked using estimated relationships with industrywide
historical loss data.
Four scenarios are derived from the distribution as averages of
constituent modelled scenarios around the 15th, 75th and 95th
percentiles of the distribution corresponding to an upside, a
downside and a severe downside, respectively. The upside, the
base case and the downside scenarios are weighted at 30% and
the severe downside at 10%.
These four scenarios are then used as key assumptions in the
determination of the ECL allowance.
The development of these multiple economic scenarios is
inherently uncertain, highly complex, and requires significant
judgement. The global pandemic has increased the uncertainty
of the conditioning assumptions used to develop the base case
and, to account for this, the Group have recognised an
adjustment to their multiple economic scenarios model to
account for the significant downside uncertainties.
Working with our internal economic team and modelling specialists, we
performed the following procedures:
Tested the controls over the generation of the multiple economic
scenarios including those over the Group’s governance processes to
determine the base case, different scenarios and the weightings applied
to each scenario;
Challenged and evaluated economic forecasts in the base scenario such
as the unemployment rate, House Price Index and Gross Domestic
Product through comparison to an independent economic outlook,
external analysts and market data;
Challenged and evaluated the appropriateness of the methodology
applied to generate alternative macroeconomic scenarios, including
associated weightings, and assumptions within;
Tested whether the methodology has been appropriately reflected in
the model code by producing an independent version of the model
generating alternative macroeconomic scenarios and reconciling its
outputs to the Group’s model;
Tested the completeness and accuracy of the data used by the model;
Performed a stand back assessment of the appropriateness of the
weightings applied to each of the scenarios based on publicly available
data; and
Evaluated the adequacy of disclosures in respect of significant
judgements and sources of estimation uncertainty including
macroeconomic scenarios.
In respect of the adjustment to the multiple economic scenarios model, we
performed the following procedures:
Tested the controls over review, challenge, and approval of this central
adjustment;
Tested the completeness and accuracy of the data used in the
quantification of the model adjustment; and
Evaluated the adequacy of the disclosures of the adjustment, including
the sensitivity analysis.
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Key audit matter description
How the scope of our audit responded to the key audit matter
Retail ECL
The ECL for the Retail division is determined on a collective
basis using impairment models to calculate a probability
weighted estimate by applying an appropriate probability of
default, estimated exposure at default and taking account of
collateral held or other loss mitigants, discounted using the
effective interest rate.
The key judgements and estimates in determining the ECL for
the Retail division include:
model estimations, including model assumptions and data
used such as statistical modelling triangulations, behavioral
lives, and portfolio data;
the appropriate allocation of assets into the correct stage of 1,
2 or 3 under IFRS 9 ‘Financial Instruments’ taking into account
any significant deterioration in credit risk since inception; and
in-model and post-model adjustments (IMAs and PMAs) which
are recognised to address identified model and data
limitations.
We tested controls across the process to determine the ECL provisions
including the following:
Model governance including model validation and monitoring;
In-model adjustments (IMA) and post-model adjustments (PMA);
Model assumptions;
The allocation of assets into stages; and
Data accuracy and completeness.
Working with our internal modelling specialists, our audit procedures over
the key areas of estimation included:
Model estimations, where we:
assessed and challenged the appropriateness of modelling approach
and assumptions used;
independently replicated the models for the most material portfolios
and compared outputs of our instances of the models to the Group’s;
evaluated whether other models operate in line with their specification
through inspecting and re-running the model code designed by the
Group;
assessed model performance by evaluating variations between
observed data and model predictions;
developed an understanding of and assessed model limitations and
remedial actions; and
tested the completeness and accuracy of the data used in model
execution and calibration.
Allocation of assets into stages, where we:
evaluated the appropriateness of quantitative and qualitative criteria
used for allocation into IFRS 9 stages;
tested the appropriateness of the stage allocation for a sample of
exposures; and
tested the data used by models in assigning IFRS 9 stages and
evaluated the appropriateness of the model logic used.
In-model and post-model adjustments, where we:
challenged the methodology, approach and assumptions in
developing IMAs and PMAs, and evaluated the Group’s selection of
approach for indications of bias;
tested the completeness and accuracy of the data used;
performed a recalculation of the IMAs and PMAs; and
evaluated the completeness of IMAs and PMAs based on our
understanding of model and data limitations, including those
highlighted by the COVID-19 pandemic.
Adequacy of disclosures, where we:
assessed whether the disclosures appropriately address the
uncertainty which exists in determining the ECL.
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Key audit matter description
How the scope of our audit responded to the key audit matter
Commercial ECL
The ECL in the Commercial Banking division is calculated on a
collective basis for performing loans, being those in stage 1 and
2, and on an individual basis for larger impaired loans in stage 3.
The collective provision is determined using impairment
models. The models use a number of significant judgments to
calculate a probability weighted ECL estimate applying an
appropriate probability of default, estimated exposure at
default and taking account of collateral held or other loss
mitigants, discounted using the effective interest rate. The key
driver of the probability of default and, therefore, the staging of
Commercial Banking exposures is the credit risk rating. The
determination of these credit risk ratings is performed on a
counterparty basis for larger exposures by a credit officer and
involves a high degree of judgement and consideration of
multiple sources of information.
Therefore, we focused our work on testing the credit risk ratings
feeding the collective models and the appropriateness of the
methodology.
For individual assessments of larger exposures in Stage 3, the
significant judgements in determining provisions and where we
focused our work are the:
completeness and appropriateness of the potential workout
and restructuring scenarios identified;
probability assigned to each identified potential workout and
restructuring scenario through the use of best, likely or worst
case flags; and
valuation assumptions used in determining the workout and
restructuring scenarios.
We tested the controls across the process to determine the ECL provisions
including:
the determination of credit risk ratings;
the allocation into stages, particularly the assessment of a significant
change in credit risk;
model governance and arithmetical accuracy of provision calculations;
data accuracy and completeness; and
recognition and calculation of post-model adjustments.
We performed the following audit procedures over:
Expected credit losses determined through impairment models:
Independently assessed the credit rating and tested whether a
significant increase in credit risk had occurred to result in a stage 2
classification against IFRS 9 criteria;
Assessed and challenged the model methodologies, approach and
assumptions, including those used in developing the IMAs and PMAs;
Tested the completeness and accuracy of data used; and
Performed a recalculation of the IFRS 9 collective provision.
Expected credit losses assessed individually:
Assessed the exposures to determine if they met the definition of
credit impaired;
Performed independent assessments to determine the
appropriateness of recovery scenarios and associated cash flows,
including considerations of climate risks on recoveries;
Evaluated valuations, including the use of internal specialists for
business valuations; and
Independently assessed and challenged the completeness of workout
and restructuring scenarios identified and weightings applied.
Adequacy of disclosures, where we:
assessed whether the disclosures appropriately address the
uncertainty which exists in determining the ECL.
Key observations communicated to the Audit Committee
We are satisfied that the ECL are reasonable and recognised in accordance with the requirements of IFRS 9. The calculations are based on
appropriate methodologies using reasonable modelled assumptions, including IMAs and PMAs addressing model shortcomings. Where
control deficiencies were identified, particularly in data linkage to models, compensating controls were identified and operated effectively.
Overall ECL levels are reasonable compared to peer benchmarking information, although we did identify some prudence in our assessment of
some of the model adjustments.
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Regulatory and litigation matters (Group and Bank)
Key audit matter description
How the scope of our audit responded to the key audit matter
Refer to notes 2, 3 and 29 in the financial statements.
The Group operates in an environment where it is subject to
regulatory investigations, litigation and customer remediation.
The Group is currently exposed to a number of regulatory and
litigation matters. The Group’s and the Bank's provision for
these matters is £1.1bn and £146 million respectively at 31
December 2021, the most significant of which is the HBOS
Reading matter.
Significant judgement is required by the Group in determining
whether, under IAS 37 Provisions, Contingent Liabilities and
Contingent Assets:
a reliable estimate can be made of the amount of the
obligation, particularly where the information available is
limited as is the case with HBOS Reading; and
any contingent liabilities and underlying significant estimation
uncertainties are adequately disclosed.
We performed the following audit procedures:
Tested the Group’s controls over the completeness of provisions, the
robustness of the assessment of the provision against the requirements
of IAS 37, the appropriateness of judgements used to determined a
‘best estimate’ and the completeness and accuracy of data used in the
process;
evaluated the assessment of the provisions, associated probabilities, and
potential outcomes in accordance with IAS 37;
verified and challenged whether the methodology, data and significant
judgements and assumptions used in the valuation of the provisions are
appropriate in the context of the applicable financial reporting
framework;
In respect of HBOS Reading, we inspected information available for the
limited number of awards made by the Foskett panel and tested the
methodology applied to determine the provision;
inspected correspondence and, where appropriate, made direct enquiry
with the Group’s regulators and internal and external legal counsel;
where no provision was made, we critically assessed and challenged the
conclusion in the context of the requirements of IAS 37 Provisions,
Contingent Liabilities and Contingent Assets; and
evaluated whether the disclosures made in the financial statements
appropriately reflect the facts and key sources of estimation uncertainty.
Key observations communicated to the Audit Committee
While there is significant judgement required in estimating the timing and value of future settlements, particularly in relation to the HBOS
Reading matter, we are satisfied that the approach to the estimation of these provisions is consistent with the requirements of IAS 37.
Defined benefit obligations (Group and Bank)
Key audit matter description
How the scope of our audit responded to the key audit matter
Refer to notes 2, 3 and 27 in the financial statements
The Group and the Bank operate a number of defined benefit
retirement schemes, the obligations for which totalled £47.1bn
for the Group, and £29.2bn for the Bank at 31 December 2021.
Their valuation is determined with reference to key actuarial
assumptions including mortality assumptions, discount rates
and inflation rates. Due to the size of these schemes, small
changes in these assumptions can have a material impact on the
value of the defined benefit obligation and therefore, the
assessment of these assumptions are a key judgement.
We performed the following audit procedures:
Tested the Group’s controls over the valuation of the defined benefit
obligations, including controls over the assumptions setting process; and
Challenged the key actuarial assumptions used by comparing against
ranges and expectations determined by our internal actuarial experts,
which are calculated with reference to the central assumptions adopted
by the actuarial firms for whom we have reviewed and accepted their
methodologies.
Key observations communicated to the Audit Committee
We are satisfied that the Group's judgements in relation to the actuarial assumptions were reasonable.
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IT systems that impact financial reporting (Group and Bank)
Key audit matter description
How the scope of our audit responded to the key audit matter
The Group’s IT environment is inherently complex as it supports
a broad range of banking products and facilitates the
processing of a significant volume of transactions.
The IT systems within the Group form a critical component of
the Group’s financial reporting activities and impact all account
balances with a reliance on automated and IT dependent
manual controls. Due to the significant reliance on IT systems,
effective General IT Controls (GITCs) are critical to allow reliance
to be placed on the completeness and accuracy of financial data
and the integrity of automated system functionality (e.g. system
calculations).
We identified the IT systems that impact financial reporting as a
key audit matter because of the:
pervasive reliance on complex technology that is integral to
the operation of key business processes and financial
reporting;
reliance on technology which continues to develop in line with
the business strategy, such as the increase in the use of
automation across the Group and increasing reliance on third
parties; and
importance of the IT controls in maintaining an effective
control environment. A key interdependency exists between
the ability to rely on IT controls and the ability to rely on
financial data, system configured automated controls and
system reports.
IT controls, in the context of our audit scope, primarily relate to
privileged access at the infrastructure level, user access security
at the application level and change control.
Our IT audit scope tested the Group’s IT controls over information systems
deemed relevant to the audit based on the financial data, system
configured automated controls and/or key financial reports that reside
within it.
We used IT specialists to support our evaluation of the risks associated
with IT in the following areas:
General IT Controls, including user access and change management
controls;
Key financial reports and system configured automated controls; and
Cyber security risk assessment.
Where deficiencies in the IT control environment were identified, our risk
assessment procedures included an assessment of those deficiencies to
determine the impact on our audit plan. Where relevant, the audit plan
was adjusted to mitigate the unaddressed IT risk.
Where we were able to identify and test appropriate mitigating controls
over affected financial statement line items, our testing approach
remained unchanged.
In a limited number of areas, we adopted a non-controls reliance approach
and we therefore performed additional substantive procedures.
Key observations communicated to the Audit Committee
IT control deficiencies were identified in respect of privileged user access to IT infrastructure and in application user access management. The
existence of these deficiencies in the year resulted in an increased risk in relation to data, reports and automated system functionality from the
affected systems.
However, overall, in combination with business mitigating controls, we are satisfied that the Group’s overall IT control environment
appropriately supports the financial reporting process.
6.Our application of materiality
6.1Materiality
We define materiality as the magnitude of misstatement in the financial statements that makes it probable that the economic decisions of a
reasonably knowledgeable person would be changed or influenced. We use materiality both in planning the scope of our audit work and in
evaluating the results of our work.
Based on our professional judgement, we determined materiality for the financial statements as a whole as follows:
Group financial statements
Bank financial statements
Materiality
£290 million (2020: £260 million)
£290 million (2020: £260 million)
Basis for determining
materiality
In determining our benchmark for materiality, we have
considered the metrics used by investors and other
users of the financial statements. We have determined
the following benchmarks to be the most relevant to
users of the financial statements:
Pre-tax profit; and
Net assets.
The determined materiality represents 5% of pre-tax
profit and 0.7% of net assets.
The increase in materiality from the predecessor
auditor’s determination of £260 million in 2020 is
primarily due to the increase in profit at 31 December
2021.
The Bank’s materiality represents 0.7% of net assets,
and is capped at Group materiality.
Rationale for the
benchmark applied
Given the importance of these measures to investors
and users of the financial statements, we have used pre-
tax profit as the primary benchmark for our
determination of materiality, and net assets as a
supporting benchmark.
The users of the Bank’s financial statements are
primarily focused on the balance sheet since it is
considered a key indicator of financial health. As such,
we have used net assets as the benchmark for
materiality.
However, given the size of the entity’s balance sheet,
we have capped materiality at the Group’s materiality.
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6.2Performance materiality
We set performance materiality at a level lower than materiality to reduce the probability that, in aggregate, uncorrected and undetected
misstatements exceed the materiality for the financial statements as a whole.
Group financial statements
Bank financial statements
Performance
materiality
60% of Group materiality – £175 million
60% of the Bank’s materiality – £175 million
Basis and rationale for
determining
performance
materiality
In determining performance materiality, we considered the following factors:
a.The current financial year being Deloitte LLP’s first year auditing the Group and the Bank’s financial statements;
b.The quality of the control environment and whether we were able to rely on controls;
c.Degree of centralisation and commonality of controls and processes;
d.The uncertain economic environment arising from the COVID-19 pandemic;
e.The nature, volume and size of uncorrected misstatements arising in the previous audit; and
f.The nature, volume and size of uncorrected misstatements that remain uncorrected in the current period.
6.3Error reporting threshold
We agreed with the Audit Committee that we would report all audit differences in excess of £15 million (2020: £13 million), as well as any
differences below this threshold, which in our view, warranted reporting on qualitative grounds. We also report to the Audit Committee on
disclosure matters that we identified when assessing the overall presentation of the financial statements.
7.Other Information
The other information comprises the information included in the Annual Report, other than the financial
statements and our auditor’s report thereon. The Directors are responsible for the other information contained
within the Annual Report. Our opinion on the financial statements does not cover the other information and,
except to the extent otherwise explicitly stated in our report, we do not express any form of assurance
conclusion thereon.
Our responsibility is to read the other information and, in doing so, consider whether the other information is
materially inconsistent with the financial statements or our knowledge obtained in course of the audit or
otherwise appears to be materially misstated.
If we identify such material inconsistencies or apparent material misstatements, we are required to determine
whether this gives rise to a material misstatement in the financial statements themselves. If, based on the work
we have performed, we conclude that there is a material misstatement of this other information, we are required
to report that fact.
We summarise below our work in relation to areas of the other information including those areas upon which we
are specifically required to report:
We have nothing to
report in this regard.
Our responsibility
Our reporting
Matters we are specifically required to report
Strategic report and
directors’ report
Report whether they are consistent with the audited
financial statements and are prepared in accordance
with applicable legal requirements.
Report if we have identified any material misstatements
in either report in the light of the knowledge and
understanding of the Group and of the Bank and their
environment obtained in the course of the audit.
As set out in the section “Opinions on other matters
prescribed by the Companies Act 2006”, in our opinion,
based on the work undertaken in the course of the
audit, the information in these reports is consistent with
the audited financial statements and has been prepared
in accordance with applicable legal requirements.
Principal risks (within
the Strategic Report)
Review the confirmation and description in the light of
the knowledge gathered during the audit, such as
through considering the directors’ processes to support
the statements made, challenging the Group’s key
judgements and estimates, consideration of historical
forecasting accuracy and evaluating macro-economic
assumptions.
We have nothing to report in respect of these matters.
8.Responsibilities of Directors
As explained more fully in the directors’ responsibilities statement, the directors are responsible for the preparation of the financial statements
and for being satisfied that they give a true and fair view, and for such internal control as the directors determine is necessary to enable the
preparation of financial statements that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, the directors are responsible for assessing the Group’s and the Bank’s ability to continue as a going
concern, disclosing as applicable, matters related to going concern and using the going concern basis of accounting unless the directors either
intend to liquidate the Group or the Bank or to cease operations, or have no realistic alternative but to do so.
9.Auditor’s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement,
whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but
is not a guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements
can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the
economic decisions of users taken on the basis of these financial statements.
A further description of our responsibilities for the audit of the financial statements is located on the FRC’s website at: www.frc.org.uk/
auditorsresponsibilities. This description forms part of our auditor’s report.
Lloyds Bank plc
Independent auditors’ report
76
10.Extent to which the audit was considered capable of detecting irregularities, including fraud
Irregularities, including fraud, are instances of non-compliance with laws and regulations. We design procedures in line with our responsibilities,
outlined above, to detect material misstatements in respect of irregularities, including fraud. The extent to which our procedures are capable of
detecting irregularities, including fraud is detailed below.
Identifying and assessing potential risks related to irregularities
In identifying and assessing the risks of material misstatement in respect of irregularities, including fraud and non-compliance with laws and
regulations, we considered the following:
The nature of the industry and sector, control environment and business performance including the design of the Group’s remuneration
policies, key drivers for directors’ remuneration, bonus levels and performance targets;
The Group’s own assessment of the risks that irregularities may occur either as a result of fraud or error that was approved by the board on
23 February 2022;
Enquiring of management, in-house legal counsel, internal audit and the Audit Committee, including obtaining and reviewing supporting
documentation, concerning the Group’s policies and procedures relating to:
identifying, evaluating and complying with laws and regulations and whether they were aware of any instances of non-compliance;
detecting and responding to the risks of fraud and whether they have knowledge of any actual, suspected or alleged fraud; and
the internal controls established to mitigate risks related to fraud or non-compliance with laws and regulations;
Discussing among the engagement team including relevant internal specialists, including tax, valuations, pensions, IT and industry
specialists regarding how and where fraud might occur in the financial statements and any potential indicators of fraud; and
Obtaining an understanding of the legal and regulatory frameworks that the Group and the Bank operate in, focusing on those laws and
regulations that had a direct effect on the financial statements, such as provisions of the UK Companies Act, pensions legislation and tax
legislation or that had a fundamental effect on the operations of the Group, including regulation and supervisory requirements of the
Prudential Regulation Authority, Financial Reporting Council and Financial Conduct Authority.
Audit response to risks identified
As a result of performing the above, we identified the Group’s and Bank’s determination of “expected credit losses” as a key audit matter
related to the potential risk of fraud. The key audit matters section of our report explains the matter in more detail and also describes the
specific procedures in response to those key audit matters. In common with all audits under ISAs (UK), we are also required to perform specific
procedures to respond to the risk of management override.
In addition to the above, our procedures to respond to risks identified included the following:
Reviewing the financial statement disclosures and testing to supporting documentation to assess compliance with provisions of relevant
laws and regulations described as having a direct effect on the financial statements;
Enquiring of management, the Audit Committee and in-house and external legal counsel concerning actual and potential litigation and
claims;
Performing analytical procedures to identify any unusual or unexpected relationships that may indicate risks of material misstatement due to
fraud;
Reading minutes of meetings of those charged with governance, reviewing internal audit reports and correspondence with regulators; and
In addressing the risk of fraud through management override of controls, testing the appropriateness of journal entries and other
adjustments; assessing whether the judgements made in making accounting estimates are indicative of a potential bias; and evaluating the
business rationale of any significant transactions that are unusual or outside the normal course of business.
We also communicated relevant identified laws and regulations and potential fraud risks to all engagement team members including specialists
and remained alert to any indications of fraud or non-compliance with laws and regulations throughout the audit.
Lloyds Bank plc
Independent auditors’ report
77
Report on other legal and regulatory requirements
11.Opinions on other matters prescribed by the Companies Act 2006
In our opinion, based on the work undertaken in the course of the audit:
The information given in the strategic report and the directors’ report for the financial year for which the financial statements are prepared is
consistent with the financial statements; and
The strategic report and the directors’ report have been prepared in accordance with applicable legal requirements.
In the light of the knowledge and understanding of the Group and of the Bank and their environment obtained in the course of the audit, we
have not identified any material misstatements in the strategic report or the directors’ report.
12.Matters on which we are required to report by exception
Adequacy of explanations received and accounting records
Under the Companies Act 2006 we are required to report to you if, in our opinion:
We have not received all the information and explanations we require for our audit; or
Adequate accounting records have not been kept by the Bank, or returns adequate for our audit have not
been received from branches not visited by us; or
The Bank’s financial statements are not in agreement with the accounting records and returns.
We have nothing to
report in respect of
these matters.
Directors’ remuneration
Under the Companies Act 2006 we are also required to report if in our opinion certain disclosures of directors’
remuneration have not been made or is not in agreement with the accounting records and returns.
We have nothing to
report in respect of
these matters.
13. Other matters which we are required to address
Auditor tenure
Following the recommendation of the Audit Committee, we were appointed by shareholders at its annual general meeting on 20 May 2021 to
audit the financial statements of Lloyds Banking Group plc, including Lloyds Bank plc for the year ended 31 December 2021 and subsequent
financial periods. The period of total uninterrupted engagement of the firm is accordingly one year.
Consistency of the audit report with the additional report to the Audit Committee
Our audit opinion is consistent with the additional report to the Audit Committee we are required to provide in accordance with ISAs (UK).
14.Use of our report
This report is made solely to the Bank’s members, as a body, in accordance with Chapter 3 of Part 16 of the Companies Act 2006. Our audit
work has been undertaken so that we might state to the Bank’s members those matters we are required to state to them in an auditor’s report
and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Bank and
the Bank’s members as a body, for our audit work, for this report, or for the opinions we have formed.
As required by the Financial Conduct Authority (FCA) Disclosure Guidance and Transparency Rule (DTR) 4.1.14R, these financial statements form
part of the European Single Electronic Format (ESEF) prepared Annual Financial Report filed on the National Storage Mechanism of the UK FCA
in accordance with the ESEF Regulatory Technical Standard (‘ESEF RTS’). This auditor’s report provides no assurance over whether the annual
financial report has been prepared using the single electronic format specified in the ESEF RTS.
Michael Lloyd (Senior Statutory Auditor)
For and on behalf of Deloitte LLP
Statutory Auditor
London, United Kingdom
8 March 2022
Lloyds Bank plc
Independent auditors’ report
78
2021
2020
2019
Note
£ million
£ million
£ million
Interest income
12,920
13,866
16,098
Interest expense
(1,884)
(3,096)
(3,878)
Net interest income
5
11,036
10,770
12,220
Fee and commission income
2,195
1,924
2,363
Fee and commission expense
(942)
(909)
(1,027)
Net fee and commission income
6
1,253
1,015
1,336
Net trading income
7
385
750
360
Other operating income
8
1,999
2,050
2,692
Other income
3,637
3,815
4,388
Total income
14,673
14,585
16,608
Operating expenses
9
(10,206)
(9,196)
(11,772)
Impairment credit (charge)
11
1,318
(4,060)
(1,362)
Profit before tax
5,785
1,329
3,474
Tax (expense) credit
12
(583)
137
(1,241)
Profit for the year
5,202
1,466
2,233
Profit attributable to ordinary shareholders
4,826
1,023
1,912
Profit attributable to other equity holders
344
417
281
Profit attributable to equity holders
5,170
1,440
2,193
Profit attributable to non-controlling interests
32
26
40
Profit for the year
5,202
1,466
2,233
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Consolidated income statement
for the year ended 31 December 2021
79
The Group
2021
2020
2019
£ million
£ million
£ million
Profit for the year
5,202
1,466
2,233
Other comprehensive income
Items that will not subsequently be reclassified to profit or loss:
Post-retirement defined benefit scheme remeasurements:
Remeasurements before tax
1,720
138
(1,433)
Tax
(658)
(25)
316
1,062
113
(1,117)
Movements in revaluation reserve in respect of equity shares held at fair value through other
comprehensive income:
Change in fair value
Tax
1
(16)
12
1
(16)
12
Gains and losses attributable to own credit risk:
Losses before tax
(86)
(75)
(419)
Tax
34
20
113
(52)
(55)
(306)
Items that may subsequently be reclassified to profit or loss:
Movements in revaluation reserve in respect of debt securities held at fair value through other
comprehensive income:
Change in fair value
137
46
(34)
Income statement transfers in respect of disposals
116
(145)
(196)
Income statement transfers in respect of impairment
(2)
5
(1)
Tax
(55)
74
72
196
(20)
(159)
Movements in cash flow hedging reserve:
Effective portion of changes in fair value taken to other comprehensive income
(2,138)
709
1,166
Net income statement transfers
(584)
(727)
(580)
Tax
764
(31)
(140)
(1,958)
(49)
446
Movements in foreign currency translation reserve:
Currency translation differences (tax: £nil)
(19)
(2)
Transfers to income statement (tax: £nil)
(19)
(2)
Total other comprehensive income for the year, net of tax
(770)
(27)
(1,126)
Total comprehensive income for the year
4,432
1,439
1,107
Total comprehensive income attributable to ordinary shareholders
4,056
996
786
Total comprehensive income attributable to other equity holders
344
417
281
Total comprehensive income attributable to equity holders
4,400
1,413
1,067
Total comprehensive income attributable to non-controlling interests
32
26
40
Total comprehensive income for the year
4,432
1,439
1,107
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Statements of comprehensive income
for the year ended 31 December 2021
80
The Bank
2021
2020
2019
£ million
£ million
£ million
Profit for the year
3,593
641
2,157
Other comprehensive income
Items that will not subsequently be reclassified to profit or loss:
Post-retirement defined benefit scheme remeasurements:
Remeasurements before tax
951
(133)
(776)
Tax
(395)
31
200
556
(102)
(576)
Movements in revaluation reserve in respect of equity shares held at fair value through other
comprehensive income:
Change in fair value
Tax
1
4
12
1
4
12
Gains and losses attributable to own credit risk:
Losses before tax
(86)
(75)
(419)
Tax
34
20
113
(52)
(55)
(306)
Items that may subsequently be reclassified to profit or loss:
Movements in revaluation reserve in respect of debt securities held at fair value through other
comprehensive income:
Change in fair value
139
12
(50)
Income statement transfers in respect of disposals
(2)
(138)
(201)
Income statement transfers in respect of impairment
1
1
(1)
Tax
(47)
36
74
91
(89)
(178)
Movements in cash flow hedging reserve:
Effective portion of changes in fair value taken to other comprehensive income
(438)
85
892
Net income statement transfers
(399)
(355)
(448)
Tax
190
30
(105)
(647)
(240)
339
Movements in foreign currency translation reserve:
Currency translation differences (tax: £nil)
(2)
1
6
Transfers to income statement (tax: £nil)
(2)
1
6
Total other comprehensive income for the year, net of tax
(53)
(481)
(703)
Total comprehensive income for the year
3,540
160
1,454
Total comprehensive income attributable to ordinary shareholders
3,196
(257)
1,173
Total comprehensive income attributable to other equity holders
344
417
281
Total comprehensive income for the year
3,540
160
1,454
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Statements of comprehensive income
for the year ended 31 December 2021
81
The Group
The Bank
2021
2020
2021
2020
Note
£ million
£ million
£ million
£ million
Assets
Cash and balances at central banks
54,279
49,888
49,618
45,753
Items in the course of collection from banks
147
300
99
257
Financial assets at fair value through profit or loss
13
1,798
1,674
4,529
1,724
Derivative financial instruments
14
5,511
8,341
6,898
12,595
Loans and advances to banks1
4,478
4,324
4,291
4,030
Loans and advances to customers1
430,829
425,694
116,716
123,822
Reverse repurchase agreements1
49,708
56,073
49,708
56,073
Debt securities
4,562
5,137
3,756
4,315
Due from fellow Lloyds Banking Group undertakings
739
738
108,424
128,771
Financial assets at amortised cost
15
490,316
491,966
282,895
317,011
Financial assets at fair value through other comprehensive income
17
27,786
27,260
25,529
24,647
Goodwill
18
470
470
Other intangible assets
19
4,144
4,112
3,096
2,960
Current tax recoverable
220
537
245
440
Deferred tax assets
28
4,048
3,468
2,434
2,109
Investment in subsidiary undertakings
20
30,588
33,353
Retirement benefit assets
27
4,531
1,714
2,420
765
Other assets1
21
9,599
10,209
3,473
3,852
Total assets
602,849
599,939
411,824
445,466
1See note 1 regarding changes to presentation.
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Balance sheets
at 31 December 2021
82
The Group
The Bank
2021
2020
2021
2020
Note
£ million
£ million
£ million
£ million
Liabilities
Deposits from banks1
3,363
6,230
2,768
5,217
Customer deposits1
449,373
425,152
268,683
255,056
Repurchase agreements1
30,106
28,184
78
14,504
Due to fellow Lloyds Banking Group undertakings
1,490
6,875
22,872
39,836
Items in course of transmission to banks
308
302
207
199
Financial liabilities at fair value through profit or loss
23
6,537
6,831
9,821
7,907
Derivative financial instruments
14
4,643
8,228
6,102
11,072
Notes in circulation
1,321
1,305
Debt securities in issue
24
48,724
59,293
38,439
48,109
Other liabilities
26
5,391
5,181
3,128
2,573
Retirement benefit obligations
27
230
245
101
106
Current tax liabilities
31
Other provisions
29
1,933
1,722
771
968
Subordinated liabilities
30
8,658
9,242
7,907
7,751
Total liabilities
562,077
558,821
360,877
393,298
Equity
Share capital
31
1,574
1,574
1,574
1,574
Share premium account
32
600
600
600
600
Other reserves
33
5,400
7,181
824
1,382
Retained profits2
34
28,836
25,750
43,681
42,677
Ordinary shareholders’ equity
36,410
35,105
46,679
46,233
Other equity instruments
35
4,268
5,935
4,268
5,935
Total equity excluding non-controlling interests
40,678
41,040
50,947
52,168
Non-controlling interests
94
78
Total equity
40,772
41,118
50,947
52,168
Total equity and liabilities
602,849
599,939
411,824
445,466
1See note 1 regarding changes to presentation.
2The Bank recorded a profit after tax for the year of £3,593 million (2020: £641 million).
The accompanying notes are an integral part of the financial statements.
The Directors approved the financial statements on 8 March 2022.
Robin Budenberg
Charlie Nunn
William Chalmers
Chair
Chief Executive
Chief Financial Officer
Lloyds Bank plc
Balance sheets
at 31 December 2021
83
The Group
Attributable to ordinary shareholders
Share
capital and
premium
Other
reserves
Retained
profits
Total
Other
equity
instruments
Non-
controlling
interests
Total
£ million
£ million
£ million
£ million
£ million
£ million
£ million
At 1 January 2021
2,174
7,181
25,750
35,105
5,935
78
41,118
Comprehensive income
Profit for the year
4,826
4,826
344
32
5,202
Other comprehensive income
Post-retirement defined benefit scheme
remeasurements, net of tax
1,062
1,062
1,062
Movements in revaluation reserve in respect
of financial assets held at fair value through
other comprehensive income, net of tax:
Debt securities
196
196
196
Equity shares
1
1
1
Gains and losses attributable to own credit
risk, net of tax
(52)
(52)
(52)
Movements in cash flow hedging reserve,
net of tax
(1,958)
(1,958)
(1,958)
Movements in foreign currency translation
reserve, net of tax
(19)
(19)
(19)
Total other comprehensive income
(1,780)
1,010
(770)
(770)
Total comprehensive income1
(1,780)
5,836
4,056
344
32
4,432
Transactions with owners
Dividends (note 36)
(2,900)
(2,900)
(14)
(2,914)
Distributions on other equity instruments
(344)
(344)
Issue of other equity instruments (note 35)
(1)
(1)
1,550
1,549
Redemptions of other equity instruments
(note 35)
(9)
(9)
(3,217)
(3,226)
Capital contributions received
164
164
164
Return of capital contributions
(4)
(4)
(4)
Change in non-controlling interests
(1)
(1)
(2)
(3)
Total transactions with owners
(2,751)
(2,751)
(2,011)
(16)
(4,778)
Realised gains and losses on equity shares
held at fair value through other
comprehensive income
(1)
1
At 31 December 2021
2,174
5,400
28,836
36,410
4,268
94
40,772
1Total comprehensive income attributable to owners of the parent was £4,400 million (2020: £1,413 million; 2019: £1,067 million).
Further details of movements in the Group’s share capital and reserves are provided in notes 31, 32, 33, 34 and 35.
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Statements of changes in equity
for the year ended 31 December 2021
84
Attributable to ordinary shareholders
The Group
Share
capital and
premium
Other
reserves
Retained
profits
Total
Other
equity
instruments
Non-
controlling
interests
Total
£ million
£ million
£ million
£ million
£ million
£ million
£ million
At 1 January 2020
2,174
7,250
24,549
33,973
4,865
61
38,899
Comprehensive income
Profit for the year
1,023
1,023
417
26
1,466
Other comprehensive income
Post-retirement defined benefit scheme
remeasurements, net of tax
113
113
113
Movements in revaluation reserve in respect
of financial assets held at fair value through
other comprehensive income, net of tax:
Debt securities
(20)
(20)
(20)
Equity shares
(16)
(16)
(16)
Gains and losses attributable to own credit
risk, net of tax
(55)
(55)
(55)
Movements in cash flow hedging reserve,
net of tax
(49)
(49)
(49)
Movements in foreign currency translation
reserve, net of tax
Total other comprehensive income
(85)
58
(27)
(27)
Total comprehensive income
(85)
1,081
996
417
26
1,439
Transactions with owners
Dividends (note 36)
(7)
(7)
Distributions on other equity instruments
(417)
(417)
Issue of other equity instruments (note 35)
1,070
1,070
Capital contributions received
140
140
140
Return of capital contributions
(4)
(4)
(4)
Change in non-controlling interests
(2)
(2)
Total transactions with owners
136
136
653
(9)
780
Realised gains and losses on equity shares
held at fair value through other
comprehensive income
16
(16)
At 31 December 2020
2,174
7,181
25,750
35,105
5,935
78
41,118
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Statements of changes in equity
for the year ended 31 December 2021
85
Attributable to ordinary shareholders
The Group
Share
capital and
premium
Other
reserves
Retained
profits
Total
Other
equity
instruments
Non-
controlling
interests
Total
£ million
£ million
£ million
£ million
£ million
£ million
£ million
At 1 January 2019
2,174
6,965
27,924
37,063
3,217
73
40,353
Comprehensive income
Profit for the year
1,912
1,912
281
40
2,233
Other comprehensive income
Post-retirement defined benefit scheme
remeasurements, net of tax
(1,117)
(1,117)
(1,117)
Movements in revaluation reserve in respect
of financial assets held at fair value through
other comprehensive income, net of tax:
Debt securities
(159)
(159)
(159)
Equity shares
12
12
12
Gains and losses attributable to own credit
risk, net of tax
(306)
(306)
(306)
Movements in cash flow hedging reserve,
net of tax
446
446
446
Movements in foreign currency translation
reserve, net of tax
(2)
(2)
(2)
Total other comprehensive income
297
(1,423)
(1,126)
(1,126)
Total comprehensive income
297
489
786
281
40
1,107
Transactions with owners
Dividends (note 36)
(4,100)
(4,100)
(38)
(4,138)
Distributions on other equity instruments
(281)
(281)
Issue of other equity instruments (note 35)
1,648
1,648
Capital contributions received
229
229
229
Return of capital contributions
(5)
(5)
(5)
Change in non-controlling interests
(14)
(14)
Total transactions with owners
(3,876)
(3,876)
1,367
(52)
(2,561)
Realised gains and losses on equity shares
held at fair value through other
comprehensive income
(12)
12
At 31 December 2019
2,174
7,250
24,549
33,973
4,865
61
38,899
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Statements of changes in equity
for the year ended 31 December 2021
86
Attributable to ordinary shareholders
The Bank
Share
capital and
premium
Other
reserves
Retained
profits
Total
Other
equity
instruments
Total
£ million
£ million
£ million
£ million
£ million
£ million
At 1 January 2021
2,174
1,382
42,677
46,233
5,935
52,168
Comprehensive income
Profit for the year
3,249
3,249
344
3,593
Other comprehensive income
Post-retirement defined benefit scheme remeasurements,
net of tax
556
556
556
Movements in revaluation reserve in respect of financial
assets held at fair value through other comprehensive
income, net of tax:
Debt securities
91
91
91
Equity shares
1
1
1
Gains and losses attributable to own credit risk, net of tax
(52)
(52)
(52)
Movements in cash flow hedging reserve, net of tax
(647)
(647)
(647)
Movements in foreign currency translation reserve, net of
tax
(2)
(2)
(2)
Total other comprehensive income
(557)
504
(53)
(53)
Total comprehensive income1
(557)
3,753
3,196
344
3,540
Transactions with owners
Dividends (note 36)
(2,900)
(2,900)
(2,900)
Distributions on other equity instruments
(344)
(344)
Issue of other equity instruments (note 35)
(1)
(1)
1,550
1,549
Redemptions of other equity instruments (note 35)
(9)
(9)
(3,217)
(3,226)
Capital contributions received
164
164
164
Return of capital contributions
(4)
(4)
(4)
Total transactions with owners
(2,750)
(2,750)
(2,011)
(4,761)
Realised gains and losses on equity shares held at fair
value through other comprehensive income
(1)
1
At 31 December 2021
2,174
824
43,681
46,679
4,268
50,947
1Total comprehensive income attributable to owners of the parent was £3,540 million (2020:£160 million; 2019: £1,454 million).
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Statements of changes in equity
for the year ended 31 December 2021
87
Attributable to ordinary shareholders
The Bank
Share
capital and
premium
Other
reserves
Retained
profits
Total
Other
equity
instruments
Total
£ million
£ million
£ million
£ million
£ million
£ million
At 1 January 2019
2,174
1,543
45,340
49,057
3,217
52,274
Comprehensive income
Profit for the year
1,876
1,876
281
2,157
Other comprehensive income
Post-retirement defined benefit scheme remeasurements,
net of tax
(576)
(576)
(576)
Movements in revaluation reserve in respect of financial
assets held at fair value through other comprehensive
income, net of tax:
Debt securities
(178)
(178)
(178)
Equity shares
12
12
12
Gains and losses attributable to own credit risk, net of tax
(306)
(306)
(306)
Movements in cash flow hedging reserve, net of tax
339
339
339
Movements in foreign currency translation reserve, net of
tax
6
6
6
Total other comprehensive income
179
(882)
(703)
(703)
Total comprehensive income
179
994
1,173
281
1,454
Transactions with owners
Dividends (note 36)
(4,100)
(4,100)
(4,100)
Distributions on other equity instruments
(281)
(281)
Issue of other equity instruments (note 35)
1,648
1,648
Capital contributions received
229
229
229
Return of capital contributions
(5)
(5)
(5)
Total transactions with owners
(3,876)
(3,876)
1,367
(2,509)
Realised gains and losses on equity shares held at fair
value through other comprehensive income
(12)
12
At 31 December 2019
2,174
1,710
42,470
46,354
4,865
51,219
Comprehensive income
Profit for the year
224
224
417
641
Other comprehensive income
Post-retirement defined benefit scheme remeasurements,
net of tax
(102)
(102)
(102)
Movements in revaluation reserve in respect of financial
assets held at fair value through other comprehensive
income, net of tax:
Debt securities
(89)
(89)
(89)
Equity shares
4
4
4
Gains and losses attributable to own credit risk, net of tax
(55)
(55)
(55)
Movements in cash flow hedging reserve, net of tax
(240)
(240)
(240)
Movements in foreign currency translation reserve, net of
tax
1
1
1
Total other comprehensive income
(324)
(157)
(481)
(481)
Total comprehensive income
(324)
67
(257)
417
160
Transactions with owners
Distributions on other equity instruments
(417)
(417)
Issue of other equity instruments (note 35)
1,070
1,070
Capital contributions received
140
140
140
Return of capital contributions
(4)
(4)
(4)
Total transactions with owners
136
136
653
789
Realised gains and losses on equity shares held at fair
value through other comprehensive income
(4)
4
At 31 December 2020
2,174
1,382
42,677
46,233
5,935
52,168
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Statements of changes in equity
for the year ended 31 December 2021
88
The Group
The Bank
2021
2020
2019
2021
2020
2019
Note
£ million
£ million
£ million
£ million
£ million
£ million
Profit before tax
5,785
1,329
3,474
3,301
444
2,780
Adjustments for:
Change in operating assets
45(A)
5,060
(6,856)
12,872
38,804
71,662
(31,543)
Change in operating liabilities
45(B)
8,110
17,841
(5,630)
(28,015)
(61,993)
39,301
Non-cash and other items
45(C)
(661)
3,484
2,150
(2,059)
1,820
(639)
Tax paid (net)
(715)
(616)
(1,232)
(11)
(194)
(596)
Net cash provided by (used in) operating activities
17,579
15,182
11,634
12,020
11,739
9,303
Cash flows from investing activities
Purchase of financial assets
(8,885)
(8,539)
(9,108)
(8,775)
(7,793)
(7,748)
Proceeds from sale and maturity of financial assets
8,134
6,225
8,847
7,730
5,599
8,664
Purchase of fixed assets
(3,102)
(2,815)
(3,552)
(1,255)
(1,186)
(1,638)
Proceeds from sale of fixed assets
1,028
1,063
1,258
5
12
91
Additional capital injections to subsidiaries
(11)
(1,055)
(1,766)
Dividends received from subsidiaries
1,391
44
1,331
Distributions on other equity instruments received
112
167
103
Capital repayments and redemptions
2,576
1,801
212
Acquisition of businesses, net of cash acquired
(3)
Disposal of businesses, net of cash disposed
107
20
Net cash (used in) provided by investing activities
(2,828)
(4,066)
(2,448)
1,773
(2,411)
(731)
Cash flows from financing activities
Dividends paid to ordinary shareholders
36
(2,900)
(4,100)
(2,900)
(4,100)
Distributions on other equity instruments
(344)
(417)
(281)
(344)
(417)
(281)
Dividends paid to non-controlling interests
(14)
(7)
(38)
Return of capital contributions
(4)
(4)
(5)
(4)
(4)
(5)
Interest paid on subordinated liabilities
(525)
(852)
(906)
(423)
(759)
(674)
Proceeds from issue of subordinated liabilities
3,262
303
780
3,262
496
780
Proceeds from issue of other equity instruments
1,549
1,070
1,648
1,549
1,070
1,648
Repayment of subordinated liabilities
(3,745)
(4,156)
(762)
(3,049)
(2,726)
(184)
Redemptions of other equity instruments
(3,226)
(3,226)
Borrowings from parent company
543
4,799
916
543
4,799
916
Repayments of borrowings to parent company
(4,896)
(1,403)
(7,357)
(4,813)
(1,403)
(7,357)
Interest paid on borrowings from parent company
(226)
(98)
(187)
(226)
(98)
(187)
Net cash (used in) provided by financing activities
(10,526)
(765)
(10,292)
(9,631)
958
(9,444)
Effect of exchange rate changes on cash and cash
equivalents
(1)
1
(3)
Change in cash and cash equivalents
4,224
10,352
(1,109)
4,162
10,286
(872)
Cash and cash equivalents at beginning of year
48,966
38,614
39,723
48,068
37,782
38,654
Cash and cash equivalents at end of year
45(D)
53,190
48,966
38,614
52,230
48,068
37,782
The accompanying notes are an integral part of the financial statements.
Lloyds Bank plc
Cash flow statements
for the year ended 31 December 2021
89
Note 1: Basis of preparation
The consolidated financial statements of Lloyds Bank plc (the Bank) and its subsidiary undertakings (the Group) have been prepared in
accordance with international accounting standards in conformity with the requirements of the Companies Act 2006. The financial statements
have also been prepared in accordance with International Financial Reporting Standards as issued by the International Accounting Standards
Board (IASB).
The financial information has been prepared under the historical cost convention, as modified by the revaluation of investment properties,
financial assets measured at fair value through other comprehensive income, trading securities and certain other financial assets and liabilities at
fair value through profit or loss and all derivative contracts. The Directors consider that it is appropriate to continue to adopt the going concern
basis in preparing the financial statements. In reaching this assessment, the Directors have considered the implications of the short-term
impacts of the COVID-19 pandemic and climate change upon the Group’s performance and projected funding and capital position. The
Directors have also taken into account the impact of further stress scenarios.
Details of those IFRS pronouncements which will be relevant to the Group but which were not effective at 31 December 2021 and which have
not been applied in preparing these financial statements are given in note 46.
In 2019 the Group adopted IFRS 16 and amendments to IAS 12 and early-adopted the hedge accounting amendments Interest Rate Benchmark
Reform issued by the IASB. In 2021, the Group has adopted the Interest Rate Benchmark Reform Phase 2 amendments issued by the IASB.
These amendments require that changes to expected future cash flows that both arise as a direct result of IBOR Reform and are economically
equivalent to the previous cash flows are accounted for as a change to the effective interest rate with no adjustment to the asset’s or liability’s
carrying value; no immediate gain or loss is recognised. The new requirements also provide relief from the requirements to discontinue hedge
accounting as a result of amending hedge documentation if the changes are required solely as a result of IBOR Reform. The amendments do
not have a material impact on the Group’s comparatives, which have not been restated.
The following changes have been made to the presentation of the Group’s assets and liabilities on the face of the balance sheet:
Property, plant and equipment is included in other assets (note 21)
Reverse repurchase agreements with banks and customers are shown separately from loans and advances to banks and loans and advances
to customers respectively; and repurchase agreements with banks and customers are shown separately from deposits from banks and
customer deposits respectively
There has been no change in the basis of accounting for any of the underlying transactions. Comparatives have been presented on a consistent
basis for all of the above.
Note 2: Accounting policies
The accounting policies are set out below. These accounting policies have been applied consistently.
(A)Consolidation
The assets, liabilities and results of Group undertakings (including structured entities) are included in the financial statements on the basis of
accounts made up to the reporting date. Group undertakings include subsidiaries, associates and joint ventures. Details of the Group’s
subsidiaries and related undertakings are given on pages 209 to 212.
(1)Subsidiaries
Subsidiaries are entities controlled by the Group. The Group controls an entity when it has power over the entity, is exposed to, or has rights to,
variable returns from its involvement with the entity, and has the ability to affect those returns through the exercise of its power. This generally
accompanies a shareholding of more than one half of the voting rights although in certain circumstances a holding of less than one half of the
voting rights may still result in the ability of the Group to exercise control. The existence and effect of potential voting rights that are currently
exercisable or convertible are considered when assessing whether the Group controls another entity. The Group reassesses whether or not it
controls an entity if facts and circumstances indicate that there are changes to any of the above elements. Subsidiaries are fully consolidated
from the date on which control is transferred to the Group; they are de-consolidated from the date that control ceases.
Structured entities are entities that are designed so that their activities are not governed by way of voting rights. In assessing whether the Group
has power over such entities in which it has an interest, the Group considers factors such as the purpose and design of the entity; its practical
ability to direct the relevant activities of the entity; the nature of the relationship with the entity; and the size of its exposure to the variability of
returns of the entity.
The treatment of transactions with non-controlling interests depends on whether, as a result of the transaction, the Group loses control of the
subsidiary. Changes in the parent’s ownership interest in a subsidiary that do not result in a loss of control are accounted for as equity
transactions; any difference between the amount by which the non-controlling interests are adjusted and the fair value of the consideration paid
or received is recognised directly in equity and attributed to the owners of the parent entity. Where the Group loses control of the subsidiary, at
the date when control is lost the amount of any non-controlling interest in that former subsidiary is derecognised and any investment retained in
the former subsidiary is remeasured to its fair value; the gain or loss that is recognised in profit or loss on the partial disposal of the subsidiary
includes the gain or loss on the remeasurement of the retained interest.
Intercompany transactions, balances and unrealised gains and losses on transactions between Group companies are eliminated.
The acquisition method of accounting is used to account for business combinations by the Group. The consideration for the acquisition of a
subsidiary is the fair value of the assets transferred, the liabilities incurred and the equity interests issued by the Group. The consideration
includes the fair value of any asset or liability resulting from a contingent consideration arrangement. Acquisition-related costs are expensed as
incurred except those relating to the issuance of debt instruments (see (E)(4) below) or share capital (see (O) below). Identifiable assets acquired
and liabilities assumed in a business combination are measured initially at their fair value at the acquisition date.
(2)Joint ventures and associates
Joint ventures are joint arrangements over which the Group has joint control with other parties and has rights to the net assets of the
arrangements. Joint control is the contractually agreed sharing of control of an arrangement and only exists when decisions about the relevant
activities require the unanimous consent of the parties sharing control. Associates are entities over which the Group has significant influence.
Lloyds Bank plc
Notes to the accounts
90
Significant influence is the power to participate in the financial and operating policy decisions of the entity, but is not control or joint control of
those policies, and is generally achieved through holding between 20 per cent and 50 per cent of the voting share capital of the entity.
The Group utilises the venture capital exemption for investments where significant influence or joint control is present and the business unit
operates as a venture capital business. These investments are designated at initial recognition at fair value through profit or loss. Otherwise, the
Group’s investments in joint ventures and associates are accounted for by the equity method of accounting.
(B)Goodwill
Goodwill arises on business combinations and represents the excess of the cost of an acquisition over the fair value of the Group’s share of the
identifiable assets, liabilities and contingent liabilities acquired. Where the fair value of the Group’s share of the identifiable assets, liabilities
and contingent liabilities of the acquired entity is greater than the cost of acquisition, the excess is recognised immediately in the income
statement.
Goodwill is recognised as an asset at cost and is tested at least annually for impairment. If an impairment is identified the carrying value of the
goodwill is written down immediately through the income statement and is not subsequently reversed. At the date of disposal of a subsidiary,
the carrying value of attributable goodwill is included in the calculation of the profit or loss on disposal.
(C)Other intangible assets
Intangible assets which have been determined to have a finite useful life are amortised on a straight-line basis over their estimated useful life as
follows: up to 7 years for capitalised software; 10 to 15 years for brands and other intangible assets.
Intangible assets with finite useful lives are reviewed at each reporting date to assess whether there is any indication that they are impaired. If
any such indication exists the recoverable amount of the asset is determined and in the event that the asset’s carrying amount is greater than its
recoverable amount, it is written down immediately. Certain brands have been determined to have an indefinite useful life and are not
amortised. Such intangible assets are assessed annually to determine whether the asset is impaired and to reconfirm that an indefinite useful life
remains appropriate. In the event that an indefinite life is inappropriate, a finite life is determined and a further impairment review is performed
on the asset.
(D)Revenue recognition
(1)Net interest income
Interest income and expense are recognised in the income statement using the effective interest method for all interest-bearing financial
instruments, except for those classified at fair value through profit or loss. The effective interest method is a method of calculating the
amortised cost of a financial asset or liability and of allocating the interest income or interest expense over the expected life of the financial
instrument. The effective interest rate is the rate that exactly discounts the estimated future cash payments or receipts over the expected life of
the financial instrument to the gross carrying amount of the financial asset (before adjusting for expected credit losses) or to the amortised cost
of the financial liability, including early redemption fees, other fees, and premiums and discounts that are an integral part of the overall return. In
the case of financial assets that are purchased or originated credit-impaired, the effective interest rate is the rate that discounts the estimated
future cash flows to the amortised cost of the instrument. Direct incremental transaction costs related to the acquisition, issue or disposal of a
financial instrument are also taken into account. Interest income from non-credit impaired financial assets is recognised by applying the
effective interest rate to the gross carrying amount of the asset; for credit impaired financial assets, the effective interest rate is applied to the
net carrying amount after deducting the allowance for expected credit losses. Impairment policies are set out in (H) below.
(2)Fee and commission income and expense
Fees and commissions receivable which are not an integral part of the effective interest rate are recognised as income as the Group fulfils its
performance obligations. The Group’s principal performance obligations arising from contracts with customers are in respect of value added
current accounts, credit cards and debit cards. These fees are received, and the Group provides the service, monthly; the fees are recognised in
income on this basis. The Group also receives certain fees in respect of its asset finance business where the performance obligations are
typically fulfilled towards the end of the customer contract; these fees are recognised in income on this basis. Where it is unlikely that the loan
commitments will be drawn, loan commitment fees are recognised in fee and commission income over the life of the facility, rather than as an
adjustment to the effective interest rate for loans expected to be drawn. Incremental costs incurred to generate fee and commission income are
charged to fees and commissions expense as they are incurred.
(3)Other
Dividend income is recognised when the right to receive payment is established.
Revenue recognition policies specific to trading income are set out in (E)(3) below; those relating to leases are set out in (J)(1) below.
(E)Financial assets and liabilities
On initial recognition, financial assets are classified as measured at amortised cost, fair value through other comprehensive income or fair value
through profit or loss, depending on the Group’s business model for managing the financial assets and whether the cash flows represent solely
payments of principal and interest. The Group assesses its business models at a portfolio level based on its objectives for the relevant portfolio,
how the performance of the portfolio is managed and reported, and the frequency of asset sales. Financial assets with embedded derivatives
are considered in their entirety when considering their cash flow characteristics. The Group reclassifies financial assets only when its business
model for managing those assets changes. A reclassification will only take place when the change is significant to the Group’s operations and
will occur at a portfolio level and not for individual instruments; reclassifications are expected to be rare. Equity investments are measured at fair
value through profit or loss unless the Group elects at initial recognition to account for the instruments at fair value through other
comprehensive income. For these instruments, principally strategic investments, dividends are recognised in profit or loss but fair value gains
and losses are not subsequently reclassified to profit or loss following derecognition of the investment.
The Group initially recognises loans and advances, deposits, debt securities in issue and subordinated liabilities when the Group becomes a
party to the contractual provisions of the instrument. Regular way purchases and sales of securities and other financial assets and trading
liabilities are recognised on trade date, being the date that the Group is committed to purchase or sell an asset.
Financial assets are derecognised when the contractual right to receive cash flows from those assets has expired or when the Group has
transferred its contractual right to receive the cash flows from the assets and either: substantially all of the risks and rewards of ownership have
been transferred; or the Group has neither retained nor transferred substantially all of the risks and rewards, but has transferred control.
Financial liabilities are derecognised when the obligation is discharged, cancelled or expires.
Lloyds Bank plc
Notes to the accounts
Note 2: Accounting policies (continued)
91
(1)Financial instruments measured at amortised cost
Financial assets that are held to collect contractual cash flows where those cash flows represent solely payments of principal and interest are
measured at amortised cost. A basic lending arrangement results in contractual cash flows that are solely payments of principal and interest on
the principal amount outstanding. Where the contractual cash flows introduce exposure to risks or volatility unrelated to a basic lending
arrangement such as changes in equity prices or commodity prices, the payments do not comprise solely principal and interest. Financial assets
measured at amortised cost are predominantly loans and advances to customers and banks together with certain debt securities used by the
Group to manage its liquidity. Loans and advances are initially recognised when cash is advanced to the borrower at fair value inclusive of
transaction costs. Interest income is accounted for using the effective interest method (see (D) above).
Financial liabilities are measured at amortised cost, except for trading liabilities and other financial liabilities designated at fair value through
profit or loss on initial recognition which are held at fair value.
Where changes are made to the contractual cash flows of a financial asset or financial liability that are economically equivalent and arise as a
direct consequence of interest rate benchmark reform, the Group updates the effective interest rate and does not recognise an immediate gain
or loss.
(2)Financial assets measured at fair value through other comprehensive income
Financial assets that are held to collect contractual cash flows and for subsequent sale, where the assets’ cash flows represent solely payments
of principal and interest, are recognised in the balance sheet at their fair value, inclusive of transaction costs. Interest calculated using the
effective interest method and foreign exchange gains and losses on assets denominated in foreign currencies are recognised in the income
statement. All other gains and losses arising from changes in fair value are recognised directly in other comprehensive income, until the financial
asset is either sold or matures, at which time the cumulative gain or loss previously recognised in other comprehensive income is recognised in
the income statement other than in respect of equity shares, for which the cumulative revaluation amount is transferred directly to retained
profits. The Group recognises a charge for expected credit losses in the income statement (see (H) below). As the asset is measured at fair
value, the charge does not adjust the carrying value of the asset, it is reflected in other comprehensive income.
(3)Financial instruments measured at fair value through profit or loss
Financial assets are classified at fair value through profit or loss where they do not meet the criteria to be measured at amortised cost or fair
value through other comprehensive income or where they are designated at fair value through profit or loss to reduce an accounting mismatch.
All derivatives are carried at fair value through profit or loss. Derivatives are carried on the balance sheet as assets when their fair value is
positive and as liabilities when their fair value is negative. Refer to note 41(3) (Financial instruments: Financial assets and liabilities carried at fair
value) for details of valuation techniques and significant inputs to valuation models.
Derivatives embedded in a financial asset are not considered separately; the financial asset is considered in its entirety when determining
whether its cash flows are solely payments of principal and interest. Derivatives embedded in financial liabilities are treated as separate
derivatives when their economic characteristics and risks are not closely related to those of the host contract and the host contract is not carried
at fair value through profit or loss. These embedded derivatives are measured at fair value with changes in fair value recognised in the income
statement.
Trading securities, which are debt securities and equity shares acquired principally for the purpose of selling in the short term or which are part
of a portfolio which is managed for short-term gains, do not meet these criteria and are also measured at fair value through profit or loss.
Financial assets measured at fair value through profit or loss are recognised in the balance sheet at their fair value. Fair value gains and losses
together with interest coupons and dividend income are recognised in the income statement within net trading income.
Financial liabilities are measured at fair value through profit or loss where they are trading liabilities or where they are designated at fair value
through profit or loss in order to reduce an accounting mismatch; where the liabilities are part of a group of liabilities (or assets and liabilities)
which is managed, and its performance evaluated, on a fair value basis; or where the liabilities contain one or more embedded derivatives that
significantly modify the cash flows arising under the contract and would otherwise need to be separately accounted for. Financial liabilities
measured at fair value through profit or loss are recognised in the balance sheet at their fair value. Fair value gains and losses are recognised in
the income statement within net trading income in the period in which they occur, except that gains and losses attributable to changes in own
credit risk are recognised in other comprehensive income.
The fair values of assets and liabilities traded in active markets are based on current bid and offer prices, respectively, which include the
expected effects of potential changes to laws and regulations, risks associated with climate change and other factors. If the market is not active
the Group establishes a fair value by using valuation techniques. The fair values of derivative financial instruments are adjusted where
appropriate to reflect credit risk (via credit valuation adjustments (CVAs), debit valuation adjustments (DVAs) and funding valuation adjustments
(FVAs)), market liquidity and other risks.
(4)Borrowings
Borrowings (which include deposits from banks, customer deposits, debt securities in issue and subordinated liabilities) are recognised initially
at fair value, being their issue proceeds net of transaction costs incurred. These instruments are subsequently stated at amortised cost using the
effective interest method.
Preference shares and other instruments which carry a mandatory coupon or are redeemable on a specific date are classified as financial
liabilities. The coupon on these instruments is recognised in the income statement as interest expense. Securities which carry a discretionary
coupon and have no fixed maturity or redemption date are classified as other equity instruments. Interest payments on these securities are
recognised as distributions from equity in the period in which they are paid. An exchange of financial liabilities on substantially different terms is
accounted for as an extinguishment of the original financial liability and the recognition of a new financial liability. The difference between the
carrying amount of a financial liability extinguished and the new financial liability is recognised in profit or loss together with any related costs or
fees incurred.
When a financial liability is exchanged for an equity instrument, the new equity instrument is recognised at fair value and any difference between
the carrying value of the liability and the fair value of the new equity is recognised in profit or loss.
(5)Sale and repurchase agreements (including securities lending and borrowing)
Securities sold subject to repurchase agreements (repos) continue to be recognised on the balance sheet where substantially all of the risks and
rewards are retained. Funds received for repos carried at fair value are included within trading liabilities. Conversely, securities purchased under
agreements to resell (reverse repos), where the Group does not acquire substantially all of the risks and rewards of ownership, are measured at
amortised cost or at fair value. Those measured at fair value are recognised within trading securities. The difference between sale and
repurchase price is treated as interest and accrued over the life of the agreements using the effective interest method.
Lloyds Bank plc
Notes to the accounts
Note 2: Accounting policies (continued)
92
Securities borrowing and lending transactions are typically secured; collateral takes the form of securities or cash advanced or received.
Securities lent to counterparties are retained on the balance sheet. Securities borrowed are not recognised on the balance sheet, unless these
are sold to third parties, in which case the obligation to return them is recorded at fair value as a trading liability. Cash collateral given or
received is treated as a loan and advance measured at amortised cost or customer deposit.
(F)Hedge accounting
As permitted by IFRS 9, the Group continues to apply the requirements of IAS 39 to its hedging relationships.
Changes in the fair value of all derivative instruments, other than those in effective cash flow and net investment hedging relationships, are
recognised immediately in the income statement. As noted in (2) and (3) below, the change in fair value of a derivative in an effective cash flow
or net investment hedging relationship is allocated between the income statement and other comprehensive income.
Hedge accounting allows one financial instrument, generally a derivative such as a swap, to be designated as a hedge of another financial
instrument such as a loan or deposit or a portfolio of such instruments. At the inception of the hedge relationship, formal documentation is
drawn up specifying the hedging strategy, the hedged item, the hedging instrument and the methodology that will be used to measure the
effectiveness of the hedge relationship in offsetting changes in the fair value or cash flow of the hedged risk. The effectiveness of the hedging
relationship is tested both at inception and throughout its life and if at any point it is concluded that it is no longer highly effective in achieving
its documented objective, hedge accounting is discontinued. Note 14 provides details of the types of derivatives held by the Group and
presents separately those designated in hedge relationships.
Where there is uncertainty arising from interest rate benchmark reform, the Group assumes that the interest rate benchmark on which the
hedged cash flows and/or the hedged risk are based, or the interest rate benchmark on which the cash flows of the hedging instrument are
based, are not altered as a result of interest rate benchmark reform. The Group does not discontinue a hedging relationship during the period
of uncertainty arising from the interest rate benchmark reform solely because the actual results of the hedge are not highly effective.
Where the contractual terms of a financial asset, financial liability or derivative are amended, on an economically equivalent basis, as a direct
consequence of interest rate benchmark reform, the uncertainty arising from the reform is no longer present. In these circumstances, the Group
amends the hedge documentation to reflect the changes required by the reform; these changes to the documentation do not in and of
themselves result in the discontinuation of hedge accounting or require the designation of a new hedge relationship.
(1)Fair value hedges
Changes in the fair value of derivatives that are designated and qualify as fair value hedges are recorded in the income statement, together with
the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk; this also applies if the hedged asset is
classified as a financial asset at fair value through other comprehensive income. If the hedge no longer meets the criteria for hedge accounting,
changes in the fair value of the hedged item attributable to the hedged risk are no longer recognised in the income statement. The cumulative
adjustment that has been made to the carrying amount of the hedged item is amortised to the income statement using the effective interest
method over the period to maturity.
(2)Cash flow hedges
The effective portion of changes in the fair value of derivatives that are designated and qualify as cash flow hedges is recognised in other
comprehensive income in the cash flow hedging reserve. The gain or loss relating to the ineffective portion is recognised immediately in the
income statement. Amounts accumulated in equity are reclassified to the income statement in the periods in which the hedged item affects
profit or loss. When a hedging instrument expires or is sold, or when a hedge no longer meets the criteria for hedge accounting, any cumulative
gain or loss existing in equity at that time remains in equity and is recognised in the income statement when the forecast transaction is
ultimately recognised in the income statement. When a forecast transaction is no longer expected to occur, the cumulative gain or loss that was
reported in equity is immediately transferred to the income statement.
(3)Net investment hedges
Hedges of net investments in foreign operations are accounted for similarly to cash flow hedges. Any gain or loss on the hedging instrument
relating to the effective portion of the hedge is recognised in other comprehensive income, the gain or loss relating to the ineffective portion is
recognised immediately in the income statement. Gains and losses accumulated in equity are included in the income statement when the
foreign operation is disposed of. The hedging instrument used in net investment hedges may include non-derivative liabilities as well as
derivative financial instruments.
(G)Offset
Financial assets and liabilities are offset and the net amount reported in the balance sheet when there is a legally enforceable right of offset and
there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously. Cash collateral on exchange traded
derivative transactions is presented gross unless the collateral cash flows are always settled net with the derivative cash flows. In certain
situations, even though master netting agreements exist, the lack of management intention to settle on a net basis results in the financial assets
and liabilities being reported gross on the balance sheet.
(H)Impairment of financial assets
The impairment charge in the income statement reflects the change in expected credit losses, including those arising from fraud. Expected
credit losses are recognised for loans and advances to customers and banks, other financial assets held at amortised cost, financial assets (other
than equity investments) measured at fair value through other comprehensive income, and certain loan commitments and financial guarantee
contracts. Expected credit losses are calculated as an unbiased and probability-weighted estimate using an appropriate probability of default,
adjusted to take into account a range of possible future economic scenarios, and applying this to the estimated exposure of the Group at the
point of default after taking into account the value of any collateral held, repayments, or other mitigants of loss and including the impact of
discounting using the effective interest rate.
At initial recognition, allowance (or provision in the case of some loan commitments and financial guarantees) is made for expected credit losses
resulting from default events that are possible within the next 12 months (12-month expected credit losses). In the event of a significant increase
in credit risk since origination, allowance (or provision) is made for expected credit losses resulting from all possible default events over the
expected life of the financial instrument (lifetime expected credit losses). Financial assets where 12-month expected credit losses are recognised
are considered to be Stage 1; financial assets which are considered to have experienced a significant increase in credit risk since initial
recognition are in Stage 2; and financial assets which have defaulted or are otherwise considered to be credit-impaired are allocated to Stage 3.
Some Stage 3 assets, mainly in Commercial Banking, are subject to individual rather than collective assessment. Such cases are subject to a risk-
based impairment sanctioning process, and these are reviewed and updated at least quarterly, or more frequently if there is a significant change
in the credit profile. The collective assessment of impairment aggregates financial instruments with similar risk characteristics, such as whether
the facility is revolving in nature or secured and the type of security against financial assets.
Lloyds Bank plc
Notes to the accounts
Note 2: Accounting policies (continued)
93
An assessment of whether credit risk has increased significantly since initial recognition considers the change in the risk of default occurring over
the remaining expected life of the financial instrument. In determining whether there has been a significant increase in credit risk, the Group
uses quantitative tests based on relative and absolute probability of default (PD) movements linked to internal credit ratings together with
qualitative indicators such as watchlists and other indicators of historical delinquency, credit weakness or financial difficulty. The use of internal
credit ratings and qualitative indicators ensures alignment between the assessment of staging and the Group’s management of credit risk which
utilises these internal metrics within distinct retail and commercial portfolio risk management practices. However, unless identified at an earlier
stage, the credit risk of financial assets is deemed to have increased significantly when more than 30 days past due. The use of a payment
holiday in and of itself has not been judged to indicate a significant increase in credit risk, with the underlying long-term credit risk deemed to
be driven by economic conditions and captured through the use of forward-looking models. These portfolio-level models are capturing the
anticipated volume of increased defaults and therefore an appropriate assessment of staging and expected credit loss. Where the credit risk
subsequently improves such that it no longer represents a significant increase in credit risk since initial recognition, the asset is transferred back
to Stage 1.
Assets are transferred to Stage 3 when they have defaulted or are otherwise considered to be credit-impaired. Default is considered to have
occurred when there is evidence that the customer is experiencing financial difficulty which is likely to affect significantly the ability to repay the
amount due. IFRS 9 contains a rebuttable presumption that default occurs no later than when a payment is 90 days past due. The Group uses
this 90 day backstop for all its products except for UK mortgages. For UK mortgages, the Group uses a backstop of 180 days past due as
mortgage exposures more than 90 days past due, but less than 180 days, typically show high cure rates and this aligns with the Group’s risk
management practices. Key differences between Stage 3 balances and non-performing loans relate to the use of 180 days past due for Stage 3
mortgages and to the cure periods applied to forbearance exposures. The use of payment holidays is not considered to be an automatic trigger
of regulatory default and therefore does not automatically trigger Stage 3. Days past due will also not accumulate on any accounts that have
taken a payment holiday including those already past due.
In certain circumstances, the Group will renegotiate the original terms of a customer’s loan, either as part of an ongoing customer relationship
or in response to adverse changes in the circumstances of the borrower. In the latter circumstances, the loan will remain classified as either
Stage 2 or Stage 3 until the credit risk has improved such that it no longer represents a significant increase since origination (for a return to
Stage 1), or the loan is no longer credit-impaired (for a return to Stage 2). On renegotiation the gross carrying amount of the loan is recalculated
as the present value of the renegotiated or modified contractual cash flows, which are discounted at the original effective interest rate.
Renegotiation may also lead to the loan and associated allowance being derecognised and a new loan being recognised initially at fair value.
Purchased or originated credit-impaired financial assets (POCI) include financial assets that are purchased or originated at a deep discount that
reflects incurred credit losses. At initial recognition, POCI assets do not carry an impairment allowance; instead, lifetime expected credit losses
are incorporated into the calculation of the effective interest rate. All changes in lifetime expected credit losses subsequent to the assets’ initial
recognition are recognised as an impairment charge.
A loan or advance is normally written off, either partially or in full, against the related allowance when the proceeds from realising any available
security have been received or there is no realistic prospect of recovery and the amount of the loss has been determined. Subsequent
recoveries of amounts previously written off decrease the amount of impairment losses recorded in the income statement. For both secured
and unsecured retail balances, the write-off takes place only once an extensive set of collections processes has been completed, or the status of
the account reaches a point where policy dictates that continuing attempts to recover are no longer appropriate. For commercial lending, a
write-off occurs if the loan facility with the customer is restructured, the asset is under administration and the only monies that can be received
are the amounts estimated by the administrator, the underlying assets are disposed and a decision is made that no further settlement monies
will be received, or external evidence (for example, third-party valuations) is available that there has been an irreversible decline in expected
cash flows.
(I)Property, plant and equipment
Property, plant and equipment (other than investment property) is included at cost less accumulated depreciation. The value of land (included in
premises) is not depreciated. Depreciation on other assets is calculated using the straight-line method to allocate the difference between the
cost and the residual value over their estimated useful lives, as follows: the shorter of 50 years and the remaining period of the lease for
freehold/long and short leasehold premises; the shorter of 10 years and, if lease renewal is not likely, the remaining period of the lease for
leasehold improvements; 10 to 20 years for fixtures and furnishings; and 2 to 8 years for other equipment and motor vehicles.
The assets’ residual values and useful lives are reviewed, taking into account considerations such as potential changes to legislation, including
those that are climate-related, as well as other factors, and adjusted if appropriate, at each balance sheet date.
Assets are reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount may not be recoverable. In
assessing the recoverable amount of assets the Group considers the effects of potential or actual changes in legislation, customer behaviour,
climate-related risks and other factors. In the event that an asset’s carrying amount is determined to be greater than its recoverable amount it is
written down immediately. The recoverable amount is the higher of the asset’s fair value less costs to sell and its value in use.
Investment property comprises freehold and long leasehold land and buildings that are held either to earn rental income or for capital accretion
or both. In accordance with the guidance published by the Royal Institution of Chartered Surveyors, investment property is carried at fair value
based on current prices for similar properties, adjusted for the specific characteristics of the property (such as location or condition). If this
information is not available, the Group uses alternative valuation methods such as discounted cash flow projections or recent prices in less
active markets. These valuations are reviewed at least annually by independent professionally qualified valuers. Investment property being
redeveloped for continuing use as investment property, or for which the market has become less active, continues to be valued at fair value.
(J)Leases
Under IFRS 16, a lessor is required to determine whether a lease is a finance or operating lease. A lessee is not required to make this
determination.
(1)As lessor
Assets leased to customers are classified as finance leases if the lease agreements transfer substantially all the risks and rewards of ownership to
the lessee but not necessarily legal title. All other leases are classified as operating leases. When assets are subject to finance leases, the
present value of the lease payments, together with any unguaranteed residual value, is recognised as a receivable, net of allowances for
expected credit losses and residual value impairment, within loans and advances to banks and customers. The difference between the gross
receivable and the present value of the receivable is recognised as unearned finance lease income. Finance lease income is recognised in
interest income over the term of the lease using the net investment method (before tax) so as to give a constant rate of return on the net
investment in the leases. Unguaranteed residual values are reviewed regularly to identify any impairment.
Lloyds Bank plc
Notes to the accounts
Note 2: Accounting policies (continued)
94
Operating lease assets are included within other assets at cost and depreciated over their estimated useful lives, which equates to the lives of
the leases, after taking into account anticipated residual values. Operating lease rental income is recognised on a straight-line basis over the life
of the lease.
The Group evaluates non-lease arrangements such as outsourcing and similar contracts to determine if they contain a lease which is then
accounted for separately.
(2)As lessee
Leases are recognised as a right-of-use asset and a corresponding liability at the date at which the leased asset is available for use by the
Group. Assets and liabilities arising from a lease are initially measured on a present value basis. The lease payments are discounted using the
interest rate implicit in the lease, if that rate can be determined, or the Group’s incremental borrowing rate appropriate for the right-of-use
asset arising from the lease and the liability recognised within other liabilities.
Lease payments are allocated between the liability and finance cost. The finance cost is charged to profit or loss over the lease period so as to
produce a constant periodic rate of interest on the remaining balance of the liability for each period. The right-of-use asset is depreciated over
the shorter of the asset's useful life and the lease term on a straight-line basis.
Payments associated with short-term leases and leases of low-value assets are recognised on a straight-line basis as an expense in profit or loss.
Short-term leases are leases with a lease term of twelve months or less. Low-value assets comprise IT equipment and small items of office
furniture.
(K)Employee benefits
Short-term employee benefits, such as salaries, paid absences, performance-based cash awards and social security costs, are recognised over
the period in which the employees provide the related services.
(1)Pension schemes
The Group operates a number of post-retirement benefit schemes for its employees including both defined benefit and defined contribution
pension plans. A defined benefit scheme is a pension plan that defines an amount of pension benefit that an employee will receive on
retirement, dependent on one or more factors such as age, years of service and salary. A defined contribution plan is a pension plan into which
the Group pays fixed contributions; there is no legal or constructive obligation to pay further contributions.
Scheme assets are included at their fair value and scheme liabilities are measured on an actuarial basis using the projected unit credit method.
The defined benefit scheme liabilities are discounted using rates equivalent to the market yields at the balance sheet date on high-quality
corporate bonds that are denominated in the currency in which the benefits will be paid, and that have terms to maturity approximating to the
terms of the related pension liability. The Group’s income statement charge includes the current service cost of providing pension benefits, past
service costs, net interest expense (income), and plan administration costs that are not deducted from the return on plan assets. Past service
costs, which represents the change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment, are
recognised when the plan amendment or curtailment occurs. Net interest expense (income) is calculated by applying the discount rate at the
beginning of the period to the net defined benefit liability or asset.
Remeasurements, comprising actuarial gains and losses, the return on plan assets (excluding amounts included in net interest expense (income)
and net of the cost of managing the plan assets), and the effect of changes to the asset ceiling (if applicable) are reflected immediately in the
balance sheet with a charge or credit recognised in other comprehensive income in the period in which they occur. Remeasurements
recognised in other comprehensive income are reflected immediately in retained profits and will not subsequently be reclassified to profit or
loss.
The Group’s balance sheet includes the net surplus or deficit, being the difference between the fair value of scheme assets and the discounted
value of scheme liabilities at the balance sheet date. Surpluses are only recognised to the extent that they are recoverable through reduced
contributions in the future or through refunds from the schemes. In assessing whether a surplus is recoverable, the Group considers (i) its current
right to obtain a refund or a reduction in future contributions and (ii) the rights of other parties existing at the balance sheet date. In
determining the rights of third parties existing at the balance sheet date, the Group does not anticipate any future acts by other parties.
The costs of the Group’s defined contribution plans are charged to the income statement in the period in which they fall due.
(2)Share-based compensation
Lloyds Banking Group operates a number of equity-settled, share-based compensation plans in respect of services received from certain of its
employees. The value of the employee services received in exchange for equity instruments granted under these plans is recognised as an
expense over the vesting period of the instruments, with a corresponding increase in equity. This expense is determined by reference to the fair
value of the number of equity instruments that are expected to vest. The fair value of equity instruments granted is based on market prices, if
available, at the date of grant. In the absence of market prices, the fair value of the instruments at the date of grant is estimated using an
appropriate valuation technique, such as a Black-Scholes option pricing model or a Monte Carlo simulation. The determination of fair values
excludes the impact of any non-market vesting conditions, which are included in the assumptions used to estimate the number of options that
are expected to vest. At each balance sheet date, this estimate is reassessed and if necessary revised. Any revision of the original estimate is
recognised in the income statement, together with a corresponding adjustment to equity. Cancellations by employees of contributions to the
Group’s Save As You Earn plans are treated as non-vesting conditions and the Group recognises, in the year of cancellation, the amount of the
expense that would have otherwise been recognised over the remainder of the vesting period. Modifications are assessed at the date of
modification and any incremental charges are charged to the income statement.
(L)Taxation
Tax expense comprises current and deferred tax. Current and deferred tax are charged or credited in the income statement except to the
extent that the tax arises from a transaction or event which is recognised, in the same or a different period, outside the income statement (either
in other comprehensive income, directly in equity, or through a business combination), in which case the tax appears in the same statement as
the transaction that gave rise to it. The tax consequences of the Group's dividend payments (including distributions on other equity
instruments), if any, are charged or credited to the statement in which the profit distributed originally arose.
Current tax is the amount of corporate income taxes expected to be payable or recoverable based on the profit for the period as adjusted for
items that are not taxable or not deductible, and is calculated using tax rates and laws that were enacted or substantively enacted at the
balance sheet date.
Lloyds Bank plc
Notes to the accounts
Note 2: Accounting policies (continued)
95
Current tax includes amounts provided in respect of uncertain tax positions when management expects that, upon examination of the
uncertainty by Her Majesty’s Revenue and Customs (HMRC) or other relevant tax authority, it is more likely than not that an economic outflow
will occur. Provisions reflect management’s best estimate of the ultimate liability based on their interpretation of tax law, precedent and
guidance, informed by external tax advice as necessary. Changes in facts and circumstances underlying these provisions are reassessed at each
balance sheet date, and the provisions are remeasured as required to reflect current information.
Deferred tax is recognised on temporary differences arising between the tax bases of assets and liabilities and their carrying amounts in the
balance sheet. Deferred tax is calculated using tax rates and laws that have been enacted or substantively enacted at the balance sheet date,
and which are expected to apply when the related deferred tax asset is realised or the deferred tax liability is settled.
Deferred tax liabilities are generally recognised for all taxable temporary differences but not recognised for taxable temporary differences
arising on investments in subsidiaries where the reversal of the temporary difference can be controlled and it is probable that the difference will
not reverse in the foreseeable future. Deferred tax liabilities are not recognised on temporary differences that arise from goodwill which is not
deductible for tax purposes.
Deferred tax assets are recognised to the extent it is probable that taxable profits will be available against which the deductible temporary
differences can be utilised, and are reviewed at each balance sheet date and reduced to the extent that it is no longer probable that sufficient
taxable profits will be available to allow all or part of the asset to be recovered.
Deferred tax assets and liabilities are not recognised in respect of temporary differences that arise on initial recognition of assets and liabilities
acquired other than in a business combination. Deferred tax is not discounted.
(M)Foreign currency translation
Items included in the financial statements of each of the Group’s entities are measured using the currency of the primary economic environment
in which the entity operates (the functional currency). Foreign currency transactions are translated into the appropriate functional currency using
the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such
transactions and from the translation at year end exchange rates of monetary assets and liabilities denominated in foreign currencies are
recognised in the income statement, except when recognised in other comprehensive income as qualifying cash flow or net investment hedges.
Non-monetary assets that are measured at fair value are translated using the exchange rate at the date that the fair value was determined.
Translation differences on equities and similar non-monetary items held at fair value through profit and loss are recognised in profit or loss as
part of the fair value gain or loss. Translation differences on non-monetary financial assets measured at fair value through other comprehensive
income, such as equity shares, are included in the fair value reserve in equity unless the asset is a hedged item in a fair value hedge.
The results and financial position of all Group entities that have a functional currency different from the presentation currency are translated into
the presentation currency as follows: the assets and liabilities of foreign operations, including goodwill and fair value adjustments arising on the
acquisition of a foreign entity, are translated into sterling at foreign exchange rates ruling at the balance sheet date; and the income and
expenses of foreign operations are translated into sterling at average exchange rates unless these do not approximate to the foreign exchange
rates ruling at the dates of the transactions, in which case income and expenses are translated at the dates of the transactions.
Foreign exchange differences arising on the translation of a foreign operation are recognised in other comprehensive income and accumulated
in a separate component of equity together with exchange differences arising from the translation of borrowings and other currency instruments
designated as hedges of such investments (see (F)(3) above). On disposal or liquidation of a foreign operation, the cumulative amount of
exchange differences relating to that foreign operation is reclassified from equity and included in determining the profit or loss arising on
disposal or liquidation.
(N)Provisions and contingent liabilities
Provisions are recognised in respect of present obligations arising from past events where it is probable that outflows of resources will be
required to settle the obligations and they can be reliably estimated.
Contingent liabilities are possible obligations whose existence depends on the outcome of uncertain future events or those present obligations
where the outflows of resources are uncertain or cannot be measured reliably. Contingent liabilities are not recognised in the financial
statements but are disclosed unless they are remote.
Provision is made for expected credit losses in respect of irrevocable undrawn loan commitments and financial guarantee contracts (see (H)
above).
(O)Share capital
Incremental costs directly attributable to the issue of new shares or options or to the acquisition of a business are shown in equity as a
deduction, net of tax, from the proceeds. Dividends paid on the Group’s ordinary shares are recognised as a reduction in equity in the period in
which they are paid.
(P)Cash and cash equivalents
For the purposes of the cash flow statement, cash and cash equivalents comprise cash and non-mandatory balances with central banks and
amounts due from banks with an original maturity of less than three months.
(Q)Investment in subsidiaries
Investments in subsidiaries are carried at historical cost, less any provisions for impairment.
Lloyds Bank plc
Notes to the accounts
Note 2: Accounting policies (continued)
96
The preparation of the Group’s financial statements in accordance with IFRS requires management to make judgements, estimates and
assumptions in applying the accounting policies that affect the reported amounts of assets, liabilities, income and expenses. Due to the
inherent uncertainty in making estimates, actual results reported in future periods may be based upon amounts which differ from those
estimates. Estimates, judgements and assumptions are continually evaluated and are based on historical experience and other factors, including
expectations of future events that are believed to be reasonable under the circumstances. In preparing the financial statements, the Group has
considered the impact of climate-related risks on its financial position and performance. While the effects of climate change represent a source
of uncertainty, the Group does not consider there to be a material impact on its judgements and estimates from the physical, transition and
other climate-related risks in the short to medium term.
The significant judgements, apart from those involving estimation, made by management in applying the Group’s accounting policies in these
financial statements (key judgements) and the key sources of estimation uncertainty that may have a significant risk of causing a material
adjustment to the carrying amount of assets and liabilities within the next financial year (key estimates), which together are considered critical to
the Group’s results and financial position, are as follows:
Allowance for expected credit losses
Key judgements:
Determining an appropriate definition of default against which a probability of default, exposure at default and loss given
default parameter can be evaluated
The appropriate lifetime of an exposure to credit risk for the assessment of lifetime losses, notably on revolving products
Establishing the criteria for a significant increase in credit risk (SICR)
The use of management judgement alongside impairment modelling processes to adjust inputs, parameters and outputs
to reflect risks not captured by models
Key estimates:
Base case and multiple economic scenarios (MES) assumptions, including the rate of unemployment and the rate of
change of house prices, required for creation of MES scenarios and forward-looking credit parameters
These judgements and estimates are subject to significant uncertainty.
The Group recognises an allowance for expected credit losses (ECLs) for loans and advances to customers and banks, other financial assets held
at amortised cost, financial assets (other than equity investments) measured at fair value through other comprehensive income and certain loan
commitment and financial guarantee contracts. At 31 December 2021, the Group’s expected credit loss allowance was £4,000 million (2020:
£6,132 million), of which £3,806 million (2020: £5,706 million) was in respect of drawn balances; and the Bank’s expected credit loss allowance
was £1,311 million (2020: £2,558 million), of which £1,197 million (2020: £2,313 million) was in respect of drawn balances.
The calculation of the Group’s expected credit loss allowances and provisions against loan commitments and guarantees under IFRS 9 requires
the Group to make a number of judgements, assumptions and estimates. The most significant are set out below.
Definition of default
The probability of default (PD) of an exposure, both over a 12-month period and over its lifetime, is a key input to the measurement of the ECL
allowance. Default has occurred when there is evidence that the customer is experiencing significant financial difficulty which is likely to affect
the ability to repay amounts due. The definition of default adopted by the Group is described in note 2(H) Impairment of financial assets. The
Group has rebutted the presumption in IFRS 9 that default occurs no later than when a payment is 90 days past due for UK mortgages. As a
result, at 31 December 2021, £0.5 billion of UK mortgages (2020: £0.6 billion) were classified as Stage 2 rather than Stage 3; the impact on the
Group’s ECL allowance was not material.
Lifetime of an exposure
A range of approaches, segmented by product type, has been adopted by the Group to estimate a product’s expected life. These include using
the full contractual life and taking into account behavioural factors such as early repayments, extensions and refinancing. For non-revolving retail
assets, the Group has assumed the expected life for each product to be the time taken for all significant losses to be observed. For retail
revolving products, the Group has considered the losses beyond the contractual term over which the Group is exposed to credit risk. For
commercial overdraft facilities, the average behavioural life has been used. Changes to the assumed expected lives of the Group’s assets could
impact the ECL allowance recognised by the Group. The assessment of SICR and corresponding lifetime loss, and the PD, of a financial asset
designated as Stage 2, or Stage 3, is dependent on its expected life.
Significant increase in credit risk
Performing assets are classified as either Stage 1 or Stage 2. An ECL allowance equivalent to 12 months' expected losses is established against
assets in Stage 1; assets classified as Stage 2 carry an ECL allowance equivalent to lifetime expected losses. Assets are transferred from Stage 1
to Stage 2 when there has been a significant increase in credit risk since initial recognition. Credit-impaired assets are transferred to Stage 3
with a lifetime expected losses allowance. The Group uses both quantitative and qualitative indicators to determine whether there has been a
SICR for an asset. For Retail, the following tables set out the retail master scale (RMS) grade triggers which result in a SICR for financial assets
and the PD boundaries for each RMS grade. Loans and overdrafts SICR triggers have been refined in 2021 following a review of sensitivity to
changes in economic assumptions, aligning to Credit cards (refined in 2020). The impact of this has been approximately £0.3 billion of additional
assets being classified as Stage 2 at 31 December 2021, with a corresponding increase in the ECL of £15 million resulting from the transfer to a
lifetime expected loss.
SICR triggers for key Retail portfolios
Origination grade
1
2
3
4
5
6
7
Mortgages SICR grade
5
5
6
7
8
9
10
Credit cards, loans and overdrafts SICR grade
4
5
6
7
8
9
10
RMS grade
1
2
3
4
5
6
7
8
9
10
11
12
13
14
PD boundary %1
0.10
0.40
0.80
1.20
2.50
4.50
7.50
10.00
14.00
20.00
30.00
45.00
99.99
100.00
1Probability-weighted annualised lifetime probability of default.
For Commercial a doubling of PD with a minimum increase in PD of 1 per cent and a resulting change in the underlying grade is treated as a
SICR.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty
97
The Group uses the internal credit risk classification and watchlist as qualitative indicators to identify a SICR. The Group does not use the low
credit risk exemption in its staging assessments. The use of a payment holiday in and of itself has not been judged to indicate a significant
increase in credit risk, nor forbearance, with the underlying long-term credit risk deemed to be driven by economic conditions and captured
through the use of forward-looking models. These portfolio level models are capturing the anticipated volume of increased defaults and
therefore an appropriate assessment of staging and expected credit loss.
All financial assets are assumed to have suffered a SICR if they are more than 30 days past due; credit cards, loans and overdrafts financial assets
are also assumed to have suffered a SICR if they are in arrears on three or more separate occasions in a rolling 12-month period. Financial assets
are classified as credit-impaired if they are 90 days past due, except for UK mortgages where a 180 days backstop is used.
A Stage 3 asset that is no longer credit-impaired is transferred back to Stage 2 as no cure period is applied to Stage 3. If an exposure that is
classified as Stage 2 no longer meets the SICR criteria, which in some cases capture customer behaviour in previous periods, it is moved back to
Stage 1.
The setting of precise trigger points combined with risk indicators requires judgement. The use of different trigger points may have a material
impact upon the size of the ECL allowance. The Group monitors the effectiveness of SICR criteria on an ongoing basis.
Generation of multiple economic scenarios
The estimate of expected credit losses is required to be based on an unbiased expectation of future economic scenarios. The approach used to
generate the range of future economic scenarios depends on the methodology and judgements adopted. The Group’s approach is to start
from a defined base case scenario, used for planning purposes, and to generate alternative economic scenarios around this base case. The base
case scenario is a conditional forecast underpinned by a number of conditioning assumptions that reflect the Group’s best view of key future
developments. If circumstances appear likely to materially deviate from the conditioning assumptions, then the base case scenario is updated.
The base case scenario is central to a range of future economic scenarios generated by simulation of an economic model, for which the same
conditioning assumptions apply as in the base case scenario. These scenarios are ranked by using estimated relationships with industry-wide
historical loss data. With the base case already pre-defined, three other scenarios are identified as averages of constituent scenarios located
around the 15th, 75th and 95th percentiles of the distribution. The full distribution is therefore summarised by a practical number of scenarios to
run through ECL models representing an upside, the base case, and a downside scenario weighted at 30 per cent each, together with a severe
downside scenario weighted at 10 per cent. The scenario weights represent the distribution of economic scenarios and not subjective views on
likelihood. The inclusion of a severe downside scenario with a smaller weighting ensures that the non-linearity of losses in the tail of the
distribution is adequately captured. The Group does not apply any reversion techniques within scenario generation, noting that data after the
five-year forecast period shown has a relatively immaterial effect on the ECL provision.
A forum under the chairmanship of the Chief Economist meets at least quarterly to review and, if appropriate, recommend changes to the
method by which economic scenarios are generated, for approval by the Chief Financial Officer and Chief Risk Officer. While no material
changes were made to the model in 2021, the forum identified the need to consider an alternative approach to address interest rate risks not
captured within the downside scenarios. The forum recommended that a non-modelled severe downside scenario was evaluated for potential
incremental losses. This resulted in a management adjustment for UK mortgages which exhibited a sufficient uplift in ECL in a high rate
scenario.
Base case and MES economic assumptions
The Group’s base case economic scenario has been revised in light of the continuing impact of the coronavirus pandemic, intensifying global
inflation pressures, and a shift towards a more restrictive stance of monetary policy by central banks. The Group’s updated base case scenario
built in three key conditioning assumptions. First, the current wave of coronavirus infections does not lead to a re-imposition of lockdown
restrictions in the UK, although greater household caution is expected amid increased hospitalisation rates. Second, the rise in wholesale
energy prices is passed on to consumers through a 50 per cent increase in retail energy prices in April 2022. Third, inflation expectations rise in
response to increasing headline inflation but subsequently revert to levels consistent with the Bank of England’s 2 per cent inflation target.
Based on these assumptions and incorporating the improved economic data in the fourth quarter, the Group’s base case outlook is for a
modest rise in the unemployment rate alongside a deceleration in residential and commercial property price growth, as the UK Bank Rate is
raised in response to increasing inflationary pressures. Risks around this base case economic view lie in both directions and are partly captured
by the generation of alternative economic scenarios described above. Uncertainties relating to key epidemiological developments, notably the
possibility that a vaccine-resistant strain could emerge, are not specifically captured by these scenarios. These specific risks are recognised
outside of the modelled scenarios with a central adjustment.
The Group has accommodated the latest available information at the reporting date in defining its base case scenario and generating
alternative economic scenarios. The scenarios include forecasts for key variables in the fourth quarter of 2021, for which actuals may have since
emerged prior to publication.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
98
Scenarios by year
Key annual assumptions made by the Group are shown below. Gross domestic product is presented as an annual change, house price growth
and commercial real estate price growth are presented as the growth in the respective indices within the period. UK Bank Rate and
unemployment rate are averages for the period.
The key UK economic assumptions made by the Group averaged over a five-year period are also shown below. The five-year period reflects
movements within the current reporting year such that 31 December 2021 reflects the five years 2021 to 2025. The prior year comparative data
has been re-presented to align to the equivalent period, 2020 to 2024. The inclusion of the reporting year within the five-year period reflects the
need to predict variables which remain unpublished at the reporting date, and recognises that credit models utilise both level and annual
change in calculating ECL. The use of calendar years also maintains a comparability between tables disclosed.
2021
2022
2023
2024
2025
2021-2025
average
At 31 December 2021
%
%
%
%
%
%
Upside
Gross domestic product
7.1
4.0
1.4
1.3
1.4
3.0
UK Bank Rate
0.14
1.44
1.74
1.82
2.03
1.43
Unemployment rate
4.4
3.3
3.4
3.5
3.7
3.7
House price growth
10.1
2.6
4.9
4.7
3.6
5.1
Commercial real estate price growth
12.4
5.8
0.7
1.0
(0.6)
3.7
Base case
Gross domestic product
7.1
3.7
1.5
1.3
1.3
2.9
UK Bank Rate
0.14
0.81
1.00
1.06
1.25
0.85
Unemployment rate
4.5
4.3
4.4
4.4
4.5
4.4
House price growth
9.8
0.0
0.0
0.5
0.7
2.1
Commercial real estate price growth
10.2
(2.2)
(1.9)
0.1
0.6
1.2
Downside
Gross domestic product
7.1
3.4
1.3
1.1
1.2
2.8
UK Bank Rate
0.14
0.45
0.52
0.55
0.69
0.47
Unemployment rate
4.7
5.6
5.9
5.8
5.7
5.6
House price growth
9.2
(4.9)
(7.8)
(6.6)
(4.7)
(3.1)
Commercial real estate price growth
8.6
(10.1)
(7.0)
(3.4)
(0.3)
(2.6)
Severe downside
Gross domestic product
6.8
0.9
0.4
1.0
1.4
2.1
UK Bank Rate
0.14
0.04
0.06
0.08
0.09
0.08
Unemployment rate
4.9
7.7
8.5
8.1
7.6
7.3
House price growth
9.1
(7.3)
(13.9)
(12.5)
(8.4)
(6.9)
Commercial real estate price growth
5.8
(19.6)
(12.1)
(5.3)
(0.5)
(6.8)
Probability-weighted
Gross domestic product
7.0
3.4
1.3
1.2
1.3
2.8
UK Bank Rate
0.14
0.82
0.99
1.04
1.20
0.83
Unemployment rate
4.6
4.7
5.0
5.0
4.9
4.8
House price growth
9.6
(1.4)
(2.3)
(1.7)
(1.0)
0.6
Commercial real estate price growth
9.9
(3.9)
(3.7)
(1.2)
(0.1)
0.1
Base case scenario by quarter1
First
quarter
2021
Second
quarter
2021
Third
quarter
2021
Fourth
quarter
2021
First
quarter
2022
Second
quarter
2022
Third
quarter
2022
Fourth
quarter
2022
At 31 December 2021
%
%
%
%
%
%
%
%
Gross domestic product
(1.3)
5.4
1.1
0.4
0.1
1.5
0.5
0.3
UK Bank Rate
0.10
0.10
0.10
0.25
0.50
0.75
1.00
1.00
Unemployment rate
4.9
4.7
4.3
4.3
4.4
4.3
4.3
4.3
House price growth
6.5
8.7
7.4
9.8
8.4
6.1
3.2
(0.0)
Commercial real estate price growth
(2.9)
3.4
7.5
10.2
8.4
5.2
0.9
(2.2)
1Gross domestic product presented quarter-on-quarter, house price growth and commercial real estate growth presented year-on-year – i.e. from the equivalent quarter the previous year.
UK Bank Rate and unemployment rate are presented as at end of quarter.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
99
2020
2021
2022
2023
2024
2020-2024
average
At 31 December 2020
%
%
%
%
%
%
Upside
Gross domestic product
(10.5)
3.7
5.7
1.7
1.5
0.3
UK Bank Rate
0.10
1.14
1.27
1.20
1.21
0.98
Unemployment rate
4.3
5.4
5.4
5.0
4.5
5.0
House price growth
6.3
(1.4)
5.2
6.0
5.0
4.2
Commercial real estate price growth
(4.6)
9.3
3.9
2.1
0.3
2.1
Base case
Gross domestic product
(10.5)
3.0
6.0
1.7
1.4
0.1
UK Bank Rate
0.10
0.10
0.10
0.21
0.25
0.15
Unemployment rate
4.5
6.8
6.8
6.1
5.5
5.9
House price growth
5.9
(3.8)
0.5
1.5
1.5
1.1
Commercial real estate price growth
(7.0)
(1.7)
1.6
1.1
0.6
(1.1)
Downside
Gross domestic product
(10.6)
1.7
5.1
1.4
1.4
(0.4)
UK Bank Rate
0.10
0.06
0.02
0.02
0.03
0.05
Unemployment rate
4.6
7.9
8.4
7.8
7.0
7.1
House price growth
5.6
(8.4)
(6.5)
(4.7)
(3.0)
(3.5)
Commercial real estate price growth
(8.7)
(10.6)
(3.2)
(0.8)
(0.8)
(4.9)
Severe downside
Gross domestic product
(10.8)
0.3
4.8
1.3
1.2
(0.8)
UK Bank Rate
0.10
0.00
0.00
0.01
0.01
0.02
Unemployment rate
4.8
9.9
10.7
9.8
8.7
8.8
House price growth
5.3
(11.1)
(12.5)
(10.7)
(7.6)
(7.5)
Commercial real estate price growth
(11.0)
(21.4)
(9.8)
(3.9)
(0.8)
(9.7)
Probability-weighted
Gross domestic product
(10.6)
2.6
5.5
1.6
1.4
(0.1)
UK Bank Rate
0.10
0.39
0.42
0.43
0.45
0.36
Unemployment rate
4.5
7.0
7.3
6.7
6.0
6.3
House price growth
5.9
(5.2)
(1.5)
(0.2)
0.3
(0.2)
Commercial real estate price growth
(7.2)
(3.0)
(0.3)
0.3
(0.1)
(2.1)
Base case scenario by quarter1
First
quarter
2020
Second
quarter
2020
Third
quarter
2020
Fourth
quarter
2020
First
quarter
2021
Second
quarter
2021
Third
quarter
2021
Fourth
quarter
2021
At 31 December 2020
%
%
%
%
%
%
%
%
Gross domestic product
(3.0)
(18.8)
16.0
(1.9)
(3.8)
5.6
3.6
1.5
UK Bank Rate
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.10
Unemployment rate
4.0
4.1
4.8
5.0
5.2
6.5
8.0
7.5
House price growth
2.8
2.6
7.2
5.9
5.5
4.7
(1.6)
(3.8)
Commercial real estate price growth
(5.0)
(7.8)
(7.8)
(7.0)
(6.1)
(2.9)
(2.2)
(1.7)
1Gross domestic product presented quarter-on-quarter, house price growth and commercial real estate growth presented year-on-year – i.e. from the equivalent quarter the previous year.
UK Bank Rate and unemployment rate are presented as at end of quarter.
Economic assumptions – start to peak1
At 31 December 2021
At 31 December 2020
Upside
Base case
Downside
Severe
downside
Upside
Base case
Downside
Severe
downside
%
%
%
%
%
%
%
%
Gross domestic product
12.6
12.3
11.4
7.6
1.4
0.8
(1.7)
(3.0)
UK Bank Rate
2.04
1.25
0.71
0.25
1.44
0.25
0.10
0.10
Unemployment rate
4.9
4.9
6.0
8.5
6.5
8.0
9.3
11.5
House price growth
28.5
11.0
9.2
9.1
22.6
5.9
5.6
5.3
Commercial real estate price growth
20.9
10.2
8.6
6.9
11.0
(2.7)
(2.7)
(2.7)
1Reflects five year period from 2021 to 2025.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
100
Economic assumptions – start to trough1
At 31 December 2021
At 31 December 2020
Upside
Base case
Downside
Severe
downside
Upside
Base case
Downside
Severe
downside
%
%
%
%
%
%
%
%
Gross domestic product
(1.3)
(1.3)
(1.3)
(1.3)
(21.2)
(21.2)
(21.2)
(21.2)
UK Bank Rate
0.10
0.10
0.10
0.02
0.10
0.10
0.01
0.00
Unemployment rate
3.2
4.3
4.3
4.3
4.0
4.0
4.0
4.0
House price growth
1.2
1.2
(14.8)
(30.2)
(0.5)
(0.5)
(16.4)
(32.4)
Commercial real estate price growth
0.8
0.8
(12.8)
(30.0)
(6.9)
(9.0)
(22.2)
(39.9)
1Reflects five year period from 2021 to 2025.
ECL sensitivity to economic assumptions
The table below shows the Group’s ECL for the upside, base case, downside and severe downside scenarios. The stage allocation for an asset is
based on the overall scenario probability-weighted PD and, hence, the staging of assets is constant across all the scenarios. In each economic
scenario the ECL for individual assessments and post-model adjustments is constant reflecting the basis on which they are evaluated.
Judgements applied through changes to inputs are reflected in the scenario sensitivities. 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 being
£221 million compared to £495 million at 31 December 2020, noting that if the impact of MES staging was also included, as shown in the table
below, this would increase to £228 million compared to £536 million at 31 December 2020.
At 31 December 2021
At 31 December 2020
Probability-
weighted
Upside
Base case
Downside
Severe
downside
Probability-
weighted
Upside
Base case
Downside
Severe
downside
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
UK mortgages
837
637
723
967
1,386
1,027
614
803
1,237
2,306
Retail excluding UK
mortgages
1,429
1,286
1,392
1,516
1,706
2,368
2,181
2,310
2,487
2,745
Commercial Banking
1,316
1,182
1,246
1,384
1,728
2,315
1,853
2,102
2,575
3,554
Other
418
416
418
419
421
422
420
422
422
428
ECL allowance
4,000
3,521
3,779
4,286
5,241
6,132
5,068
5,637
6,721
9,033
The table below shows the Group’s ECL for the upside, base case, downside and severe downside scenarios, with staging of assets based on
each specific scenario probability of default. ECL applied through individual assessments and post-model adjustments is reported flat against
each economic scenario, reflecting the basis on which they are evaluated. Judgements applied through changes to inputs are reflected in the
scenario sensitivities. A probability-weighted scenario is not shown as this does not reflect the basis on which ECL is reported.
At 31 December 2021
At 31 December 2020
Upside
Base case
Downside
Severe
downside
Upside
Base case
Downside
Severe
downside
£m
£m
£m
£m
£m
£m
£m
£m
UK mortgages
636
722
973
1,448
602
797
1,269
2,578
Retail excluding UK mortgages
1,270
1,388
1,535
1,767
2,154
2,299
2,509
2,819
Commercial Banking
1,180
1,244
1,397
1,976
1,842
2,079
2,629
3,985
Other
416
418
419
422
420
421
422
429
ECL allowance
3,502
3,772
4,324
5,613
5,018
5,596
6,829
9,811
The impact of changes in the UK unemployment rate and House Price Index (HPI) have also been assessed. Although such changes would not
be observed in isolation, as economic indicators tend to be correlated in a coherent scenario, this gives insight into the sensitivity of the
Group’s ECL to gradual changes in these two critical economic factors. The assessment has been made against the base case with the reported
staging unchanged.
The table below shows the impact on the Group’s ECL resulting from a 1 percentage point (pp) increase or decrease in the UK unemployment
rate. The increase or decrease is presented based on the adjustment phased evenly over the first 10 quarters of the base case scenario. An
immediate increase or decrease would drive a more material ECL impact as it would be fully reflected in both 12-month and lifetime PDs.
At 31 December 2021
At 31 December 2020
1pp increase in
unemployment
1pp decrease in
unemployment
1pp increase in
unemployment
1pp decrease in
unemployment
£m
£m
£m
£m
UK mortgages
23
(18)
25
(23)
Retail excluding UK mortgages
34
(34)
54
(54)
Commercial Banking
49
(42)
123
(110)
Other
1
(1)
1
(1)
ECL impact
107
(95)
203
(188)
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
101
The table below shows the impact on the Group’s ECL in respect of UK mortgages of an increase or decrease in loss given default for a 10
percentage point (pp) increase or decrease in the UK House Price Index (HPI). The increase or decrease is presented based on the adjustment
phased evenly over the first 10 quarters of the base case scenario.
At 31 December 2021
At 31 December 2020
10pp increase
in HPI
10pp decrease
in HPI
10pp increase
in HPI
10pp decrease
in HPI
ECL impact, £m
(112)
162
(206)
284
Individual assessments
Stage 3 ECL in Commercial Banking is largely assessed on an individual basis using bespoke assessment of loss for each specific client. These
assessments are carried out by the Business Support Unit based on detailed reviews and expected recovery strategies. While these assessments
are based on the Group’s latest economic view, the use of Group-wide multiple economic scenarios and weightings is not considered
appropriate for these cases due to their individual characteristics. In place of this, a range of case-specific outcomes are considered with any
alternative better or worse outcomes that carry a 25 per cent likelihood taken into account in establishing a probability-weighted ECL. At 31
December 2021, individually assessed provisions for Commercial Banking were £905 million (2020: £1,215 million) which reflected a range of
£741 million to £1,023 million (2020: £977 million to £1,536 million), based on the range of alternative outcomes considered.
Application of judgement in adjustments to modelled ECL
Impairment models fall within the Group’s model risk framework with model monitoring, periodic validation and back testing performed on
model components (i.e. probability of default, exposure at default and loss given default). Limitations in the Group’s impairment models or data
inputs may be identified through the ongoing assessment and validation of the output of the models. In these circumstances, management
make appropriate adjustments to the Group’s allowance for impairment losses to ensure that the overall provision adequately reflects all
material risks. These adjustments are determined by considering the particular attributes of exposures which have not been adequately
captured by the impairment models and range from changes to model inputs and parameters, at account level, through to more qualitative
post-model adjustments.
Judgements are not typically assessed under each distinct economic scenario used to generate ECL, but instead are applied on the basis of
final modelled ECL which reflects the probability-weighted view of all scenarios. All adjustments are reviewed quarterly and are subject to
internal review and challenge, including by the Audit Committee, to ensure that amounts are appropriately calculated and that there are
specific release criteria identified.
The coronavirus pandemic and the various support measures that have been put in place have resulted in an economic environment which
differs significantly from the historical economic conditions upon which the impairment models have been built. As a result there has been a
greater need for management judgements to be applied alongside the use of models. At 31 December 2021 management judgement resulted
in additional ECL allowances totalling £1,278 million (2020: £1,333 million). This comprises judgements added due to COVID-19 and other
judgements not directly linked to COVID-19 but which have increased in size during the pandemic. The table below analyses total ECL
allowance by portfolio, separately identifying the amounts that have been modelled, those that have been individually assessed and those
arising through the application of management judgement.
Modelled
ECL
Individually
assessed
Judgements
due to
COVID-191
Other
judgements
Total ECL
£m
£m
£m
£m
£m
At 31 December 2021
UK mortgages
292
67
478
837
Credit cards
436
94
(9)
521
Other Retail
801
57
50
908
Commercial Banking
270
905
155
(14)
1,316
Other
18
400
418
Total
1,817
905
773
505
4,000
At 31 December 2020
UK mortgages
481
36
510
1,027
Credit cards
851
128
(56)
923
Other Retail
1,209
193
43
1,445
Commercial Banking
1,021
1,215
81
(2)
2,315
Other
22
400
422
Total
3,584
1,215
838
495
6,132
1Judgements introduced to address the impact that COVID-19 and resulting interventions have had on the Group’s economic outlook and observed loss experience, which have required
additional model limitations to be addressed.
Judgements due to COVID-19
UK mortgages: £67 million (2020: £36 million)
These adjustments principally comprise:
Increase in time to repossession: £52 million (2020: £36 million)
This reflects an adjustment made to allow for an increase in the time assumed between default and repossession as a result of the Group
temporarily suspending the repossession of properties to support customers during the pandemic.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
102
Credit cards: £94 million (2020: £128 million) and Other Retail: £57 million (2020: £193 million)
These adjustments principally comprise:
Recognition of impact of support measures: Credit cards: £94 million (2020: £100 million) Other Retail: £40 million (2020: £118 million)
Government support and subdued levels of consumer spending are judged to have contributed to the reduced flow of accounts into default
and to improved average credit scores across portfolios. Management believes that the resulting position does not fully reflect the underlying
credit risk in the portfolios although there is no longer an expectation that the reduced level of defaults experienced in 2020 was temporary.
Adjustments continue to be made to increase expected future rates of default and predicted exposures at default relative to modelled ECL.
Commercial Banking: £155 million (2020: £81 million)
These adjustments principally comprise:
Adjustment to economic variables used as inputs to models: £88 million (2020: £91 million)
Observed reductions in the rate of UK corporate insolvencies, used as an input to commercial default models, continue to be substituted with
an increase proportionate to that seen in unemployment to generate a level of predicted defaults. As anticipated, the rate of recoveries has
returned to pre-pandemic levels towards the end of 2021 and, with model outputs based on 12 months observed insolvency data, management
believe the historically low levels of insolvencies seen during early 2021 do not reflect the underlying credit risk.
Specific sector risks: £80 million (2020: £nil)
At 31 December 2020 modelled ECL incorporated an economic outlook containing a material reduction in corporate profits. This is no longer
assumed, which generates a reduction in modelled ECL and therefore leaves potential risk on specific sectors. An updated assessment of risks
including COVID-driven restrictions, inflation and interest rate pressures has been undertaken which continues to suggest that a number of
specific industries remain more exposed. Judgement has therefore been raised in place of this to ensure a more targeted stress on likelihood
and severity of loss in sectors which are considered to face an elevated risk incorporating any impact on SICR through the increased likelihood
of loss.
Other: £400 million (2020: £400 million)
COVID risk to base case conditioning assumptions: £400 million (2020: £400 million)
An important element of the methodology used to calculate the Group’s ECL allowance is the determination of a base case economic scenario,
predicated on certain conditioning assumptions, which is then used to derive alternative economic scenarios using stochastic shocks. While the
base case outlook has improved throughout the year, unexpected and adverse COVID-19 mutations may partially invalidate the base case
conditioning assumptions and therefore the potential range of losses considered. The base case represents the Groups most likely view,
however management believes that in the context of the pandemic, the possibility that the conditioning assumptions are invalidated is firmly to
the downside. In particular, the possibility that a future virus mutation has vaccine resistance leading to serious social and economic disruption.
Such a possibility lies outside of the Group’s current methodology because it would invalidate one of the key assumptions behind the base case
forecast. The likelihood and impact of a vaccine resistant mutation is difficult to estimate with any precision therefore the Group has considered
a number of approaches to create a reasonable estimate of this additional downside risk.
An adjustment of £400 million (31 December 2020: £400 million) has been made to increase the Group’s ECL allowances to reflect the increased
downside risk and the potential for the severity of losses to stretch beyond the Group’s severe scenario. One approach used to quantify this
amount is to apply a 15 per cent re-weighting from the stated upside to the stated severe downside scenario, a larger re-weight than at 31
December 2020 given that the current severe scenario reflects the improved conditioning assumptions of the base case, whereas the downside
risk remains constant. Another approach is to apply a 1 percentage point increase in unemployment allied with a 10 per cent lower HPI in 2022,
reflecting a broader assessment of a more immediate and therefore greater ECL impact than the gradual increase reflected in the stated
univariate sensitivities. Such an increase is proportionate to the level of volatility seen in forecasts every six months as the pandemic has
unfolded.
As the adjustment has been calculated centrally it has not been allocated to specific portfolios. It has therefore been allocated against Stage 1
assets given that the downside risks are largely considered to relate to non-defaulted exposures, the majority of which are in Stage 1. Detailed
portfolio level disclosures continue to reflect the Group’s economic assumptions at the Group’s stated weightings. An indicative allocation to
allow users to understand where the Group believes that the additional losses could arise is as follows: UK mortgages: c.£200 million, Credit
cards and Other Retail: c.£100 million, Commercial Banking c.£100 million. The Group continues to monitor and assess the likelihood and
consequences of its current conditioning assumptions.
Other judgements
UK mortgages: £478 million (2020: £510 million)
These adjustments principally comprise:
Adjustment to modelled forecast parameters: £65 million (2020: £193 million)
Adjustments to the estimated defaults used within the ECL calculation for UK mortgages were introduced in 2020 following the adoption of new
default forecast models. Work has progressed through the year to embed the new model, including updates to model design choices through
the implementation of formal model changes or through in-model adjustments, which are considered judgemental pending final evaluation and
model governance. These remaining in-model adjustments now target a combination of specific enhancements which will continue to be
progressed through to model changes. The reduction in the adjustment is also partly due to the improved economic outlook which reduces the
impact of adopting the new forecast model.
End-of-term interest-only: £174 million (2020: £179 million)
The current definition of default used in the UK mortgages impairment model excludes past term interest-only accounts that continue to make
interest payments but have missed their capital payment upon maturity of the loan. This adjustment therefore mitigates the risk that the model
understates the credit losses associated with interest-only accounts which have missed, or will potentially miss, their final capital payment. For
those accounts that have reached end of term this adjustment manually overwrites PDs to 70 per cent or 100 per cent, thereby moving them
into Stage 2, or Stage 3, depending on whether they are considered performing or non-performing respectively. For interest-only accounts with
six years or less to maturity an appropriate incremental PD uplift is made to PDs based on the probability of missing a future capital payment,
assessed through segmentation of behaviour score, debt-to-value and worst ever arrears status.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
103
Long-term defaults: £87 million (2020: £87 million)
The Group suspended mortgage litigation activity between late 2014 and mid 2018 as changes were implemented to the treatment of amounts
in arrears, interrupting the natural flow of accounts to possession. An adjustment is made to ensure adequate provision coverage considering
the resulting build-up of accounts in long-term default. Coverage is uplifted to the equivalent levels of those accounts already in repossession
on an estimated shortfall of balances expected to flow to possession. A further adjustment is made to mitigate for the risk that credit model
provision understates the probability of possession for accounts which have been in default for more than 24 months, with an arrears balance
increase in the last 6 months. These accounts have their probability of possession set to 95 per cent based on observed historical losses incurred
on accounts that were of an equivalent status.
Adjustment for specific segments: £54 million (2020: £20 million)
The Group monitors risks across specific segments of its portfolios which may not be fully captured through wider collective models. Along with
continued judgmental increases to probability of default on forborne accounts, £18 million (2020: £20 million), the Group has taken an additional
£36 million judgement for fire safety and cladding uncertainty. This captures risks within the assessment of affordability and asset valuations, not
captured by underlying models. Though experience remains limited the risk is now considered sufficiently material to address through
judgement, given that more cases have been assessed as having defective cladding, or other fire safety issues, together with emerging
evidence of higher arrears and weaker sales values relative to the wider portfolio.
Inflation and interest rate risk: £52 million (2020: £nil)
The Group’s approach to MES modelling incorporates a range of interest rate scenarios, however it is recognised that given current inflationary
pressures the risk of a very rapid increase in interest rates may not be fully captured in the range of economic assumptions used to assess credit
losses. Therefore an additional management judgement for the mortgage portfolio, for which default rates are most sensitive to interest rates,
has been taken to reflect this heightened risk. The quantification of this risk adopts an alternative severe downside scenario which leverages the
Group’s internal stress testing exercise. The increase in ECL therefore reflects the incremental losses from adopting a severe downside scenario
with interest rates increasing to 4 per cent, with peak unemployment and house price falls broadly consistent with the Group’s stated severe
downside scenario. The Group will continue to reassess inflationary risks and whether this additional judgement is required.
Credit cards: £(9) million (2020: £(56) million) and Other Retail: £50 million (2020: £43 million)
These adjustments principally comprise:
Lifetime extension on revolving products: Credit cards: £41 million (2020: £71 million) and Other Retail: £5 million (2020: £10 million)
Unsecured revolving products use a model lifetime definition of three years based on historic data which shows that substantially all accounts
resolve in this time. An adjustment is made to extend the lifetime used for Stage 2 exposures to six years by increasing default probabilities
through the extrapolation of the default trajectory observed throughout the three years and beyond. The resulting additional ECL allowance is
added to Stage 2 accounts proportionate to the modelled three-year PD. The decrease in this judgement during 2021 is primarily due to the
Group's improved economic outlook, meaning that the model view of lifetime three year losses is lower and therefore this extrapolation to six
years is proportionally lower.
Credit card loss given default alignment (LGD): £(37) million (2020: £(55) million)
The MBNA impairment model was developed using historical MBNA data. Following the acquisition of the business and the subsequent
migration of this portfolio to Lloyds Banking Group's collections strategies, an adjustment is required to reflect the recent improvement in cure
rates now evident as collections strategies harmonise, which are not captured by the original MBNA model development data. The reduction in
the judgement reflects a lower level of anticipated defaults, now expected from an improved economic outlook, against which the LGD
adjustments would be applied.
Defined benefit pension scheme obligations
Key judgement:
Determination of an appropriate yield curve
Key estimates:
Discount rate applied to future cash flows
Expected lifetime of the schemes' members
Expected rate of future inflationary increases
The net asset recognised in the balance sheet at 31 December 2021 in respect of the Group’s defined benefit pension scheme obligations was
£4,404 million comprising an asset of £4,531 million and a liability of £127 million (2020: a net asset of £1,578 million comprising an asset of
£1,714 million and a liability of £136 million); and for the Bank was £2,384 million (comprising an asset of £2,420 million and a liability of
£36 million) (2020: a net asset of £727 million comprising an asset of £765 million and a liability of £38 million). The Group’s accounting policy for
its defined benefit pension scheme obligations is set out in note 2(K).
The accounting valuation of the Group’s defined benefit pension schemes’ liabilities requires management to make a number of assumptions.
The key areas of estimation uncertainty are the discount rate applied to future cash flows, the expected lifetime of the schemes’ members and
the expected rate of future inflationary increases.
The discount rate is required to be set with reference to market yields at the end of the reporting period on high quality corporate bonds in the
currency of and with a term consistent with the defined benefit pension schemes’ obligations. The average duration of the schemes’ obligations
is approximately 17 years. The market for bonds with a similar duration is limited and, as a result, significant management judgement is required
to determine an appropriate yield curve on which to base the discount rate. Assuming that there is no change in other assumptions or in the
value of the schemes' assets, the effect on the net accounting surplus at 31 December 2021 of a decrease of 10 basis points in the discount rate
would be a reduction of £795 million (2020: £890 million). To the extent that changes in the discount rate arise from changes in gilt yields, rather
than credit spreads, the impact is largely mitigated by the schemes' asset-liability matching strategies.
The cost of the benefits payable by the schemes will also depend upon the life expectancy of the members. The mortality assumptions used by
the Group are based on standard industry tables for both current mortality rates and the rate of future mortality improvement, adjusted in line
with the actual experience of the Group's schemes. Assuming that there is no change in other assumptions or in the value of the schemes'
assets, the effect on the net accounting surplus at 31 December 2021 of an increase of one year in the average life of scheme members would
be a reduction of £1,934 million (2020: £2,146 million). The Group has in place a longevity swap, as described in note 27, to partially mitigate
mortality risk.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
104
The majority of the Group’s plans provide benefits linked to inflation both in deferment and in payment and the Group sets its inflation
assumption with reference to an implied inflation curve. Assuming that there is no change in other assumptions or in the value of the schemes’
assets, the effect on the net accounting surplus at 31 December 2021 of an increase of 10 basis points in the expected rate of inflation would be
a decrease of £481 million (2020: £531 million). This impact would be offset by gains recognised on the pension schemes’ holding of index
linked gilts and inflation linked swaps.
Further sensitivities and the balance sheet impact of changes in the principal actuarial assumptions are provided in part (v) of note 27.
Uncertain tax positions
Key judgement:
Interpreting tax rules on the Group’s open tax matters
The Lloyds Banking Group has an open matter in relation to a claim for group relief of losses incurred in its former Irish banking subsidiary,
which ceased trading on 31 December 2010. In 2013, HMRC informed the Lloyds Banking Group that its interpretation of the UK rules means
that the group relief is not available. In 2020, HMRC concluded their enquiry into the matter and issued a closure notice. The Lloyds Banking
Group's interpretation of the UK rules has not changed and hence it has appealed to the First Tier Tax Tribunal, with a hearing expected in
2022. If the final determination of the matter by the judicial process is that HMRC’s position is correct, management estimate that this would
result in an increase in current tax liabilities of approximately £730 million (including interest) and a reduction in deferred tax assets of
approximately £330 million. The Lloyds Banking Group, having taken appropriate advice, does not consider that this is a case where additional
tax will ultimately fall due.
The Group makes other estimates in relation to tax which do not require significant judgements, see further discussion in note 28.
Regulatory and legal provisions
Key judgements:
Determining the scope of reviews required by regulators
The impact of legal decisions that may be relevant to claims received
Determining whether a reliable estimate is available for obligations arising from past events
Key estimates:
The number of future complaints
The proportion of complaints that will be upheld
The average cost of redress
At 31 December 2021, the Group carried provisions of £1,054 million (2020: £520 million) and the Bank £146 million (2020: £140 million) against
the cost of making redress payments to customers and the related administration costs in connection with historical regulatory breaches.
Determining the amount of the provisions, which represent management’s best estimate of the cost of settling these issues, requires the
exercise of significant judgement and estimation. It will often be necessary to form a view on matters which are inherently uncertain, such as the
scope of reviews required by regulators, and to estimate the number of future complaints, the extent to which they will be upheld, the average
cost of redress and the impact of decisions reached by legal and other review processes that may be relevant to claims received. Consequently
the continued appropriateness of the underlying assumptions is reviewed on a regular basis against actual experience and other relevant
evidence and adjustments made to the provisions where appropriate.
Management has applied significant judgement in determining the provision required for HBOS Reading; further details are provided in note
29.
Fair value of financial instruments
Key estimate:
Interest rate spreads, earnings multiples and interest rate volatility
At 31 December 2021, the carrying value of the Group’s financial instrument assets held at fair value was £35,095 million (2020: £37,275 million),
and its financial instrument liabilities held at fair value was £11,180 million (2020: £15,059 million). The carrying value of the Bank’s financial
instrument assets held at fair value was £36,956 million (2020: £38,966 million) and financial instrument liabilities held at fair value was
£15,923 million (2020: £18,979 million).
The Group’s valuation control framework and a description of level 1, 2 and 3 financial assets and liabilities is set out in note 41(2). The valuation
techniques for level 3 financial instruments involve management judgement and estimates, the extent of which depends on the complexity of
the instrument and the availability of market observable information. In addition, in line with market practice, the Group applies credit, debit
and funding valuation adjustments in determining the fair value of its uncollateralised derivative positions. A description of these adjustments is
set out in note 41.
Capitalised software enhancements
Key judgement:
Assessing future trading conditions that could affect the Group’s business operations
Key estimate:
Estimated useful life of internally generated capitalised software
At 31 December 2021, the carrying value of the Group’s capitalised software enhancements was £3,383 million (2020: £3,281 million).
In determining the estimated useful life of capitalised software enhancements, management consider the product's lifecycle and the Group's
technology strategy; assets are reviewed annually to assess whether there is any indication of impairment and to confirm that the remaining
estimated useful life is still appropriate. For the year ended 31 December 2021, the amortisation charge was £884 million, including a software
write-off as the Group invests in new technology and systems infrastructure, and at 31 December 2021, the weighted-average remaining
estimated useful life of the Group’s capitalised software enhancements was 4.7 years (2020: 4.9 years). If the Group reduced by one year the
estimated useful life of those assets with a remaining estimated useful life of more than two years at 31 December 2021, the 2022 amortisation
charge would be approximately £200 million higher.
Lloyds Bank plc
Notes to the accounts
Note 3: Critical accounting judgements and key sources of estimation uncertainty (continued)
105
The Group provides a wide range of banking and financial services in the UK and in certain locations overseas. The Group Executive Committee
(GEC) of the Lloyds Banking Group has been determined to be the chief operating decision-maker, as defined by IFRS 8 Operating Segments,
for the Group. The Group’s operating segments reflect its organisational and management structures. The GEC reviews the Group’s internal
reporting based around these segments in order to assess performance and allocate resources. They consider interest income and expense on
a net basis and consequently the total interest income and expense for all reportable segments is presented net. The segments are
differentiated by the type of products provided and by whether the customers are individuals or corporate entities.
The Group’s activities are organised into two financial reporting segments: Retail and Commercial Banking.
Retail offers a broad range of financial service products, including current accounts, savings, mortgages, motor finance and unsecured
consumer lending to personal and small business customers.
Commercial Banking provides a range of products and services such as lending, transactional banking, working capital management, risk
management and debt capital markets services to SMEs, corporates and financial institutions.
Other comprises income and expenditure not attributed to the Group's financial reporting segments. These amounts include the costs of
certain central and head office functions.
Inter-segment services are generally recharged at cost, although some attract a margin. Inter-segment lending and deposits are generally
entered into at market rates, except that non-interest bearing balances are priced at a rate that reflects the external yield that could be earned
on such funds.
For the majority of those derivative contracts entered into by business units for risk management purposes, the business unit recognises the net
interest income or expense on an accrual accounting basis and transfers the remainder of the movement in the fair value of the derivative to the
central function where the resulting accounting volatility is managed where possible through the establishment of hedge accounting
relationships. Any change in fair value of the hedged instrument attributable to the hedged risk is also recorded within the central function. This
allocation of the fair value of the derivative and change in fair value of the hedged instrument attributable to the hedged risk avoids accounting
asymmetry in segmental results and leads to accounting volatility, which is managed centrally and reported within Other.
Lloyds Bank plc
Notes to the accounts
Note 4: Segmental analysis
106
Retail
Commercial
Banking
Other
Group
£m
£m
£m
£m
Year ended 31 December 2021
Net interest income
8,581
2,240
215
11,036
Other income
1,754
753
1,130
3,637
Total income
10,335
2,993
1,345
14,673
Operating expenses
(5,766)
(2,314)
(2,126)
(10,206)
Impairment credit
455
857
6
1,318
Profit before tax
5,024
1,536
(775)
5,785
External income
11,706
2,643
324
14,673
Inter-segment (expense) income
(1,371)
350
1,021
Segment income
10,335
2,993
1,345
14,673
Segment external assets
371,746
77,451
153,652
602,849
Segment external liabilities
322,146
120,049
119,882
562,077
Analysis of segment other income:
Fee and commission income:
Current accounts
504
126
4
634
Credit and debit card fees
614
264
878
Commercial banking fees
247
37
284
Factoring
76
76
Other fees and commissions
57
167
99
323
Fee and commission income
1,175
880
140
2,195
Fee and commission expense
(577)
(230)
(135)
(942)
Net fee and commission income
598
650
5
1,253
Operating lease rental income
1,046
13
1,059
Gains less losses on disposal of financial assets at fair value through other
comprehensive income
(116)
(116)
Other income
110
90
1,241
1,441
Segment other income
1,754
753
1,130
3,637
Other segment items reflected in income statement above:
Depreciation and amortisation
1,525
273
979
2,777
Defined benefit scheme charges
89
29
118
236
Other segment items:
Additions to fixed assets
1,922
168
1,012
3,102
Lloyds Bank plc
Notes to the accounts
Note 4: Segmental analysis (continued)
107
Retail
Commercial
Banking
Other
Group
£m
£m
£m
£m
Year ended 31 December 2020
Net interest income
8,321
2,300
149
10,770
Other income
1,735
673
1,407
3,815
Total income
10,056
2,973
1,556
14,585
Operating expenses
(5,816)
(1,673)
(1,707)
(9,196)
Impairment charge
(2,384)
(1,280)
(396)
(4,060)
Profit (loss) before tax
1,856
20
(547)
1,329
External income
11,859
2,496
230
14,585
Inter-segment (expense) income
(1,803)
477
1,326
Segment income
10,056
2,973
1,556
14,585
Segment external assets
359,171
83,155
157,613
599,939
Segment external liabilities
295,216
126,008
137,597
558,821
Analysis of segment other income:
Fee and commission income:
Current accounts
497
109
4
610
Credit and debit card fees
517
231
748
Commercial banking fees
169
169
Private banking and asset management
1
1
Factoring
76
76
Other fees and commissions
63
157
100
320
Fee and commission income
1,077
742
105
1,924
Fee and commission expense
(571)
(195)
(143)
(909)
Net fee and commission income
506
547
(38)
1,015
Operating lease rental income
1,104
16
1,120
Gains less losses on disposal of financial assets at fair value through other
comprehensive income
145
145
Other income
125
110
1,300
1,535
Segment other income
1,735
673
1,407
3,815
Other segment items reflected in income statement above:
Depreciation and amortisation
1,760
242
668
2,670
Defined benefit scheme charges
97
28
122
247
Other segment items:
Additions to fixed assets
1,684
89
1,042
2,815
Lloyds Bank plc
Notes to the accounts
Note 4: Segmental analysis (continued)
108
Retail
Commercial
Banking
Other
Group
£m
£m
£m
£m
Year ended 31 December 2019
Net interest income
9,129
2,691
400
12,220
Other income
2,025
870
1,493
4,388
Total income
11,154
3,561
1,893
16,608
Operating expenses
(8,561)
(1,818)
(1,393)
(11,772)
Impairment charge
(1,038)
(313)
(11)
(1,362)
Profit before tax
1,555
1,430
489
3,474
External income
13,111
2,773
724
16,608
Inter-segment (expense) income
(1,957)
788
1,169
Segment income
11,154
3,561
1,893
16,608
Segment external assets
351,301
89,630
140,437
581,368
Segment external liabilities
261,019
125,240
156,210
542,469
Analysis of segment other income:
Fee and commission income:
Current accounts
518
133
5
656
Credit and debit card fees
634
327
961
Commercial banking fees
166
166
Private banking and asset management
38
38
Factoring
103
103
Other fees and commissions
68
219
152
439
Fee and commission income
1,220
948
195
2,363
Fee and commission expense
(571)
(299)
(157)
(1,027)
Net fee and commission income
649
649
38
1,336
Operating lease rental income
1,225
22
1,247
Gains less losses on disposal of financial assets at fair value through other
comprehensive income
(5)
201
196
Other income
151
204
1,254
1,609
Segment other income
2,025
870
1,493
4,388
Other segment items reflected in income statement above:
Depreciation and amortisation
1,712
315
575
2,602
Defined benefit scheme charges
108
43
94
245
Other segment items:
Additions to fixed assets
2,208
247
1,097
3,552
The Group’s operations are predominantly UK-based and as a result an analysis between UK and non-UK activities is not provided.
Lloyds Bank plc
Notes to the accounts
Note 4: Segmental analysis (continued)
109
Weighted average
effective interest rate
2021
2020
2019
2021
2020
2019
%
%
%
£m
£m
£m
Interest income:
Loans and advances to banks and reverse repurchase agreements
0.11
0.20
0.57
70
114
269
Loans and advances to customers and reverse repurchase agreements
2.55
2.76
3.21
12,334
13,358
15,281
Debt securities
1.57
1.82
2.26
74
92
118
Financial assets held at amortised cost
2.27
2.48
2.97
12,478
13,564
15,668
Financial assets at fair value through other comprehensive income
1.69
1.12
1.64
442
302
430
Total interest income1
2.24
2.42
2.90
12,920
13,866
16,098
Interest expense:
Deposits from banks
1.34
1.19
1.39
(66)
(82)
(87)
Customer deposits
0.12
0.40
0.65
(386)
(1,270)
(2,054)
Repurchase agreements
0.10
0.36
1.08
(22)
(117)
(301)
Debt securities in issue2
1.37
1.13
0.71
(746)
(761)
(476)
Lease liabilities
2.01
2.36
2.41
(30)
(39)
(39)
Subordinated liabilities
7.01
7.19
9.89
(634)
(827)
(921)
Total interest expense3
0.45
0.71
0.91
(1,884)
(3,096)
(3,878)
Net interest income
11,036
10,770
12,220
1Includes £10 million (2020: £10 million; 2019: £26 million) of interest income on liabilities with negative interest rates and £38 million (2020: £42 million; 2019: £39 million) in respect of interest
income on finance leases.
2The impact of the Group’s hedging arrangements is included on this line; excluding this impact the weighted average effective interest rate in respect of debt securities in issue would be
2.30 per cent (2020: 2.42 per cent; 2019: 2.25 per cent).
3Includes £2 million (2020: £23 million; 2019: £119 million) of interest expense on assets with negative interest rates.
Included within interest income is £173 million (2020: £170 million; 2019: £196 million) in respect of credit-impaired financial assets. Net interest
income also includes a credit of £584 million (2020: credit of £727 million; 2019: credit of £580 million) transferred from the cash flow hedging
reserve (see note 33).
Note 6: Net fee and commission income
2021
2020
2019
£m
£m
£m
Fee and commission income:
Current accounts
634
610
656
Credit and debit card fees
878
748
961
Commercial banking fees
284
169
166
Private banking and asset management
1
38
Factoring
76
76
103
Other fees and commissions
323
320
439
Total fee and commission income
2,195
1,924
2,363
Fee and commission expense
(942)
(909)
(1,027)
Net fee and commission income
1,253
1,015
1,336
Fees and commissions which are an integral part of the effective interest rate form part of net interest income shown in note 5. Fees and
commissions relating to instruments that are held at fair value through profit or loss are included within net trading income shown in note 7.
At 31 December 2021, the Group held on its balance sheet £76 million (31 December 2020: £76 million) in respect of services provided to
customers and £70 million (31 December 2020: £83 million) in respect of amounts received from customers for services to be provided after the
balance sheet date. Current unsatisfied performance obligations amount to £143 million (31 December 2020: £172 million); the Group expects
to receive substantially all of this revenue by 2024.
Lloyds Bank plc
Notes to the accounts
Note 5: Net interest income
110
Income recognised during the year included £13 million (2020: £18 million) in respect of amounts included in the contract liability balance at the
start of the year and £nil (2020: £nil) in respect of amounts from performance obligations satisfied in previous years.
The most significant performance obligations undertaken by the Group are in respect of current accounts, the provision of other banking
services for commercial customers and credit and debit card services.
In respect of current accounts, the Group receives fees for the provision of bank account and transaction services such as ATM services, fund
transfers, overdraft facilities and other value-added offerings.
For commercial customers, alongside its provision of current accounts, the Group provides other corporate banking services including factoring
and commitments to provide loan financing. Loan commitment fees are included in fees and commissions where the loan is not expected to be
drawn down by the customer.
The Group receives interchange and merchant fees, together with fees for overseas use and cash advances, for provision of card services to
cardholders and merchants.
Note 7: Net trading income
2021
2020
2019
£m
£m
£m
Foreign exchange translation gains (losses)
10
74
(203)
Gains on foreign exchange trading transactions
329
326
336
Total foreign exchange
339
400
133
Investment property losses
(20)
(8)
Securities and other gains (see below)
46
370
235
Net trading income
385
750
360
Securities and other gains comprise net gains (losses) arising on assets and liabilities held at fair value through profit or loss as follows:
2021
2020
2019
£m
£m
£m
Net income arising on assets and liabilities mandatorily held at fair value through profit or loss:
Financial instruments held for trading1
94
440
427
Other financial instruments mandatorily held at fair value through profit or loss:
Debt securities, loans and advances
6
37
25
Equity shares
11
9
(3)
111
486
449
Net expense arising on assets and liabilities designated at fair value through profit or loss
(65)
(116)
(214)
Securities and other gains
46
370
235
1Includes hedge ineffectiveness in respect of fair value hedges (2021: gain of £195 million; 2020: gain of £546 million; 2019: gain of £153 million) and cash flow hedges (2021: loss of
£58 million; 2020: gain of £259 million; 2019: gain of £131 million).
Note 8: Other operating income
2021
2020
2019
£m
£m
£m
Operating lease rental income
1,059
1,120
1,247
Gains less losses on disposal of financial assets at fair value through other comprehensive income
(note 33)
(116)
145
196
Liability management
(39)
(216)
(101)
Intercompany recharges and other
1,095
1,001
1,350
Total other operating income
1,999
2,050
2,692
Lloyds Bank plc
Notes to the accounts
Note 6: Net fee and commission income (continued)
111
2021
2020
2019
£m
£m
£m
Staff costs:
Salaries
2,260
2,382
2,370
Performance-based compensation
282
106
340
Social security costs
290
271
308
Pensions and other post-retirement benefit schemes (note 27)
523
552
518
Restructuring costs
88
161
89
Other staff costs
249
143
360
3,692
3,615
3,985
Premises and equipment:
Rent and rates
116
115
114
Repairs and maintenance
161
172
182
Other1
(62)
138
150
215
425
446
Other expenses:
Communications and data processing
1,154
996
1,022
Advertising and promotion
161
184
173
Professional fees
150
128
144
Regulatory and legal provisions (note 29)
1,177
414
2,839
Other
880
760
561
3,522
2,482
4,739
Depreciation and amortisation:
Depreciation of property, plant and equipment2
1,823
2,017
2,040
Amortisation of other intangible assets (note 19)
954
653
562
2,777
2,670
2,602
Goodwill impairment (note 18)
4
Total operating expenses
10,206
9,196
11,772
1Net of profits on disposal of operating lease assets of £249 million (2020: £127 million; 2019: £41 million).
2Comprising depreciation in respect of premises £121 million (2020: £124 million; 2019: £121 million), equipment £777 million (2020: £676 million; 2019: £710 million), operating lease assets
£709 million (2020: £1,002 million; 2019: £1,006 million) and right-of-use assets £216 million (2020: £215 million; 2019: £203 million).
The average number of persons on a headcount basis employed by the Group during the year was as follows:
2021
2020
2019
UK
63,649
67,115
69,321
Overseas
512
515
762
Total
64,161
67,630
70,083
Lloyds Bank plc
Notes to the accounts
Note 9: Operating expenses
112
Fees payable to the Bank's auditors1 are as follows:
2021
2020
2019
£m
£m
£m
Fees payable for the:
– audit of the Bank's current year Annual report
4.7
4.5
4.2
– audits of the Bank's subsidiaries
9.5
8.9
8.6
– total audit fees in respect of the statutory audit of Group entities2
14.2
13.4
12.8
– services normally provided in connection with statutory and regulatory filings or engagements
0.7
1.6
1.3
Total audit fees3
14.9
15.0
14.1
Other audit-related fees3
0.4
0.3
0.2
All other fees3
0.5
0.9
0.3
Total non-audit services4
0.9
1.2
0.5
Total fees payable to the Bank’s auditors by the Group
15.8
16.2
14.6
1Deloitte LLP became the Group's statutory auditor in 2021. PricewaterhouseCoopers LLP was the statutory auditor during 2020.
2As defined by the Financial Reporting Council (FRC).
3As defined by the Securities and Exchange Commission (SEC).
4As defined by the SEC. Total non-audit services as defined by the FRC include all fees other than audit fees in respect of the statutory audit of Group entities. These fees totalled £1.6 million
in 2021 (2020: £2.8 million; 2019: £1.8 million).
The following types of services are included in the categories listed above:
Audit fees: This category includes fees in respect of the audit of the Group’s annual financial statements and other services in connection with
regulatory filings. Other services supplied pursuant to legislation relate primarily to costs incurred in connection with client asset assurance and
with the Sarbanes-Oxley Act requirements associated with the audit of the financial statements of Lloyds Banking Group filed on Form 20-F.
Other audit-related fees: This category includes fees in respect of services for assurance and related services that are reasonably related to the
performance of the audit or review of the financial statements, for example acting as reporting accountants in respect of debt prospectuses
required by the Listing Rules.
All other fees: This category includes other assurance services not related to the performance of the audit or review of the financial statements,
for example the review of controls operated by the Group on behalf of a third party. The auditors are not engaged to provide tax services.
It is the Group’s policy to use the auditors only on assignments in cases where their knowledge of the Group means that it is neither efficient nor
cost effective to employ another firm of accountants.
Lloyds Banking Group has procedures that are designed to ensure auditor independence for Lloyds Banking Group plc and all of its
subsidiaries, including prohibiting certain non-audit services. All audit and non-audit assignments must be pre-approved by the Lloyds Banking
Group Audit Committee (the Audit Committee) on an individual engagement basis; for certain types of non-audit engagements where the fee is
‘de minimis’ the Audit Committee has pre-approved all assignments subject to confirmation by management. On a quarterly basis, the Audit
Committee receives and reviews a report detailing all pre-approved services and amounts paid to the auditors for such pre-approved services.
During the year the auditors1 also earned fees payable by entities outside the consolidated Lloyds Bank Group in respect of the following:
2021
2020
2019
£m
£m
£m
Audits of Group pension schemes
0.3
0.1
0.1
Reviews of the financial position of corporate and other borrowers
1.3
1Deloitte LLP became the Group's statutory auditor in 2021. PricewaterhouseCoopers LLP was the statutory auditor during 2020.
Lloyds Bank plc
Notes to the accounts
Note 10: Auditors’ remuneration
113
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
Year ended 31 December 2021
Impact of transfers between stages
74
(474)
339
(61)
Other changes in credit quality
(313)
(307)
252
(48)
(416)
Additions and repayments
(231)
(379)
(97)
(87)
(794)
Methodology and model changes
(63)
15
6
(42)
Other items
2
4
(11)
(5)
(605)
(667)
150
(135)
(1,257)
Total impairment (credit) charge
(531)
(1,141)
489
(135)
(1,318)
In respect of:
Loans and advances to banks and reverse repurchase agreements
(4)
(4)
Loans and advances to customers and reverse repurchase agreements
(436)
(1,008)
498
(135)
(1,081)
Financial assets at amortised cost
(440)
(1,008)
498
(135)
(1,085)
Impairment (credit) charge on drawn balances
(440)
(1,008)
498
(135)
(1,085)
Loan commitments and financial guarantees
(89)
(133)
(9)
(231)
Financial assets at fair value through other comprehensive income
(2)
(2)
Total impairment (credit) charge
(531)
(1,141)
489
(135)
(1,318)
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
Year ended 31 December 2020
Impact of transfers between stages
(168)
925
699
1,456
Other changes in credit quality
909
6
1,164
167
2,246
Additions and repayments
77
173
(52)
(30)
168
Methodology and model changes
(31)
170
26
165
Other items
25
25
955
349
1,163
137
2,604
Total impairment charge
787
1,274
1,862
137
4,060
In respect of:
Loans and advances to banks and reverse repurchase agreements
4
4
Loans and advances to customers and reverse repurchase agreements
678
1,130
1,853
137
3,798
Financial assets at amortised cost
682
1,130
1,853
137
3,802
Impairment charge on drawn balances
682
1,130
1,853
137
3,802
Loan commitments and financial guarantees
100
144
9
253
Financial assets at fair value through other comprehensive income
5
5
Total impairment charge
787
1,274
1,862
137
4,060
Lloyds Bank plc
Notes to the accounts
Note 11: Impairment
114
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
Year ended 31 December 2019
Impact of transfers between stages
(17)
89
532
604
Other changes in credit quality
6
2
939
(106)
841
Additions and repayments
93
(41)
(60)
(87)
(95)
Methodology and model changes
33
(27)
8
14
Other items
(5)
3
(2)
127
(66)
890
(193)
758
Total impairment charge (credit)
110
23
1,422
(193)
1,362
In respect of:
Loans and advances to banks and reverse repurchase agreements
Loans and advances to customers and reverse repurchase agreements
141
10
1,382
(193)
1,340
Due from fellow Lloyds Banking Group undertakings
(1)
41
40
Financial assets at amortised cost
140
10
1,423
(193)
1,380
Impairment charge (credit) on drawn balances
140
10
1,423
(193)
1,380
Loan commitments and financial guarantees
(29)
13
(1)
(17)
Financial assets at fair value through other comprehensive income
(1)
(1)
Total impairment charge (credit)
110
23
1,422
(193)
1,362
The impairment charge includes a release of £77 million (2020: charge of £41 million; 2019: charge of £134 million) in respect of residual value
impairment and voluntary terminations within the Group’s UK motor finance business.
The Group’s impairment charge comprises the following items:
Impact of transfers between stages
The net impact on the impairment charge of transfers between stages.
Other changes in credit quality
Changes in loss allowance as a result of movements in risk parameters that reflect changes in customer quality, but which have not resulted in a
transfer to a different stage. This also contains the impact on the impairment charge as a result of write-offs and recoveries, where the related
loss allowances are reassessed to reflect ultimate realisable or recoverable value.
Additions and repayments
Expected loss allowances are recognised on origination of new loans or further drawdowns of existing facilities. Repayments relate to the
reduction of loss allowances resulting from the repayments of outstanding balances that have been provided against.
Methodology and model changes
Increase or decrease in impairment charge as a result of adjustments to the models used for expected credit loss calculations; either as changes
to the model inputs or to the underlying assumptions, as well as the impact of changing the models used.
Movements in the Group's impairment allowances are shown in note 15.
Lloyds Bank plc
Notes to the accounts
Note 11: Impairment (continued)
115
(A)Analysis of tax (expense) credit for the year
2021
2020
2019
£m
£m
£m
UK corporation tax:
Current tax on profit for the year
(1,349)
(423)
(1,239)
Adjustments in respect of prior years
83
336
98
(1,266)
(87)
(1,141)
Foreign tax:
Current tax on profit for the year
(21)
(18)
(58)
Adjustments in respect of prior years
22
24
4
1
6
(54)
Current tax expense
(1,265)
(81)
(1,195)
Deferred tax:
Current year
851
508
(104)
Adjustments in respect of prior years
(169)
(290)
58
Deferred tax (expense) credit
682
218
(46)
Tax (expense) credit
(583)
137
(1,241)
(B)Factors affecting the tax (expense) credit for the year
The UK corporation tax rate for the year was 19.0 per cent (2020: 19.0 per cent; 2019: 19.0 per cent). An explanation of the relationship between
tax (expense) credit and accounting profit is set out below:
2021
2020
2019
£m
£m
£m
Profit before tax
5,785
1,329
3,474
UK corporation tax thereon
(1,099)
(253)
(660)
Impact of surcharge on banking profits
(415)
(122)
(367)
Non-deductible costs: conduct charges
(167)
(24)
(370)
Non-deductible costs: bank levy
(19)
(30)
Other non-deductible costs
(59)
(62)
(77)
Non-taxable income
22
37
36
Tax relief on coupons on other equity instruments
65
79
53
Tax-exempt gains on disposals
2
25
Tax losses where no deferred tax recognised
(3)
(7)
Remeasurement of deferred tax due to rate changes
1,168
435
(25)
Differences in overseas tax rates
(17)
10
(9)
Adjustments in respect of prior years
(64)
70
160
Tax (expense) credit
(583)
137
(1,241)
The tax expense in 2021 included the impact of non-deductible conduct charges which were significantly greater than in 2020, reflecting the
Group's best estimate of tax-deductibility of provisions made in the year.
Note 13: Financial assets at fair value through profit or loss
These comprise financial assets mandatorily at fair value through profit or loss as follows:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Loans and advances to customers
1,559
1,511
1,121
517
Corporate and other debt securities
3,404
1,203
Equity shares
239
163
4
4
Total
1,798
1,674
4,529
1,724
At 31 December 2021 £1,500 million (2020: £1,099 million) of financial assets at fair value through profit or loss of the Group and £3,116 million
(2020: £1,600 million) of the Bank had a contractual residual maturity of greater than one year.
For amounts included above which are subject to repurchase and reverse repurchase agreements see note 44.
Lloyds Bank plc
Notes to the accounts
Note 12: Tax expense
116
The fair values and notional amounts of derivative instruments are set out in the following table:
2021
2020
Contract/
notional
amount
Fair value
assets
Fair value
liabilities
Contract/
notional
amount
Fair value
assets
Fair value
liabilities
The Group
£m
£m
£m
£m
£m
£m
Trading and other
Exchange rate contracts:
Spot, forwards and futures
12,243
144
156
15,055
360
124
Currency swaps
155,190
693
595
147,303
1,314
1,650
Options purchased
5
12
Options written
5
12
167,443
837
751
162,382
1,674
1,774
Interest rate contracts:
Interest rate swaps
931,834
4,525
3,300
1,312,974
5,872
5,421
Forward rate agreements
21
81,305
3
Options purchased
2,128
19
3,745
55
Options written
1,229
10
3,064
62
935,212
4,544
3,310
1,401,088
5,927
5,486
Credit derivatives
4,390
64
101
5,362
65
120
Equity and other contracts
44
11
166
50
1
258
Total derivative assets/liabilities - trading and other
1,107,089
5,456
4,328
1,568,882
7,667
7,638
Hedging
Derivatives designated as fair value hedges:
Interest rate and other swaps
147,724
41
307
185,958
336
255
Currency swaps
34
7
36
11
147,758
48
307
185,994
347
255
Derivatives designated as cash flow hedges:
Interest rate swaps
97,942
316,776
290
262
Currency swaps
571
7
8
4,030
37
73
98,513
7
8
320,806
327
335
Total derivative assets/liabilities - hedging
246,271
55
315
506,800
674
590
Total recognised derivative assets/liabilities
1,353,360
5,511
4,643
2,075,682
8,341
8,228
The notional amount of the contract does not represent the Group’s exposure to credit risk, which is limited to the current cost of replacing
contracts with a positive value to the Group should the counterparty default. To reduce credit risk the Group uses a variety of credit
enhancement techniques such as netting and collateralisation, where security is provided against the exposure; a large proportion of the
Group's derivatives are held through exchanges such as London Clearing House and are collateralised through those exchanges. Further details
are provided in note 44 Credit risk.
The Group holds derivatives as part of the following strategies:
Customer driven, where derivatives are held as part of the provision of risk management products to Group customers
To manage and hedge the Group’s interest rate and foreign exchange risk arising from normal banking business. The hedge accounting
strategy adopted by the Group is to utilise a combination of fair value and cash flow hedge approaches as described in note 44
The principal derivatives used by the Group are as follows:
Interest rate related contracts include interest rate swaps, forward rate agreements and options. An interest rate swap is an agreement
between two parties to exchange fixed and floating interest payments, based upon interest rates defined in the contract, without the
exchange of the underlying principal amounts. Forward rate agreements are contracts for the payment of the difference between a
specified rate of interest and a reference rate, applied to a notional principal amount at a specific date in the future. An interest rate option
gives the buyer, on payment of a premium, the right, but not the obligation, to fix the rate of interest on a future loan or deposit, for a
specified period and commencing on a specified future date
Exchange rate related contracts include forward foreign exchange contracts, currency swaps and options. A forward foreign exchange
contract is an agreement to buy or sell a specified amount of foreign currency on a specified future date at an agreed rate. Currency swaps
generally involve the exchange of interest payment obligations denominated in different currencies; the exchange of principal can be
notional or actual. A currency option gives the buyer, on payment of a premium, the right, but not the obligation, to sell specified amounts
of currency at agreed rates of exchange on or before a specified future date
Credit derivatives, principally credit default swaps, are used by the Group as part of its trading activity and to manage its own exposure to
credit risk. A credit default swap is a swap in which one counterparty receives a premium at pre-set intervals in consideration for
guaranteeing to make a specific payment should a negative credit event take place
Equity derivatives are also used by the Group as part of its equity-based retail product activity to eliminate the Group’s exposure to
fluctuations in various international stock exchange indices. Index-linked equity options are purchased which give the Group the right, but
not the obligation, to buy or sell a specified amount of equities, or basket of equities, in the form of published indices on or before a
specified future date
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments
117
Details of the Group’s hedging instruments are set out below:
Maturity
The Group
At 31 December 2021
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Cross currency swap
Notional
34
34
Average fixed interest rate
1.28%
Average EUR/GBP exchange rate
1.38
Interest rate swap
Notional
283
1,684
15,631
105,666
24,460
147,724
Average fixed interest rate
2.21%
2.13%
0.94%
0.62%
1.87%
Cash flow hedges
Foreign exchange
Currency swap
Notional
31
117
325
98
571
Average EUR/GBP exchange rate
1.14
1.16
1.15
1.13
Average USD/GBP exchange rate
1.36
1.35
1.37
1.34
1.34
Interest rate
Interest rate swap
Notional
1,000
500
9,542
51,186
35,714
97,942
Average fixed interest rate
0.00%
0.17%
0.56%
0.88%
0.67%
Maturity
The Group
At 31 December 2020
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Cross currency swap
Notional
36
36
Average fixed interest rate
1.28%
Average EUR/GBP exchange rate
1.38
Interest rate swap
Notional
6,032
6,031
37,531
116,487
19,877
185,958
Average fixed interest rate
2.01%
1.69%
1.49%
1.23%
2.07%
Cash flow hedges
Foreign exchange
Currency swap
Notional
28
102
408
941
2,551
4,030
Average USD/GBP exchange rate
1.30
1.31
1.30
1.32
1.32
Interest rate
Interest rate swap
Notional
5,026
11,449
41,348
164,893
94,060
316,776
Average fixed interest rate
1.09%
1.05%
1.18%
1.57%
2.36%
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
118
The carrying amounts of the Group’s hedging instruments are as follows:
Carrying amount of the hedging instrument
The Group
At 31 December 2021
Contract/
notional
amount
Assets
Liabilities
Changes in fair
value used for
calculating hedge
ineffectiveness
£m
£m
£m
£m
Fair value hedges
Interest rate
Currency swaps
34
7
(2)
Interest rate swaps
147,724
41
307
1,887
Cash flow hedges
Foreign exchange
Currency swaps
571
7
8
(26)
Interest rate
Interest rate swaps
97,942
(2,444)
Carrying amount of the hedging instrument
The Group
At 31 December 2020
Contract/
notional
amount
Assets
Liabilities
Changes in fair
value used for
calculating hedge
ineffectiveness
£m
£m
£m
£m
Fair value hedges
Interest rate
Currency swaps
36
11
1
Interest rate swaps
185,958
336
255
(88)
Cash flow hedges
Foreign exchange
Currency swaps
4,030
37
73
(64)
Interest rate
Interest rate swaps
316,776
290
262
527
All amounts are held within derivative financial instruments.
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
119
The Group’s hedged items are as follows:
Carrying amount of
the hedged item
Accumulated amount of
fair value adjustment on
the hedged item
Change in
fair value of
hedged item for
ineffectiveness
assessment
Cash flow hedging reserve
Continuing
hedges
Discontinued
hedges
The Group
At 31 December 2021
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate mortgages1
88,791
(872)
(2,081)
Fixed rate issuance2
33,128
411
1,149
Fixed rate borrowings3
Fixed rate bonds4
25,019
342
(758)
Cash flow hedges
Foreign exchange
Foreign currency issuance2
5
(19)
17
Customer deposits5
21
Interest rate
Customer loans1
1,842
(711)
453
Central bank balances6
588
(235)
(109)
Customer deposits5
(89)
32
(85)
Carrying amount of
the hedged item
Accumulated amount of
fair value adjustment on
the hedged item
Change in
fair value of
hedged item for
ineffectiveness
assessment
Cash flow hedging reserve
Continuing
hedges
Discontinued
hedges
The Group
At 31 December 2020
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate mortgages1
125,183
661
355
Fixed rate issuance2
37,323
1,357
(179)
Fixed rate borrowings3
1,404
304
(184)
Fixed rate bonds4
24,111
1,178
641
Cash flow hedges
Foreign exchange
Foreign currency issuance2
(8)
(40)
64
Customer deposits5
74
13
(41)
Interest rate
Customer loans1
(508)
1,918
(2)
Central bank balances6
(71)
19
270
Customer deposits5
38
(233)
97
1Included within loans and advances to customers.
2Included within debt securities in issue.
3Included within amounts due to fellow Lloyds Banking Group undertakings.
4Included within financial assets at fair value through other comprehensive income.
5Included within customer deposits.
6Included within cash and balances at central banks.
The accumulated amount of fair value hedge adjustments remaining in the balance sheet for hedged items that have ceased to be adjusted for
hedging gains and losses is a liability of £548 million (relating to fixed rate issuances of £270 million and mortgages of £278 million) (2020:
liability of £360 million relating to fixed rate issuances only).
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
120
Gains and losses arising from hedge accounting are summarised as follows:
Gain (loss)
recognised
in other
comprehensive
income1
Hedge
ineffectiveness
recognised in the
income statement2
Amounts reclassified from reserves
to income statement as:
The Group
At 31 December 2021
Hedged cash
flows will no
longer occur
Hedged item
affected income
statement
Income
statement line
item that includes
reclassified amount
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate mortgages
206
Fixed rate issuance
(4)
Fixed rate borrowings
Fixed rate bonds
(7)
Cash flow hedges
Foreign exchange
Foreign currency issuance
(27)
(3)
(18)
Interest expense
Customer deposits
28
Interest expense
Interest rate
Customer loans
(2,173)
(42)
(454)
Interest income
Central bank balances
(633)
(17)
(134)
Interest income
Customer deposits
83
1
25
Interest expense
Gain (loss)
recognised
in other
comprehensive
income1
Hedge
ineffectiveness
recognised in the
income statement2
Amounts reclassified from reserves
to income statement as:
The Group
At 31 December 2020
Hedged cash
flows will no
longer occur
Hedged item
affected income
statement
Income
statement line
item that includes
reclassified amount
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate mortgages
571
Fixed rate issuance
(35)
Fixed rate borrowings
1
Fixed rate bonds
9
Cash flow hedges
Foreign exchange
Foreign currency issuance
(45)
(6)
(47)
Interest expense
Customer deposits
3
9
Interest expense
Interest rate
Customer loans
23
262
(633)
Interest income
Central bank balances
28
(3)
(95)
Interest income
Customer deposits
(27)
45
Interest expense
1Comprising the change in fair value of the hedging derivatives (a loss of £2,138 million; 2020: gain of £709 million) and the amounts reclassified from reserves to the income statement
(negative £584 million; 2020: negative £727 million).
2Hedge ineffectiveness is included in the income statement within net trading income.
There was a gain of £3 million (2020: gain of £6 million) reclassified from the cash flow hedging reserve for which hedge accounting had
previously been used but for which the hedged future cash flows are no longer expected to occur.
At 31 December 2021 £4,861 million of total recognised derivative assets of the Group and £4,031 million of total recognised derivative liabilities
of the Group (2020: £7,393 million of assets and £7,064 million of liabilities) had a contractual residual maturity of greater than one year.
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
121
2021
2020
Contract/
notional
amount
Fair value
assets
Fair value
liabilities
Contract/
notional
amount
Fair value
assets
Fair value
liabilities
The Bank
£m
£m
£m
£m
£m
£m
Trading and other
Exchange rate contracts:
Spot, forwards and futures
12,235
143
158
14,117
268
83
Currency swaps
158,448
965
625
168,605
1,683
1,960
Options purchased
5
12
Options written
5
11
170,693
1,108
783
182,745
1,951
2,043
Interest rate contracts:
Interest rate swaps
1,160,782
5,710
4,897
1,762,919
10,287
8,562
Forward rate agreements
21
84,245
4
Options purchased
2,138
20
3,824
56
Options written
1,220
10
3,025
75
1,164,161
5,730
4,907
1,854,013
10,343
8,641
Credit derivatives
4,439
23
102
5,407
59
99
Equity and other contracts
3
Total derivative assets/liabilities - trading and other
1,339,293
6,861
5,792
2,042,168
12,353
10,783
Hedging
Derivatives designated as fair value hedges:
Interest rate and other swaps
56,698
22
307
58,030
217
221
Currency swaps
34
7
36
11
56,732
29
307
58,066
228
221
Derivatives designated as cash flow hedges:
Interest rate swaps
26,876
93,353
11
42
Currency swaps
415
8
3
616
3
26
27,291
8
3
93,969
14
68
Total derivative assets/liabilities - hedging
84,023
37
310
152,035
242
289
Total recognised derivative assets/liabilities
1,423,316
6,898
6,102
2,194,203
12,595
11,072
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
122
Details of the Bank’s hedging instruments are set out below:
Maturity
The Bank
At 31 December 2021
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Cross currency swap
Notional
34
34
Average fixed interest rate
1.28%
Average EUR/GBP exchange rate
1.38
Interest rate swap
Notional
189
1,656
5,271
25,525
24,057
56,698
Average fixed interest rate
1.67%
2.09%
1.71%
1.65%
1.83%
Cash flow hedges
Foreign exchange
Currency swap
Notional
24
33
301
57
415
Average EUR/GBP exchange rate
1.16
1.16
Average USD/GBP exchange rate
1.36
1.35
1.37
1.33
Interest rate
Interest rate swap
Notional
8,571
10,115
8,190
26,876
Average fixed interest rate
0.56%
0.96%
0.74%
Maturity
The Bank
At 31 December 2020
Up to 1 month
1-3 months
3-12 months
1-5 years
Over 5 years
Total
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Cross currency swap
Notional
36
36
Average fixed interest rate
1.28%
Average EUR/GBP exchange rate
1.38
Interest rate swap
Notional
2,421
489
3,386
31,239
20,495
58,030
Average fixed interest rate
1.94%
1.67%
2.13%
1.82%
1.89%
Cash flow hedges
Foreign exchange
Currency swap
Notional
25
130
296
165
616
Average EUR/GBP exchange rate
1.13
1.11
Average USD/GBP exchange rate
1.30
1.30
1.31
1.34
Interest rate
Interest rate swap
Notional
844
4,363
9,375
67,534
11,237
93,353
Average fixed interest rate
1.40%
1.07%
1.00%
1.47%
2.33%
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
123
The carrying amounts of the Bank’s hedging instruments are as follows:
Carrying amount of the hedging instrument
The Bank
At 31 December 2021
Contract/
notional
amount
Assets
Liabilities
Changes in fair
value used for
calculating hedge
ineffectiveness
£m
£m
£m
£m
Fair value hedges
Interest rate
Currency swaps
34
7
(2)
Interest rate swaps
56,698
22
307
(294)
Cash flow hedges
Foreign exchange
Currency swaps
415
8
3
(2)
Interest rate
Interest rate swaps
26,876
(548)
Carrying amount of the hedging instrument
The Bank
At 31 December 2020
Contract/
notional
amount
Assets
Liabilities
Changes in fair
value used for
calculating hedge
ineffectiveness
£m
£m
£m
£m
Fair value hedges
Interest rate
Currency swaps
36
11
1
Interest rate swaps
58,030
217
221
(226)
Cash flow hedges
Foreign exchange
Currency swaps
616
3
26
4
Interest rate
Interest rate swaps
93,353
11
42
130
All amounts are held within derivative financial instruments.
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
124
The Bank’s hedged items are as follows:
Carrying amount of
the hedged item
Accumulated amount of
fair value adjustment on
the hedged item
Change in
fair value of
hedged item for
ineffectiveness
assessment
Cash flow hedging reserve
Continuing
hedges
Discontinued
hedges
The Bank
At 31 December 2021
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate issuance1
28,870
65
1,018
Fixed rate borrowings2
Fixed rate bonds3
24,358
344
(736)
Cash flow hedges
Foreign exchange
Foreign currency issuance1
2
(12)
(2)
Interest rate
Customer loans4
510
(117)
1,014
Central bank balances5
211
Customer deposits6
(42)
10
(67)
Carrying amount of
the hedged item
Accumulated amount of
fair value adjustment on
the hedged item
Change in
fair value of
hedged item for
ineffectiveness
assessment
Cash flow hedging reserve
Continuing
hedges
Discontinued
hedges
The Bank
At 31 December 2020
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate issuance1
32,044
793
(243)
Fixed rate borrowings2
1,404
304
(184)
Fixed rate bonds3
23,239
1,158
625
Cash flow hedges
Foreign exchange
Foreign currency issuance1
(4)
(49)
16
Interest rate
Customer loans4
(119)
1,486
281
Central bank balances5
324
Customer deposits6
15
(189)
3
1Included within debt securities in issue.
2Included within amounts due to fellow Lloyds Banking Group undertakings.
3Included within financial assets at fair value through other comprehensive income.
4Included within loans and advances to customers.
5Included within cash and balances at central banks.
6Included within customer deposits.
The accumulated amount of fair value hedge adjustments remaining in the balance sheet for hedged items that have ceased to be adjusted for
hedging gains and losses is an asset of £71 million (2020: asset of £9 million) relating to fixed rate issuances.
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
125
Gains and losses arising from hedge accounting are summarised as follows:
Gain (loss)
recognised
in other
comprehensive
income1
Hedge
ineffectiveness
recognised in the
income statement2
Amounts reclassified from reserves
to income statement as:
The Bank
At 31 December 2021
Hedged cash
flows will no
longer occur
Hedged item
affected income
statement
Income
statement line
item that includes
reclassified amount
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate mortgages
Fixed rate issuance
(7)
Fixed rate bonds
(7)
Fixed rate borrowings
Cash flow hedges
Foreign exchange
Foreign currency issuance
18
21
Interest expense
Interest rate
Customer loans
(871)
(26)
(325)
Interest income
Central bank balances
(113)
(113)
Interest income
Customer deposits
129
2
18
Interest expense
Gain (loss)
recognised
in other
comprehensive
income1
Hedge
ineffectiveness
recognised in the
income statement2
Amounts reclassified from reserves
to income statement as:
The Bank
At 31 December 2020
Hedged cash
flows will no
longer occur
Hedged item
affected income
statement
Income
statement line
item that includes
reclassified amount
£m
£m
£m
£m
Fair value hedges
Interest rate
Fixed rate mortgages
Fixed rate issuance
(35)
Fixed rate bonds
8
Fixed rate borrowings
Cash flow hedges
Foreign exchange
Foreign currency issuance
(1)
(1)
(4)
Interest expense
Interest rate
Customer loans
(166)
(31)
(324)
Interest income
Central bank balances
(111)
(60)
Interest income
Customer deposits
8
4
34
Interest expense
1Comprising the change in fair value of the hedging derivatives (a loss of £438 million; 2020: gain of £85 million) and the amounts reclassified from reserves to the income statement (negative
£399 million; 2020: negative £355 million).
2Hedge ineffectiveness is included in the income statement within net trading income.
During 2021 there was no gain or loss (2020: gain of £1 million) reclassified from the cash flow hedging reserve for which hedge accounting had
previously been used but for which the hedged future cash flows are no longer expected to occur.
At 31 December 2021 £6,277 million of total recognised derivative assets of the Bank and £5,492 million of total recognised derivative liabilities
of the Bank (2020: £11,755 million of assets and £10,009 million of liabilities) had a contractual residual maturity of greater than one year.
Lloyds Bank plc
Notes to the accounts
Note 14: Derivative financial instruments (continued)
126
Year ended 31 December 2021
Gross carrying amount
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Loans and advances to banks and
reverse repurchase agreements
At 1 January 2021
5,954
5,954
4
4
Exchange and other adjustments
15
15
Other changes in credit quality
(3)
(3)
Additions and repayments
1,505
1,505
(1)
(1)
Credit to the income statement
(4)
(4)
At 31 December 2021
7,474
7,474
Allowance for impairment losses
Net carrying amount
7,474
7,474
Loans and advances to customers
and reverse repurchase agreements
At 1 January 2021
415,608
51,280
6,443
12,511
485,842
1,347
2,125
1,968
261
5,701
Exchange and other adjustments1
(2,506)
(31)
(82)
68
(2,551)
(2)
(5)
5
121
119
Transfers to Stage 1
18,662
(18,623)
(39)
562
(551)
(11)
Transfers to Stage 2
(11,995)
12,709
(714)
(48)
155
(107)
Transfers to Stage 3
(872)
(1,818)
2,690
(13)
(220)
233
Impact of transfers between stages
5,795
(7,732)
1,937
(426)
193
221
(12)
75
(423)
336
(12)
Other changes in credit quality
(239)
(256)
254
(48)
(289)
Additions and repayments
10,181
(8,633)
(994)
(1,565)
(1,011)
(209)
(344)
(98)
(87)
(738)
Methodology and model changes
(63)
15
6
(42)
(Credit) charge to the income
statement
(436)
(1,008)
498
(135)
(1,081)
Advances written off
(1,057)
(37)
(1,094)
(1,057)
(37)
(1,094)
Recoveries of advances written off
in previous years
159
159
159
159
At 31 December 2021
429,078
34,884
6,406
10,977
481,345
909
1,112
1,573
210
3,804
Allowance for impairment losses
(909)
(1,112)
(1,573)
(210)
(3,804)
Net carrying amount
428,169
33,772
4,833
10,767
477,541
Debt securities
At 1 January 2021
5,137
1
5,138
1
1
Exchange and other adjustments
(20)
(20)
1
1
Transfers to Stage 2
(6)
6
Impact of transfers between stages
(6)
6
Additions and repayments
(557)
3
(554)
Charge to the income statement
At 31 December 2021
4,554
9
1
4,564
1
1
2
Allowance for impairment losses
(1)
(1)
(2)
Net carrying amount
4,553
9
4,562
Due from fellow Lloyds Banking Group undertakings
At 31 December 2021
739
739
Allowance for impairment losses
Net carrying amount
739
739
Total financial assets at
amortised cost
440,935
33,781
4,833
10,767
490,316
1Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of
purchased or originated credit-impaired financial assets (POCI). Where a POCI asset’s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its
carrying value is recognised within gross loans, rather than as a negative impairment allowance.
The total allowance for impairment losses includes £95 million (2020: £192 million) in respect of residual value impairment and voluntary
terminations within the Group’s UK motor finance business.
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost
127
Movements in Retail UK mortgage balances were as follows:
Gross carrying amount
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Retail – UK mortgages
At 1 January 2021
251,418
29,018
1,859
12,511
294,806
104
468
191
261
1,024
Exchange and other adjustments1
68
68
18
121
139
Transfers to Stage 1
10,109
(10,105)
(4)
66
(66)
Transfers to Stage 2
(6,930)
7,425
(495)
(5)
37
(32)
Transfers to Stage 3
(147)
(942)
1,089
(35)
35
Impact of transfers between stages
3,032
(3,622)
590
(58)
84
48
74
3
20
51
74
Other changes in credit quality
(14)
(32)
(30)
(48)
(124)
Additions and repayments
19,179
(3,598)
(490)
(1,565)
13,526
8
(52)
(33)
(87)
(164)
Methodology and model changes
(53)
(10)
6
(57)
Credit to the income statement
(56)
(74)
(6)
(135)
(271)
Advances written off
(28)
(37)
(65)
(28)
(37)
(65)
Recoveries of advances written off
in previous years
9
9
9
9
At 31 December 2021
273,629
21,798
1,940
10,977
308,344
48
394
184
210
836
Allowance for impairment losses
(48)
(394)
(184)
(210)
(836)
Net carrying amount
273,581
21,404
1,756
10,767
307,508
1Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of
purchased or originated credit-impaired financial assets (POCI). Where a POCI asset’s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its
carrying value is recognised within gross loans, rather than as a negative impairment allowance.
Movements in allowance for expected credit losses in respect of undrawn balances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
Undrawn balances
At 1 January 2021
191
221
14
426
Exchange and other adjustments
1
(2)
(1)
Transfers to Stage 1
73
(73)
Transfers to Stage 2
(8)
8
Transfers to Stage 3
(1)
(6)
7
Impact of transfers between stages
(65)
20
(4)
(49)
(1)
(51)
3
(49)
Other items credited to the income statement
(88)
(82)
(12)
(182)
Credit to the income statement
(89)
(133)
(9)
(231)
At 31 December 2021
103
86
5
194
The Group's total impairment allowances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
In respect of:
Loans and advances to banks and reverse repurchase agreements
Loans and advances to customers and reverse repurchase agreements
909
1,112
1,573
210
3,804
Debt securities
1
1
2
Due from fellow Lloyds Banking Group undertakings
Financial assets at amortised cost
910
1,112
1,574
210
3,806
Provisions in relation to loan commitments and financial guarantees
103
86
5
194
Total
1,013
1,198
1,579
210
4,000
Expected credit loss in respect of financial assets at fair value through other
comprehensive income (memorandum item)
3
3
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost (continued)
128
Year ended 31 December 2020
Gross carrying amount
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Loans and advances to banks and
reverse repurchase agreements
At 1 January 2020
4,852
4,852
Exchange and other adjustments
(25)
(25)
Additions and repayments
1,127
1,127
Charge to the income statement
4
4
At 31 December 2020
5,954
5,954
4
4
Allowance for impairment losses
(4)
(4)
Net carrying amount
5,950
5,950
Loans and advances to customers
and reverse repurchase agreements
At 1 January 2020
429,767
28,505
5,647
13,714
477,633
669
993
1,359
142
3,163
Exchange and other adjustments1
1,013
24
(198)
(8)
831
2
(4)
21
19
Transfers to Stage 1
4,970
(4,954)
(16)
144
(141)
(3)
Transfers to Stage 2
(28,516)
29,128
(612)
(217)
267
(50)
Transfers to Stage 3
(1,615)
(2,001)
3,616
(9)
(156)
165
Impact of transfers between stages
(25,161)
22,173
2,988
(84)
880
570
1,366
(166)
850
682
1,366
Other changes in credit quality
838
(33)
1,183
167
2,155
Additions and repayments
9,989
578
(754)
(1,156)
8,657
37
143
(38)
(30)
112
Methodology and model changes
(31)
170
26
165
Charge to the income statement
678
1,130
1,853
137
3,798
Advances written off
(1,490)
(39)
(1,529)
(1,490)
(39)
(1,529)
Recoveries of advances written off
in previous years
250
250
250
250
At 31 December 2020
415,608
51,280
6,443
12,511
485,842
1,347
2,125
1,968
261
5,701
Allowance for impairment losses
(1,347)
(2,125)
(1,968)
(261)
(5,701)
Net carrying amount
414,261
49,155
4,475
12,250
480,141
Debt securities
At 1 January 2020
5,325
1
5,326
1
1
Exchange and other adjustments
(17)
(17)
Additions and repayments
(171)
(171)
At 31 December 2020
5,137
1
5,138
1
1
Allowance for impairment losses
(1)
(1)
Net carrying amount
5,137
5,137
Due from fellow Lloyds Banking Group undertakings
At 31 December 2020
738
738
Allowance for impairment losses
Net carrying amount
738
738
Total financial assets at amortised
cost
426,086
49,155
4,475
12,250
491,966
1Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of
purchased or originated credit-impaired financial assets (POCI). Where a POCI asset’s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its
carrying value is recognised within gross loans, rather than as a negative impairment allowance.
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost (continued)
129
Movements in Retail UK mortgage balances were as follows:
Gross carrying amount
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Retail – UK mortgages
At 1 January 2020
257,043
16,935
1,506
13,714
289,198
23
281
122
142
568
Exchange and other adjustments1
(8)
(8)
20
21
41
Transfers to Stage 1
2,418
(2,414)
(4)
17
(17)
Transfers to Stage 2
(16,463)
16,882
(419)
(4)
22
(18)
Transfers to Stage 3
(199)
(974)
1,173
(35)
35
Impact of transfers between stages
(14,244)
13,494
750
(15)
198
66
249
(2)
168
83
249
Other changes in credit quality
63
(26)
(23)
167
181
Additions and repayments
8,619
(1,411)
(375)
(1,156)
5,677
14
(15)
(13)
(30)
(44)
Methodology and model changes
6
60
24
90
Charge to the income statement
81
187
71
137
476
Advances written off
(37)
(39)
(76)
(37)
(39)
(76)
Recoveries of advances written off
in previous years
15
15
15
15
At 31 December 2020
251,418
29,018
1,859
12,511
294,806
104
468
191
261
1,024
Allowance for impairment losses
(104)
(468)
(191)
(261)
(1,024)
Net carrying amount
251,314
28,550
1,668
12,250
293,782
1Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of
purchased or originated credit-impaired financial assets (POCI). Where a POCI asset’s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its
carrying value is recognised within gross loans, rather than as a negative impairment allowance.
Movements in allowance for expected credit losses in respect of undrawn balances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
Undrawn balances
At 1 January 2020
91
77
5
173
Exchange and other adjustments
Transfers to Stage 1
19
(19)
Transfers to Stage 2
(10)
10
Transfers to Stage 3
(1)
(6)
7
Impact of transfers between stages
(10)
90
10
90
(2)
75
17
90
Other items charged to the income statement
102
69
(8)
163
Charge to the income statement
100
144
9
253
At 31 December 2020
191
221
14
426
The Group's total impairment allowances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
POCI
Total
The Group
£m
£m
£m
£m
£m
In respect of:
Loans and advances to banks and reverse repurchase agreements
4
4
Loans and advances to customers and reverse repurchase agreements
1,347
2,125
1,968
261
5,701
Debt securities
1
1
Due from fellow Lloyds Banking Group undertakings
Financial assets at amortised cost
1,351
2,125
1,969
261
5,706
Provisions in relation to loan commitments and financial guarantees
191
221
14
426
Total
1,542
2,346
1,983
261
6,132
Expected credit loss in respect of financial assets at fair value through other
comprehensive income (memorandum item)
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost (continued)
130
Year ended 31 December 2021
Gross carrying amount
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
The Bank
£m
£m
£m
£m
£m
£m
£m
£m
Loans and advances to banks and
reverse repurchase agreements
At 1 January 2021
5,660
5,660
4
4
Exchange and other adjustments
20
20
Other changes in credit quality
(3)
(3)
Additions and repayments
1,607
1,607
(1)
(1)
Credit to the income statement
(4)
(4)
At 31 December 2021
7,287
7,287
Allowance for impairment losses
Net carrying amount
7,287
7,287
Loans and advances to customers and
reverse repurchase agreements
At 1 January 2021
156,189
21,494
2,867
180,550
589
974
718
2,281
Exchange and other adjustments
(111)
(12)
(45)
(168)
(1)
(10)
(11)
Transfers to Stage 1
8,555
(8,529)
(26)
273
(267)
(6)
Transfers to Stage 2
(4,514)
4,834
(320)
(14)
61
(47)
Transfers to Stage 3
(416)
(651)
1,067
(7)
(89)
96
Impact of transfers between stages
3,625
(4,346)
721
(224)
43
62
(119)
28
(252)
105
(119)
Other changes in credit quality
(107)
(125)
59
(173)
Additions and repayments
(9,881)
(5,052)
(403)
(15,336)
(88)
(208)
(22)
(318)
Methodology and model changes
(63)
15
6
(42)
(Credit) charge to the income statement
(230)
(570)
148
(652)
Advances written off
(490)
(490)
(490)
(490)
Recoveries of advances written off in previous
years
48
48
48
48
At 31 December 2021
149,822
12,084
2,698
164,604
358
404
414
1,176
Allowance for impairment losses
(358)
(404)
(414)
(1,176)
Net carrying amount
149,464
11,680
2,284
163,428
Debt securities
At 1 January 2021
4,316
4,316
1
1
Exchange and other adjustments
12
12
(1)
(1)
Additions and repayments
(572)
(572)
At 31 December 2021
3,756
3,756
Allowance for impairment losses
Net carrying amount
3,756
3,756
Due from fellow Lloyds Banking Group undertakings
At 31 December 2021
108,445
108,445
Allowance for impairment losses
(21)
(21)
Net carrying amount
108,424
108,424
Total financial assets at amortised cost
268,931
11,680
2,284
282,895
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost (continued)
131
Movements in allowance for expected credit losses in respect of undrawn balances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
Total
The Bank
£m
£m
£m
£m
Undrawn balances
At 1 January 2021
102
135
8
245
Exchange and other adjustments
3
3
Transfers to Stage 1
46
(46)
Transfers to Stage 2
(4)
4
Transfers to Stage 3
(1)
(3)
4
Impact of transfers between stages
(41)
9
(2)
(34)
(36)
2
(34)
Other items charged to the income statement
(45)
(49)
(6)
(100)
Credit to the income statement
(45)
(85)
(4)
(134)
At 31 December 2021
57
53
4
114
The Bank's total impairment allowances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
Total
The Bank
£m
£m
£m
£m
In respect of:
Loans and advances to banks and reverse repurchase agreements
Loans and advances to customers and reverse repurchase agreements
358
404
414
1,176
Debt securities
Due from fellow Lloyds Banking Group undertakings
21
21
Financial assets at amortised cost
379
404
414
1,197
Provisions in relation to loan commitments and financial guarantees
57
53
4
114
Total
436
457
418
1,311
Expected credit loss in respect of financial assets at fair value through other comprehensive
income (memorandum item)
2
2
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost (continued)
132
Year ended 31 December 2020
Gross carrying amount
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
The Bank
£m
£m
£m
£m
£m
£m
£m
£m
Loans and advances to banks and
reverse repurchase agreements
At 1 January 2020
4,453
4,453
Exchange and other adjustments
(19)
(19)
Additions and repayments
1,226
1,226
Charge to the income statement
4
4
At 31 December 2020
5,660
5,660
4
4
Allowance for impairment losses
(4)
(4)
Net carrying amount
5,656
5,656
Loans and advances to customers and
reverse repurchase agreements
At 1 January 2020
165,676
10,681
2,385
178,742
238
435
500
1,173
Exchange and other adjustments
40
(1)
(220)
(181)
(8)
(8)
Transfers to Stage 1
1,974
(1,967)
(7)
73
(72)
(1)
Transfers to Stage 2
(11,777)
12,089
(312)
(49)
66
(17)
Transfers to Stage 3
(955)
(900)
1,855
(10)
(59)
69
Impact of transfers between stages
(10,758)
9,222
1,536
(49)
340
311
602
(35)
275
362
602
Other changes in credit quality
382
(43)
479
818
Additions and repayments
1,231
1,592
(212)
2,611
35
137
(19)
153
Methodology and model changes
(31)
170
26
165
Charge to the income statement
351
539
848
1,738
Advances written off
(708)
(708)
(708)
(708)
Recoveries of advances written off in previous
years
86
86
86
86
At 31 December 2020
156,189
21,494
2,867
180,550
589
974
718
2,281
Allowance for impairment losses
(589)
(974)
(718)
(2,281)
Net carrying amount
155,600
20,520
2,149
178,269
Debt securities
At 1 January 2020
5,241
5,241
Exchange and other adjustments
(16)
(16)
Additions and repayments
(909)
(909)
1
1
At 31 December 2020
4,316
4,316
1
1
Allowance for impairment losses
(1)
(1)
Net carrying amount
4,315
4,315
Due from fellow Lloyds Banking Group undertakings
At 31 December 2020
128,791
7
128,798
Allowance for impairment losses
(20)
(7)
(27)
Net carrying amount
128,771
128,771
Total financial assets at amortised cost
294,342
20,520
2,149
317,011
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost (continued)
133
Movements in allowance for expected credit losses in respect of undrawn balances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
Total
The Bank
£m
£m
£m
£m
Undrawn balances
At 1 January 2020
44
42
4
90
Exchange and other adjustments
Transfers to Stage 1
9
(9)
Transfers to Stage 2
(5)
5
Transfers to Stage 3
(3)
3
Impact of transfers between stages
(5)
58
53
(1)
51
3
53
Other items charged to the income statement
59
42
1
102
Charge to the income statement
58
93
4
155
At 31 December 2020
102
135
8
245
The Bank's total impairment allowances were as follows:
Allowance for expected credit losses
Stage 1
Stage 2
Stage 3
Total
The Bank
£m
£m
£m
£m
In respect of:
Loans and advances to banks and reverse repurchase agreements
4
4
Loans and advances to customers and reverse repurchase agreements
589
974
718
2,281
Debt securities
1
1
Due from fellow Lloyds Banking Group undertakings
20
7
27
Financial assets at amortised cost
614
974
725
2,313
Provisions in relation to loan commitments and financial guarantees
102
135
8
245
Total
716
1,109
733
2,558
Expected credit loss in respect of financial assets at fair value through other comprehensive
income (memorandum item)
The movement tables are compiled by comparing the position at 31 December to that at the beginning of the year. Transfers between stages
are deemed to have taken place at the start of the reporting period, with all other movements shown in the stage in which the asset is held at 31
December, with the exception of those held within purchased or originated credit-impaired, which are not transferable.
Additions and repayments comprise new loans originated and repayments of outstanding balances throughout the reporting period. Loans
which are written off in the period are first transferred to Stage 3 before acquiring a full allowance and subsequent write-off.
At 31 December 2021 £2,186 million (2020: £1,082 million) of loans and advances to banks and reverse repurchase agreements of the Group and
£2,142 million (2020: £1,024 million) of the Bank had a contractual residual maturity of greater than one year.
At 31 December 2021 £384,766 million (2020: £385,517 million) of loans and advances to customers and reverse repurchase agreements of the
Group and £92,907 million (2020: £105,738 million) of the Bank had a contractual residual maturity of greater than one year.
At 31 December 2021 £3,042 million (2020: £5,110 million) of debt securities of the Group and £2,541 million (2020: £4,300 million) of the Bank
had a contractual residual maturity of greater than one year.
For amounts included above which are subject to reverse repurchase agreements see note 44.
Lloyds Bank plc
Notes to the accounts
Note 15: Financial assets at amortised cost (continued)
134
Finance lease receivables are classified as loans and advances to customers and accounted for at amortised cost. The balance is analysed as
follows:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Not later than 1 year
339
308
3
18
Later than 1 year and not later than 2 years
135
180
2
2
Later than 2 years and not later than 3 years
222
143
15
2
Later than 3 years and not later than 4 years
110
191
7
Later than 4 years and not later than 5 years
46
110
2
Later than 5 years
150
571
Gross investment in finance leases
1,002
1,503
20
31
Unearned future finance income on finance leases
(147)
(440)
Rentals received in advance
(12)
(16)
(1)
Net investment in finance leases
843
1,047
20
30
The net investment in finance leases represents amounts recoverable as follows:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Not later than 1 year
280
237
3
17
Later than 1 year and not later than 2 years
108
135
2
2
Later than 2 years and not later than 3 years
198
104
15
2
Later than 3 years and not later than 4 years
94
159
7
Later than 4 years and not later than 5 years
35
86
2
Later than 5 years
128
326
Net investment in finance leases
843
1,047
20
30
Equipment leased to customers under finance leases primarily relates to structured financing transactions to fund the purchase of aircraft, ships
and other large individual value items. There was an allowance for uncollectable finance lease receivables included in the allowance for
impairment losses for the Group of £18 million (2020: £22 million).
Note 17: Financial assets at fair value through other comprehensive income
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Debt securities:
Government securities
14,599
14,267
14,445
14,114
Asset-backed securities
55
65
Corporate and other debt securities
13,131
12,928
11,084
10,533
27,785
27,260
25,529
24,647
Equity shares
1
Total financial assets at fair value through other comprehensive income
27,786
27,260
25,529
24,647
At 31 December 2021 £24,947 million (2020: £25,826 million) of financial assets at fair value through other comprehensive income of the Group
and £23,081 million (2020: £23,494 million) of the Bank had a contractual residual maturity of greater than one year.
All assets were assessed at Stage 1 at 31 December 2020 and 2021.
Lloyds Bank plc
Notes to the accounts
Note 16: Finance lease receivables
135
2021
2020
£m
£m
At 1 January
470
474
Impairment charged to the income statement
(4)
At 31 December
470
470
Cost1
814
814
Accumulated impairment losses
(344)
(344)
At 31 December
470
470
1For acquisitions made prior to 1 January 2004, the date of transition to IFRS, cost is included net of amounts amortised up to 31 December 2003.
The goodwill held in the Group’s balance sheet is tested at least annually for impairment. For the purposes of impairment testing the goodwill
is allocated to the appropriate cash generating unit; of the total balance of £470 million (2020: £470 million), £302 million, 64 per cent (2020:
£302 million, 64 per cent) has been allocated to Cards and £166 million, or 35 per cent (2020: £166 million, 35 per cent) has been allocated to
Motor Finance, both in the Group’s Retail division.
The recoverable amount of the goodwill relating to the Cards business has been based on a value-in-use calculation using post-tax cash flow
projections based on financial budgets and plans approved by management covering a four-year period and a discount rate (post-tax) of 10.25
per cent. The cash flows beyond the four-year period assume 3.5 per cent growth. Management believes that any reasonably possible change in
the key assumptions above would not cause the recoverable amount of the goodwill relating to the Cards business to fall below the balance
sheet carrying value.
The recoverable amount of the goodwill relating to Motor Finance has also been based on a value-in-use calculation using post-tax cash flow
projections based on financial budgets and plans approved by management covering a four-year period and a discount rate (post-tax) of 10.25
per cent. The cash flows beyond the four-year period are extrapolated using a growth rate of 3.5 per cent which does not exceed the long-term
average growth rates for the markets in which Motor Finance participates. Management believes that any reasonably possible change in the key
assumptions, including from the impacts of climate change or climate-related legislation, would not cause the recoverable amount of the
goodwill relating to Motor Finance to fall below the balance sheet carrying value. The impairment charge of £4 million in 2020 related to the
goodwill arising on a small, separable acquisition a number of years ago.
Note 19: Other intangible assets
The Group
The Bank
Brands
Core deposit
intangible
Purchased
credit card
relationships
Customer-
related
intangibles
Capitalised
software
enhancements
Total
Capitalised
software
enhancements
£m
£m
£m
£m
£m
£m
£m
Cost:
At 1 January 2020
584
2,770
1,002
50
4,926
9,332
4,280
Additions
984
984
857
Disposals
(55)
(55)
(6)
At 31 December 2020
584
2,770
1,002
50
5,855
10,261
5,131
Additions
986
986
886
Disposals and write-offs
(460)
(460)
(321)
At 31 December 2021
584
2,770
1,002
50
6,381
10,787
5,696
Accumulated amortisation:
At 1 January 2020
204
2,770
481
50
2,046
5,551
1,662
Charge for the year (note 9)
70
583
653
515
Disposals
(55)
(55)
(6)
At 31 December 2020
204
2,770
551
50
2,574
6,149
2,171
Charge for the year (note 9)
70
884
954
750
Disposals and write-offs
(460)
(460)
(321)
At 31 December 2021
204
2,770
621
50
2,998
6,643
2,600
Balance sheet amount at
31 December 2021
380
381
3,383
4,144
3,096
Balance sheet amount at
31 December 2020
380
451
3,281
4,112
2,960
Brands arising from the acquisition of Bank of Scotland in 2009 are recognised on the Group's balance sheet and have been determined to have
an indefinite useful life. The carrying value at 31 December 2021 was £380 million (2020: £380 million). The Bank of Scotland name has been in
existence for over 300 years and there are no indications that the brand should not have an indefinite useful life. The recoverable amount has
been based on a value-in-use calculation. The calculation uses post-tax projections for a six-year period of the income generated by the Bank of
Scotland cost generating unit, a discount rate of 10.25 per cent and a future growth rate of 3.5 per cent. Management believes that any
reasonably possible change in the key assumptions would not cause the recoverable amount of the Bank of Scotland brand to fall below its
balance sheet carrying value.
Lloyds Bank plc
Notes to the accounts
Note 18: Goodwill of the Group
136
2021
2020
£m
£m
At 1 January
33,353
34,084
Additions and capital injections
11
1,055
Capital contributions
36
33
Capital repayments
(2,576)
(1,801)
Disposals
(236)
(18)
At 31 December
30,588
33,353
Details of the subsidiaries and related undertakings are given on pages 209 to 212 and are incorporated by reference.
Certain subsidiary companies currently have insufficient distributable reserves to make dividend payments, however, there were no further
significant restrictions on any of the Bank’s subsidiaries in paying dividends or repaying loans and advances. All regulated banking subsidiaries
are required to maintain capital at levels agreed with the regulators; this may impact those subsidiaries’ ability to make distributions.
Note 21: Other assets
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Property, plant and equipment:
Investment properties
4
4
Premises
803
866
509
541
Equipment
1,627
2,055
1,372
1,779
Operating lease assets (see below)
4,196
3,958
Right-of-use assets (note 22)
1,268
1,434
690
778
7,898
8,317
2,571
3,098
Settlement balances
52
202
51
100
Prepayments
905
1,030
488
443
Other assets
744
660
363
211
Total other assets
9,599
10,209
3,473
3,852
Operating lease assets
At 31 December the future minimum rentals receivable by the Group under non-cancellable operating leases were as follows:
2021
2020
£m
£m
Within 1 year
848
864
1 to 2 years
561
548
2 to 3 years
288
274
3 to 4 years
86
78
4 to 5 years
8
7
Over 5 years
Total future minimum rentals receivable
1,791
1,771
Operating lease assets at 31 December 2021 of £4,196 million included £728 million relating to electric vehicles, an increase of 128 per cent on
2020, £2,531 million relating to internal combustion engine vehicles, a decrease of 15 per cent on 2020, £928 million relating to hybrid vehicles,
an increase of 41 per cent on 2020 and £9 million of other assets.
Lloyds Bank plc
Notes to the accounts
Note 20: Investment in subsidiary undertakings of the Bank
137
The table below sets out the movement in right-of-use assets, which are primarily in respect of premises, and are recognised within other assets
(note 21).
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
At 1 January
1,434
1,609
778
868
Exchange and other adjustments
(9)
(9)
Additions
71
122
54
104
Disposals
(12)
(82)
(4)
(73)
Depreciation charge for the year
(216)
(215)
(129)
(121)
At 31 December
1,268
1,434
690
778
Lease liabilities are recognised within other liabilities (note 26). The maturity analysis of lease liabilities on an undiscounted basis is set out in the
liquidity risk section of note 44.
The total cash outflow for leases in the year ended 31 December 2021 was £243 million. The amount recognised within interest expense in
respect of lease liabilities is disclosed in note 5.
Note 23: Financial liabilities at fair value through profit or loss
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Liabilities designated at fair value through profit or loss: debt securities in issue
6,537
6,828
9,821
7,905
Trading liabilities:
Other deposits
2
2
Short positions in securities
1
3
2
Total financial liabilities at fair value through profit or loss
6,537
6,831
9,821
7,907
At 31 December 2021, the Group had £6,258 million (2020: £6,682 million) and the Bank had £9,543 million (2020: £7,758 million) of trading and
other liabilities at fair value through profit or loss with a contractual residual maturity of greater than one year.
Liabilities designated at fair value through profit or loss primarily represent debt securities in issue which either contain substantive embedded
derivatives which would otherwise need to be recognised and measured at fair value separately from the related debt securities, or which are
accounted for at fair value to significantly reduce an accounting mismatch.
For the Group, the amount contractually payable on maturity of the debt securities held at fair value through profit or loss at 31 December 2021
was £10,558 million, which was £4,021 million higher than the balance sheet carrying value (2020: £11,503 million, which was £4,675 million
higher than the balance sheet carrying value). At 31 December 2021 there was a cumulative £195 million increase in the fair value of these
liabilities attributable to changes in credit spread risk; this is determined by reference to the quoted credit spreads of the Bank. Of the
cumulative amount, an increase of £86 million arose in 2021 and an increase of £75 million arose in 2020.
In addition, the Bank has £3,317 million (2020: £1,122 million) of debt securities in issue which are accounted for at fair value to significantly
reduce an accounting mismatch. The changes in the credit risk of these liabilities are linked to the changes in credit risk on corresponding assets
that the Bank holds at fair value through profit or loss, representing debt securities issued by subsidiaries. Given the economic relationship
between these assets and liabilities, the Bank presents changes in the credit risk of these liabilities in profit or loss in order to avoid creating or
enlarging an accounting mismatch.
For the fair value of collateral pledged in respect of repurchase agreements see note 44.
Note 24: Debt securities in issue
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Medium-term notes issued
23,820
21,501
19,916
19,546
Covered bonds (note 25)
17,407
23,977
15,809
20,895
Certificates of deposit issued
290
3,597
290
3,597
Securitisation notes (note 25)
3,672
4,436
176
Commercial paper
3,535
5,782
2,248
4,071
Total debt securities in issue
48,724
59,293
38,439
48,109
At 31 December 2021 £33,369 million (2020: £40,765 million) of debt securities in issue of the Group and £26,967 million (2020: £33,582 million)
of the Bank had a contractual residual maturity of greater than one year.
Lloyds Bank plc
Notes to the accounts
Note 22: Lessee disclosures
138
Securitisation programmes
The Group’s balance sheet includes loans securitised under the Group’s securitisation programmes, the majority of which have been sold by
Group companies to bankruptcy remote structured entities. As the structured entities are funded by the issue of debt on terms whereby the
majority of the risks and rewards of the portfolio are retained by the Group company, the structured entities are consolidated fully and all of
these loans are retained on the Group’s balance sheet, with the related notes in issue included within debt securities in issue.
Covered bond programmes
Certain loans and advances to customers have been assigned to bankruptcy remote limited liability partnerships to provide security for issues of
covered bonds by the Group. The Group retains all of the risks and rewards associated with these loans and the partnerships are consolidated
fully with the loans retained on the Group’s balance sheet, and the related covered bonds in issue included within debt securities in issue.
The Group’s principal securitisation and covered bond programmes, together with the balances of the advances subject to these arrangements
and the carrying value of the notes in issue at 31 December, are listed below. The notes in issue are reported in note 24.
2021
2020
Loans and
advances
securitised
Notes
in issue
Loans and
advances
securitised
Notes
in issue
£m
£m
£m
£m
Securitisation programmes
UK residential mortgages
18,300
16,214
23,984
21,640
Commercial loans
388
1,839
2,884
4,004
Credit card receivables
11,615
8,474
5,890
4,340
Motor vehicle finance
235
251
1,826
1,915
Dutch residential mortgages
427
448
30,965
27,226
34,584
31,899
Less held by the Group
(23,521)
(27,418)
Total securitisation programmes (notes 23 and 24)1
3,705
4,481
Covered bond programmes
Residential mortgage-backed
35,896
16,907
33,980
23,477
Social housing loan-backed
833
500
980
600
36,729
17,407
34,960
24,077
Less held by the Group
(100)
Total covered bond programmes (note 24)
17,407
23,977
Total securitisation and covered bond programmes
21,112
28,458
1Includes £33 million (2020: £45 million) of securitisation notes held at fair value through profit or loss.
Cash deposits of £3,455 million (2020: £3,930 million) which support the debt securities issued by the structured entities, the term advances
related to covered bonds and other legal obligations, are held by the Group. Additionally, the Group has certain contractual arrangements to
provide liquidity facilities to some of these structured entities. At 31 December 2021 these obligations had not been triggered; the maximum
exposure under these facilities was £52 million (2020: £52 million).
The Group has a number of covered bond programmes, for which limited liability partnerships have been established to ring-fence asset pools
and guarantee the covered bonds issued by the Group. At the reporting date the Group had over-collateralised these programmes as set out in
the table above to meet the terms of the programmes, to secure the rating of the covered bonds and to provide operational flexibility. From
time to time, the obligations of the Group to provide collateral may increase due to the formal requirements of the programmes. The Group
may also voluntarily contribute collateral to support the ratings of the covered bonds.
The Group recognises the full liabilities associated with its securitisation and covered bond programmes within debt securities in issue, although
the obligations of the Group in respect of its securitisation issuances are limited to the cash flows generated from the underlying assets. The
Group could be required to provide additional support to a number of the securitisation programmes to support the credit ratings of the debt
securities issued, in the form of increased cash reserves and the holding of subordinated notes. Further, certain programmes contain contractual
obligations that require the Group to repurchase assets should they become credit-impaired or as otherwise required by the transaction
documents.
The Group has not provided financial or other support by voluntarily offering to repurchase assets from any of its public securitisation
programmes during 2021 (2020: none).
Note 26: Other liabilities
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Settlement balances
110
36
51
11
Lease liabilities
1,411
1,592
777
885
Other creditors and accruals
3,870
3,553
2,300
1,677
Total other liabilities
5,391
5,181
3,128
2,573
The maturity analysis of the lease liabilities on an undiscounted basis is set out in the liquidity risk section of note 44.
Lloyds Bank plc
Notes to the accounts
Note 25: Securitisations and covered bonds
139
The Group
2021
2020
2019
£m
£m
£m
Charge to the income statement
Defined benefit pension schemes
234
244
241
Other post-retirement benefit schemes
2
3
4
Total defined benefit schemes
236
247
245
Defined contribution pension schemes
287
305
273
Total charge to the income statement (note 9)
523
552
518
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Amounts recognised in the balance sheet
Retirement benefit assets
4,531
1,714
2,420
765
Retirement benefit obligations
(230)
(245)
(101)
(106)
Total amounts recognised in the balance sheet
4,301
1,469
2,319
659
The total amounts recognised in the balance sheet relate to:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Defined benefit pension schemes
4,404
1,578
2,384
727
Other post-retirement benefit schemes
(103)
(109)
(65)
(68)
Total amounts recognised in the balance sheet
4,301
1,469
2,319
659
Pension schemes
Defined benefit schemes
(i)Characteristics of and risks associated with the Group’s schemes
The Group has established a number of defined benefit pension schemes in the UK and overseas. All significant schemes are based in the UK,
with the three most significant being the main sections of the Lloyds Bank Pension Scheme No. 1, the Lloyds Bank Pension Scheme No. 2 and
the HBOS Final Salary Pension Scheme. At 31 December 2021, these schemes represented 94 per cent of the Group’s total gross defined
benefit pension assets (2020: 94 per cent). These schemes provide retirement benefits calculated as a proportion of final pensionable salary
depending upon the length of pensionable service; the minimum retirement age under the rules of the schemes at 31 December 2021 is
generally 55, although certain categories of member are deemed to have a protected right to retire at 50.
The Group operates both funded and unfunded pension arrangements; the majority, including the three most significant schemes, are funded
schemes in the UK. All of these UK funded schemes are operated as separate legal entities under trust law, are in compliance with the Pensions
Act 2004 and are managed by a Trustee Board (the Trustee) whose role is to ensure that their scheme is administered in accordance with the
scheme rules and relevant legislation, and to safeguard the assets in the best interests of all members and beneficiaries. The Trustee is solely
responsible for setting investment policy and for agreeing funding requirements with the employer through the funding valuation process. The
Board of Trustees must be composed of representatives of the scheme membership along with a combination of independent and employer
appointed trustees to comply with legislation and scheme rules.
A valuation to determine the funding status of each scheme is carried out at least every three years, whereby scheme assets are measured at
market value and liabilities (technical provisions) are measured using prudent assumptions. If a deficit is identified a recovery plan is agreed
between the employer and the scheme Trustee and sent to the Pensions Regulator for review. The Group has not provided for these deficit
contributions as the future economic benefits arising from these contributions are expected to be available to the Group. The Group’s overseas
defined benefit pension schemes are subject to local regulatory arrangements.
The most recent triennial funding valuations of the Group's three main defined benefit pension schemes showed an aggregate ongoing funding
deficit of £7.3 billion as at 31 December 2019 (a funding level of 85.7 per cent) compared to a £7.3 billion deficit at 31 December 2016 (a funding
level of 85.9 per cent). The revised deficit now includes an allowance for the impact of RPI reform announced by the Chancellor of the
Exchequer in November 2020, and which is subject to judicial review in 2022. The latest annual update as at 31 December 2020 showed the
funding deficit had improved to £6.0 billion. Under the agreed recovery plan, £0.8 billion plus a further 30 per cent of Lloyds Banking Group
plc's in-year capital distributions to ordinary shareholders, up to a limit on total deficit contributions of £2.0 billion per annum, is payable from
2021 until the 2019 deficit has been removed. The deficit contributions are in addition to the regular contributions to meet benefits accruing
over the year, and to cover the expenses of running the schemes. £1.1 billion of deficit contributions were paid to these schemes in 2021. The
Group expects to pay contributions of at least £1.1 billion to its defined benefit schemes in 2022.
During 2009, the Group made one-off contributions to the Lloyds Bank Pension Scheme No. 1 and Lloyds Bank Pension Scheme No. 2 in the
form of interests in limited liability partnerships for each of the two schemes which hold assets to provide security for the Group’s obligations to
the two schemes. At 31 December 2021, the limited liability partnerships held assets of £7.4 billion. The limited liability partnerships are
consolidated fully in the Group’s balance sheet.
The Group has also established three private limited companies which hold assets to provide security for the Group’s obligations to the HBOS
Final Salary Pension Scheme, a section of the Lloyds Bank Pension Scheme No. 1 and the Lloyds Bank Offshore Pension Scheme. At 31
December 2021 these held assets of £5.8 billion in aggregate. The private limited companies are consolidated fully in the Group’s balance
sheet. The terms of these arrangements require the Group to maintain assets in these vehicles to agreed minimum values in order to secure
obligations owed to the relevant Group pension schemes. The Group has satisfied this requirement during 2021.
Lloyds Bank plc
Notes to the accounts
Note 27: Retirement benefit obligations
140
The last funding valuations of other Group schemes were carried out on a number of different dates. In order to report the position under IAS
19 as at 31 December 2021, the most recent valuation results for all schemes have been updated by qualified independent actuaries. The
funding valuations use a more prudent approach to setting the discount rate and more conservative longevity assumptions than the IAS 19
valuations.
In a judgment in 2018, the High Court confirmed the requirement to equalise the Guaranteed Minimum Pension (GMP) benefits of men and
women accruing between 1990 and 1997 from contracting out of the State Earnings Related Pension Scheme. The Group recognised a past
service cost of £108 million in respect of equalisation in 2018 and, following agreement of the detailed implementation approach with the
Trustee, a further £33 million was recognised in 2019. A further hearing was held during 2020 which confirmed the extent of the Trustee's
obligation to revisit past transfers out of the schemes. The amount of any additional liability as a result of this judgment is still being reviewed
but is not considered likely to be material.
(ii)Amounts in the financial statements
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Amount included in the balance sheet
Present value of funded obligations
(47,130)
(49,549)
(29,222)
(30,597)
Fair value of scheme assets
51,534
51,127
31,606
31,324
Net amount recognised in the balance sheet
4,404
1,578
2,384
727
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Net amount recognised in the balance sheet
At 1 January
1,578
550
727
347
Net defined benefit pension charge
(234)
(244)
(113)
(119)
Actuarial gains (losses) on defined benefit obligation
1,267
(5,443)
553
(3,365)
Return on plan assets
449
5,565
397
3,217
Employer contributions
1,344
1,149
821
647
Exchange and other adjustments
1
(1)
At 31 December
4,404
1,578
2,384
727
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Movements in the defined benefit obligation
At 1 January
(49,549)
(45,241)
(30,597)
(28,072)
Current service cost
(213)
(206)
(100)
(97)
Interest expense
(704)
(914)
(435)
(568)
Remeasurements:
Actuarial (losses) gains – experience
(426)
493
(431)
441
Actuarial losses – demographic assumptions
(146)
(218)
(82)
(282)
Actuarial gains (losses) – financial assumptions
1,839
(5,718)
1,066
(3,524)
Benefits paid
2,034
2,254
1,361
1,504
Past service cost
(11)
(5)
(4)
(2)
Settlements
22
20
1
Exchange and other adjustments
24
(14)
(1)
3
At 31 December
(47,130)
(49,549)
(29,222)
(30,597)
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Analysis of the defined benefit obligation
Active members
(5,837)
(6,550)
(3,085)
(3,415)
Deferred members
(16,167)
(17,647)
(9,527)
(10,493)
Pensioners
(23,171)
(23,409)
(15,238)
(15,311)
Dependants
(1,955)
(1,943)
(1,372)
(1,378)
At 31 December
(47,130)
(49,549)
(29,222)
(30,597)
Lloyds Bank plc
Notes to the accounts
Note 27: Retirement benefit obligations (continued)
141
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Changes in the fair value of scheme assets
At 1 January
51,127
45,791
31,324
28,419
Return on plan assets excluding amounts included in interest income
449
5,565
397
3,217
Interest income
733
937
450
581
Employer contributions
1,344
1,149
821
647
Benefits paid
(2,034)
(2,254)
(1,361)
(1,504)
Settlements
(23)
(22)
(1)
Administrative costs paid
(38)
(54)
(24)
(33)
Exchange and other adjustments
(24)
15
(3)
At 31 December
51,534
51,127
31,606
31,324
The expense recognised in the income statement for the year ended 31 December comprises:
The Group
2021
2020
2019
£m
£m
£m
Current service cost
213
206
201
Net interest amount
(29)
(23)
(48)
Settlements
1
2
1
Past service cost – plan amendments
11
5
44
Plan administration costs incurred during the year
38
54
43
Total defined benefit pension expense
234
244
241
(iii)Composition of scheme assets
2021
2020
Quoted
Unquoted
Total
Quoted
Unquoted
Total
The Group
£m
£m
£m
£m
£m
£m
Equity instruments
617
36
653
616
45
661
Debt instruments1:
Fixed interest government bonds
10,512
10,512
11,328
11,328
Index-linked government bonds
23,969
23,969
21,058
21,058
Corporate and other debt securities
13,399
13,399
12,736
12,736
47,880
47,880
45,122
45,122
Property
139
139
136
136
Pooled investment vehicles
1,192
13,346
14,538
650
13,022
13,672
Money market instruments, cash, derivatives
and other assets and liabilities
319
(11,995)
(11,676)
812
(9,276)
(8,464)
At 31 December
50,008
1,526
51,534
47,200
3,927
51,127
1Of the total debt instruments, £42,568 million (2020: £39,439 million) were investment grade (credit ratings equal to or better than ‘BBB’).
2021
2020
Quoted
Unquoted
Total
Quoted
Unquoted
Total
The Bank
£m
£m
£m
£m
£m
£m
Equity instruments
424
24
448
423
34
457
Debt instruments1:
Fixed interest government bonds
4,346
4,346
4,591
4,591
Index-linked government bonds
14,407
14,407
12,638
12,638
Corporate and other debt securities
8,105
8,105
7,878
7,878
26,858
26,858
25,107
25,107
Pooled investment vehicles
800
8,942
9,742
124
8,569
8,693
Money market instruments, cash, derivatives
and other assets and liabilities
(154)
(5,288)
(5,442)
365
(3,298)
(2,933)
At 31 December
27,928
3,678
31,606
26,019
5,305
31,324
1Of the total debt instruments, £23,627 million (2020: £21,938 million) were investment grade (credit ratings equal to or better than ‘BBB’).
The assets of all the funded plans are held independently of the Group’s assets in separate trustee-administered funds.
Lloyds Bank plc
Notes to the accounts
Note 27: Retirement benefit obligations (continued)
142
The pension schemes’ pooled investment vehicles comprise:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Equity funds
3,696
3,169
2,616
2,044
Hedge and mutual funds
1,407
2,181
934
1,427
Alternative credit funds
3,884
4,072
2,476
2,620
Property funds
1,541
1,551
1,151
1,100
Infrastructure funds
1,389
1,405
645
620
Liquidity funds
2,031
847
1,488
598
Bond and debt funds
561
396
432
284
Other
29
51
At 31 December
14,538
13,672
9,742
8,693
The Trustee’s approach to investment is focused on acting in the members’ best financial interests, with the integration of ESG (Environmental,
Social and Governance) considerations into investment management processes and practices. This policy is reviewed annually (or more
frequently as required) and has been shared with the schemes’ investment managers for implementation.
(iv)Assumptions
The principal actuarial and financial assumptions used in valuations of the defined benefit pension schemes were as follows:
2021
2020
%
%
Discount rate
1.94
1.44
Rate of inflation:
Retail Price Index (RPI)
3.21
2.80
Consumer Price Index (CPI)
2.92
2.41
Rate of salary increases
0.00
0.00
Weighted-average rate of increase for pensions in payment
2.88
2.61
On 25 November 2020 the Chancellor of the Exchequer announced the outcome of a consultation into a reform of the calculation of RPI. It is
now expected that from 2030 RPI will be aligned with CPIH (the Consumer Price Index including owner-occupiers' housing costs). To determine
the RPI assumption a term-dependent inflation curve has been used adjusting for an assumed inflation risk premium. In the period to 2030 a
gap of 100 basis points has been assumed between RPI and CPI; thereafter no gap has been assumed. The RPI reform is subject to judicial
review in 2022, and its outcome may impact these assumptions in the future.
2021
2020
Years
Years
Life expectancy for member aged 60, on the valuation date:
Men
27.1
27.0
Women
29.1
29.0
Life expectancy for member aged 60, 15 years after the valuation date:
Men
28.1
28.1
Women
30.3
30.2
The mortality assumptions used in the UK scheme valuations are based on standard tables published by the Institute and Faculty of Actuaries
which were adjusted in line with the actual experience of the relevant schemes. The table shows that a member retiring at age 60 at 31
December 2021 is assumed to live for, on average, 27.1 years for a male and 29.1 years for a female. In practice there will be much variation
between individual members but these assumptions are expected to be appropriate across all members. It is assumed that younger members
will live longer in retirement than those retiring now. This reflects the expectation that mortality rates will continue to fall over time as medical
science and standards of living improve. To illustrate the degree of improvement assumed, the table also shows the life expectancy for
members aged 45 now, when they retire in 15 years’ time at age 60. The Group has considered the impact of COVID-19 and evidence to date
indicates that this did not have a material impact on the defined benefit obligation. The Group uses the CMI mortality projections model and in
line with actuarial industry recommendations has placed no weight on 2020 mortality experience.
Lloyds Bank plc
Notes to the accounts
Note 27: Retirement benefit obligations (continued)
143
(v)Amount, timing and uncertainty of future cash flows
Risk exposure of the defined benefit schemes
While the Group is not exposed to any unusual, entity-specific or scheme-specific risks in its defined benefit pension schemes, it is exposed to a
number of significant risks, detailed below:
Inflation rate risk: The majority of the plans’ benefit obligations are linked to inflation both in deferment and once in payment. Higher inflation
will lead to higher liabilities although this will be materially offset by holdings of inflation-linked gilts and, in most cases, caps on the level of
inflationary increases are in place to protect against extreme inflation.
Interest rate risk: The defined benefit obligation is determined using a discount rate derived from yields on AA-rated corporate bonds. A
decrease in corporate bond yields will increase plan liabilities although this will be materially offset by an increase in the value of bond holdings
and through the use of derivatives.
Longevity risk: The majority of the schemes' obligations are to provide benefits for the life of the members so increases in life expectancy will
result in an increase in the plans’ liabilities.
Investment risk: Scheme assets are invested in a diversified portfolio of debt securities, equities and other return-seeking assets. If the assets
underperform the discount rate used to calculate the defined benefit obligation, it will reduce the surplus or increase the deficit. Volatility in
asset values and the discount rate will lead to volatility in the net pension asset on the Group’s balance sheet and in other comprehensive
income. To a lesser extent this will also lead to volatility in the pension expense in the Group’s income statement.
The ultimate cost of the defined benefit obligations to the Group will depend upon actual future events rather than the assumptions made. The
assumptions made are unlikely to be borne out in practice and as such the cost may be higher or lower than expected.
Sensitivity analysis
The effect of reasonably possible changes in key assumptions on the value of scheme liabilities and the resulting pension charge in the Group’s
income statement and on the net defined benefit pension scheme asset, for the Group’s three most significant schemes, is set out below. The
sensitivities provided assume that all other assumptions and the value of the schemes’ assets remain unchanged, and are not intended to
represent changes that are at the extremes of possibility. The calculations are approximate in nature and full detailed calculations could lead to
a different result. It is unlikely that isolated changes to individual assumptions will be experienced in practice. Due to the correlation of
assumptions, aggregating the effects of these isolated changes may not be a reasonable estimate of the actual effect of simultaneous changes
in multiple assumptions.
Effect of reasonably possible alternative assumptions
The Group
The Bank
Increase (decrease)
in the income
statement charge
(Increase) decrease in the
net defined benefit
pension scheme surplus
Increase (decrease)
in the income
statement charge
(Increase) decrease in the
net defined benefit
pension scheme surplus
2021
2020
2021
2020
2021
2020
2021
2020
£m
£m
£m
£m
£m
£m
£m
£m
Inflation (including pension
increases)1:
Increase of 0.1 per cent
12
11
481
531
7
6
309
337
Decrease of 0.1 per cent
(12)
(11)
(475)
(522)
(7)
(6)
(306)
(332)
Discount rate2:
Increase of 0.1 per cent
(24)
(20)
(774)
(866)
(14)
(12)
(480)
(534)
Decrease of 0.1 per cent
23
19
795
890
13
11
492
548
Expected life expectancy of members:
Increase of one year
44
39
1,934
2,146
27
23
1,253
1,370
Decrease of one year
(42)
(37)
(1,852)
(2,052)
(26)
(23)
(1,200)
(1,310)
1At 31 December 2021, the assumed rate of RPI inflation is 3.21 per cent and CPI inflation 2.92 per cent (2020: RPI 2.80 per cent and CPI 2.41 per cent).
2At 31 December 2021, the assumed discount rate is 1.94 per cent (2020: 1.44 per cent).
Sensitivity analysis method and assumptions
The sensitivity analysis above reflects the impact on the liabilities of the Group’s three most significant schemes which account for over 90 per
cent of the Group’s defined benefit obligations. While differences in the underlying liability profiles for the remainder of the Group’s pension
arrangements mean they may exhibit slightly different sensitivities to variations in these assumptions, the sensitivities provided above are
indicative of the impact across the Group as a whole.
The inflation assumption sensitivity applies to the assumed rate of increase in both the Consumer Price Index (CPI) and the Retail Price Index
(RPI), and includes the impact on the rate of increases to pensions, both before and after retirement. These pension increases are linked to
inflation (either CPI or RPI) subject to certain minimum and maximum limits.
The sensitivity analysis (including the inflation sensitivity) does not include the impact of any change in the rate of salary increases as
pensionable salaries have been frozen since 2 April 2014.
The life expectancy assumption has been applied by allowing for an increase/decrease in life expectation from age 60 of one year, based upon
the approximate weighted average age for each scheme. While this is an approximate approach and will not give the same result as a one year
increase in life expectancy at every age, it provides an appropriate indication of the potential impact on the schemes from changes in life
expectancy.
There was no change in the methods and assumptions used in preparing the sensitivity analysis from the prior year.
Lloyds Bank plc
Notes to the accounts
Note 27: Retirement benefit obligations (continued)
144
Asset-liability matching strategies
The main schemes’ assets are invested in a diversified portfolio, consisting primarily of debt securities. The investment strategy is not static and
will evolve to reflect the structure of liabilities within the schemes. Specific asset-liability matching strategies for each pension plan are
independently determined by the responsible governance body for each scheme and in consultation with the employer.
A significant goal of the asset-liability matching strategies adopted by Group schemes is to reduce volatility caused by changes in market
expectations of interest rates and inflation. In the main schemes, this is achieved by investing scheme assets in bonds, primarily fixed interest
gilts and index linked gilts, and by entering into interest rate and inflation swap arrangements. These investments are structured to take into
account the profile of scheme liabilities and actively managed to reflect both changing market conditions and changes to the liability profile. At
31 December 2021 the asset-liability matching strategy mitigated around 117 per cent of the liability sensitivity to interest rate movements and
around 126 per cent of the liability sensitivity to inflation movements. In addition, a small amount of interest rate sensitivity arises through
holdings of corporate and other debt securities. The higher level of hedging provides greater protection to the funding position of the
schemes.
On 28 January 2020, the main schemes entered into a £10 billion longevity insurance arrangement to hedge part of the schemes’ exposure to
unexpected increases in life expectancy. This arrangement forms part of the schemes’ investment portfolio and will provide income to the
schemes in the event that pensions are paid out for longer than expected. The transaction was structured as a pass-through with Scottish
Widows as the insurer, and onwards reinsurance to Pacific Life Re Limited. The valuation of the swap was £nil at inception and while there has
been a slightly higher than expected number of deaths in the population covered by the arrangement, this has not had a material impact on the
value of the swap. At 31 December 2021 the value of these swaps was £0.6 million, and is reflected in the value of scheme assets.
On 28 January 2022, the Lloyds Bank Pension Scheme No 1 entered into an additional £5.5 billion longevity insurance arrangement. The
transaction is structured as a pass-through with Scottish Widows as the insurer, and onwards reinsurance to SCOR SE – UK Branch. The valuation
of the swap was £nil at inception. In total the schemes have now hedged around 25 per cent of their longevity risk exposure.
Maturity profile of defined benefit obligation
The following table provides information on the weighted average duration of the defined benefit pension obligation and the distribution and
timing of benefit payments:
The Group
The Bank
2021
2020
2021
2020
Years
Years
Years
Years
Duration of the defined benefit obligation
17
19
16
17
Maturity analysis of benefits expected to be paid:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Within 12 months
1,352
1,293
940
914
Between 1 and 2 years
1,450
1,350
1,013
940
Between 2 and 5 years
4,651
4,347
3,188
2,989
Between 5 and 10 years
8,993
8,301
6,029
5,547
Between 10 and 15 years
9,668
9,093
6,170
5,796
Between 15 and 25 years
18,671
17,485
11,499
10,590
Between 25 and 35 years
13,846
13,479
7,925
7,709
Between 35 and 45 years
6,987
7,162
3,485
3,645
In more than 45 years
2,116
2,287
774
874
Maturity analysis method and assumptions
The projected benefit payments are based on the assumptions underlying the assessment of the obligations, including allowance for expected
future inflation. They are shown in their undiscounted form and therefore appear large relative to the discounted assessment of the defined
benefit obligations recognised in the Group’s balance sheet. They are in respect of benefits that have been accrued prior to the respective year-
end date only and make no allowance for any benefits that may have been accrued subsequently.
Defined contribution schemes
The Group operates a number of defined contribution pension schemes in the UK and overseas, principally Your Tomorrow and the defined
contribution sections of the Lloyds Bank Pension Scheme No. 1.
During the year ended 31 December 2021 the charge to the income statement in respect of defined contribution schemes was £287 million
(2020: £305 million; 2019: £273 million), representing the contributions payable by the employer in accordance with each scheme’s rules.
Lloyds Bank plc
Notes to the accounts
Note 27: Retirement benefit obligations (continued)
145
Other post-retirement benefit schemes
The Group operates a number of schemes which provide post-retirement healthcare benefits to certain employees, retired employees and their
dependants. The principal scheme relates to former Lloyds Bank staff and under this scheme the Group has undertaken to meet the cost of
post-retirement healthcare for all eligible former employees (and their dependants) who retired prior to 1 January 1996. The Group has entered
into an insurance contract to provide these benefits and a provision has been made for the estimated cost of future insurance premiums
payable.
For the principal post-retirement healthcare scheme, the latest actuarial valuation of the liability was carried out at 31 December 2021 by
qualified independent actuaries. The principal assumptions used were as set out above, except that the rate of increase in healthcare premiums
has been assumed at 6.82 per cent (2020: 6.40 per cent).
Movements in the other post-retirement benefits obligation:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
At 1 January
(109)
(126)
(68)
(85)
Actuarial gains
4
16
1
15
Insurance premiums paid
3
4
2
3
Charge for the year
(2)
(3)
(1)
(2)
Exchange and other adjustments
1
1
1
At 31 December
(103)
(109)
(65)
(68)
Note 28: Deferred tax
The Group’s and the Bank’s deferred tax assets and liabilities are as follows:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Statutory position
Deferred tax assets
4,048
3,468
2,434
2,109
Deferred tax liabilities
Net deferred tax asset at 31 December
4,048
3,468
2,434
2,109
Tax disclosure
Deferred tax assets
6,377
5,327
3,861
3,042
Deferred tax liabilities
(2,329)
(1,859)
(1,427)
(933)
Net deferred tax asset at 31 December
4,048
3,468
2,434
2,109
The statutory position reflects the deferred tax assets and liabilities as disclosed in the consolidated balance sheet and takes into account the
ability of the Group and the Bank to net assets and liabilities where there is a legally enforceable right of offset. The tax disclosure of deferred
tax assets and liabilities ties to the amounts outlined in the tables below which splits the deferred tax assets and liabilities by type, before such
netting.
Finance Act 2021, which was substantively enacted on 24 May 2021, increases the rate of corporation tax from 19 per cent to 25 per cent with
effect from 1 April 2023. The impact of this rate change is an increase in the Group’s net deferred tax asset as at 31 December 2021 of
£942 million, comprising a £1,168 million credit included in the income statement and a £226 million charge included in equity. The tax credit in
2020 included an uplift in deferred tax assets following the announcement by the UK Government that it would maintain the corporation tax rate
at 19 per cent.
On 27 October 2021, the UK Government announced its intention to decrease the rate of banking surcharge from 8 per cent to 3 per cent with
effect from 1 April 2023. This change was substantively enacted on 2 February 2022 and its impact on deferred tax is therefore not included in
these financial statements. Had this change in banking surcharge rate been substantively enacted at 31 December 2021, the impact would have
been to recognise a £3 million deferred tax charge in the income statement and an £83 million credit within other comprehensive income,
increasing the Group's net deferred tax asset by £80 million.
Lloyds Bank plc
Notes to the accounts
Note 27: Retirement benefit obligations (continued)
146
Movements in deferred tax assets and liabilities (before taking into consideration the offsetting of balances within the same taxing jurisdiction)
can be summarised as follows:
The Group
Deferred tax assets
Tax
losses
Property,
plant and
equipment
Provisions
Share-
based
payments
Pension
liabilities
Derivatives
Asset
revaluations1
Other
temporary
differences
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 1 January 2020
3,600
670
225
32
53
19
132
4,731
Credit (charge) to the income
statement
454
8
4
(5)
6
(12)
28
94
577
Credit (charge) to other
comprehensive income
22
(3)
19
At 31 December 2020
4,054
678
251
27
56
7
28
226
5,327
Credit (charge) to the income
statement
964
82
13
(10)
15
30
(28)
(50)
1,016
Credit (charge) to other
comprehensive income
36
(2)
34
At 31 December 2021
5,018
760
300
17
69
37
176
6,377
The Group
Deferred tax liabilities
Capitalised
software
enhancements
Acquisition
fair value
Pension
assets
Derivatives
Asset
revaluations1
Other
temporary
differences
Total
£m
£m
£m
£m
£m
£m
£m
At 1 January 2020
(21)
(483)
(150)
(562)
(38)
(111)
(1,365)
(Charge) credit to the income statement
(207)
147
(77)
(106)
(22)
(94)
(359)
(Charge) credit to other comprehensive income
(165)
(31)
60
(136)
Exchange and other adjustments
1
1
At 31 December 2020
(228)
(336)
(392)
(699)
(204)
(1,859)
(Charge) credit to the income statement
(47)
(16)
(93)
(65)
2
(115)
(334)
(Charge) credit to other comprehensive income
(846)
764
(54)
(136)
At 31 December 2021
(275)
(352)
(1,331)
(52)
(319)
(2,329)
1Financial assets at fair value through other comprehensive income.
The Bank
Deferred tax assets
Tax
losses
Property,
plant and
equipment
Provisions
Share-
based
payments
Pension
liabilities
Other
temporary
differences
Total
£m
£m
£m
£m
£m
£m
£m
At 1 January 2020
2,198
343
128
19
33
13
2,734
Credit (charge) to the income statement
309
(38)
10
(1)
1
9
290
Credit (charge) to other comprehensive income
22
(4)
18
At 31 December 2020
2,507
305
160
18
30
22
3,042
Credit (charge) to the income statement
683
101
14
(8)
6
(13)
783
Credit to other comprehensive income
36
36
At 31 December 2021
3,190
406
210
10
36
9
3,861
The Bank
Deferred tax liabilities
Capitalised
software
enhancements
Pension
assets
Derivatives
Asset
revaluations1
Other
temporary
differences
Total
£m
£m
£m
£m
£m
£m
At 1 January 2020
(19)
(97)
(536)
(36)
(17)
(705)
(Charge) credit to the income statement
(193)
(5)
1
(9)
12
(194)
(Charge) credit to other comprehensive income
(105)
30
40
(35)
Exchange and other adjustments
1
1
At 31 December 2020
(212)
(207)
(505)
(5)
(4)
(933)
Charge to the income statement
(44)
(8)
(1)
(1)
(54)
(Charge) credit to other comprehensive income
(584)
190
(46)
(440)
At 31 December 2021
(256)
(799)
(316)
(52)
(4)
(1,427)
1Financial assets at fair value through other comprehensive income.
Lloyds Bank plc
Notes to the accounts
Note 28: Deferred tax (continued)
147
At 31 December 2021 the Group carried net deferred tax assets on its balance sheet of £4,048 million (2020: £3,468 million) and the Bank carried
deferred tax assets of £2,434 million (2020: £2,109 million) principally relating to tax losses carried forward.
Estimation of income taxes includes the assessment of recoverability of deferred tax assets. Deferred tax assets are only recognised to the
extent that they are considered more likely than not to be recoverable based on existing tax laws and forecasts of future taxable profits against
which the underlying tax deductions can be utilised. The Group has recognised a deferred tax asset of £5,018 million (2020: £4,054 million), and
the Bank £3,190 million (2020: £2,507 million) in respect of trading losses carried forward. Substantially all of these losses have arisen in Bank of
Scotland plc and Lloyds Bank plc, and they will be utilised as taxable profits arise in those legal entities in future periods.
The Group’s expectations of future UK taxable profits require management judgement, and take into account the Group’s long-term financial
and strategic plans and anticipated future tax-adjusting items. In making this assessment, account is taken of business plans, the Board-
approved operating plan and the expected future economic outlook as set out in the strategic report, as well as the risks associated with future
regulatory, climate-related and other change, in order to produce a base case forecast of future UK taxable profits. Under current law there is no
expiry date for UK trading losses not yet utilised, and given the forecast of future profitability and the Group’s commitment to the UK market, in
management's judgement it is more likely than not that the value of the losses will be recovered by the Group while still operating as a going
concern. Banking tax losses that arose before 1 April 2015 can only be used against 25 per cent of taxable profits arising after 1 April 2016, and
they cannot be used to reduce the surcharge on banking profits. These restrictions in utilisation mean that the value of the deferred tax asset in
respect of tax losses is only expected to be fully recovered by 2047 (2020: 2049) in the base case forecast. The rate of recovery of the Group’s
tax loss asset is not a straight line, being affected by the relative profitability of the legal entities in future periods, and the relative size of their
tax losses carried forward. It is expected in the base case that 60 per cent of the value will be recovered by 2034, when Bank of Scotland plc will
have utilised all of its available tax losses. It is possible that future tax law changes could materially affect the timing of recovery and the value of
these losses ultimately realised by the Group. The value of the deferred tax asset in respect of tax losses increased by £1,156 million in 2021 as a
result of the change in UK tax rates.
Deferred tax not recognised
Deferred tax assets of £151 million (2020: £104 million) for the Group and £116 million (2020: £90 million) for the Bank have not been recognised
in respect of £593 million for the Group and £453 million for the Bank of UK tax losses and other temporary differences which can only be used
to offset future capital gains. UK capital losses can be carried forward indefinitely.
No deferred tax asset was recognised in 2020 in respect of unrelieved foreign tax credits of £46 million for the Group and £7 million for the
Bank, as there were no expected profits against which the credits could be utilised. The formal closure of the branches in respect of which these
credits arose means that the credits have now been extinguished.
No deferred tax has been recognised in respect of foreign trade losses where it is not more likely than not that we will be able to utilise them in
future periods. Of the asset not recognised, £34 million for the Group and nil for the Bank (2020: £34 million for the Group and £nil for the Bank)
relates to losses that will expire if not used within 20 years, and £5 million for the Group and £3 million for the Bank (2020: £43 million for the
Group and £4 million for the Bank) relates to losses with no expiry date.
As a result of parent company exemptions on dividends from subsidiaries and on capital gains on disposal there are no significant taxable
temporary differences associated with investments in subsidiaries, branches, associates and joint arrangements.
Lloyds Bank plc
Notes to the accounts
Note 28: Deferred tax (continued)
148
The Group
The Bank
Provisions
for financial
commitments
and guarantees
Regulatory
and legal
provisions
Other
Total
Provisions
for financial
commitments
and guarantees
Regulatory
and legal
provisions
Other
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 1 January 2021
426
520
776
1,722
245
140
583
968
Exchange and other adjustments
(1)
37
(9)
27
3
(1)
2
Provisions applied
(680)
(260)
(940)
(190)
(213)
(403)
(Release) charge for the year
(231)
1,177
178
1,124
(134)
196
142
204
At 31 December 2021
194
1,054
685
1,933
114
146
511
771
Provisions for financial commitments and guarantees
Provisions are recognised for expected credit losses on undrawn loan commitments and financial guarantees. See also note 15.
Regulatory and legal provisions
In the course of its business, the Group is engaged in discussions with the PRA, FCA and other UK and overseas regulators and other
governmental authorities on a range of matters. The Group also receives complaints in connection with its past conduct and claims brought by
or on behalf of current and former employees, customers, investors and other third parties and is subject to legal proceedings and other legal
actions. Where significant, provisions are held against the costs expected to be incurred in relation to these matters and matters arising from
related internal reviews. During the year ended 31 December 2021 the Group charged a further £1,177 million in respect of legal actions and
other regulatory matters, including a charge in respect of HBOS Reading and charges for other legacy programmes.
The unutilised balance at 31 December 2021 was £1,054 million (31 December 2020: £520 million). The most significant items are as follows.
HBOS Reading – review
The Group completed its compensation assessment for those within the Customer Review in 2019 with more than £109 million of compensation
paid, in addition to £15 million for ex-gratia payments and £6 million for the reimbursement of legal fees. The Group is now applying the
recommendations from Sir Ross Cranston’s review, issued in December 2019, including a reassessment of direct and consequential losses by an
independent panel (the Foskett Panel), an extension of debt relief and a wider definition of de facto directors. The appeal process for the
further assessment of debt relief and de facto director status is now nearing completion. Further details of the Foskett Panel were announced
on 3 April 2020 and the Foskett Panel's full scope and methodology was published on 7 July 2020. The Foskett Panel’s stated objective is to
consider cases via a non-legalistic and fair process and to make their decisions in a generous, fair and common sense manner, assessing claims
against an expanded definition of the fraud and on a lower evidential basis.
Following the emergence of the first outcomes of the Foskett Panel through 2021, the Group has charged a further £790 million in the year
ended 31 December 2021, of which £600 million was recognised in the fourth quarter. This includes operational costs in relation to Dame Linda
Dobbs' review, which is considering whether the issues relating to HBOS Reading were investigated and appropriately reported by the Group
during the period from January 2009 to January 2017, and other programme costs. A significant proportion of the fourth quarter charge relates
to the estimated future awards from the Foskett Panel. To date the Foskett Panel has shared outcomes on a limited subset of the total
population which covers a wide range of businesses and different claim characteristics. The estimated awards provision recognised is therefore
materially dependent on the assumption that the limited number of awards to date are representative of the full population of cases. The 2021
charge increases the lifetime cost to £1,225 million. The final outcome could be significantly different from the current provision once the re-
review is concluded by the Foskett Panel. There is no confirmed timeline for the completion of the Foskett Panel re-review process. The Group
is committed to implementing Sir Ross's recommendations in full.
Payment protection insurance
The Group has made provisions for PPI costs over a number of years totalling £21,906 million. Good progress continues to be made towards
ensuring operational completeness, ahead of an orderly programme close. At 31 December 2021, a provision of £20 million remained
outstanding (excluding amounts related to MBNA), with total cash payments of £178 million during the year.
In addition to the above provision, the Group continues to challenge PPI litigation cases, with mainly legal fees and operational costs associated
with litigation activity recognised within regulatory and legal provisions, including a charge in the fourth quarter. PPI litigation remains inherently
uncertain, with a number of key Court judgments due to be delivered in 2022.
Arrears handling related activities
To date the Group has provided a total of £1,026 million for arrears handling activities. The unutilised balance at 31 December 2021 was
£26 million.
Other
Following the sale of TSB Banking Group plc, the Group raised a provision of £665 million in relation to various ongoing commitments in
respect of the divestment. At 31 December £90 million remained unutilised; the Group expects the majority of the remaining provision to be
utilised in the next twelve months and the provision to be fully utilised by 31 December 2025.
The Group carries provisions of £114 million in respect of dilapidations, rent reviews and other property-related matters. Provisions are also
made for staff and other costs related to Group restructuring initiatives at the point at which the Group becomes committed to the expenditure;
at 31 December 2021 provisions of £187 million (31 December 2020: £196 million) were held.
The Group carries provisions of £78 million (2020: £112 million) for indemnities and other matters relating to legacy business disposals in prior
years. Whilst there remains significant uncertainty as to the timing of the utilisation of the provisions, the Group expects the majority of the
remaining provisions to have been utilised by 31 December 2026.
Lloyds Bank plc
Notes to the accounts
Note 29: Other provisions
149
The movement in subordinated liabilities during the year was as follows:
Preferred
securities
Undated
subordinated
liabilities
Dated
subordinated
liabilities
Total
The Group
£m
£m
£m
£m
At 1 January 2020
3,267
516
8,803
12,586
Issued during the year1:
2.6787% Fixed rate bond due 2025
303
303
£914,633,000 2.73% Dated Subordinated Fixed Rate Reset Notes due 2035
471
471
£393,939,000 2.61% Dated Subordinated Fixed Rate Reset Notes due 2035
293
293
1,067
1,067
Repurchases and redemptions during the year1:
12% Fixed to Floating Rate Perpetual Tier 1 Capital Securities callable 2024
(US$2,000 million)
(119)
(119)
13% Sterling Step-up Perpetual Capital Securities callable 2029 (£700 million)
(519)
(519)
7.281% Perpetual Regulatory Tier One Securities (Series B) (£150 million)
(123)
(123)
6.85% Non-cumulative Perpetual Preferred Securities (US$1,000 million)
(580)
(580)
7.881% Guaranteed Non-voting Non-cumulative Preferred Securities
(£245 million)
(289)
(289)
6.5% Dated Subordinated Notes 2020 (€1,500 million)
(1,464)
(1,464)
4.50% Fixed Rate Step-up Subordinated Notes due 2030 (€309 million)
(276)
(276)
5.75% Subordinated Fixed to Floating Rate Notes 2025 callable 2020
(£350 million)
(370)
(370)
6.50% Subordinated Fixed Rate Notes 2020 (US$2,000 million)
(674)
(674)
Subordinated Floating Rate Notes 2020 (€100 million)
(90)
(90)
9.625% Subordinated Bonds 2023 (£300 million)
(240)
(240)
7.375% Dated Subordinated Notes 2020
(4)
(4)
(1,630)
(3,118)
(4,748)
Foreign exchange movements
(59)
15
105
61
Other movements (cash and non-cash)
194
(26)
108
276
At 31 December 2020
1,772
505
6,965
9,242
Issued during the year1:
3.916% Subordinated Fixed Rate Notes 2048 (US$1,500 million)
1,074
1,074
3.724% Dated Subordinated Fixed Rate Reset Notes 2041 (£500 million)
888
888
2.754% Dated Subordinated Fixed Rate Reset Notes 2032 (US$1,750 million)
1,300
1,300
3,262
3,262
Repurchases and redemptions during the year1:
7.754% Non-cumulative Perpetual Preferred Securities (Class B) (£150 million)
(156)
(156)
Series 2 (US$500 million)
(94)
(94)
Series 3 (US$600 million)
(120)
(120)
Floating Rate Primary Capital Notes (US$250 million)
(24)
(24)
Series 1 (US$750 million)
(97)
(97)
9.375% Subordinated Bonds 2021 (£500 million)
(200)
(200)
5.374% Subordinated Fixed Rate Notes 2021 (€160 million)
(145)
(145)
4.553% Subordinated Fixed Rate Notes 2021 (US$1,500 million)
(1,122)
(1,122)
6% Subordinated Notes 2033 (US$750 million)
(216)
(216)
4.293% Subordinated Fixed Rate Notes 2021 (US$824 million)
(612)
(612)
4.503% Subordinated Fixed Rate Notes 2021 (US$1,353 million)
(1,004)
(1,004)
(156)
(335)
(3,299)
(3,790)
Foreign exchange movements
17
(80)
(63)
Other movements (cash and non-cash)
28
(21)
7
At 31 December 2021
1,661
170
6,827
8,658
1Issuances in the year generated cash inflows of £3,262 million (2020: £303 million); the repurchases and redemptions resulted in cash outflows of £3,745 million (2020: £4,156 million). Cash
payments in respect of interest on subordinated liabilities in the year amounted to £525 million (2020: £852 million).
Certain of the above securities were issued or redeemed under exchange offers, which did not result in an extinguishment of the original
financial liability for accounting purposes.
Lloyds Bank plc
Notes to the accounts
Note 30: Subordinated liabilities
150
Preferred
securities
Undated
subordinated
liabilities
Dated
subordinated
liabilities
Total
The Bank
£m
£m
£m
£m
At 1 January 2020
2,234
425
7,250
9,909
Issued in the year:
2.6787% Fixed rate bond due 2025
303
303
£914,633,000 2.73% Dated Subordinated Fixed Rate Reset Notes due 2035
517
517
£393,939,000 2.61% Dated Subordinated Fixed Rate Reset Notes due 2035
394
394
1,214
1,214
Repurchases and redemptions during the year1:
12% Fixed to Floating Rate Perpetual Tier 1 Capital Securities callable 2024
(US$2,000 million)
(119)
(119)
13% Sterling Step-up Perpetual Capital Securities callable 2029 (£700 million)
(519)
(519)
6.5% Dated Subordinated Notes 2020 (€1,500 million)
(1,464)
(1,464)
5.75% Subordinated Fixed to Floating Rate Notes 2025 callable 2020
(£350 million)
(370)
(370)
6.50% Subordinated Fixed Rate Notes 2020 (US$2,000 million)
(674)
(674)
Subordinated Floating Rate Notes 2020 (€100 million)
(90)
(90)
9.625% Subordinated Bonds 2023 (£300 million)
(240)
(240)
7.375% Dated Subordinated Notes 2020
(4)
(4)
(638)
(2,842)
(3,480)
Foreign exchange movements
(43)
(10)
50
(3)
Other movements (cash and non-cash)
19
(1)
93
111
At 31 December 2020
1,572
414
5,765
7,751
Issued in the year:
3.916% Subordinated Fixed Rate Notes 2048 (US$1,500 million)
1,074
1,074
3.724% Dated Subordinated Fixed Rate Reset notes 2041 (£500 million)
888
888
2.754% Dated Subordinated Fixed Rate Reset notes 2032 (US$1,750 million)
1,300
1,300
3,262
3,262
Repurchases and redemptions during the year1:
Series 2 (US$500 million)
(94)
(94)
Series 3 (US$600 million)
(120)
(120)
Series 1 (US$750 million)
(96)
(96)
4.553% Subordinated Fixed Rate Note 2021 (US$1,500 million)
(1,122)
(1,122)
4.293% Subordinated Fixed Rate Note 2021 (US$824 million)
(612)
(612)
4.503% Subordinated Fixed Rate Note 2021 (US$1,353 million)
(1,004)
(1,004)
(310)
(2,738)
(3,048)
Foreign exchange movements
17
(1)
(40)
(24)
Other movements (cash and non-cash)
37
(1)
(70)
(34)
At 31 December 2021
1,626
102
6,179
7,907
1Issuances in the year generated cash inflows of £3,262 million (2020: £496 million); the repurchases and redemptions resulted in cash outflows of £3,049 million (2020: £2,726 million). Cash
payments in respect of interest on subordinated liabilities in the year amounted to £423 million (2020: £759 million).
Certain of the above securities were issued or redeemed under exchange offers, which did not result in an extinguishment of the original
financial liability for accounting purposes.
These securities will, in the event of the winding-up of the issuer, be subordinated to the claims of depositors and all other creditors of the
issuer, other than creditors whose claims rank equally with, or are junior to, the claims of the holders of the subordinated liabilities. The
subordination of specific subordinated liabilities is determined in respect of the issuer and any guarantors of that liability. The claims of holders
of preference shares and preferred securities are generally junior to those of the holders of undated subordinated liabilities, which in turn are
junior to the claims of holders of the dated subordinated liabilities. Neither the Group nor the Bank has had any defaults of principal, interest or
other breaches with respect to its subordinated liabilities during 2021 (2020: none).
Lloyds Bank plc
Notes to the accounts
Note 30: Subordinated liabilities (continued)
151
(1)Authorised share capital
As permitted by the Companies Act 2006, the Bank has removed references to authorised share capital from its articles of association.
(2)Issued and fully paid ordinary shares
The Group and the Bank
2021
2020
2019
2021
2020
2019
Number of shares
Number of shares
Number of shares
£m
£m
£m
Ordinary shares of £1 each
At 1 January
1,574,285,752
1,574,285,751
1,574,285,751
1,574
1,574
1,574
Issued in the year
1
At 31 December
1,574,285,752
1,574,285,752
1,574,285,751
1,574
1,574
1,574
(3)Share capital and control
There are no limitations on voting rights or restrictions on the transfer of shares in the Bank other than as set out in the articles of association,
and certain restrictions which may from time to time be imposed by law and regulations (for example, insider trading laws).
Ordinary shares
The holders of ordinary shares are entitled to receive the Bank’s report and accounts, attend, speak and vote at general meetings and appoint
proxies to exercise voting rights. Holders of ordinary shares may also receive a dividend (subject to the provisions of the Bank’s articles of
association) and on a winding up may share in the assets of the Bank.
Issued and fully paid preference shares
The Bank has in issue various classes of preference shares which are all classified as liabilities under accounting standards.
Note 32: Share premium account
The Group and the Bank
2021
2020
2019
£m
£m
£m
At 1 January and 31 December
600
600
600
Note 33: Other reserves
The Group
The Bank
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
Merger reserve1
6,348
6,348
6,348
Revaluation reserve in respect of debt securities held at
fair value through other comprehensive income
(362)
(558)
(538)
105
14
103
Revaluation reserve in respect of equity shares held at fair
value through other comprehensive income
Cash flow hedging reserve
(451)
1,507
1,556
720
1,367
1,607
Foreign currency translation reserve
(135)
(116)
(116)
(1)
1
At 31 December
5,400
7,181
7,250
824
1,382
1,710
1There has been no movements in this reserve in 2021, 2020 or 2019.
The merger reserve arose on the transfer of HBOS plc from the Bank’s ultimate holding company in January 2010.
The revaluation reserves in respect of debt securities and equity shares held at fair value through other comprehensive income represent the
cumulative after-tax unrealised change in the fair value of financial assets so classified since initial recognition; or in the case of financial assets
obtained on acquisitions of businesses, since the date of acquisition.
The cash flow hedging reserve represents the cumulative after-tax gains and losses on effective cash flow hedging instruments that will be
reclassified to the income statement in the periods in which the hedged item affects profit or loss.
The foreign currency translation reserve represents the cumulative after-tax gains and losses on the translation of foreign operations and
exchange differences arising on financial instruments designated as hedges of the Group’s net investment in foreign operations.
Lloyds Bank plc
Notes to the accounts
Note 31: Share capital
152
Movements in other reserves were as follows:
The Group
The Bank
Revaluation reserve in respect of debt securities held at fair
value through other comprehensive income
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
At 1 January
(558)
(538)
(379)
14
103
281
Change in fair value
137
46
(34)
139
12
(50)
Deferred tax
(44)
29
11
(47)
(8)
13
Current tax
(2)
93
73
(23)
92
4
(37)
Income statement transfers in respect of disposals (note 8)
116
(145)
(196)
(2)
(138)
(201)
Deferred tax
(11)
47
61
44
61
105
(98)
(135)
(2)
(94)
(140)
Impairment recognised in the income statement
(2)
5
(1)
1
1
(1)
At 31 December
(362)
(558)
(538)
105
14
103
The Group
The Bank
Revaluation reserve in respect of equity shares held at fair
value through other comprehensive income
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
At 1 January
Change in fair value
Deferred tax
1
(16)
12
1
4
12
1
(16)
12
1
4
12
Realised gains and losses transferred to retained profits
Deferred tax
(1)
16
(12)
(1)
(4)
(12)
(1)
16
(12)
(1)
(4)
(12)
At 31 December
The Group
The Bank
2021
2020
2019
2021
2020
2019
Cash flow hedging reserve
£m
£m
£m
£m
£m
£m
At 1 January
1,507
1,556
1,110
1,367
1,607
1,268
Change in fair value of hedging derivatives
(2,138)
709
1,166
(438)
85
892
Deferred tax
606
(229)
(290)
82
(66)
(217)
(1,532)
480
876
(356)
19
675
Net income statement transfers
(584)
(727)
(580)
(399)
(355)
(448)
Deferred tax
158
198
150
108
96
112
(426)
(529)
(430)
(291)
(259)
(336)
At 31 December
(451)
1,507
1,556
720
1,367
1,607
The Group
The Bank
2021
2020
2019
2021
2020
2019
Foreign currency translation reserve
£m
£m
£m
£m
£m
£m
At 1 January
(116)
(116)
(114)
1
(6)
Currency translation differences arising in the year
(19)
(2)
(2)
1
6
Income statement transfers
At 31 December
(135)
(116)
(116)
(1)
1
Lloyds Bank plc
Notes to the accounts
Note 33: Other reserves (continued)
153
The Group
The Bank
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
At 1 January
25,750
24,549
27,924
42,677
42,470
45,340
Profit attributable to ordinary shareholders (see below for
the Bank)
4,826
1,023
1,912
3,249
224
1,876
Dividends paid (note 36)
(2,900)
(4,100)
(2,900)
(4,100)
Capital contributions received
164
140
229
164
140
229
Return of capital contributions
(4)
(4)
(5)
(4)
(4)
(5)
Realised gains and losses on equity shares held at fair
value through other comprehensive income
1
(16)
12
1
4
12
Issue of other equity instruments
(1)
(1)
Redemptions of other equity instruments
(9)
(9)
Change in non-controlling interests
(1)
Post-retirement defined benefit scheme remeasurements
1,062
113
(1,117)
556
(102)
(576)
Gains and losses attributable to own credit risk (net of
tax)1
(52)
(55)
(306)
(52)
(55)
(306)
At 31 December
28,836
25,750
24,549
43,681
42,677
42,470
1During 2020 the Group derecognised, on redemption, financial liabilities on which cumulative fair value movements relating to own credit of £1 million net of tax (2021: £nil; 2019: £nil), had
been recognised directly in retained profits.
The profit after tax of the Bank was arrived at as follows:
2021
2020
2019
£m
£m
£m
Net interest income
4,606
4,519
5,684
Net fee and commission income
848
655
743
Dividends received
1,391
44
1,331
Net trading and other operating income
1,956
2,952
2,169
Other income
4,195
3,651
4,243
Total income
8,801
8,170
9,927
Operating expenses
(6,273)
(5,828)
(6,644)
Impairment credit (charge)
773
(1,898)
(503)
Profit before tax
3,301
444
2,780
Tax credit (expense)
292
197
(623)
Profit for the year
3,593
641
2,157
Profit attributable to ordinary shareholders
3,249
224
1,876
Profit attributable to other equity holders
344
417
281
Profit for the year
3,593
641
2,157
Lloyds Bank plc
Notes to the accounts
Note 34: Retained profits
154
The Group and the Bank
2021
2020
2019
£m
£m
£m
At 1 January
5,935
4,865
3,217
Issued in the year:
£500 million Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Permanent Write-Down
Securities
500
£750 million Floating Rate Additional Tier 1 Perpetual Subordinated Permanent Write-Down
Securities
750
£300 million Floating Rate Additional Tier 1 Perpetual Subordinated Permanent Write-Down
Securities
300
US$500 million Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Permanent Write-Down
Securities
383
€750 million Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Permanent Write-Down
Securities
687
£500 million Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Permanent Write-Down
Securities
496
US$1,500 million Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Permanent Write-Down
Securities
1,152
1,550
1,070
1,648
Redemptions
(3,217)
Profit for the year attributable to other equity holders
344
417
281
Distributions on other equity instruments
(344)
(417)
(281)
At 31 December
4,268
5,935
4,865
The Bank has in issue £4,268 million of Sterling, Dollar and Euro Additional Tier 1 (AT1) securities to Lloyds Banking Group plc. The AT1
securities are fixed rate resetting or floating rate Perpetual Subordinated Permanent Write-Down Securities with no fixed maturity or
redemption date.
The principal terms of the AT1 securities are described below:
The securities rank behind the claims against the Bank of unsubordinated creditors on a winding-up
The fixed rate reset securities bear a fixed rate of interest until the first call date. After the initial call date, in the event that they are not
redeemed, the fixed rate reset AT1 securities will bear interest at rates fixed periodically in advance. The floating rate AT1 securities will be
reset quarterly both prior to and following the first call date
Interest on the securities will be due and payable only at the sole discretion of the Bank and the Bank may at any time elect to cancel any
interest payment (or any part thereof) which would otherwise be payable on any interest payment date. There are also certain restrictions on
the payment of interest as specified in the terms
The securities are undated and are repayable, at the option of the Bank, in whole at the first call date, or at any interest payment date
thereafter. In addition, the AT1 securities are repayable, at the option of the Bank, in whole for certain regulatory or tax reasons. Any
repayments require the prior consent of the PRA
The securities will be subject to a Permanent Write Down should the Common Equity Tier 1 ratio of the Bank fall below 7.0 per cent
Note 36: Dividends on ordinary shares
Dividends paid during the year were as follows:
2021
2020
2019
£m
£m
£m
Interim dividends
2,900
4,100
Lloyds Bank plc
Notes to the accounts
Note 35: Other equity instruments
155
During the year ended 31 December 2021 Lloyds Banking Group plc operated a number of share-based payment schemes for which employees
of the Lloyds Bank Group were eligible and all of which are equity settled. Details of all schemes operated by Lloyds Banking Group are set out
below; these are managed and operated on a Lloyds Banking Group-wide basis. The amount charged to the Group’s income statement in
respect of Lloyds Banking Group share-based payment schemes, and which is included within staff costs (note 9), was £229 million (2020:
£181 million; 2019: £337 million).
During the year ended 31 December 2021 the Lloyds Banking Group operated the following share-based payment schemes, all of which are
equity settled.
Group Performance Share plan
The Group operates a Group Performance Share plan that is equity settled. Bonuses in respect of employee service in 2021 have been
recognised in the charge in line with the proportion of the deferral period completed.
Save-As-You-Earn schemes
Eligible employees may enter into contracts through the Save-As-You-Earn (SAYE) schemes to save up to £500 per month and, at the expiry of a
fixed term of three years, have the option to use these savings within six months of the expiry of the fixed term to acquire shares in the Group at
a discounted price of no less than 80 per cent (90 per cent for the 2020 and 2021 plans) of the market price at the start of the invitation.
Movements in the number of share options outstanding under the SAYE schemes are set out below:
2021
2020
Number
of options
Weighted
average
exercise price
(pence)
Number
of options
Weighted
average
exercise price
(pence)
Outstanding at 1 January
1,120,138,915
30.39
1,068,094,073
44.55
Granted
236,923,744
39.40
779,229,797
24.25
Exercised
(6,924,434)
30.57
(255,706,663)
47.51
Forfeited
(22,815,078)
28.78
(6,938,102)
43.30
Cancelled
(51,479,310)
32.57
(389,767,675)
42.24
Expired
(95,280,546)
49.03
(74,772,515)
47.26
Outstanding at 31 December
1,180,563,291
30.63
1,120,138,915
30.39
Exercisable at 31 December
336,561
51.03
792,741
47.49
The weighted average share price at the time that the options were exercised during 2021 was £0.47 (2020: £0.61). The weighted average
remaining contractual life of options outstanding at the end of the year was 2.46 years (2020: 2.98 years).
The weighted average fair value of SAYE options granted during 2021 was £0.09 (2020: £0.05). The fair values of the SAYE options have been
determined using a standard Black-Scholes model.
Other share option plans
Lloyds Banking Group Executive Share Plan 2003
The Plan was adopted in December 2003 and under the Plan share options may be granted to senior employees. Options under this plan have
been granted specifically to facilitate recruitment (to compensate new recruits for any lost share awards), and also to make grants to key
individuals for retention purposes. In some instances, grants may be made subject to individual performance conditions.
Participants are not entitled to any dividends paid during the vesting period.
2021
2020
Number
of options
Weighted
average
exercise price
(pence)
Number
of options
Weighted
average
exercise price
(pence)
Outstanding at 1 January
6,666,372
Nil
7,634,638
Nil
Granted
5,308,496
Nil
1,990,449
Nil
Exercised
(5,129,115)
Nil
(2,122,302)
Nil
Vested
Nil
(47,337)
Nil
Forfeited
(385,184)
Nil
(111,100)
Nil
Lapsed
(558,679)
Nil
(677,976)
Nil
Outstanding at 31 December
5,901,890
Nil
6,666,372
Nil
Exercisable at 31 December
708,939
Nil
3,150,407
Nil
The weighted average fair value of options granted in the year was £0.45 (2020: £0.33). The fair values of options granted have been determined
using a standard Black-Scholes model. The weighted average share price at the time that the options were exercised during 2021 was £0.44
(2020: £0.36). The weighted average remaining contractual life of options outstanding at the end of the year was 4.3 years (2020: 4.1 years).
Lloyds Bank plc
Notes to the accounts
Note 37: Share-based payments
156
Other share plans
Lloyds Banking Group Executive Group Ownership Share Plan
The plan, introduced in 2006, is aimed at delivering shareholder value by linking the receipt of shares to an improvement in the performance of
the Group over a three-year period. Awards are made within limits set by the rules of the plan, with the limits determining the maximum number
of shares that can be awarded equating to three times annual salary. In exceptional circumstances this may increase to four times annual salary.
At the end of the performance period for the 2018 grant, the targets had not been fully met and therefore these awards vested in 2021 at a rate
of 33.75 per cent.
2021
2020
Number
of shares
Number
of shares
Outstanding at 1 January
533,987,527
459,904,745
Granted
211,214,605
Vested
(39,621,415)
(47,775,806)
Forfeited
(144,437,243)
(96,015,542)
Dividend award
944,758
6,659,525
Outstanding at 31 December
350,873,627
533,987,527
Awards in respect of the 2019 grant are due to vest in 2022 at a rate of 41.80 per cent. In previous years participants were entitled to any
dividends paid in the vesting period. However, following a regulatory change prohibiting the payment of dividend on such awards, the number
of shares awarded has been determined by applying a share price adjusted to exclude the value of estimated future dividends.
The weighted average fair value of the awards granted in 2020 was £0.28.
Lloyds Banking Group Long Term Share Plan
The plan, introduced in 2021, which replaced the Executive Group Ownership Share Plan, is intended to provide alignment to our aim of
delivering sustainable returns to shareholders, supported by our values and behaviours.
2021
Number
of shares
Granted
83,456,304
Forfeited
(5,573,236)
Outstanding at 31 December
77,883,068
The weighted average fair value of awards granted in the year was £0.36.
Chief Financial Officer buyout
William Chalmers joined the Group on 3 June 2019 and was appointed as Chief Financial Officer on 1 August 2019 on the retirement of George
Culmer. He was granted deferred share awards over 4,086,632 shares, to replace unvested awards from his former employer, Morgan Stanley,
that were forfeited as a result of him joining the Group.
2021
2020
Number
of shares
Number
of shares
Outstanding at 1 January
1,810,712
3,268,460
Exercised
(1,124,627)
(1,457,748)
Outstanding at 31 December
686,085
1,810,712
Group Chief Executive buyout
Charlie Nunn joined the Group on 16 August 2021 as Group Chief Executive. He was granted deferred share awards over 8,301,708 shares to
replace unvested awards from his former employer, HSBC, that were forfeited as a result of him joining the Group.
2021
Number
of shares
Granted
8,301,708
Exercised
(856,921)
Outstanding at 31 December
7,444,787
The weighted average fair value of awards granted in 2021 was £0.40.
Lloyds Bank plc
Notes to the accounts
Note 37: Share-based payments (continued)
157
Assumptions at 31 December 2021
The fair value calculations at 31 December 2021 for grants made in the year, using Black-Scholes models and Monte Carlo simulation, are based
on the following assumptions:
SAYE
Executive
Share Plan
2003
Long Term
Share Plan
Group Chief
Executive
buyout
Weighted average risk-free interest rate
0.49%
0.12%
0.16%
0.26%
Weighted average expected life
3.3 years
1.3 years
3.4 years
2.8 years
Weighted average expected volatility
28%
30%
31%
31%
Weighted average expected dividend yield
3.1%
3.2%
3.1%
3.1%
Weighted average share price
£0.45
£0.47
£0.40
£0.44
Weighted average exercise price
£0.39
Nil
Nil
Nil
Expected volatility is a measure of the amount by which the Group’s shares are expected to fluctuate during the life of an option. The expected
volatility is estimated based on the historical volatility of the closing daily share price over the most recent period that is commensurate with the
expected life of the option. The historical volatility is compared to the implied volatility generated from market traded options in the Group’s
shares to assess the reasonableness of the historical volatility and adjustments made where appropriate.
Share Incentive Plan
Free shares
An award of shares may be made annually to employees up to a maximum of £3,600. The shares awarded are held in trust for a mandatory
period of three years on the employee’s behalf, during which period the employee is entitled to any dividends paid on such shares. The award
is subject to a non-market based condition. If an employee leaves the Group within this three-year period for other than a ‘good’ reason, all of
the shares awarded will be forfeited.
On 25 March 2021, the Group made an award of 1,017 (2020: 676) shares to all eligible employees. The number of shares awarded was
67,658,976 (2020: 45,612,424), with an average fair value of £0.42 (2020: £0.30) based on the market price at the date of award.
Matching shares
The Group undertakes to match shares purchased by employees up to the value of £45 per month; these matching shares are held in trust for a
mandatory period of three years on the employee’s behalf, during which period the employee is entitled to any dividends paid on such shares.
The award is subject to a non-market based condition: if an employee leaves within this three-year period for other than a ‘good’ reason, all of
the matching shares are forfeited. Similarly, if the employees sell their purchased shares within three years, their matching shares are forfeited.
The number of shares awarded relating to matching shares in 2021 was 46,621,026 (2020: 62,262,140), with an average fair value of £0.44 (2020:
£0.34), based on market prices at the date of award.
Fixed share awards
Fixed share awards were introduced in 2014 in order to ensure that total fixed remuneration is commensurate with role and to provide a
competitive reward package for certain Lloyds Banking Group employees, with an appropriate balance of fixed and variable remuneration, in
line with regulatory requirements. The fixed share awards are delivered in Lloyds Banking Group shares, released over five years with 20 per
cent being released each year following the year of award. From June 2020, the fixed share awards are released over three years with one third
being released each year following the year of award. The number of shares purchased in 2021 was 8,320,948 (2020: 13,975,993).
The fixed share award is not subject to any performance conditions, performance adjustment or clawback. On an employee leaving the Group,
there is no change to the timeline for which shares will become unrestricted.
Note 38: Related party transactions
Key management personnel
Key management personnel are those persons having authority and responsibility for planning, directing and controlling the activities of an
entity; the Group’s key management personnel are the members of the Lloyds Banking Group plc Group Executive Committee together with its
Non-Executive Directors.
The table below details, on an aggregated basis, key management personnel compensation:
2021
2020
2019
£m
£m
£m
Compensation
Salaries and other short-term benefits
10
12
14
Share-based payments
14
12
14
Total compensation
24
24
28
The aggregate of the emoluments of the directors was £10.6 million (2020: £11.8 million; 2019: £11.7 million).
Aggregate company contributions in respect of key management personnel to defined contribution pension schemes were £nil (2020: £nil;
2019: £nil).
The total for the highest paid director (Sir António Horta-Osório) was £3,117,000 (2020: Juan Colombás: £4,169,000; 2019: Sir António Horta-
Osório: £4,078,000); this did not include any gain on exercise of Lloyds Banking Group plc shares in any year.
Lloyds Bank plc
Notes to the accounts
Note 37: Share-based payments (continued)
158
2021
2020
2019
million
million
million
Share options over Lloyds Banking Group plc shares
At 1 January
Granted, including certain adjustments (includes entitlements of appointed key management personnel)
Exercised/lapsed (includes entitlements of former key management personnel)
At 31 December
2021
2020
2019
million
million
million
Share plans settled in Lloyds Banking Group plc shares
At 1 January
117
101
84
Granted, including certain adjustments (includes entitlements of appointed key management personnel)
19
46
46
Exercised/lapsed (includes entitlements of former key management personnel)
(62)
(30)
(29)
At 31 December
74
117
101
The tables below detail, on an aggregated basis, balances outstanding at the year end and related income and expense, together with
information relating to other transactions between the Group and its key management personnel:
2021
2020
2019
£m
£m
£m
Loans
At 1 January
2
2
2
Advanced (includes loans of appointed key management personnel)
1
1
Repayments (includes loans of former key management personnel)
(1)
At 31 December
3
2
2
The loans are on both a secured and unsecured basis and are expected to be settled in cash. The loans attracted interest rates of between 0.39
per cent and 22.93 per cent in 2021 (2020: 0.39 per cent and 24.20 per cent; 2019: 6.45 per cent and 24.20 per cent).
No provisions have been recognised in respect of loans given to key management personnel (2020 and 2019: £nil).
2021
2020
2019
£m
£m
£m
Deposits
At 1 January
11
23
20
Placed (includes deposits of appointed key management personnel)
26
26
44
Withdrawn (includes deposits of former key management personnel)
(26)
(38)
(41)
At 31 December
11
11
23
Deposits placed by key management personnel attracted interest rates of up to 1.0 per cent (2020: 2.0 per cent; 2019: 3.0 per cent).
At 31 December 2021, the Group did not provide any guarantees in respect of key management personnel (2020 and 2019: none).
At 31 December 2021, transactions, arrangements and agreements entered into by the Group and its banking subsidiaries with Directors and
connected persons included amounts outstanding in respect of loans and credit card transactions of £0.6 million with five Directors and two
connected persons (2020: £0.6 million with five Directors and two connected persons; 2019: £0.6 million with five Directors and two connected
persons).
Lloyds Bank plc
Notes to the accounts
Note 38: Related party transactions (continued)
159
Balances and transactions with fellow Lloyds Banking Group undertakings
Balances and transactions between members of the Lloyds Bank Group
In accordance with IFRS 10 Consolidated Financial Statements, transactions and balances between the Bank and its subsidiary undertakings,
and between those subsidiary undertakings, have all been eliminated on consolidation and thus are not reported as related party transactions
of the Group.
The Bank, as a result of its position as parent of a banking group, has a large number of transactions with various of its subsidiary undertakings;
these are included on the balance sheet of the Bank as follows:
2021
2020
£m
£m
Assets, included within:
Financial assets at fair value through profit or loss
3,404
1,203
Derivative financial instruments
3,299
7,077
Financial assets at amortised cost: due from fellow Lloyds Banking Group undertakings
107,907
128,241
114,610
136,521
Liabilities, included within:
Due to fellow Lloyds Banking Group undertakings
21,540
33,170
Financial liabilities at fair value through profit or loss
Derivative financial instruments
2,508
4,738
Debt securities in issue
59
20
24,107
37,928
Due to the size and volume of transactions passing through these accounts, it is neither practical nor meaningful to disclose information on
gross inflows and outflows. During 2021 the Bank earned interest income on the above asset balances of £1,933 million (2020: £1,995 million;
2019: £2,491 million) and incurred interest expense on the above liability balances of £327 million (2020: £336 million; 2019: £655 million).
In addition, the Bank raised recharges of £1,609 million (2020: £1,403 million; 2019: £1,461 million) on its subsidiaries in respect of costs incurred
and also received fees of £70 million (2020: £56 million; 2019: £62 million), and paid fees of £31 million (2020: £26 million; 2019: £57 million), for
various services provided between the Bank and its subsidiaries.
Details of contingent liabilities and commitments entered into on behalf of fellow Lloyds Banking Group undertakings are given in note 39.
Balances and transactions with Lloyds Banking Group plc and fellow subsidiaries of the Bank
The Bank and its subsidiaries have balances due to and from the Bank’s parent company, Lloyds Banking Group plc and fellow subsidiaries of
the Bank. These are included on the balance sheet as follows:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Assets, included within:
Derivative financial instruments
634
690
634
690
Financial assets at amortised cost: due from fellow Lloyds Banking Group
undertakings
739
738
517
530
1,373
1,428
1,151
1,220
Liabilities, included within:
Due to fellow Lloyds Banking Group undertakings
1,490
6,875
1,332
6,666
Financial liabilities at fair value through profit or loss
3,318
1,121
Derivative financial instruments
939
1,424
633
972
Debt securities in issue
17,961
12,686
14,650
11,551
Subordinated liabilities
5,176
4,599
5,311
4,745
25,566
25,584
25,244
25,055
These balances include Lloyds Banking Group plc’s banking arrangements and, due to the size and volume of transactions passing through
these accounts, it is neither practical nor meaningful to disclose information on gross inflows and outflows. During 2021 the Group earned
£11 million and the Bank earned £11 million interest income on the above asset balances (2020: Group £5 million, Bank £5 million; 2019: Group
£20 million, Bank £20 million); the Group incurred £500 million and the Bank incurred £468 million interest expense on the above liability
balances (2020: Group £478 million, Bank £461 million; 2019: Group £520 million, Bank £509 million).
Other related party transactions
Pension funds
The Group provides banking services to certain of its pension funds. At 31 December 2021, customer deposits of £480 million (2020:
£151 million) related to the Group’s pension funds.
Joint ventures and associates
At 31 December 2021 there were loans and advances to customers of £14 million (2020: £28 million) outstanding and balances within customer
deposits of £22 million (2020: £73 million) relating to joint ventures and associates.
During the year the Group paid fees of £7 million (2020: £7 million) to the Lloyds Banking Group's Schroders Personal Wealth joint venture and
also made a payment of £10 million (2020: £20 million) under the terms of agreements put in place on the establishment of the joint venture.
Lloyds Bank plc
Notes to the accounts
Note 38: Related party transactions (continued)
160
Interchange fees
With respect to multi-lateral interchange fees (MIFs), the Lloyds Banking Group is not involved in the ongoing litigation which involves the card
schemes Visa and Mastercard (as described below). However, the Group is a member/licensee of Visa and Mastercard and other card schemes.
The litigation in question is as follows:
Litigation brought by retailers against both Visa and Mastercard continues in the English Courts, in which retailers are seeking damages on
grounds that Visa and Mastercard's MIFs breached competition law (this includes a judgment of the Supreme Court in June 2020 upholding
the Court of Appeal's finding in 2018 that historic interchange arrangements of Mastercard and Visa infringed competition law)
Litigation brought on behalf of UK consumers in the English Courts against Mastercard
Any impact on the Group of the litigation against Visa and Mastercard remains uncertain at this time, such that it is not practicable for the
Group to provide an estimate of any potential financial effect. Insofar as Visa is required to pay damages to retailers for interchange fees set
prior to June 2016, contractual arrangements to allocate liability have been agreed between various UK banks (including the Lloyds Banking
Group) and Visa Inc, as part of Visa Inc’s acquisition of Visa Europe in 2016. These arrangements cap the maximum amount of liability to which
the Lloyds Banking Group may be subject and this cap is set at the cash consideration received by the Lloyds Banking Group for the sale of its
stake in Visa Europe to Visa Inc in 2016. In 2016, the Group received Visa preference shares as part of the consideration for the sale of its shares
in Visa Europe. In 2020, some of these Visa preference shares were converted into Visa Inc Class A common stock (in accordance with the
provisions of the Visa Europe sale documentation) and they were subsequently sold by the Group. The sale has no impact on this contingent
liability.
LIBOR and other trading rates
Certain Lloyds Banking Group companies, together with other panel banks, have been named as defendants in ongoing private lawsuits,
including purported class action suits, in the US in connection with their roles as panel banks contributing to the setting of US Dollar, Japanese
Yen and Sterling London Interbank Offered Rate and the Australian BBSW reference rate.
Certain Lloyds Banking Group companies are also named as defendants in (i) UK-based claims; and (ii) two Dutch class actions, raising LIBOR
manipulation allegations. A number of the claims against the Lloyds Banking Group in the UK relating to the alleged mis-sale of interest rate
hedging products also include allegations of LIBOR manipulation.
It is currently not possible to predict the scope and ultimate outcome on the Lloyds Banking Group of any private lawsuits or any related
challenges to the interpretation or validity of any of the Lloyds Banking Group's contractual arrangements, including their timing and scale. As
such, it is not practicable to provide an estimate of any potential financial effect.
Tax authorities
The Lloyds Banking Group has an open matter in relation to a claim for group relief of losses incurred in its former Irish banking subsidiary,
which ceased trading on 31 December 2010. In 2013, HMRC informed the Lloyds Banking Group that its interpretation of the UK rules means
that the group relief is not available. In 2020, HMRC concluded their enquiry into the matter and issued a closure notice. The Lloyds Banking
Group's interpretation of the UK rules has not changed and hence it has appealed to the First Tier Tax Tribunal, with a hearing expected in
2022. If the final determination of the matter by the judicial process is that HMRC’s position is correct, management estimate that this would
result in an increase in current tax liabilities of approximately £730 million (including interest) and a reduction in deferred tax assets of
approximately £330 million. The Lloyds Banking Group, having taken appropriate advice, does not consider that this is a case where additional
tax will ultimately fall due.
There are a number of other open matters on which the Group is in discussions with HMRC (including the tax treatment of certain costs arising
from the divestment of TSB Banking Group plc), none of which is expected to have a material impact on the financial position of the Group.
Other legal actions and regulatory matters
In addition, during the ordinary course of business the Group is subject to other complaints and threatened or actual legal proceedings
(including class or group action claims) brought by or on behalf of current or former employees, customers, investors or other third parties, as
well as legal and regulatory reviews, challenges, investigations and enforcement actions, which could relate to a number of issues, including
financial, environmental or other regulatory matters, both in the UK and overseas. Where material, such matters are periodically reassessed, with
the assistance of external professional advisers where appropriate, to determine the likelihood of the Group incurring a liability. In those
instances where it is concluded that it is more likely than not that a payment will be made, a provision is established based on management's
best estimate of the amount required at the relevant balance sheet date. In some cases it will not be possible to form a view, for example
because the facts are unclear or because further time is needed to assess properly the merits of the case, and no provisions are held in relation
to such matters. In these circumstances, specific disclosure in relation to a contingent liability will be made where material. However, the Group
does not currently expect the final outcome of any such case to have a material adverse effect on its financial position, operations or cash flows.
Where there is a contingent liability related to an existing provision the relevant disclosures are included within note 29.
Contingent liabilities, commitments and guarantees arising from the banking business
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Contingent liabilities
Acceptances and endorsements
21
73
21
73
Other:
Other items serving as direct credit substitutes
433
221
375
203
Performance bonds, including letters of credit, and other transaction-related
contingencies
1,886
2,070
1,681
1,817
2,319
2,291
2,056
2,020
Total contingent liabilities
2,340
2,364
2,077
2,093
Lloyds Bank plc
Notes to the accounts
Note 39: Contingent liabilities, commitments and guarantees
161
The Bank
2021
2020
£m
£m
Incurred on behalf of fellow Lloyds Banking Group undertakings
1
The contingent liabilities of the Group and the Bank arise in the normal course of banking business and it is not practicable to quantify their
future financial effect.
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Commitments and guarantees
Documentary credits and other short-term trade-related transactions
1
Forward asset purchases and forward deposits placed
60
124
55
96
Undrawn formal standby facilities, credit lines and other commitments to lend:
Less than 1 year original maturity:
Mortgage offers made
17,757
20,128
1,001
1,720
Other commitments and guarantees
79,830
82,151
29,871
32,832
97,587
102,279
30,872
34,552
1 year or over original maturity
30,037
31,194
27,063
28,118
Total commitments and guarantees
127,684
133,598
57,990
62,766
The Bank
2021
2020
£m
£m
Incurred on behalf of fellow Lloyds Banking Group undertakings
3,055
3,659
Of the amounts shown above in respect of undrawn formal standby facilities, credit lines and other commitments to lend, £55,690 million (2020:
£59,240 million) for the Group and £30,653 million (2020: £32,847 million) for the Bank were irrevocable.
Capital commitments
Excluding commitments of the Group in respect of investment property (note 21), capital expenditure contracted but not provided for at 31
December 2021 amounted to £1,034 million (2020: £501 million) for the Group and £nil (2020: £nil) for the Bank. Of this amount for the Group,
£1,034 million (2020: £501 million) related to assets to be leased to customers under operating leases. The Group’s management is confident
that future net revenues and funding will be sufficient to cover these commitments.
Note 40: Structured entities
The Group’s interests in structured entities are consolidated. Details of the Group’s interests in these structured entities are set out in note 25
for securitisations and covered bond vehicles, note 27 for structured entities associated with the Group’s pension schemes, and below.
Asset-backed conduits
In addition to the structured entities discussed in note 25, which are used for securitisation and covered bond programmes, the Group sponsors
an active asset-backed conduit, Cancara, which invests in client receivables and debt securities. The total consolidated exposure of Cancara at
31 December 2021 was £1,669 million (2020: £2,490 million), comprising £889 million of loans and advances (2020: £1,695 million) and
£780 million of debt securities (2020: £795 million).
All lending assets and debt securities held by the Group in Cancara are restricted in use, as they are held by the collateral agent for the benefit
of the commercial paper investors and the liquidity providers only. The Group provides liquidity facilities to Cancara under terms that are usual
and customary for standard lending activities in the normal course of the Group’s banking activities. During 2021 there have continued to be
planned drawdowns on certain liquidity facilities for balance sheet management purposes, supporting the programme to provide funding
alongside the proceeds of the asset-backed commercial paper issuance. The Group could be asked to provide support under the contractual
terms of these arrangements including, for example, if Cancara experienced a shortfall in external funding, which may occur in the event of
market disruption.
The external assets in Cancara are consolidated in the Group’s financial statements.
Lloyds Bank plc
Notes to the accounts
Note 39: Contingent liabilities, commitments and guarantees (continued)
162
(1)Measurement basis of financial assets and liabilities
The accounting policies in note 2 describe how different classes of financial instruments are measured, and how income and expenses,
including fair value gains and losses, are recognised. The following tables analyse the carrying amounts of the financial assets and liabilities by
category and by balance sheet heading.
Derivatives
designated
as hedging
instruments
Mandatorily held at
fair value through
profit or loss
Designated
at fair value
through profit
or loss
At fair value
through other
comprehensive
income
Held at
amortised
cost
Total
Held for
trading
Other
The Group
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Financial assets
Cash and balances at central banks
54,279
54,279
Items in the course of collection from
banks
147
147
Financial assets at fair value through
profit or loss
1,798
1,798
Derivative financial instruments
55
5,456
5,511
Loans and advances to banks and
reverse repurchase agreements
7,474
7,474
Loans and advances to customers and
reverse repurchase agreements
477,541
477,541
Debt securities
4,562
4,562
Due from fellow Lloyds Banking
Group undertakings
739
739
Financial assets at amortised cost
490,316
490,316
Financial assets at fair value through
other comprehensive income
27,786
27,786
Total financial assets
55
5,456
1,798
27,786
544,742
579,837
Financial liabilities
Deposits from banks and repurchase
agreements
33,448
33,448
Customer deposits and repurchase
agreements
449,394
449,394
Due to fellow Lloyds Banking Group
undertakings
1,490
1,490
Items in course of transmission to banks
308
308
Financial liabilities at fair value through
profit or loss
6,537
6,537
Derivative financial instruments
315
4,328
4,643
Notes in circulation
1,321
1,321
Debt securities in issue
48,724
48,724
Other
1,411
1,411
Subordinated liabilities
8,658
8,658
Total financial liabilities
315
4,328
6,537
544,754
555,934
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments
163
Derivatives
designated
as hedging
instruments
Mandatorily held at
fair value through
profit or loss
Designated
at fair value
through profit
or loss
At fair value
through other
comprehensive
income
Held at
amortised
cost
Total
Held for
trading
Other
The Group
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Financial assets
Cash and balances at central banks
49,888
49,888
Items in the course of collection from
banks
300
300
Financial assets at fair value through
profit or loss
1,674
1,674
Derivative financial instruments
674
7,667
8,341
Loans and advances to banks and
reverse repurchase agreements
5,950
5,950
Loans and advances to customers and
reverse repurchase agreements
480,141
480,141
Debt securities
5,137
5,137
Due from fellow Lloyds Banking
Group undertakings
738
738
Financial assets at amortised cost
491,966
491,966
Financial assets at fair value through
other comprehensive income
27,260
27,260
Total financial assets
674
7,667
1,674
27,260
542,154
579,429
Financial liabilities
Deposits from banks and repurchase
agreements
24,997
24,997
Customer deposits and repurchase
agreements
434,569
434,569
Due to fellow Lloyds Banking Group
undertakings
6,875
6,875
Items in course of transmission to banks
302
302
Financial liabilities at fair value through
profit or loss
3
6,828
6,831
Derivative financial instruments
590
7,638
8,228
Notes in circulation
1,305
1,305
Debt securities in issue
59,293
59,293
Other
1,592
1,592
Subordinated liabilities
9,242
9,242
Total financial liabilities
590
7,641
6,828
538,175
553,234
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
164
Derivatives
designated
as hedging
instruments
Mandatorily held at
fair value through
profit or loss
Designated
at fair value
through profit
or loss
At fair value
through other
comprehensive
income
Held at
amortised
cost
Total
Held for
trading
Other
The Bank
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Financial assets
Cash and balances at central banks
49,618
49,618
Items in the course of collection from
banks
99
99
Financial assets at fair value through
profit or loss
4,529
4,529
Derivative financial instruments
37
6,861
6,898
Loans and advances to banks and
reverse repurchase agreements
7,287
7,287
Loans and advances to customers and
reverse repurchase agreements
163,428
163,428
Debt securities
3,756
3,756
Due from fellow Lloyds Banking
Group undertakings
108,424
108,424
Financial assets at amortised cost
282,895
282,895
Financial assets at fair value through
other comprehensive income
25,529
25,529
Total financial assets
37
6,861
4,529
25,529
332,612
369,568
Financial liabilities
Deposits from banks and repurchase
agreements
2,825
2,825
Customer deposits and repurchase
agreements
268,704
268,704
Due to fellow Lloyds Banking Group
undertakings
22,872
22,872
Items in course of transmission to banks
207
207
Financial liabilities at fair value through
profit or loss
9,821
9,821
Derivative financial instruments
310
5,792
6,102
Debt securities in issue
38,439
38,439
Other
777
777
Subordinated liabilities
7,907
7,907
Total financial liabilities
310
5,792
9,821
341,731
357,654
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
165
Derivatives
designated
as hedging
instruments
Mandatorily held at
fair value through
profit or loss
Designated
at fair value
through profit
or loss
At fair value
through other
comprehensive
income
Held at
amortised
cost
Total
Held for
trading
Other
The Bank
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Financial assets
Cash and balances at central banks
45,753
45,753
Items in the course of collection from
banks
257
257
Financial assets at fair value through
profit or loss
1,724
1,724
Derivative financial instruments
242
12,353
12,595
Loans and advances to banks and
reverse repurchase agreements
5,656
5,656
Loans and advances to customers and
reverse repurchase agreements
178,269
178,269
Debt securities
4,315
4,315
Due from fellow Lloyds Banking
Group undertakings
128,771
128,771
Financial assets at amortised cost
317,011
317,011
Financial assets at fair value through
other comprehensive income
24,647
24,647
Total financial assets
242
12,353
1,724
24,647
363,021
401,987
Financial liabilities
Deposits from banks and repurchase
agreements
10,304
10,304
Customer deposits and repurchase
agreements
264,473
264,473
Due to fellow Lloyds Banking Group
undertakings
39,836
39,836
Items in course of transmission to banks
199
199
Financial liabilities at fair value through
profit or loss
2
7,905
7,907
Derivative financial instruments
289
10,783
11,072
Debt securities in issue
48,109
48,109
Other
885
885
Subordinated liabilities
7,751
7,751
Total financial liabilities
289
10,785
7,905
371,557
390,536
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
166
(2)Fair value measurement
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants
at the measurement date. It is a measure as at a specific date and may be significantly different from the amount which will actually be paid or
received on maturity or settlement date.
Wherever possible, fair values have been calculated using unadjusted quoted market prices in active markets for identical instruments held by
the Group. Where quoted market prices are not available, or are unreliable because of poor liquidity, fair values have been determined using
valuation techniques which, to the extent possible, use market observable inputs, but in some cases use non-market observable inputs.
Valuation techniques used include discounted cash flow analysis and pricing models and, where appropriate, comparison to instruments with
characteristics similar to those of the instruments held by the Group. The Group measures valuation adjustments for its derivative exposures on
the same basis as the derivatives are managed.
The carrying amount of the following financial instruments is a reasonable approximation of fair value: cash and balances at central banks, items
in the course of collection from banks, items in course of transmission to banks and notes in circulation.
Because a variety of estimation techniques are employed and significant estimates made, comparisons of fair values between financial
institutions may not be meaningful. Readers of these financial statements are thus advised to use caution when using this data to evaluate the
Group’s financial position.
Fair value information is not provided for items that are not financial instruments or for other assets and liabilities which are not carried at fair
value in the Group’s consolidated balance sheet. These items include intangible assets, such as brands and acquired credit card relationships;
premises and equipment; and shareholders’ equity. These items are material and accordingly the Group believes that any fair value information
presented would not represent the underlying value of the Group.
Valuation control framework
The key elements of the control framework for the valuation of financial instruments include model validation, product implementation review
and independent price verification. These functions are carried out by appropriately skilled risk and finance teams, independent of the business
area responsible for the products.
Model validation covers both qualitative and quantitative elements relating to new models. In respect of new products, a product
implementation review is conducted pre and post-trading. Pre-trade testing ensures that the new model is integrated into the Group’s systems
and that the profit and loss and risk reporting are consistent throughout the trade lifecycle. Post-trade testing examines the explanatory power
of the implemented model, actively monitoring model parameters and comparing in-house pricing to external sources. Independent price
verification procedures cover financial instruments carried at fair value. The frequency of the review is matched to the availability of independent
data, monthly being the minimum. Valuation differences in breach of established thresholds are escalated to senior management. The results
from independent pricing and valuation reserves are reviewed monthly by senior management.
Formal committees, consisting of senior risk, finance and business management, meet at least quarterly to discuss and approve valuations in
more judgemental areas, in particular for unquoted equities, structured credit, over-the-counter options and the credit valuation adjustment
(CVA), funding valuation adjustment (FVA) and other valuation adjustments.
Valuation of financial assets and liabilities
Assets and liabilities carried at fair value or for which fair values are disclosed have been classified into three levels according to the quality and
reliability of information used to determine the fair values.
Level 1
Level 1 fair value measurements are those derived from unadjusted quoted prices in active markets for identical assets or liabilities. Products
classified as level 1 predominantly comprise listed equity shares, treasury bills and other government securities.
Level 2
Level 2 valuations are those where quoted market prices are not available, for example where the instrument is traded in a market that is not
considered to be active or valuation techniques are used to determine fair value and where these techniques use inputs that are based
significantly on observable market data. Examples of such financial instruments include most over-the-counter derivatives, financial institution
issued securities, certificates of deposit and certain asset-backed securities.
Level 3
Level 3 portfolios are those where at least one input which could have a significant effect on the instrument’s valuation is not based on
observable market data. Such instruments would include any unlisted equity investments which are valued using various valuation techniques
that require significant management judgement in determining appropriate assumptions, including earnings multiples and estimated future
cash flows. Certain of the Group’s asset-backed securities and derivatives, principally where there is no trading activity in such securities, are
also classified as level 3.
Transfers out of the level 3 portfolio arise when inputs that could have a significant impact on the instrument’s valuation become market
observable after previously having been non-market observable. In the case of asset-backed securities this can arise if more than one consistent
independent source of data becomes available. Conversely, transfers into the portfolio arise when consistent sources of data cease to be
available.
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
167
(3)Financial assets and liabilities carried at fair value
(A)Financial assets, excluding derivatives
Valuation hierarchy
At 31 December 2021, the Group’s financial assets carried at fair value, excluding derivatives, totalled £29,584 million (2020: £28,934 million). The
table below analyses these financial assets by balance sheet classification, asset type and valuation methodology (level 1, 2 or 3, as described on
page 167). The fair value measurement approach is recurring in nature. There were no significant transfers between level 1 and 2 during the
year.
Level 1
Level 2
Level 3
Total
The Group
£m
£m
£m
£m
At 31 December 2021
Financial assets at fair value through profit or loss
Loans and advances to customers
1,164
395
1,559
Equity shares
235
4
239
Total financial assets at fair value through profit or loss
235
1,164
399
1,798
Financial assets at fair value through other comprehensive income
Debt securities:
Government securities
14,599
14,599
Asset-backed securities
55
55
Corporate and other debt securities
640
12,491
13,131
15,239
12,491
55
27,785
Equity shares
1
1
Total financial assets at fair value through other comprehensive income
15,239
12,491
56
27,786
Total financial assets carried at fair value, excluding derivatives
15,474
13,655
455
29,584
At 31 December 2020
Financial assets at fair value through profit or loss
Loans and advances to customers
1,511
1,511
Equity shares
159
4
163
Total financial assets at fair value through profit or loss
159
4
1,511
1,674
Financial assets at fair value through other comprehensive income
Debt securities:
Government securities
14,267
14,267
Asset-backed securities
65
65
Corporate and other debt securities
491
12,437
12,928
14,758
12,437
65
27,260
Equity shares
Total financial assets at fair value through other comprehensive income
14,758
12,437
65
27,260
Total financial assets carried at fair value, excluding derivatives
14,917
12,441
1,576
28,934
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
168
Level 1
Level 2
Level 3
Total
The Bank
£m
£m
£m
£m
At 31 December 2021
Financial assets at fair value through profit or loss
Loans and advances to customers
1,088
33
1,121
Corporate and other debt securities
3,404
3,404
Equity shares
4
4
Total financial assets at fair value through profit or loss
4,492
37
4,529
Financial assets at fair value through other comprehensive income
Debt securities:
Government securities
14,445
14,445
Corporate and other debt securities
640
10,444
11,084
15,085
10,444
25,529
Total financial assets at fair value through other comprehensive income
15,085
10,444
25,529
Total financial assets carried at fair value, excluding derivatives
15,085
14,936
37
30,058
At 31 December 2020
Financial assets at fair value through profit or loss
Loans and advances to customers
517
517
Corporate and other debt securities
1,203
1,203
Equity shares
4
4
Total financial assets at fair value through profit or loss
1,207
517
1,724
Financial assets at fair value through other comprehensive income
Debt securities:
Government securities
14,114
14,114
Corporate and other debt securities
491
10,042
10,533
14,605
10,042
24,647
Total financial assets at fair value through other comprehensive income
14,605
10,042
24,647
Total financial assets carried at fair value, excluding derivatives
14,605
11,249
517
26,371
Movements in level 3 portfolio
The table below analyses movements in level 3 financial assets, excluding derivatives, carried at fair value (recurring measurement).
2021
2020
Financial
assets at fair
value through
profit or loss
Financial
assets at
fair value
through other
comprehensive
income
Total level 3
assets carried
at fair value,
excluding
derivatives
(recurring
basis)
Financial
assets at fair
value through
profit or loss
Financial
assets at
fair value
through other
comprehensive
income
Total level 3
assets carried
at fair value,
excluding
derivatives
(recurring
basis)
The Group
£m
£m
£m
£m
£m
£m
At 1 January
1,511
65
1,576
1,829
60
1,889
Exchange and other adjustments
2
(2)
85
3
88
Gains recognised in the income statement
within other income
(72)
(72)
20
20
Gains recognised in other comprehensive
income within the revaluation reserve in respect
of financial assets at fair value through other
comprehensive income
(2)
(2)
4
4
Purchases/increases to customer loans
397
397
303
303
Sales/repayments of customer loans
(794)
(5)
(799)
(677)
(2)
(679)
Transfers into the level 3 portfolio
4
4
Transfers out of the level 3 portfolio
(649)
(649)
(49)
(49)
At 31 December
399
56
455
1,511
65
1,576
Gains (losses) recognised in the income
statement, within other income, relating to the
change in fair value of those assets held at 31
December
(60)
(60)
103
103
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
169
2021
2020
Financial
assets at fair
value through
profit or loss
Financial
assets at
fair value
through other
comprehensive
income
Total level 3
assets carried
at fair value,
excluding
derivatives
(recurring
basis)
Financial
assets at fair
value through
profit or loss
Financial
assets at
fair value
through other
comprehensive
income
Total level 3
assets carried
at fair value,
excluding
derivatives
(recurring
basis)
The Bank
£m
£m
£m
£m
£m
£m
At 1 January
517
517
409
409
Exchange and other adjustments
5
5
101
101
Gains recognised in the income statement
within other income
6
6
5
5
(Losses) gains recognised in other
comprehensive income within the revaluation
reserve in respect of financial assets at fair value
through other comprehensive income
Purchases/increases to customer loans
393
393
258
258
Sales/repayments of customer loans
(499)
(499)
(207)
(207)
Transfers into the level 3 portfolio
4
4
Transfers out of the level 3 portfolio
(389)
(389)
(49)
(49)
At 31 December
37
37
517
517
Gains (losses) recognised in the income
statement, within other income, relating to the
change in fair value of those assets held at 31
December
11
11
106
106
Valuation methodology for financial assets, excluding derivatives
Loans and advances to customers and banks
The fair value of these assets is determined using discounted cash flow techniques. The discount rates are derived from market observable
interest rates, a risk margin that reflects loan credit ratings and an incremental illiquidity premium based on historical spreads at origination on
similar loans.
Debt securities
Debt securities measured at fair value and classified as level 2 are valued by discounting expected cash flows using an observable credit spread
applicable to the particular instrument.
Where there is limited trading activity in debt securities, the Group uses valuation models, consensus pricing information from third-party
pricing services and broker or lead manager quotes to determine an appropriate valuation. Debt securities are classified as level 3 if there is a
significant valuation input that cannot be corroborated through market sources or where there are materially inconsistent values for an input.
Asset classes classified as level 3 mainly comprise certain collateralised loan obligations and collateralised debt obligations.
(B)Financial liabilities, excluding derivatives
Valuation hierarchy
At 31 December 2021, the Group’s financial liabilities carried at fair value, excluding derivatives, comprised its financial liabilities at fair value
through profit or loss and totalled £6,537 million (2020: £6,831 million). The table below analyses these financial liabilities by balance sheet
classification and valuation methodology (level 1, 2 or 3, as described on page 167). The fair value measurement approach is recurring in nature.
There were no significant transfers between level 1 and 2 during the year.
Level 1
Level 2
Level 3
Total
The Group
£m
£m
£m
£m
At 31 December 2021
Financial liabilities at fair value through profit or loss
Debt securities in issue designated at fair value through profit or loss
6,504
33
6,537
Trading liabilities:
Other deposits
Short positions in securities
Total financial liabilities carried at fair value, excluding derivatives
6,504
33
6,537
At 31 December 2020
Financial liabilities at fair value through profit or loss
Debt securities in issue designated at fair value through profit or loss
6,783
45
6,828
Trading liabilities:
Other deposits
2
2
Short positions in securities
1
1
1
2
3
Total financial liabilities carried at fair value, excluding derivatives
1
6,785
45
6,831
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
170
Level 1
Level 2
Level 3
Total
The Bank
£m
£m
£m
£m
At 31 December 2021
Financial liabilities at fair value through profit or loss
Debt securities in issue designated at fair value through profit or loss
9,821
9,821
Trading liabilities:
Other deposits
Total financial liabilities carried at fair value, excluding derivatives
9,821
9,821
At 31 December 2020
Financial liabilities at fair value through profit or loss
Debt securities in issue designated at fair value through profit or loss
7,905
7,905
Trading liabilities:
Other deposits
2
2
Total financial liabilities carried at fair value, excluding derivatives
7,907
7,907
Movements in level 3 portfolio
The table below analyses movements in the level 3 financial liabilities portfolio, excluding derivatives.
2021
2020
The Group
£m
£m
At 1 January
45
47
Gains recognised in the income statement within other income
(5)
Redemptions
(7)
(2)
At 31 December
33
45
Gains recognised in the income statement, within other income, relating to the change in fair value of those
liabilities held at 31 December
(4)
Valuation methodology for financial liabilities, excluding derivatives
Liabilities held at fair value through profit or loss
These principally comprise debt securities in issue which are classified as level 2 and their fair value is determined using techniques whose
inputs are based on observable market data. The carrying amount of the securities is adjusted to reflect the effect of changes in own credit
spreads and the resulting gain or loss is recognised in other comprehensive income.
In the year ended 31 December 2021, the own credit adjustment arising from the fair valuation of £6,537 million (2020: £6,828 million) of the
Group’s debt securities in issue designated at fair value through profit or loss resulted in a loss of £86 million (2020: loss of £75 million), before
tax, recognised in other comprehensive income.
Trading liabilities in respect of securities sold under repurchase agreements
The fair value of these liabilities is determined using discounted cash flow techniques. The discount rates are derived from observable repo
curves specific to the type of security sold under the repurchase agreement.
(C)Derivatives
Valuation hierarchy
All of the Group’s derivative assets and liabilities are carried at fair value. At 31 December 2021, such assets totalled £5,511 million for the Group
and £6,898 million for the Bank (2020: £8,341 million for the Group and £12,595 million for the Bank) and liabilities totalled £4,643 million for the
Group and £6,102 million for the Bank (2020: £8,228 million for the Group and £11,072 million for the Bank). The table below analyses these
derivative balances by valuation methodology (level 1, 2 or 3, as described on page 167). The fair value measurement approach is recurring in
nature. There were no significant transfers between level 1 and level 2 during the year.
2021
2020
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
The Group
£m
£m
£m
£m
£m
£m
£m
£m
Derivative assets
5,495
16
5,511
8,327
14
8,341
Derivative liabilities
(4,436)
(207)
(4,643)
(7,909)
(319)
(8,228)
2021
2020
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
The Bank
£m
£m
£m
£m
£m
£m
£m
£m
Derivative assets
6,882
16
6,898
12,581
14
12,595
Derivative liabilities
(6,071)
(31)
(6,102)
(11,012)
(60)
(11,072)
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
171
Movements in level 3 portfolio
The table below analyses movements in level 3 derivative assets and liabilities carried at fair value.
2021
2020
Derivative
assets
Derivative
liabilities
Derivative
assets
Derivative
liabilities
The Group
£m
£m
£m
£m
At 1 January
14
(319)
(297)
Exchange and other adjustments
Losses (gains) recognised in the income statement within other income
2
93
1
(Sales) redemptions
19
19
Transfers into the level 3 portfolio
13
(41)
Transfers out of the level 3 portfolio
At 31 December
16
(207)
14
(319)
Gains (losses) recognised in the income statement, within other income, relating to
the change in fair value of those assets or liabilities held at 31 December
2
69
1
2021
2020
Derivative
assets
Derivative
liabilities
Derivative
assets
Derivative
liabilities
The Bank
£m
£m
£m
£m
At 1 January
14
(60)
Exchange and other adjustments
Losses (gains) recognised in the income statement within other income
2
29
1
(8)
(Sales) redemptions
Transfers into the level 3 portfolio
13
(52)
Transfers out of the level 3 portfolio
At 31 December
16
(31)
14
(60)
Gains (losses) recognised in the income statement, within other income, relating to
the change in fair value of those assets or liabilities held at 31 December
2
29
1
(8)
Valuation methodology for derivatives
Where the Group’s derivative assets and liabilities are not traded on an exchange, they are valued using valuation techniques, including
discounted cash flow and options pricing models, as appropriate. The types of derivatives classified as level 2 and the valuation techniques used
include:
Interest rate swaps which are valued using discounted cash flow models; the most significant inputs into those models are interest rate yield
curves which are developed from publicly quoted rates
Foreign exchange derivatives that do not contain options which are priced using rates available from publicly quoted sources
Credit derivatives which are valued using standard models with observable inputs, except for the items classified as level 3, which are valued
using publicly available yield and credit default swap (CDS) curves
Less complex interest rate and foreign exchange option products which are valued using volatility surfaces developed from publicly
available interest rate cap, interest rate swaption and other option volatilities; option volatility skew information is derived from a market
standard consensus pricing service. For more complex option products, the Group calibrates its models using observable at-the-money
data; where necessary, the Group adjusts for out-of-the-money positions using a market standard consensus pricing service
Complex interest rate and foreign exchange products where inputs to the valuation are significant, material and unobservable are classified as
level 3.
Where credit protection, usually in the form of credit default swaps, has been purchased or written on asset-backed securities, the security is
referred to as a negative basis asset-backed security and the resulting derivative assets or liabilities have been classified as either level 2 or level
3 according to the classification of the underlying asset-backed security.
Certain unobservable inputs used to calculate CVA, FVA, and own credit adjustments, are not significant in determining the classification of the
derivative and debt instruments. Consequently, these inputs do not form part of the level 3 sensitivities presented.
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
172
Derivative valuation adjustments
Derivative financial instruments which are carried in the balance sheet at fair value are adjusted where appropriate to reflect credit risk, market
liquidity and other risks.
(i)Uncollateralised derivative valuation adjustments
The following table summarises the movement on this valuation adjustment account for the Group during 2020 and 2021:
2021
2020
£m
£m
At 1 January
242
214
Income statement charge (credit)
(88)
28
Transfers
At 31 December
154
242
Represented by:
2021
2020
£m
£m
Credit Valuation Adjustment
112
178
Debit Valuation Adjustment
(4)
(6)
Funding Valuation Adjustment
46
70
154
242
Credit and Debit Valuation Adjustments (CVA and DVA) are applied to the Group’s over-the-counter derivative exposures with counterparties
that are not subject to strong interbank collateral arrangements. These exposures largely relate to the provision of risk management solutions
for corporate customers within the Commercial Banking division.
A CVA is taken where the Group has a positive future uncollateralised exposure (asset). A DVA is taken where the Group has a negative future
uncollateralised exposure (liability). These adjustments reflect interest rates and expectations of counterparty creditworthiness and the Group’s
own credit spread respectively.
The CVA is sensitive to:
The current size of the mark-to-market position on the uncollateralised asset
Expectations of future market volatility of the underlying asset
Expectations of counterparty creditworthiness
Market Credit Default Swap (CDS) spreads are used to develop the probability of default for quoted counterparties. For unquoted
counterparties, internal credit ratings and market sector CDS curves and recovery rates are used. The loss given default (LGD) is based on
market recovery rates and internal credit assessments.
The combination of a one-notch deterioration in the credit rating of derivative counterparties and a ten per cent increase in LGD increases the
CVA by £29 million. Current market value is used to estimate the projected exposure for products not supported by the model, which are
principally complex interest rate options that are traded in very low volumes. For these, the CVA is calculated on an add-on basis (although no
such adjustment was required at 31 December 2021).
The DVA is sensitive to:
The current size of the mark-to-market position on the uncollateralised liability
Expectations of future market volatility of the underlying liability
The Group’s own CDS spread
A one per cent rise in the CDS spread would lead to an increase in the DVA of £11 million.
The risk exposures that are used for the CVA and DVA calculations are strongly influenced by interest rates. Due to the nature of the Group’s
business the CVA/DVA exposures tend to be on average the same way around such that the valuation adjustments fall when interest rates rise.
A one per cent rise in interest rates would lead to a £37 million fall in the overall valuation adjustment to £71 million. The CVA model used by
the Group does not assume any correlation between the level of interest rates and default rates.
The Group has also recognised a Funding Valuation Adjustment to adjust for the net cost of funding uncollateralised derivative positions. This
adjustment is calculated on the expected future exposure discounted at a suitable cost of funds. A ten basis points increase in the cost of funds
will increase the funding valuation adjustment by £8 million.
(ii)Market liquidity
The Group includes mid to bid-offer valuation adjustments against the expected cost of closing out the net market risk in the Group’s trading
positions within a time frame that is consistent with historical trading activity and spreads that the trading desks have accessed historically
during the ordinary course of business in normal market conditions.
At 31 December 2021, the Group’s derivative trading business held mid to bid-offer valuation adjustments of £12 million (2020: £26 million).
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
173
(D)Sensitivity of level 3 valuations
2021
2020
Effect of reasonably possible
alternative assumptions2
Effect of reasonably possible
alternative assumptions2
Valuation
techniques
Significant
unobservable
inputs1
Carrying
value
Favourable
changes
Unfavourable
changes
Carrying
value
Favourable
changes
Unfavourable
changes
£m
£m
£m
£m
£m
£m
Financial assets at fair value through profit or loss
Loans and
advances to
customers
Discounted cash
flows
Interest rate
spreads (bps)
(+/-50bps)3
395
32
(30)
1,511
47
(45)
Equity
investments
n/a
4
2
(2)
399
1,511
Financial assets at fair value through other comprehensive income
Asset-backed
securities
Lead manager or
broker quote/
consensus pricing
n/a
55
4
(4)
65
4
(4)
Equity
investments
n/a
1
56
65
Derivative financial assets
Interest rate
derivatives
Option pricing
model
Interest rate
volatility
(31%/59%)4
16
14
Level 3 financial assets carried at fair value
471
1,590
Financial liabilities at fair value through profit or loss
Securitisation
notes
Discounted cash
flows
Interest rate
spreads
(+/-50bps)5
33
1
(1)
45
1
(1)
Derivative financial liabilities
Interest rate
derivatives
Option pricing
model
Interest rate
volatility
(13%/168%)6
31
48
Shared
appreciation
right
Market values –
property valuation
HPI (+/- 1%)7
176
19
(18)
271
24
(22)
207
319
Level 3 financial liabilities carried at fair value
240
364
1Ranges are shown where appropriate and represent the highest and lowest inputs used in the level 3 valuations.
2Where the exposure to an unobservable input is managed on a net basis, only the net impact is shown in the table.
32020: -50bps/106bps
42020: 13%/128%
52020:+/- 50bps
62020: 33%/60%
72020:+/- 1%
Unobservable inputs
Significant unobservable inputs affecting the valuation of debt securities and derivatives are as follows:
Interest rates and inflation rates are referenced in some derivatives where the payoff that the holder of the derivative receives depends on
the behaviour of those underlying references through time
Credit spreads represent the premium above the benchmark reference instrument required to compensate for lower credit quality; higher
spreads lead to a lower fair value
Volatility parameters represent key attributes of option behaviour; higher volatilities typically denote a wider range of possible outcomes
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.
Debt securities
Reasonably possible alternative assumptions have been determined in respect of the Group’s structured credit investment by flexing credit
spreads.
Derivatives
Reasonably possible alternative assumptions have been determined in respect of swaptions in the Group’s derivative portfolios which are priced
using industry standard option pricing models. Such models require interest rate volatilities which may be unobservable at longer maturities. To
derive reasonably possible alternative valuations these volatilities have been flexed within a range.
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
174
(4)Financial assets and liabilities carried at amortised cost
(A)Financial assets
Valuation hierarchy
The table below analyses the fair values of the financial assets of the Group which are carried at amortised cost by valuation methodology (level
1, 2 or 3, as described on page 167). Financial assets carried at amortised cost are mainly classified as level 3 due to significant unobservable
inputs used in the valuation models. Where inputs are observable, debt securities are classified as level 1 or 2.
Carrying
value
Fair
value
Valuation hierarchy
Level 1
Level 2
Level 3
The Group
£m
£m
£m
£m
£m
At 31 December 2021
Loans and advances to banks and reverse repurchase agreements
7,474
7,474
2,996
4,478
Loans and advances to customers and reverse repurchase agreements
477,541
480,992
46,712
434,280
Debt securities
4,562
4,615
4,615
Due from fellow Lloyds Banking Group undertakings
739
739
739
Reverse repurchase agreements included in above amounts:
Loans and advances to banks and reverse repurchase agreements
2,996
2,996
2,996
Loans and advances to customers and reverse repurchase agreements
46,712
46,712
46,712
At 31 December 2020
Loans and advances to banks and reverse repurchase agreements
5,950
5,949
1,626
4,323
Loans and advances to customers and reverse repurchase agreements
480,141
479,518
54,447
425,071
Debt securities
5,137
5,129
5,129
Due from fellow Lloyds Banking Group undertakings
738
738
738
Reverse repurchase agreements included in above amounts:
Loans and advances to banks and reverse repurchase agreements
1,626
1,626
1,626
Loans and advances to customers and reverse repurchase agreements
54,447
54,447
54,447
Carrying
value
Fair
value
Valuation hierarchy
Level 1
Level 2
Level 3
The Bank
£m
£m
£m
£m
£m
At 31 December 2021
Loans and advances to banks and reverse repurchase agreements
7,287
7,287
2,996
4,291
Loans and advances to customers and reverse repurchase agreements
163,428
162,829
46,712
116,117
Debt securities
3,756
3,817
3,817
Due from fellow Lloyds Banking Group undertakings
108,424
108,424
108,424
Reverse repurchase agreements included in above amounts:
Loans and advances to banks and reverse repurchase agreements
2,996
2,996
2,996
Loans and advances to customers and reverse repurchase agreements
46,712
46,712
46,712
At 31 December 2020
Loans and advances to banks and reverse repurchase agreements
5,656
5,655
1,626
4,029
Loans and advances to customers and reverse repurchase agreements
178,269
176,523
54,447
122,076
Debt securities
4,315
4,315
4,315
Due from fellow Lloyds Banking Group undertakings
128,771
128,771
128,771
Reverse repurchase agreements included in above amounts:
Loans and advances to banks and reverse repurchase agreements
1,626
1,626
1,626
Loans and advances to customers and reverse repurchase agreements
54,447
54,447
54,447
Valuation methodology
Loans and advances to customers
The Group provides loans and advances to commercial, corporate and personal customers at both fixed and variable rates. Due to their short-
term nature, the carrying value of the variable rate loans and those relating to lease financing is assumed to be their fair value.
To determine the fair value of loans and advances to customers, loans are segregated into portfolios of similar characteristics. A number of
techniques are used to estimate the fair value of fixed rate lending; these take account of expected credit losses based on historic trends,
prevailing market interest rates and expected future cash flows. For retail exposures, fair value is usually estimated by discounting anticipated
cash flows (including interest at contractual rates) at market rates for similar loans offered by the Group and other financial institutions. Certain
loans secured on residential properties are made at a fixed rate for a limited period, typically two to five years, after which the loans revert to the
relevant variable rate. The fair value of such loans is estimated by reference to the market rates for similar loans of maturity equal to the
remaining fixed interest rate period. The fair value of commercial loans is estimated by discounting anticipated cash flows at a rate which
reflects the effects of interest rate changes, adjusted for changes in credit risk.
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
175
Loans and advances to banks
The carrying value of short-dated loans and advances to banks is assumed to be their fair value. The fair value of loans and advances to banks is
estimated by discounting the anticipated cash flows at a market discount rate adjusted for the credit spread of the obligor or, where not
observable, the credit spread of borrowers of similar credit quality.
Debt securities
The fair values of debt securities are determined predominantly from lead manager quotes and, where these are not available, by alternative
techniques including reference to credit spreads on similar assets with the same obligor, market standard consensus pricing services, broker
quotes and other research data.
Reverse repurchase agreements
The carrying amount is deemed a reasonable approximation of fair value given the short-term nature of these instruments.
(B)Financial liabilities
Valuation hierarchy
The table below analyses the fair values of the financial liabilities of the Group which are carried at amortised cost by valuation methodology
(level 1, 2 or 3, as described on page 167).
Carrying
value
Fair
value
Valuation hierarchy
Level 1
Level 2
Level 3
The Group
£m
£m
£m
£m
£m
At 31 December 2021
Deposits from banks and repurchase agreements
33,448
33,449
33,449
Customer deposits and repurchase agreements
449,394
449,476
449,476
Due to fellow Lloyds Banking Group undertakings
1,490
1,490
1,490
Debt securities in issue
48,724
50,683
50,683
Subordinated liabilities
8,658
9,363
9,363
Repurchase agreements included in above amounts:
Deposits from banks and repurchase agreements
30,085
30,085
30,085
Customer deposits and repurchase agreements
21
21
21
At 31 December 2020
Deposits from banks and repurchase agreements
24,997
24,998
24,998
Customer deposits and repurchase agreements
434,569
434,740
427,663
7,077
Due to fellow Lloyds Banking Group undertakings
6,875
6,875
6,875
Debt securities in issue
59,293
62,931
62,931
Subordinated liabilities
9,242
10,275
10,275
Repurchase agreements included in above amounts:
Deposits from banks and repurchase agreements
18,767
18,767
18,767
Customer deposits and repurchase agreements
9,417
9,417
9,417
Carrying
value
Fair
value
Valuation hierarchy
Level 1
Level 2
Level 3
The Bank
£m
£m
£m
£m
£m
At 31 December 2021
Deposits from banks and repurchase agreements
2,825
2,825
2,825
Customer deposits and repurchase agreements
268,704
268,721
268,721
Due to fellow Lloyds Banking Group undertakings
22,872
22,872
22,872
Debt securities in issue
38,439
40,222
40,222
Subordinated liabilities
7,907
8,333
8,333
Repurchase agreements included in above amounts:
Deposits from banks and repurchase agreements
57
57
57
Customer deposits and repurchase agreements
21
21
21
At 31 December 2020
Deposits from banks and repurchase agreements
10,304
10,304
10,304
Customer deposits and repurchase agreements
264,473
264,497
264,497
Due to fellow Lloyds Banking Group undertakings
39,836
39,836
39,836
Debt securities in issue
48,109
50,824
50,824
Subordinated liabilities
7,751
8,387
8,387
Repurchase agreements included in above amounts:
Deposits from banks and repurchase agreements
5,087
5,087
5,087
Customer deposits and repurchase agreements
9,417
9,417
9,417
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
176
Valuation methodology
Deposits from banks and customer deposits
The fair value of bank and customer deposits repayable on demand is assumed to be equal to their carrying value.
The fair value for all other deposits is estimated using discounted cash flows applying either market rates, where applicable, or current rates for
deposits of similar remaining maturities.
Debt securities in issue
The fair value of short-term debt securities in issue is approximately equal to their carrying value. Fair value for other debt securities is calculated
based on quoted market prices where available. Where quoted market prices are not available, fair value is estimated using discounted cash
flow techniques at a rate which reflects market rates of interest and the Group’s own credit spread.
Subordinated liabilities
The fair value of subordinated liabilities is determined by reference to quoted market prices where available or by reference to quoted market
prices of similar instruments. Subordinated liabilities are classified as level 2, since the inputs used to determine their fair value are largely
observable.
Repurchase agreements
The carrying amount is deemed a reasonable approximation of fair value given the short-term nature of these instruments.
(5)Reclassifications of financial assets
There have been no reclassifications of financial assets in 2020 or 2021.
Note 42: Transfers of financial assets
There were no significant transferred financial assets which were derecognised in their entirety, but with ongoing exposure. Details of
transferred financial assets that continue to be recognised in full are as follows.
The Group and the Bank enter into repurchase and securities lending transactions in the normal course of business that do not result in
derecognition of the financial assets as substantially all of the risks and rewards, including credit, interest rate, prepayment and other price risks
are retained by the Group. In all cases, the transferee has the right to sell or repledge the assets concerned.
As set out in note 25, included within financial assets measured at amortised cost are loans transferred under the Group’s securitisation and
covered bond programmes. As the Group retains all or a majority of the risks and rewards associated with these loans, including credit, interest
rate, prepayment and liquidity risk, they remain on the Group’s balance sheet. Assets transferred into the Group’s securitisation and covered
bond programmes are not available to be used by the Group while the assets are within the programmes. However, the Group retains the right
to remove loans from the covered bond programmes where they are in excess of the programme’s requirements. In addition, where the Group
has retained some of the notes issued by securitisation and covered bond programmes, the Group has the ability to sell or pledge these
retained notes.
The table below sets out the carrying values of the transferred assets and the associated liabilities. For repurchase and securities lending
transactions, the associated liabilities represent the Group’s obligation to repurchase the transferred assets. For securitisation programmes, the
associated liabilities represent the external notes in issue (note 25). The liabilities shown in the table below have recourse to the transferred
assets.
2021
2020
Carrying
value of
transferred
assets
Carrying
value of
associated
liabilities
Carrying
value of
transferred
assets
Carrying
value of
associated
liabilities
The Group
£m
£m
£m
£m
Repurchase and securities lending transactions
Financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income
7,706
5,039
7,475
5,105
Securitisation programmes
Financial assets at amortised cost:
Loans and advances to customers1
30,965
3,705
34,584
4,481
1The carrying value of associated liabilities for the Group excludes securitisation notes held by the Group of £23,521 million (31 December 2020: £27,418 million).
2021
2020
Carrying
value of
transferred
assets
Carrying
value of
associated
liabilities
Carrying
value of
transferred
assets
Carrying
value of
associated
liabilities
The Bank
£m
£m
£m
£m
Repurchase and securities lending transactions
Financial assets at fair value through profit or loss
3,244
1,869
Financial assets at fair value through other comprehensive income
8,626
5,745
4,889
3,895
Securitisation programmes
Financial assets at amortised cost:
Loans and advances to customers1
2,847
176
4,072
1The carrying value of transferred assets for the Bank includes amounts relating to assets transferred to structured entities which are fully consolidated into the Group. The liabilities
associated with such assets are issued by the structured entities.
Lloyds Bank plc
Notes to the accounts
Note 41: Financial instruments (continued)
177
The following information relates to financial assets and liabilities which have been offset in the balance sheet and those which have not been
offset but for which the Group has enforceable master netting agreements or collateral arrangements in place with counterparties.
Related amounts where
set off in the balance
sheet not permitted3
Potential
net amounts
if offset
of related
amounts
permitted
Gross
amounts of
assets and
liabilities1
Amount
offset in
the balance
sheet2
Net amounts
presented in
the balance
sheet
Cash
collateral
received/
pledged
Non-cash
collateral
received/
pledged
£m
£m
£m
£m
£m
£m
At 31 December 2021
Financial assets
Financial assets at fair value through profit or loss
1,798
1,798
(35)
1,763
Derivative financial instruments
33,665
(28,154)
5,511
(1,621)
(2,733)
1,157
Loans and advances to banks and reverse
repurchase agreements:
Loans and advances to banks
4,478
4,478
(350)
4,128
Reverse repurchase agreements
4,179
(1,183)
2,996
(2,996)
8,657
(1,183)
7,474
(350)
(2,996)
4,128
Loans and advances to customers and reverse
repurchase agreements:
Loans and advances to customers
431,994
(1,165)
430,829
(102)
(1,506)
429,221
Reverse repurchase agreements
55,466
(8,754)
46,712
(46,712)
487,460
(9,919)
477,541
(102)
(48,218)
429,221
Debt securities
4,562
4,562
(267)
4,295
Financial assets at fair value through other
comprehensive income
27,786
27,786
(4,981)
22,805
Financial liabilities
Deposits from banks and repurchase agreements:
Deposits from banks
3,363
3,363
(1,404)
1,959
Repurchase agreements
31,268
(1,183)
30,085
(30,085)
34,631
(1,183)
33,448
(1,404)
(30,085)
1,959
Customer deposits and repurchase agreements:
Customer deposits
450,538
(1,165)
449,373
(217)
(1,506)
447,650
Repurchase agreements
8,775
(8,754)
21
(21)
459,313
(9,919)
449,394
(217)
(1,527)
447,650
Financial liabilities at fair value through profit or loss
6,537
6,537
6,537
Derivative financial instruments
32,797
(28,154)
4,643
(452)
(4,191)
1After impairment allowance.
2The amounts offset in the balance sheet as shown above mainly represent derivatives and repurchase agreements with central clearing houses which meet the criteria for offsetting under
IAS 32.
3The Group enters into derivatives and repurchase and reverse repurchase agreements with various counterparties which are governed by industry standard master netting agreements. The
Group holds and provides cash and securities collateral in respective of derivative transactions covered by these agreements. The right to set off balances under these master netting
agreements or to set off cash and securities collateral only arises in the event of non-payment or default and, as a result, these arrangements do not qualify for offsetting under IAS 32.
The effects of over-collateralisation have not been taken into account in the above table.
Lloyds Bank plc
Notes to the accounts
Note 43: Offsetting of financial assets and liabilities
178
Related amounts where
set off in the balance
sheet not permitted3
Potential
net amounts
if offset
of related
amounts
permitted
Gross
amounts of
assets and
liabilities1
Amount
offset in
the balance
sheet2
Net amounts
presented in
the balance
sheet
Cash
collateral
received/
pledged
Non-cash
collateral
received/
pledged
£m
£m
£m
£m
£m
£m
At 31 December 2020
Financial assets
Financial assets at fair value through profit or loss
1,674
1,674
1,674
Derivative financial instruments
67,428
(59,087)
8,341
(2,702)
(3,555)
2,084
Loans and advances to banks and reverse
repurchase agreements:
Loans and advances to banks
4,324
4,324
(1,023)
3,301
Reverse repurchase agreements
1,634
(8)
1,626
(1,626)
5,958
(8)
5,950
(1,023)
(1,626)
3,301
Loans and advances to customers and reverse
repurchase agreements:
Loans and advances to customers
426,104
(410)
425,694
(837)
(2,762)
422,095
Reverse repurchase agreements
59,856
(5,409)
54,447
(54,447)
485,960
(5,819)
480,141
(837)
(57,209)
422,095
Debt securities
5,137
5,137
5,137
Financial assets at fair value through other
comprehensive income
27,260
27,260
(5,132)
22,128
Financial liabilities
Deposits from banks and repurchase agreements:
Deposits from banks
6,230
6,230
(2,351)
3,879
Repurchase agreements
18,775
(8)
18,767
(18,767)
25,005
(8)
24,997
(2,351)
(18,767)
3,879
Customer deposits and repurchase agreements:
Customer deposits
426,874
(1,722)
425,152
(350)
(2,762)
422,040
Repurchase agreements
14,826
(5,409)
9,417
(9,417)
441,700
(7,131)
434,569
(350)
(12,179)
422,040
Financial liabilities at fair value through profit or loss
6,831
6,831
6,831
Derivative financial instruments
66,003
(57,775)
8,228
(1,860)
(4,849)
1,519
1After impairment allowance.
2The amounts offset in the balance sheet as shown above mainly represent derivatives and repurchase agreements with central clearing houses which meet the criteria for offsetting under
IAS 32.
3The Group enters into derivatives and repurchase and reverse repurchase agreements with various counterparties which are governed by industry standard master netting agreements. The
Group holds and provides cash and securities collateral in respective of derivative transactions covered by these agreements. The right to set off balances under these master netting
agreements or to set off cash and securities collateral only arises in the event of non-payment or default and, as a result, these arrangements do not qualify for offsetting under IAS 32.
The effects of over-collateralisation have not been taken into account in the above table.
Note 44: Financial risk management
Financial instruments are fundamental to the Group’s activities and, as a consequence, the risks associated with financial instruments represent
a significant component of the risks faced by the Group.
The primary risks affecting the Group through its use of financial instruments are: market risk, which includes interest rate risk and foreign
exchange risk; credit risk; liquidity risk and capital risk. The following disclosures provide quantitative and qualitative information about the
Group's exposure to these risks.
Credit risk
The Group’s credit risk exposure arises in respect of the instruments below and predominantly in the United Kingdom. Credit risk appetite is set
at Board level and is described and reported through a suite of metrics devised from a combination of accounting and credit portfolio
performance measures, which include the use of various credit risk rating systems as inputs and assess credit risk at a counterparty level using
three components: (i) the probability of default by the counterparty on its contractual obligations; (ii) the current exposures to the counterparty
and their likely future development, from which the Group derives the exposure at default; and (iii) the likely loss ratio on the defaulted
obligations, the loss given default. The Group uses a range of approaches to mitigate credit risk, including internal control policies, obtaining
collateral, using master netting agreements and other credit risk transfers, such as asset sales and credit derivative based transactions.
Lloyds Bank plc
Notes to the accounts
Note 43: Offsetting of financial assets and liabilities (continued)
179
(A)Maximum credit exposure
The maximum credit risk exposure of the Group and the Bank in the event of other parties failing to perform their obligations is detailed below.
No account is taken of any collateral held and the maximum exposure to loss is considered to be the balance sheet carrying amount or, for non-
derivative off-balance sheet transactions and financial guarantees, their contractual nominal amounts.
The Group
2021
2020
Maximum
exposure
Offset1
Net
exposure
Maximum
exposure
Offset1
Net
exposure
£m
£m
£m
£m
£m
£m
Financial assets at fair value through profit or loss2
1,559
1,559
1,511
1,511
Derivative financial instruments
5,511
(2,369)
3,142
8,341
(3,373)
4,968
Financial assets at amortised cost, net3:
Loans and advances to banks and reverse
repurchase agreements, net3
7,474
7,474
5,950
5,950
Loans and advances to customers and reverse
repurchase agreements, net3
477,541
(1,506)
476,035
480,141
(2,762)
477,379
Debt securities, net3
4,562
4,562
5,137
5,137
489,577
(1,506)
488,071
491,228
(2,762)
488,466
Financial assets at fair value through other comprehensive
income2
27,785
27,785
27,260
27,260
Off-balance sheet items:
Acceptances and endorsements
21
21
73
73
Other items serving as direct credit substitutes
433
433
221
221
Performance bonds, including letters of credit, and
other transaction-related contingencies
1,886
1,886
2,070
2,070
Irrevocable commitments and guarantees
55,690
55,690
59,240
59,240
58,030
58,030
61,604
61,604
582,462
(3,875)
578,587
589,944
(6,135)
583,809
1Offset items comprise deposit amounts available for offset, and amounts available for offset under master netting arrangements, that do not meet the criteria under IAS 32 to enable loans
and advances and derivative assets respectively to be presented net of these balances in the financial statements.
2Excluding equity shares.
3Amounts shown net of related impairment allowances.
The Bank
2021
2020
Maximum
exposure
Offset1
Net
exposure
Maximum
exposure
Offset1
Net
exposure
£m
£m
£m
£m
£m
£m
Financial assets at fair value through profit or loss2:
Loans and advances
1,121
1,121
517
517
Debt securities, treasury and other bills
3,404
3,404
1,203
1,203
4,525
4,525
1,720
1,720
Derivative financial instruments
6,898
(2,019)
4,879
12,595
(2,752)
9,843
Financial assets at amortised cost, net3
Loans and advances to banks and reverse
repurchase agreements, net3
7,287
7,287
5,656
5,656
Loans and advances to customers and reverse
repurchase agreements, net3
163,428
(1,201)
162,227
178,269
(2,156)
176,113
Debt securities, net3
3,756
3,756
4,315
4,315
174,471
(1,201)
173,270
188,240
(2,156)
186,084
Financial assets at fair value through other comprehensive
income
25,529
25,529
24,647
24,647
Off-balance sheet items:
Acceptances and endorsements
21
21
73
73
Other items serving as direct credit substitutes
375
375
203
203
Performance bonds, including letters of credit, and
other transaction-related contingencies
1,681
1,681
1,817
1,817
Irrevocable commitments and guarantees
30,653
30,653
32,847
32,847
32,730
32,730
34,940
34,940
244,153
(3,220)
240,933
262,142
(4,908)
257,234
1Offset items comprise deposit amounts available for offset, and amounts available for offset under master netting arrangements, that do not meet the criteria under IAS 32 to enable loans
and advances and derivative assets respectively to be presented net of these balances in the financial statements.
2Excluding equity shares.
3Amounts shown net of related impairment allowances.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
180
(B)Concentrations of exposure
The Group’s management of concentration risk includes single name, industry sector and country limits as well as controls over the Group’s
overall exposure to certain products. As part of its credit risk policy, the Group considers sustainability risk (which incorporates Environmental
(including climate), Social and Governance) in the assessment of Commercial Banking facilities.
At 31 December 2021 the most significant concentrations of exposure were in mortgages (comprising 66 per cent of total loans and advances to
customers) and to financial, business and other services (comprising 14 per cent of the total).
Loans and advances to customers
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Agriculture, forestry and fishing
7,728
7,835
2,901
3,039
Energy and water supply
1,962
1,274
1,890
1,189
Manufacturing
3,505
4,455
3,113
3,770
Construction
4,325
5,046
3,613
4,022
Transport, distribution and hotels
13,367
14,229
10,001
10,160
Postal and telecommunications
1,857
2,261
1,506
1,689
Property companies
23,156
25,092
19,934
21,629
Financial, business and other services
65,849
77,271
63,929
73,987
Personal:
Mortgages1
318,422
305,966
46,089
49,574
Other
24,546
25,295
8,674
8,502
Lease financing
843
1,047
20
30
Hire purchase
15,785
16,071
2,934
2,959
Total loans and advances to customers and reverse repurchase agreements
before allowance for impairment losses
481,345
485,842
164,604
180,550
Allowance for impairment losses (note 15)
(3,804)
(5,701)
(1,176)
(2,281)
Total loans and advances to customers and reverse repurchase agreements
477,541
480,141
163,428
178,269
1Includes both UK and overseas mortgage balances.
The Group’s operations are predominantly UK-based and as a result an analysis of credit risk exposures by geographical region is not provided.
(C)Credit quality of assets
Loans and advances
The analysis of lending has been prepared based on the division in which the asset is held; with the business segment in which the exposure is
recorded reflected in the ratings system applied. The internal credit ratings systems used by the Group differ between Retail and Commercial,
reflecting the characteristics of these exposures and the way that they are managed internally; these credit ratings are set out below. All
probabilities of default (PDs) include forward-looking information and are based on 12-month values, with the exception of credit-impaired.
Retail
Commercial
Quality classification
IFRS 9 PD range
Quality classification
IFRS 9 PD range
RMS 1- 6
0.00-4.50%
CMS 1-10
0.00-0.50%
RMS 7-9
4.51-14.00%
CMS 11-14
0.51-3.00%
RMS 10
14.01-20.00%
CMS 15-18
3.01-20.00%
RMS 11-13
20.01-99.99%
CMS 19
20.01-99.99%
RMS 14
100.00%
CMS 20-23
100.00%
Stage 3 assets of the Group include balances of £650 million (2020: £179 million) (with outstanding amounts due of £1,279 million (2020:
£732 million)) which have been subject to a partial write-off and where the Group continues to enforce recovery action.
Stage 2 and Stage 3 assets of the Group with a carrying amount of £1,540 million (2020: £22,200 million) were modified during the year. No
material gain or loss was recognised by the Group.
As at 31 December 2021 assets that had been previously modified while classified as Stage 2 or Stage 3 and were classified as Stage 1
amounted to £6,657 million (not material at 31 December 2020).
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
181
Drawn exposures
Expected credit loss allowance
The Group - Gross drawn exposures
and expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Loans and advances to banks and reverse repurchase agreements
CMS 1-10
7,472
7,472
CMS 11-14
2
2
CMS 15-18
CMS 19
CMS 20-23
7,474
7,474
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
273,620
18,073
291,693
48
250
298
RMS 7-9
9
2,258
2,267
64
64
RMS 10
355
355
15
15
RMS 11-13
1,112
1,112
65
65
RMS 14
1,940
10,977
12,917
184
210
394
273,629
21,798
1,940
10,977
308,344
48
394
184
210
836
Retail - credit cards
RMS 1-6
11,252
1,107
12,359
67
43
110
RMS 7-9
896
623
1,519
29
71
100
RMS 10
112
112
22
22
RMS 11-13
235
235
82
82
RMS 14
292
292
128
128
12,148
2,077
292
14,517
96
218
128
442
Retail - loans and overdrafts
RMS 1-6
7,220
501
7,721
84
23
107
RMS 7-9
938
286
1,224
39
33
72
RMS 10
18
74
92
2
14
16
RMS 11-13
5
244
249
1
83
84
RMS 14
271
271
139
139
8,181
1,105
271
9,557
126
153
139
418
Retail - UK Motor Finance
RMS 1-6
11,662
1,309
12,971
101
25
126
RMS 7-9
583
298
881
5
15
20
RMS 10
69
69
7
7
RMS 11-13
2
152
154
27
27
RMS 14
201
201
116
116
12,247
1,828
201
14,276
106
74
116
296
Retail - other
RMS 1-6
14,979
754
15,733
21
10
31
RMS 7-9
1,258
593
1,851
5
27
32
RMS 10
2
2
RMS 11-13
177
610
787
21
21
RMS 14
778
778
55
55
16,414
1,959
778
19,151
26
58
55
139
Total Retail
322,619
28,767
3,482
10,977
365,845
402
897
622
210
2,131
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
182
The Group - Gross drawn exposures
and expected credit loss allowance
continued
Drawn exposures
Expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Commercial Banking
CMS 1-10
28,600
186
28,786
18
1
19
CMS 11-14
29,950
3,315
33,265
75
75
150
CMS 15-18
766
2,327
3,093
9
119
128
CMS 19
255
255
18
18
CMS 20-23
2,862
2,862
942
942
59,316
6,083
2,862
68,261
102
213
942
1,257
Other1
RMS 1-6
898
34
932
5
2
7
RMS 7-9
RMS 10
RMS 11-13
RMS 14
62
62
9
9
898
34
62
994
5
2
9
16
CMS 1-10
46,243
46,243
CMS 11-14
CMS 15-18
CMS 19
2
2
CMS 20-23
46,245
46,245
Central adjustment
400
400
Total loans and advances to
customers and reverse
repurchase agreements
429,078
34,884
6,406
10,977
481,345
909
1,112
1,573
210
3,804
In respect of:
Retail
322,619
28,767
3,482
10,977
365,845
402
897
622
210
2,131
Commercial Banking
59,316
6,083
2,862
68,261
102
213
942
1,257
Other1
47,143
34
62
47,239
405
2
9
416
Total loans and advances to
customers and reverse
repurchase agreements
429,078
34,884
6,406
10,977
481,345
909
1,112
1,573
210
3,804
1Contains mainly reverse repurchase agreement balances and certain hedging adjustments.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
183
The Group - Gross undrawn exposures
and expected credit loss allowance
Undrawn exposures
Expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
16,971
92
17,063
1
1
RMS 7-9
3
3
RMS 10
RMS 11-13
RMS 14
13
72
85
16,971
95
13
72
17,151
1
1
Retail - credit cards
RMS 1-6
56,666
2,241
58,907
45
24
69
RMS 7-9
457
172
629
3
3
6
RMS 10
31
31
1
1
RMS 11-13
58
58
3
3
RMS 14
55
55
57,123
2,502
55
59,680
48
31
79
Retail - loans and overdrafts
RMS 1-6
6,303
231
6,534
9
4
13
RMS 7-9
97
48
145
1
5
6
RMS 10
1
11
12
2
2
RMS 11-13
29
29
6
6
RMS 14
18
18
6,401
319
18
6,738
10
17
27
Retail - UK Motor Finance
RMS 1-6
1,457
1,457
2
2
RMS 7-9
527
527
RMS 10
RMS 11-13
1
1
RMS 14
1,985
1,985
2
2
Retail - other
RMS 1-6
1,413
25
1,438
14
6
RMS 7-9
50
27
77
5
5
10
RMS 10
RMS 11-13
6
6
2
2
RMS 14
1
1
1,463
58
1
1,522
19
7
26
Total Retail
83,943
2,974
87
72
87,076
80
55
135
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
184
The Group - Gross undrawn exposures
and expected credit loss allowance
continued
Undrawn exposures
Expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Commercial Banking
CMS 1-10
31,757
32
31,789
7
7
CMS 11-14
6,225
1,203
7,428
14
18
32
CMS 15-18
188
320
508
1
12
13
CMS 19
27
27
1
1
CMS 20-23
66
66
5
5
38,170
1,582
66
39,818
22
31
5
58
Other
RMS 1-6
289
289
RMS 7-9
RMS 10
RMS 11-13
RMS 14
289
289
CMS 1-10
501
501
1
1
CMS 11-14
CMS 15-18
CMS 19
CMS 20-23
501
501
1
1
Total loans and advances to
customers and reverse
repurchase agreements
122,903
4,556
153
72
127,684
103
86
5
194
In respect of:
Retail
83,943
2,974
87
72
87,076
80
55
135
Commercial Banking
38,170
1,582
66
39,818
22
31
5
58
Other
790
790
1
1
Total loans and advances to
customers and reverse
repurchase agreements
122,903
4,556
153
72
127,684
103
86
5
194
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
185
Drawn exposures
Expected credit loss allowance
The Group - Gross drawn exposures
and expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Loans and advances to banks and reverse repurchase agreements
CMS 1-10
5,951
5,951
4
4
CMS 11-14
3
3
CMS 15-18
CMS 19
CMS 20-23
5,954
5,954
4
4
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
251,372
21,010
272,382
103
247
350
RMS 7-9
46
4,030
4,076
1
66
67
RMS 10
907
907
25
25
RMS 11-13
3,071
3,071
130
130
RMS 14
1,859
12,511
14,370
191
261
452
251,418
29,018
1,859
12,511
294,806
104
468
191
261
1,024
Retail - credit cards
RMS 1-6
9,619
1,284
10,903
75
57
132
RMS 7-9
1,603
1,137
2,740
66
138
204
RMS 10
274
343
617
14
70
84
RMS 11-13
509
509
193
193
RMS 14
340
340
153
153
11,496
3,273
340
15,109
155
458
153
766
Retail - loans and overdrafts
RMS 1-6
5,559
291
5,850
80
15
95
RMS 7-9
1,990
580
2,570
99
66
165
RMS 10
116
181
297
13
36
49
RMS 11-13
45
467
512
9
178
187
RMS 14
307
307
147
147
7,710
1,519
307
9,536
201
295
147
643
Retail - UK Motor Finance
RMS 1-6
12,035
1,396
13,431
187
46
233
RMS 7-9
738
456
1,194
7
33
40
RMS 10
171
171
30
30
RMS 11-13
13
193
206
62
62
RMS 14
199
199
133
133
12,786
2,216
199
15,201
194
171
133
498
Retail - other
RMS 1-6
14,952
482
15,434
19
19
38
RMS 7-9
2,418
334
2,752
11
39
50
RMS 10
21
21
1
1
RMS 11-13
509
467
976
40
40
RMS 14
184
184
59
59
17,879
1,304
184
19,367
30
99
59
188
Total Retail
301,289
37,330
2,889
12,511
354,019
684
1,491
683
261
3,119
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
186
The Group - Gross drawn exposures
and expected credit loss allowance
continued
Drawn exposures
Expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Commercial Banking
CMS 1-10
22,218
177
22,395
23
2
25
CMS 11-14
30,023
6,662
36,685
135
106
241
CMS 15-18
4,656
6,430
11,086
96
397
493
CMS 19
669
669
129
129
CMS 20-23
3,485
3,485
1,273
1,273
56,897
13,938
3,485
74,320
254
634
1,273
2,161
Other1
RMS 1-6
822
12
834
9
9
RMS 7-9
RMS 10
RMS 11-13
RMS 14
59
59
12
12
822
12
59
893
9
12
21
CMS 1-10
56,362
56,362
CMS 11-14
236
236
CMS 15-18
CMS 19
2
2
CMS 20-23
10
10
56,600
10
56,610
Central adjustment
400
400
Total loans and advances to
customers and reverse
repurchase agreements
415,608
51,280
6,443
12,511
485,842
1,347
2,125
1,968
261
5,701
In respect of:
Retail
301,289
37,330
2,889
12,511
354,019
684
1,491
683
261
3,119
Commercial Banking
56,897
13,938
3,485
74,320
254
634
1,273
2,161
Other1
57,422
12
69
57,503
409
12
421
Total loans and advances to
customers and reverse
repurchase agreements
415,608
51,280
6,443
12,511
485,842
1,347
2,125
1,968
261
5,701
1Contains mainly reverse repurchase agreement balances and certain hedging adjustments.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
187
Undrawn exposures
Expected credit loss allowance
The Group - Gross undrawn exposures
and expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
19,347
109
19,456
3
3
RMS 7-9
1
6
7
RMS 10
2
2
RMS 11-13
1
1
RMS 14
10
74
84
19,348
118
10
74
19,550
3
3
Retail - credit cards
RMS 1-6
54,694
3,044
57,738
67
46
113
RMS 7-9
772
463
1,235
11
8
19
RMS 10
602
282
884
7
11
18
RMS 11-13
85
85
7
7
RMS 14
56
56
56,068
3,874
56
59,998
85
72
157
Retail - loans and overdrafts
RMS 1-6
6,070
315
6,385
14
7
21
RMS 7-9
269
139
408
8
14
22
RMS 10
13
35
48
1
7
8
RMS 11-13
3
69
72
21
21
RMS 14
18
18
6,355
558
18
6,931
23
49
72
Retail - UK Motor Finance
RMS 1-6
1,275
1,275
2
2
RMS 7-9
381
3
384
1
1
RMS 10
RMS 11-13
1
1
RMS 14
1,657
3
1,660
3
3
Retail - other
RMS 1-6
1,672
23
1,695
7
5
12
RMS 7-9
140
36
176
9
13
22
RMS 10
RMS 11-13
10
10
7
7
RMS 14
1
1
1,812
69
1
1,882
16
25
41
Total Retail
85,240
4,622
85
74
90,021
130
146
276
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
188
The Group - Gross undrawn exposures
and expected credit loss allowance
continued
Undrawn exposures
Expected credit loss allowance
Stage 1
Stage 2
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
POCI
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Commercial Banking
CMS 1-10
29,039
29,039
13
13
CMS 11-14
9,612
1,614
11,226
31
16
47
CMS 15-18
934
1,291
2,225
16
47
63
CMS 19
92
92
12
12
CMS 20-23
195
195
14
14
39,585
2,997
195
42,777
60
75
14
149
Other
RMS 1-6
299
299
1
1
RMS 7-9
RMS 10
RMS 11-13
RMS 14
299
299
1
1
CMS 1-10
501
501
CMS 11-14
CMS 15-18
CMS 19
CMS 20-23
501
501
Total loans and advances to
customers and reverse
repurchase agreements
125,625
7,619
280
74
133,598
191
221
14
426
In respect of:
Retail
85,240
4,622
85
74
90,021
130
146
276
Commercial Banking
39,585
2,997
195
42,777
60
75
14
149
Other
800
800
1
1
Total loans and advances to
customers and reverse
repurchase agreements
125,625
7,619
280
74
133,598
191
221
14
426
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
189
Drawn exposures
Expected credit loss allowance
The Bank - Gross drawn exposures and expected
credit loss allowance
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Loans and advances to banks and reverse repurchase agreements
CMS 1-10
7,285
7,285
CMS 11-14
2
2
CMS 15-18
CMS 19
CMS 20-23
7,287
7,287
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
40,415
3,747
44,162
3
27
30
RMS 7-9
384
384
7
7
RMS 10
65
65
1
1
RMS 11-13
201
201
6
6
RMS 14
486
486
26
26
40,415
4,397
486
45,298
3
41
26
70
Retail - credit cards
RMS 1-6
2,779
300
3,079
16
13
29
RMS 7-9
269
204
473
8
25
33
RMS 10
33
33
7
7
RMS 11-13
57
57
22
22
RMS 14
72
72
32
32
3,048
594
72
3,714
24
67
32
123
Retail - loans and overdrafts
RMS 1-6
3,816
306
4,122
45
14
59
RMS 7-9
528
158
686
22
18
40
RMS 10
10
41
51
1
8
9
RMS 11-13
2
132
134
46
46
RMS 14
152
152
77
77
4,356
637
152
5,145
68
86
77
231
Retail - UK Motor Finance
RMS 1-6
290
11
301
1
1
RMS 7-9
2
4
6
RMS 10
1
1
RMS 11-13
4
4
RMS 14
26
26
13
13
292
20
26
338
1
13
14
Retail - other
RMS 1-6
4,577
375
4,952
11
3
14
RMS 7-9
1,141
463
1,604
4
22
26
RMS 10
RMS 11-13
71
544
615
19
19
RMS 14
674
674
38
38
5,789
1,382
674
7,845
15
44
38
97
Total Retail
53,900
7,030
1,410
62,340
111
238
186
535
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
190
Drawn exposures
Expected credit loss allowance
The Bank - Gross drawn exposures and expected
credit loss allowance continued
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Commercial Banking
CMS 1-10
24,880
184
25,064
16
1
17
CMS 11-14
22,861
2,893
25,754
63
67
130
CMS 15-18
578
1,792
2,370
7
85
92
CMS 19
178
178
13
13
CMS 20-23
1,279
1,279
225
225
48,319
5,047
1,279
54,645
86
166
225
477
Other
RMS 1-6
246
7
253
1
1
RMS 7-9
RMS 10
RMS 11-13
RMS 14
9
9
3
3
246
7
9
262
1
3
4
CMS 1-10
47,356
47,356
CMS 11-14
1
1
CMS 15-18
CMS 19
CMS 20-23
47,357
47,357
Central adjustment
160
160
Total loans and advances to customers and
reverse repurchase agreements
149,822
12,084
2,698
164,604
358
404
414
1,176
In respect of:
Retail
53,900
7,030
1,410
62,340
111
238
186
535
Commercial Banking
48,319
5,047
1,279
54,645
86
166
225
477
Other1
47,603
7
9
47,619
161
3
164
Total loans and advances to customers and
reverse repurchase agreements
149,822
12,084
2,698
164,604
358
404
414
1,176
1Contains mainly reverse repurchase agreement balances.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
191
Undrawn exposures
Expected credit loss allowance
The Bank - Gross undrawn exposures and
expected credit loss allowance
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
1,002
1,002
RMS 7-9
RMS 10
RMS 11-13
RMS 14
1,002
1,002
Retail - credit cards
RMS 1-6
15,280
596
15,876
15
11
26
RMS 7-9
286
61
347
1
1
2
RMS 10
9
9
RMS 11-13
12
12
RMS 14
15
15
15,566
678
15
16,259
16
12
28
Retail - loans and overdrafts
RMS 1-6
3,556
59
3,615
5
3
8
RMS 7-9
56
23
79
1
2
3
RMS 10
1
6
7
1
1
RMS 11-13
15
15
3
3
RMS 14
10
10
3,613
103
10
3,726
6
9
15
Retail - UK Motor Finance
RMS 1-6
2
2
RMS 7-9
RMS 10
RMS 11-13
RMS 14
2
2
Retail - other
RMS 1-6
666
23
689
13
13
RMS 7-9
44
26
70
4
4
8
RMS 10
RMS 11-13
6
6
2
2
RMS 14
1
1
710
55
1
766
17
6
23
Total Retail
20,893
836
26
21,755
39
27
66
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
192
Undrawn exposures
Expected credit loss allowance
The Bank - Gross undrawn exposures and
expected credit loss allowance continued
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2021
Commercial Banking
CMS 1-10
29,012
31
29,043
6
6
CMS 11-14
5,014
1,050
6,064
12
15
27
CMS 15-18
62
250
312
10
10
CMS 19
23
23
1
1
CMS 20-23
65
65
4
4
34,088
1,354
65
35,507
18
26
4
48
Other
RMS 1-6
227
227
RMS 7-9
RMS 10
RMS 11-13
RMS 14
227
227
CMS 1-10
501
501
CMS 11-14
CMS 15-18
CMS 19
CMS 20-23
501
501
Total loans and advances to customers and
reverse repurchase agreements
55,709
2,190
91
57,990
57
53
4
114
In respect of:
Retail
20,893
836
26
21,755
39
27
66
Commercial Banking
34,088
1,354
65
35,507
18
26
4
48
Other
728
728
Total loans and advances to customers and
reverse repurchase agreements
55,709
2,190
91
57,990
57
53
4
114
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
193
Drawn exposures
Expected credit loss allowance
The Bank - Gross drawn exposures and expected
credit loss allowance
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Loans and advances to banks and reverse repurchase agreements
CMS 1-10
5,660
5,660
4
4
CMS 11-14
CMS 15-18
CMS 19
CMS 20-23
5,660
5,660
4
4
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
41,423
4,152
45,575
8
24
32
RMS 7-9
2
1,442
1,444
11
11
RMS 10
137
137
3
3
RMS 11-13
946
946
18
18
RMS 14
568
568
32
32
41,425
6,677
568
48,670
8
56
32
96
Retail - credit cards
RMS 1-6
2,248
363
2,611
18
17
35
RMS 7-9
290
342
632
14
45
59
RMS 10
2
94
96
22
22
RMS 11-13
134
134
57
57
RMS 14
88
88
40
40
2,540
933
88
3,561
32
141
40
213
Retail - loans and overdrafts
RMS 1-6
2,930
162
3,092
44
8
52
RMS 7-9
1,109
265
1,374
56
30
86
RMS 10
64
102
166
7
21
28
RMS 11-13
22
266
288
4
102
106
RMS 14
173
173
84
84
4,125
795
173
5,093
111
161
84
356
Retail - UK Motor Finance
RMS 1-6
382
40
422
7
2
9
RMS 7-9
6
18
24
1
1
RMS 10
9
9
2
2
RMS 11-13
13
13
5
5
RMS 14
44
44
26
26
388
80
44
512
7
10
26
43
Retail - other
RMS 1-6
5,173
188
5,361
9
11
20
RMS 7-9
2,186
214
2,400
10
32
42
RMS 10
RMS 11-13
345
395
740
35
35
RMS 14
123
123
37
37
7,704
797
123
8,624
19
78
37
134
Total Retail
56,182
9,282
996
66,460
177
446
219
842
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
194
Drawn exposures
Expected credit loss allowance
The Bank - Gross drawn exposures and expected
credit loss allowance continued
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Commercial Banking
CMS 1-10
17,907
175
18,082
20
20
CMS 11-14
22,449
5,928
28,377
114
94
208
CMS 15-18
3,722
5,548
9,270
76
332
408
CMS 19
549
549
101
101
CMS 20-23
1,865
1,865
496
496
44,078
12,200
1,865
58,143
210
527
496
1,233
Other
RMS 1-6
230
12
242
2
1
3
RMS 7-9
RMS 10
RMS 11-13
RMS 14
6
6
3
3
230
12
6
248
2
1
3
6
CMS 1-10
55,595
55,595
CMS 11-14
104
104
CMS 15-18
CMS 19
CMS 20-23
55,699
55,699
Central adjustment
200
200
Total loans and advances to customers and
reverse repurchase agreements
156,189
21,494
2,867
180,550
589
974
718
2,281
In respect of:
Retail
56,182
9,282
996
66,460
177
446
219
842
Commercial Banking
44,078
12,200
1,865
58,143
210
527
496
1,233
Other1
55,929
12
6
55,947
202
1
3
206
Total loans and advances to customers and
reverse repurchase agreements
156,189
21,494
2,867
180,550
589
974
718
2,281
1Contains mainly reverse repurchase agreement balances.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
195
Undrawn exposures
Expected credit loss allowance
The Bank - Gross undrawn exposures and expected
credit loss allowance
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6
1,720
1,720
RMS 7-9
RMS 10
RMS 11-13
RMS 14
1,720
1,720
Retail - credit cards
RMS 1-6
14,814
1,081
15,895
17
19
36
RMS 7-9
154
154
308
3
4
7
RMS 10
3
21
24
1
1
RMS 11-13
24
24
2
2
RMS 14
13
13
14,971
1,280
13
16,264
20
26
46
Retail - loans and overdrafts
RMS 1-6
3,414
99
3,513
8
4
12
RMS 7-9
160
74
234
4
8
12
RMS 10
8
22
30
1
4
5
RMS 11-13
2
42
44
12
12
RMS 14
10
10
3,584
237
10
3,831
13
28
41
Retail - UK Motor Finance
RMS 1-6
24
24
RMS 7-9
RMS 10
RMS 11-13
RMS 14
24
24
Retail - other
RMS 1-6
923
18
941
6
2
8
RMS 7-9
131
31
162
8
12
20
RMS 10
RMS 11-13
10
10
6
6
RMS 14
1
1
1,054
59
1
1,114
14
20
34
Total Retail
21,353
1,576
24
22,953
47
74
121
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
196
Undrawn exposures
Expected credit loss allowance
The Bank - Gross undrawn exposures and expected
credit loss allowance continued
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
£m
£m
£m
£m
£m
£m
£m
£m
At 31 December 2020
Commercial Banking
CMS 1-10
27,598
27,598
14
14
CMS 11-14
8,105
1,239
9,344
26
13
39
CMS 15-18
829
1,057
1,886
13
41
54
CMS 19
54
54
7
7
CMS 20-23
189
189
8
8
36,532
2,350
189
39,071
53
61
8
122
Other
RMS 1-6
242
242
2
2
RMS 7-9
RMS 10
RMS 11-13
RMS 14
242
242
2
2
CMS 1-10
500
500
CMS 11-14
CMS 15-18
CMS 19
CMS 20-23
500
500
Total loans and advances to customers and
reverse repurchase agreements
58,627
3,926
213
62,766
102
135
8
245
In respect of:
Retail
21,353
1,576
24
22,953
47
74
121
Commercial Banking
36,532
2,350
189
39,071
53
61
8
122
Other
742
742
2
2
Total loans and advances to customers and
reverse repurchase agreements
58,627
3,926
213
62,766
102
135
8
245
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
197
Cash and balances at central banks
Significantly all of the Group’s cash and balances at central banks of £54,279 million (2020: £49,888 million) are due from the Bank of England or
the Deutsche Bundesbank.
Debt securities held at amortised cost
An analysis by credit rating of debt securities held at amortised cost is provided below:
2021
2020
Investment
grade1
Other2
Total
Investment
grade1
Other2
Total
The Group
£m
£m
£m
£m
£m
£m
Asset-backed securities:
Mortgage-backed securities
1,457
1,457
2,046
2,046
Other asset-backed securities
1,590
18
1,608
1,593
20
1,613
3,047
18
3,065
3,639
20
3,659
Corporate and other debt securities
1,498
1
1,499
1,463
16
1,479
Gross exposure
4,545
19
4,564
5,102
36
5,138
Allowance for impairment losses
(2)
(1)
Total debt securities held at amortised cost
4,562
5,137
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £18 million; 2020: £8 million and not rated (2021: £1 million; 2020: £28 million).
2021
2020
Investment
grade1
Other2
Total
Investment
grade1
Other2
Total
The Bank
£m
£m
£m
£m
£m
£m
Asset-backed securities:
Mortgage-backed securities
1,151
1,151
1,741
1,741
Other asset-backed securities
1,115
1,115
1,103
1,103
2,266
2,266
2,844
2,844
Corporate and other debt securities
1,490
1,490
1,457
15
1,472
Gross exposure
3,756
3,756
4,301
15
4,316
Allowance for impairment losses
(1)
Total debt securities held at amortised cost
3,756
4,315
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £nil; 2020: £nil) and not rated (2021: £nil; 2020: £15 million).
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
198
Financial assets at fair value through other comprehensive income (excluding equity shares)
An analysis of financial assets at fair value through other comprehensive income is included in note 17. The credit quality of financial assets at
fair value through other comprehensive income is set out below:
2021
2020
Investment
grade1
Other2
Total
Investment
grade1
Other2
Total
The Group
£m
£m
£m
£m
£m
£m
Debt securities:
Government securities
14,599
14,599
14,267
14,267
Asset-backed securities
55
55
65
65
Corporate and other debt securities
13,087
44
13,131
12,786
142
12,928
27,686
99
27,785
27,053
207
27,260
Treasury and other bills
Total financial assets at fair value through other
comprehensive income
27,686
99
27,785
27,053
207
27,260
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £55 million; 2020: £65 million) and not rated (2021: £44 million; 2020: £142 million).
2021
2020
Investment
grade1
Other2
Total
Investment
grade1
Other2
Total
The Bank
£m
£m
£m
£m
£m
£m
Debt securities:
Government securities
14,445
14,445
14,114
14,114
Corporate and other debt securities
11,084
11,084
10,444
89
10,533
25,529
25,529
24,558
89
24,647
Treasury and other bills
25,529
25,529
24,558
89
24,647
Due from fellow Lloyds Banking Group undertakings:
Corporate and other debt securities
Total financial assets at fair value through other
comprehensive income
25,529
24,647
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £nil; 2020: £nil) and not rated (2021: £nil; 2020: £89 million).
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
199
Derivative assets
An analysis of derivative assets is given in note 14. The Group reduces exposure to credit risk by using master netting agreements and by
obtaining collateral in the form of cash or highly liquid securities. In respect of the net credit risk relating to derivative assets of £3,142 million for
the Group and £4,879 million for the Bank (2020: £4,968 million for the Group and £9,843 million for the Bank), cash collateral of £1,642 million
for the Group and £930 million for the Bank (2020: £2,702 million for the Group and £1,308 million for the Bank) was held and a further
£67 million for the Group and £37 million for the Bank (2020: £151 million for the Group and £116 million for the Bank) was due from OECD
banks.
2021
2020
Investment
grade1
Other2
Total
Investment
grade1
Other2
Total
The Group
£m
£m
£m
£m
£m
£m
Trading and other
3,991
834
4,825
5,942
1,037
6,979
Hedging
52
52
667
5
672
4,043
834
4,877
6,609
1,042
7,651
Due from fellow Lloyds Banking Group undertakings
634
690
Total derivative financial instruments
5,511
8,341
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £622 million; 2020: £969 million) and not rated (2021: £212 million; 2020: £73 million).
2021
2020
Investment
grade1
Other2
Total
Investment
grade1
Other2
Total
The Bank
£m
£m
£m
£m
£m
£m
Trading and other
2,847
86
2,933
4,442
146
4,588
Hedging
32
32
237
3
240
2,879
86
2,965
4,679
149
4,828
Due from fellow Lloyds Banking Group undertakings
3,933
7,767
Total derivative financial instruments
6,898
12,595
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £42 million; 2020: £135 million) and not rated (2021: £44 million; 2020: £14 million).
Financial guarantees and irrevocable loan commitments
Financial guarantees represent undertakings that the Group will meet a customer’s obligation to third parties if the customer fails to do so.
Commitments to extend credit represent unused portions of authorisations to extend credit in the form of loans, guarantees or letters of credit.
The Group is theoretically exposed to loss in an amount equal to the total guarantees or unused commitments, however, the likely amount of
loss is expected to be significantly less. Most commitments to extend credit are contingent upon customers maintaining specific credit
standards.
(D)Collateral held as security for financial assets
The principal types of collateral accepted by the Group include: residential and commercial properties; charges over business assets such as
premises, inventory and accounts receivable; financial instruments, cash and guarantees from third-parties. The terms and conditions associated
with the use of the collateral are varied and are dependent on the type of agreement and the counterparty. The Group holds collateral against
loans and advances and irrevocable loan commitments; qualitative and, where appropriate, quantitative information is provided in respect of
this collateral below. Collateral held as security for financial assets at fair value through profit or loss and for derivative assets is also shown
below.
The Group holds collateral in respect of loans and advances to banks and customers as set out below. The Group does not hold collateral
against debt securities, comprising asset-backed securities and corporate and other debt securities, which are classified as financial assets held
at amortised cost.
Loans and advances to banks
There were reverse repurchase agreements which are accounted for as collateralised loans within loans and advances to banks with a carrying
value of £2,996 million for the Group and the Bank (2020: £1,626 million for the Group and the Bank), against which the Group and the Bank held
collateral with a fair value of £92 million (2020: £1,040 million for the Group and the Bank).
These transactions were generally conducted under terms that are usual and customary for standard secured lending activities.
Loans and advances to customers
Retail lending
Mortgages
An analysis by loan-to-value ratio of the Group’s and the Bank’s residential mortgage lending is provided below. The value of collateral used in
determining the loan-to-value ratios has been estimated based upon the last actual valuation, adjusted to take into account subsequent
movements in house prices, after making allowances for indexation error and dilapidations.
In some circumstances, where the discounted value of the estimated net proceeds from the liquidation of collateral (i.e. net of costs, expected
haircuts and anticipated changes in the value of the collateral to the point of sale) is greater than the estimated exposure at default, no credit
losses are expected and no ECL allowance is recognised.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
200
2021
2020
The Group
Stage 1
Stage 2
Stage 3
POCI
Total gross
Stage 1
Stage 2
Stage 3
POCI
Total gross
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Less than 70 per cent
217,830
19,766
1,717
9,872
249,185
185,548
24,330
1,547
10,051
221,476
70 per cent to 80 per cent
42,808
1,632
134
572
45,146
43,656
3,364
187
1,303
48,510
80 per cent to 90 per cent
12,087
253
52
184
12,576
21,508
1,009
74
470
23,061
90 per cent to 100 per cent
779
46
14
135
974
555
126
21
190
892
Greater than 100 per cent
125
101
23
214
463
151
189
30
497
867
Total
273,629
21,798
1,940
10,977
308,344
251,418
29,018
1,859
12,511
294,806
2021
2020
The Bank
Stage 1
Stage 2
Stage 3
Total gross
Stage 1
Stage 2
Stage 3
Total gross
£m
£m
£m
£m
£m
£m
£m
£m
Less than 70 per cent
37,113
4,072
432
41,617
36,418
5,639
456
42,513
70 per cent to 80 per cent
2,588
246
29
2,863
3,603
712
66
4,381
80 per cent to 90 per cent
612
49
17
678
1,298
239
30
1,567
90 per cent to 100 per cent
90
10
3
103
94
42
9
145
Greater than 100 per cent
12
20
5
37
12
45
7
64
Total
40,415
4,397
486
45,298
41,425
6,677
568
48,670
Other
The majority of non-mortgage retail lending is unsecured. At 31 December 2021, Stage 3 non-mortgage lending amounted to £1,104 million,
net of an impairment allowance of £438 million (2020: £538 million, net of an impairment allowance of £492 million).
Stage 1 and Stage 2 non-mortgage retail lending amounted to £55,959 million (2020: £58,183 million). Lending decisions are predominantly
based on an obligor’s ability to repay rather than reliance on the disposal of any security provided. Where the lending is secured, collateral
values are rigorously assessed at the time of loan origination and are thereafter monitored in accordance with business unit credit policy.
The Group's credit risk disclosures for unimpaired non-mortgage retail lending report assets gross of collateral and therefore disclose the
maximum loss exposure. The Group believes that this approach is appropriate.
Commercial lending
Reverse repurchase transactions
At 31 December 2021 there were reverse repurchase agreements which were accounted for as collateralised loans with a carrying value of
£46,712 million for the Group and the Bank (2020: £54,447 million for the Group and the Bank) against which the Group held collateral with a fair
value of £48,423 million (2020: £60,441 million) and the Bank held collateral worth £48,423 million (2020: £55,031 million) all of which the Group
was able to repledge. These transactions were generally conducted under terms that are usual and customary for standard secured lending
activities.
Stage 3 secured lending
The value of collateral is re-evaluated and its legal soundness re-assessed if there is observable evidence of distress of the borrower; this
evaluation is used to determine potential loss allowances and management’s strategy to try to either repair the business or recover the debt.
At 31 December 2021, Stage 3 secured commercial lending amounted to £608 million, net of an impairment allowance of £198 million (2020:
£704 million, net of an impairment allowance of £293 million). The fair value of the collateral held in respect of impaired secured commercial
lending was £693 million (2020: £753 million) for the Group. In determining the fair value of collateral, no specific amounts have been attributed
to the costs of realisation. For the purposes of determining the total collateral held by the Group in respect of impaired secured commercial
lending, the value of collateral for each loan has been limited to the principal amount of the outstanding advance in order to eliminate the
effects of any over-collateralisation and to provide a clearer representation of the Group’s exposure.
Stage 3 secured commercial lending and associated collateral relates to lending to property companies and to customers in the financial,
business and other services; transport, distribution and hotels; and construction industries.
Stage 1 and Stage 2 secured lending
For Stage 1 and Stage 2 secured commercial lending, the Group reports assets gross of collateral and therefore discloses the maximum loss
exposure. The Group believes that this approach is appropriate as collateral values at origination and during a period of good performance may
not be representative of the value of collateral if the obligor enters a distressed state.
Stage 1 and Stage 2 secured commercial lending is predominantly managed on a cash flow basis. On occasion, it may include an assessment of
underlying collateral, although, for Stage 3 lending, this will not always involve assessing it on a fair value basis. No aggregated collateral
information for the entire unimpaired secured commercial lending portfolio is provided to key management personnel.
Financial assets at fair value through profit or loss (excluding equity shares)
Securities held as collateral in the form of stock borrowed amounted to £7,052 million for the Group and £7,090 million for the Bank (2020:
£11,925 million for the Group and £17,391 million for the Bank). Of this amount, £1,086 million for the Group and £1,214 million for the Bank
(2020: £10,899 million for the Group and £16,639 million for the Bank) had been resold or repledged as collateral for the Group’s own
transactions.
These transactions were generally conducted under terms that are usual and customary for standard secured lending activities.
Derivative assets, after offsetting of amounts under master netting arrangements
The Group reduces exposure to credit risk by using master netting agreements and by obtaining collateral in the form of cash or highly liquid
securities. In respect of the net derivative assets after offsetting of amounts under master netting arrangements of £3,142 million for the Group
and £4,879 million for the Bank (2020: £4,968 million for the Group and £9,843 million for the Bank), cash collateral of £1,621 million for the
Group and £930 million for the Bank (2020: £2,702 million for the Group and £1,308 million for the Bank) was held.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
201
Irrevocable loan commitments and other credit-related contingencies
At 31 December 2021, there were irrevocable loan commitments and other credit-related contingencies of £58,030 million for the Group and
£32,730 million for the Bank (2020: £61,604 million for the Group and £34,940 million for the Bank). Collateral is held as security, in the event that
lending is drawn down, on £17,149 million for the Group and £1,002 million for the Bank (2020: £19,548 million for the Group and £1,720 million
for the Bank) of these balances.
Collateral repossessed
During the year, £86 million of collateral was repossessed (2020: £125 million), consisting primarily of residential property. In respect of retail
portfolios, the Group does not take physical possession of properties or other assets held as collateral and uses external agents to realise the
value as soon as practicable, generally at auction, to settle indebtedness. Any surplus funds are returned to the borrower or are otherwise dealt
with in accordance with appropriate insolvency regulations. In certain circumstances the Group takes physical possession of assets held as
collateral against commercial lending. In such cases, the assets are carried on the Group’s balance sheet and are classified according to the
Group’s accounting policies.
(E)Collateral pledged as security
The Group pledges assets primarily for repurchase agreements and securities lending transactions which are generally conducted under terms
that are usual and customary for standard securitised borrowing contracts.
Repurchase transactions
Amortised cost
There are balances arising from repurchase transactions with banks of £30,085 million for the Group and £57 million for the Bank (2020:
£18,767 million for the Group and £5,087 million for the Bank), which include amounts due under the Bank of England's Term Funding Scheme
with additional incentives for SMEs (TFSME); the fair value of the collateral provided under these agreements at 31 December 2021 was
£39,918 million for the Group and £44 million for the Bank (2020: £18,874 million for the Group and £5,197 million for the Bank).
There are balances arising from repurchase transactions with customers of £21 million for the Group and the Bank (2020: £9,417 million for the
Group and the Bank); the fair value of the collateral provided under these agreements at 31 December 2021 was £112 million for the Group and
the Bank (2020: £8,087 million for the Group and the Bank).
Financial liabilities at fair value through profit or loss
The fair value of collateral pledged in respect of repurchase transactions, accounted for as secured borrowing, where the secured party is
permitted by contract or custom to repledge was £nil for the Group and the Bank at 31 December 2021 (2020: £nil for the Group and the Bank).
Securities lending transactions
The following on-balance sheet financial assets have been lent to counterparties under securities lending transactions:
The Group
The Bank
2021
2020
2021
2020
£m
£m
£m
£m
Financial assets at fair value through profit or loss
1,365
Financial assets at fair value through other comprehensive income
2,724
2,344
2,946
969
Total
2,724
2,344
2,946
2,334
Securitisations and covered bonds
In addition to the assets detailed above, the Group also holds assets that are encumbered through the Group’s asset-backed conduits and its
securitisation and covered bond programmes. Further details of these assets are provided in notes 25 and 40.
Market risk
(A)Interest rate risk
Interest rate risk arises from the different repricing characteristics of the assets and liabilities. Liabilities are either insensitive to interest rate
movements, for example interest free or very low interest customer deposits, or are sensitive to interest rate changes but bear rates which may
be varied at the Group’s discretion and that for competitive reasons generally reflect changes in the UK Bank Rate, set by the Bank of England.
The rates on the remaining deposits are contractually fixed for their term to maturity.
Many banking assets are sensitive to interest rate movements; there is a large volume of managed rate assets such as variable rate mortgages
which may be considered as a natural offset to the interest rate risk arising from the managed rate liabilities. However, a significant proportion
of the Group’s lending assets, for example many personal loans and mortgages, bear interest rates which are contractually fixed. Interest rate
sensitivity analysis relating to the Group's banking activities is set out in the tables marked audited on pages 25 to 26.
The Group’s risk management policy is to optimise reward while managing its market risk exposures within the risk appetite defined by the
Board. The largest residual risk exposure arises from balances that are deemed to be insensitive to changes in market rates (including current
accounts, a portion of variable rate deposits and investable equity), and is managed through the Group’s structural hedge. The structural hedge
consists of longer-term fixed rate assets or interest rate swaps and the amount and duration of the hedging activity is reviewed regularly by the
Lloyds Banking Group Asset and Liability Committee.
The Group and the Bank establish hedge accounting relationships for interest rate risk using cash flow hedges and fair value hedges. The Group
and the Bank are exposed to cash flow interest rate risk on their variable rate loans and deposits together with their floating rate subordinated
debt. The derivatives used to manage the structural hedge may be designated into cash flow hedges to manage income statement volatility.
The economic items related to the structural hedge, for example current accounts, are not eligible hedged items under IAS 39 for inclusion into
accounting hedge relationships. The Group and the Bank are exposed to fair value interest rate risk on their fixed rate customer loans, their
fixed rate customer deposits and the majority of their subordinated debt. The Group and the Bank apply netting between similar risks before
applying hedge accounting.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
202
Hedge ineffectiveness arises during the management of interest rate risk due to residual unhedged risk. Sources of ineffectiveness, which the
Group may decide to not fully mitigate, can include basis differences, timing differences and notional amount differences. The effectiveness of
accounting hedge relationships is assessed between the hedging derivatives and the documented hedged item, which can differ to the
underlying economically hedged item.
At 31 December 2021 the aggregate notional principal of interest rate and other swaps (predominately interest rate) designated as fair value
hedges was £147,724 million (2020: £185,958 million) for the Group and £56,698 million (2020: £58,030 million) for the Bank with a net fair value
liability of £266 million (2020: asset of £81 million) for the Group and a net fair value liability of £285 million (2020: liability of £4 million) for the
Bank (note 14). There were gains recognised on the hedging instruments of £1,885 million (2020: losses of £87 million) for the Group and losses
of £296 million (2020: losses of £225 million) for the Bank. There were losses on the hedged items attributable to the hedged risk of
£1,690 million (2020: gains of £633 million) for the Group and gains of £282 million (2020: gains of £198 million) for the Bank. The gains and
losses relating to the fair value hedges are recorded in net trading income.
The notional principal of the interest rate swaps designated as cash flow hedges at 31 December 2021 was £97,942 million (2020:
£316,776 million) for the Group and £26,876 million (2020: £93,353 million) for the Bank with a net fair value asset of £nil (2020: asset of
£28 million) for the Group and a net fair value asset of £nil (2020: liability of £31 million) for the Bank (note 14). In 2021, ineffectiveness
recognised in the income statement that arises from cash flow hedges was a loss of £58 million (2020: gain of £259 million) for the Group and a
loss of £24 million (2020: loss of £27 million) for the Bank.
Interest Rate Benchmark Reform
During 2021, the Group has continued to manage the transition to alternative benchmark rates under its Group-wide IBOR transition
programme including delivery of the core changes required to its technology and business processes. Through this programme, the Group has
ensured that the most appropriate benchmark rate is used for new products, has transitioned the vast majority of its legacy products to new
benchmark rates for IBORs ceasing immediately after 31 December 2021 and has managed the impacts and risks relating to systems, processes,
accounting and reporting. The Group does not expect material changes to its risk management approach and strategy as a result of interest
rate benchmark reform.
The material risks identified include the following:
Conduct and litigation risk. The Group may be exposed to conduct and litigation charges as a direct result of inappropriate or negligent actions
taken during IBOR transition resulting in detriment to the customer. The Group is working closely with its counterparties to avoid this outcome.
Market risk. IBOR transition is expected to lead to changes in the Group’s market risk profile which will continue to be monitored and managed
within the appropriate risk appetites. The key change is expected to be on the management of basis risk profile during the period when
alternative benchmark rates are referenced in contracts up to the cessation of the in-scope IBOR index.
Credit risk. Clients may wish to renegotiate the terms of existing transactions as a consequence of IBOR reform. This could lead to a change in
the credit risk exposure of the client depending on the outcome of the negotiations. The Group will continue to monitor and manage changes
within the appropriate risk appetites.
Accounting risk. If IBOR transition is finalised in a manner that does not permit the application of the reliefs introduced in the IFRS Phase 2
amendments, the financial instrument may be required to be derecognised and a new instrument recognised. In addition, where instruments
used in hedge accounting relationships are transitioned either at different times or to different benchmarks, this may result in additional
volatility to the income statement either through hedge accounting ineffectiveness or failure of the hedge accounting relationships.
Operational risk. Additional operational risks may arise due to the IBOR transition programme impacting all businesses and functions within the
Group and leading to the implementation of changes to technology, operations, client communication and the valuation of in-scope financial
instruments.
At 31 December 2021, the Group had successfully transitioned all derivative products settled though the London Clearing House (LCH) that
were dependent on Sterling, Euro, Japanese Yen and Swiss Franc LIBOR to alternative benchmark rates and has transitioned the majority of its
commercial lending contracts from Sterling LIBOR to alternative benchmark rates. US Dollar LIBOR is not expected to cease before 30 June
2023 and the Group continues to work on its planned transition to alternative benchmark rates for those financial contracts currently referencing
US dollar LIBOR.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
203
At 31 December 2021, the Group and the Bank had the following significant exposures impacted by interest rate benchmark reform which have
yet to transition to the replacement benchmark rate:
The Group
The Bank
Sterling
LIBOR
US Dollar
LIBOR
Other
LIBOR
Total
Sterling
LIBOR
US Dollar
LIBOR
Other
LIBOR
Total
£m
£m
£m
£m
£m
£m
£m
£m
Non-derivative financial assets
Financial assets at fair value through profit or
loss
131
172
303
33
96
129
Loans and advances to banks and reverse
repurchase agreements
3,252
3,252
3,252
3,252
Loans and advances to customers and
reverse repurchase agreements
3,419
2,549
5,968
2,912
1,924
4,836
Due from fellow Lloyds Banking Group
undertakings
7
127
134
Debt securities
Financial assets at amortised cost
3,419
5,801
9,220
2,919
5,303
8,222
3,550
5,973
9,523
2,952
5,399
8,351
Non-derivative financial liabilities
Financial liabilities at fair value through profit
or loss
(100)
(3)
(103)
(100)
(3)
(103)
Debt securities in issue
(54)
(26)
(80)
(54)
(6)
(60)
(154)
(29)
(183)
(154)
(9)
(163)
Derivative notional/contract amount
Interest rate
4,271
120,797
125,068
1,411
120,502
10
121,923
Cross currency
22,663
22,663
21,868
21,868
As at 31 December 2021, the Sterling LIBOR balances in the above table relate to contracts that have not converted to a risk-free rate. The
balance includes both contracts that mature in 2022 with further LIBOR interest rate fixings in the period and contracts where the counterparty
has not yet agreed to fallback provisions that would have effect when LIBOR ceases. In both cases, these contracts will have both cash flows and
valuations determined on a ‘synthetic’ LIBOR basis for reporting periods during 2022, unless they are transitioned to alternative benchmark
rates.
In respect of the Group's hedge accounting relationships, for the purposes of determining whether:
A forecast transaction is highly probable
Hedged future cash flows are expected to occur
A hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk
An accounting hedging relationship should be discontinued because of a failure of the retrospective effectiveness test
the Group assumes that the interest rate benchmark on which the hedged risk or the cash flows of the hedged item or hedging instrument are
based is not altered by uncertainties resulting from interest rate benchmark reform. In addition, for a fair value hedge of a non-contractually
specified benchmark portion of interest rate risk, the Group assesses only at inception of the hedge relationship and not on an ongoing basis
that the risk is separately identifiable and hedge effectiveness can be measured. The Group’s most significant hedge accounting relationships
are exposed to the following interest rate benchmarks: Sterling LIBOR, US Dollar LIBOR and EURIBOR.
At 31 December 2021, the Group expects that EURIBOR will continue to exist as a benchmark rate for the foreseeable future. Accordingly, the
Group does not consider its fair value or cash flow hedges of the EURIBOR benchmark interest rate to be directly affected by interest rate
benchmark reform and as a result does not anticipate changing the hedged risk to a different benchmark.
The notional amount of the hedged items that the Group has designated into cash flow hedge relationships that is directly affected by the
interest rate benchmark reform is £2,001 million for the Group and £nil for the Bank, all of which is in respect of US Dollar LIBOR (2020:
£18,107 million for the Group and £11,221 million for the Bank, of which £15,120 million for the Group and £11,221 million for the Bank related to
Sterling LIBOR). These are principally loans and advances to customers in Commercial Banking.
The interest rate benchmark reforms also affect assets designated in fair value hedges with a notional amount of £3,370 million for the Group
and £3,370 million for the Bank all of which is in respect of US Dollar LIBOR (2020: £107,340 million for the Group and £16,430 million for the
Bank, of which £103,438 million for the Group and £12,535 million for the Bank was in respect of Sterling LIBOR), and liabilities designated in fair
value hedges with a notional amount of £9,094 million for the Group and £8,129 million for the Bank all of which is in respect of US Dollar LIBOR
(2020: £19,567 million for the Group and £17,775 million for the Bank, of which £6,172 million for the Group and £5,455 million for the Bank was
in respect of Sterling LIBOR, and £13,395 million for the Group and £12,320 million for the Bank was in respect of US Dollar LIBOR). These fair
value hedges principally relate to mortgages in Retail and debt securities in issue (for the Bank, principally debt securities in issue).
At 31 December 2021, the notional amount of the hedging instruments in hedging relationships to which these amendments apply is
£17,954 million for the Group and £15,462 million for the Bank, all of which relates to US Dollar LIBOR (2020: £439,139 million for the Group and
£134,100 million for the Bank, of which £112,027 million for the Group and £21,226 million for the Bank related to Sterling LIBOR fair value
hedges and £294,274 million for the Group and £93,353 million for the Bank related to Sterling LIBOR cash flow hedges).
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
204
(B)Foreign exchange risk
The corporate and retail businesses incur foreign exchange risk in the course of providing services to their customers. All non-structural foreign
exchange exposures in the non-trading book are managed centrally within allocated exposure limits. Trading book exposures in the authorised
trading centres are allocated exposure limits. The limits are monitored daily by the local centres and reported to the central market and liquidity
risk function in London.
The Group manages foreign currency accounting exposure via cash flow hedge accounting, utilising currency swaps and forward foreign
exchange trades.
Risk arises from the Group’s investments in its overseas operations. The Group’s structural foreign currency exposure is represented by the net
asset value of the foreign currency equity and subordinated debt investments in its subsidiaries and branches. Gains or losses on structural
foreign currency exposures are taken to reserves. The Group ceased all hedge accounting of the currency translation risk of the net investment
in foreign operations in 2018.
The Group has overseas operations in Europe. Structural foreign currency exposures in respect of operations with a Euro functional currency are
£115 million (2020: £113 million) for the Group and £nil (2020: £2 million) for the Bank.
Liquidity risk
Liquidity risk is defined as the risk that the Group has insufficient financial resources to meet its commitments as they fall due, or can only secure
them at excessive cost. Liquidity risk is managed through a series of measures, tests and reports that are primarily based on contractual
maturity. The Group carries out monthly stress testing of its liquidity position against a range of scenarios, including those prescribed by the
PRA. The Group’s liquidity risk appetite is also calibrated against a number of stressed liquidity metrics.
The tables below analyse financial instrument liabilities of the Group and the Bank on an undiscounted future cash flow basis according to
contractual maturity, into relevant maturity groupings based on the remaining period at the balance sheet date; balances with no fixed maturity
are included in the over 5 years category. Certain balances, included in the table below on the basis of their residual maturity, are repayable on
demand upon payment of a penalty.
The Group
Up to 1
month
1-3
months
3-12
months
1-5
years
Over 5
years
Total
£m
£m
£m
£m
£m
£m
At 31 December 2021
Deposits from banks and repurchase agreements
1,930
477
202
32,407
223
35,239
Customer deposits and repurchase agreements
439,550
1,616
3,689
5,046
569
450,470
Financial liabilities at fair value through profit or loss
81
21
242
1,572
4,677
6,593
Debt securities in issue
4,367
5,307
8,603
27,715
4,708
50,700
Lease liabilities
2
61
158
578
832
1,631
Subordinated liabilities
30
39
370
5,418
5,679
11,536
Total non-derivative financial liabilities
445,960
7,521
13,264
72,736
16,688
556,169
Derivative financial liabilities:
Gross settled derivatives – outflows
2,577
573
4,232
11,280
4,990
23,652
Gross settled derivatives – inflows
(2,462)
(425)
(4,168)
(10,945)
(4,734)
(22,734)
Gross settled derivatives – net flows
115
148
64
335
256
918
Net settled derivative liabilities
2,654
(21)
(6)
145
360
3,132
Total derivative financial liabilities
2,769
127
58
480
616
4,050
At 31 December 2020
Deposits from banks and repurchase agreements
7,369
1,564
72
19,438
498
28,941
Customer deposits and repurchase agreements
413,374
9,871
5,366
5,542
595
434,748
Financial liabilities at fair value through profit or loss
40
45
141
1,702
10,110
12,038
Debt securities in issue
5,019
5,195
9,706
33,338
11,594
64,852
Lease liabilities
10
51
174
626
751
1,612
Subordinated liabilities
81
69
3,609
4,261
3,601
11,621
Total non-derivative financial liabilities
425,893
16,795
19,068
64,907
27,149
553,812
Derivative financial liabilities:
Gross settled derivatives – outflows
4,358
4,818
4,390
15,787
8,397
37,750
Gross settled derivatives – inflows
(3,795)
(4,312)
(4,272)
(15,696)
(8,885)
(36,960)
Gross settled derivatives – net flows
563
506
118
91
(488)
790
Net settled derivative liabilities
4,648
7
89
216
329
5,289
Total derivative financial liabilities
5,211
513
207
307
(159)
6,079
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
205
The principal amount for undated subordinated liabilities with no redemption option is included within the over 5 years column; interest of
£19 million (2020: £23 million) per annum for the Group and £12 million (2020: £16 million) for the Bank which is payable in respect of those
instruments for as long as they remain in issue is not included beyond 5 years.
The Bank
Up to 1
month
1-3
months
3-12
months
1-5
years
Over 5
years
Total
£m
£m
£m
£m
£m
£m
At 31 December 2021
Deposits from banks and repurchase agreements
1,921
467
31
813
224
3,456
Customer deposits and repurchase agreements
266,536
1,065
691
765
432
269,489
Financial liabilities at fair value through profit or loss
81
21
242
1,572
4,645
6,561
Debt securities in issue
3,802
4,559
5,426
22,704
3,815
40,306
Lease liabilities
1
32
83
300
434
850
Subordinated liabilities
9
17
339
4,708
5,254
10,327
Total non-derivative financial liabilities
272,350
6,161
6,812
30,862
14,804
330,989
Derivative financial liabilities:
Gross settled derivatives – outflows
2,545
544
3,827
10,416
4,343
21,675
Gross settled derivatives – inflows
(2,452)
(407)
(3,769)
(10,108)
(4,095)
(20,831)
Gross settled derivatives – net flows
93
137
58
308
248
844
Net settled derivative liabilities
2,125
(21)
(6)
145
320
2,563
Total derivative financial liabilities
2,218
116
52
453
568
3,407
At 31 December 2020
Deposits from banks and repurchase agreements
7,353
1,562
15
1,108
361
10,399
Customer deposits and repurchase agreements
254,667
7,185
1,334
819
457
264,462
Financial liabilities at fair value through profit or loss
40
45
141
1,701
10,065
11,992
Debt securities in issue
4,502
4,200
6,404
27,908
9,408
52,422
Lease liabilities
1
34
97
326
445
903
Subordinated liabilities
9
43
3,069
3,517
3,016
9,654
Total non-derivative financial liabilities
266,572
13,069
11,060
35,379
23,752
349,832
Derivative financial liabilities:
Gross settled derivatives – outflows
3,881
4,737
3,433
15,174
6,337
33,562
Gross settled derivatives – inflows
(3,405)
(4,291)
(3,336)
(15,076)
(6,629)
(32,737)
Gross settled derivatives – net flows
476
446
97
98
(292)
825
Net settled derivative liabilities
3,885
5
3
146
208
4,247
Total derivative financial liabilities
4,361
451
100
244
(84)
5,072
The following tables set out the amounts and residual maturities of off-balance sheet contingent liabilities, commitments and guarantees.
The Group
Within 1
year
1-3
years
3-5
years
Over 5
years
Total
£m
£m
£m
£m
£m
At 31 December 2021
Acceptances and endorsements
21
21
Other contingent liabilities
1,362
242
258
457
2,319
Total contingent liabilities
1,383
242
258
457
2,340
Lending commitments and guarantees
97,587
15,506
9,853
4,678
127,624
Other commitments
18
42
60
Total commitments and guarantees
97,587
15,524
9,853
4,720
127,684
Total contingents, commitments and guarantees
98,970
15,766
10,111
5,177
130,024
At 31 December 2020
Acceptances and endorsements
73
73
Other contingent liabilities
1,302
337
69
583
2,291
Total contingent liabilities
1,375
337
69
583
2,364
Lending commitments and guarantees
102,279
18,152
9,454
3,588
133,473
Other commitments
1
44
16
64
125
Total commitments and guarantees
102,280
18,196
9,470
3,652
133,598
Total contingents, commitments and guarantees
103,655
18,533
9,539
4,235
135,962
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
206
The Bank
Within 1
year
1-3
years
3-5
years
Over 5
years
Total
£m
£m
£m
£m
£m
At 31 December 2021
Acceptances and endorsements
21
21
Other contingent liabilities
1,227
216
227
386
2,056
Total contingent liabilities
1,248
216
227
386
2,077
Lending commitments and guarantees
30,872
14,213
9,180
3,670
57,935
Other commitments
18
37
55
Total commitments and guarantees
30,872
14,231
9,180
3,707
57,990
Total contingents, commitments and guarantees
32,120
14,447
9,407
4,093
60,067
At 31 December 2020
Acceptances and endorsements
73
73
Other contingent liabilities
1,144
328
68
480
2,020
Total contingent liabilities
1,217
328
68
480
2,093
Lending commitments and guarantees
34,552
16,319
9,127
2,672
62,670
Other commitments
27
16
53
96
Total commitments and guarantees
34,552
16,346
9,143
2,725
62,766
Total contingents, commitments and guarantees
35,769
16,674
9,211
3,205
64,859
Capital risk
Capital is actively managed on an ongoing basis for both the Group and its regulated banking subsidiaries, and the associated capital policies
and procedures are subject to regular review. The Group measures both its capital requirements and the amount of capital resources that it
holds to meet those requirements through applying capital directives and regulations as implemented in the UK by the Prudential Regulation
Authority (PRA) and supplemented through additional regulation under the PRA Rulebook and associated statements of policy, supervisory
statements and other guidance. Regulatory capital ratios are considered a key part of the budgeting and planning processes and forecast ratios
are reviewed by the Group and Ring-Fenced Banks Asset and Liability Committee. Target capital levels take account of current and future
regulatory requirements, capacity for growth and to cover uncertainties. Details of the Group's capital resources are provided in the table
marked audited on page 50.
Note 45: Cash flow statements
(A)Change in operating assets
The Group
The Bank
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
Change in amounts due from fellow Lloyds Banking Group
undertakings
(1)
1,116
24
20,347
73,506
(48,692)
Change in other financial assets held at amortised cost
3,292
(9,688)
(11,832)
15,167
(1,815)
(5,482)
Change in financial assets at fair value through profit or loss
(124)
610
20,972
(2,805)
(1,021)
20,140
Change in derivative financial instruments
1,548
479
3,677
6,085
753
2,428
Change in other operating assets
345
627
31
10
239
63
Change in operating assets
5,060
(6,856)
12,872
38,804
71,662
(31,543)
(B)Change in operating liabilities
The Group
The Bank
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
Change in deposits from banks and repurchase
agreements
8,451
1,404
(2,670)
(7,479)
3,182
1,802
Change in customer deposits and repurchase agreements
14,825
37,728
5,593
4,231
24,711
10,360
Change in amounts due to fellow Lloyds Banking Group
undertakings
(806)
(1,316)
(8,142)
(12,468)
(73,233)
28,016
Change in financial liabilities at fair value through profit or
loss
(380)
(946)
(10,447)
1,828
135
(10,441)
Change in derivative financial instruments
(3,585)
(1,603)
(1,080)
(4,970)
(3,139)
(335)
Change in debt securities in issue
(10,569)
(17,138)
11,898
(9,670)
(13,400)
11,722
Change in other operating liabilities1
174
(288)
(782)
513
(249)
(1,823)
Change in operating liabilities
8,110
17,841
(5,630)
(28,015)
(61,993)
39,301
1Includes a decrease of £182 million (2020: decrease of £163 million; 2019: increase of £43 million) for the Group and a decrease of £108 million (2020: decrease of £42 million; 2019: increase
of £20 million) for the Bank in respect of lease liabilities.
Lloyds Bank plc
Notes to the accounts
Note 44: Financial risk management (continued)
207
(C)Non-cash and other items
The Group
The Bank
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
Depreciation and amortisation
2,777
2,670
2,602
1,671
1,325
1,245
Permanent diminution in value of investment in subsidiaries
159
Dividends and distributions on other equity instruments
received from subsidiary undertakings
(1,503)
(211)
(1,434)
Revaluation of investment properties
20
8
Allowance for loan losses
(1,085)
3,802
1,380
(648)
1,742
490
Write-off of allowance for loan losses, net of recoveries
(935)
(1,279)
(1,457)
(442)
(622)
(759)
Impairment (credit) charge relating to undrawn balances
(231)
253
(17)
(134)
155
14
Impairment of financial assets at fair value through other
comprehensive income
(2)
5
(1)
1
1
(1)
Regulatory and legal provisions
1,177
414
2,839
196
312
1,307
Other provision movements
(82)
80
(129)
(71)
18
(43)
Additional capital injections to subsidiaries
(36)
(33)
(53)
Net charge in respect of defined benefit schemes
236
247
245
114
121
131
Foreign exchange impact on balance sheet1
159
823
420
(48)
491
(230)
Interest expense on subordinated liabilities
570
846
947
484
534
657
Profit on disposal of businesses
(107)
Other non-cash items
(1,173)
(1,216)
(347)
(867)
(339)
(174)
Total non-cash items
1,411
6,665
6,383
(1,283)
3,494
1,309
Contributions to defined benefit schemes
(1,347)
(1,153)
(1,069)
(823)
(650)
(563)
Payments in respect of regulatory and legal provisions
(680)
(2,165)
(3,164)
(190)
(959)
(1,385)
Other
(45)
137
237
(65)
Total other items
(2,072)
(3,181)
(4,233)
(776)
(1,674)
(1,948)
Non-cash and other items
(661)
3,484
2,150
(2,059)
1,820
(639)
1When considering the movement on each line of the balance sheet, the impact of foreign exchange rate movements is removed in order to show the underlying cash impact.
(D)Analysis of cash and cash equivalents as shown in the balance sheet
The Group
The Bank
2021
2020
2019
2021
2020
2019
£m
£m
£m
£m
£m
£m
Cash and balances at central banks
54,279
49,888
38,880
49,618
45,753
35,741
Less mandatory reserve deposits1
(4,777)
(4,392)
(3,177)
(963)
(954)
(764)
49,502
45,496
35,703
48,655
44,799
34,977
Loans and advances to banks and reverse repurchase
agreements
7,474
5,950
4,852
7,287
5,656
4,453
Less amounts with a maturity of three months or more
(3,786)
(2,480)
(1,941)
(3,712)
(2,387)
(1,648)
3,688
3,470
2,911
3,575
3,269
2,805
Total cash and cash equivalents
53,190
48,966
38,614
52,230
48,068
37,782
1Mandatory reserve deposits are held with local central banks in accordance with statutory requirements; these deposits are not available to finance the Group's day-to-day operations.
Note 46: Future accounting developments
The IASB has issued a number of minor amendments to IFRSs effective 1 January 2022 and in later years (including IFRS 9 Financial Instruments
and IAS 37 Provisions, Contingent Liabilities and Contingent Assets). These amendments are not applicable for the year ended 31 December
2021 and have not been applied in preparing these financial statements. They are not expected to have a significant impact on the Group.
Note 47: Other information
Lloyds Bank plc is incorporated as a public limited company and registered in England with the registered number 2065. Lloyds Bank plc’s
registered office is 25 Gresham Street, London, EC2V 7HN, and its principal executive offices are located at 25 Gresham Street, London, EC2V
7HN.
Lloyds Bank plc and its subsidiaries form a leading UK-based financial services group, whose businesses provide a wide range of banking and
financial services in the UK and in certain locations overseas.
Lloyds Bank plc’s immediate parent undertaking and ultimate parent undertaking and controlling party is Lloyds Banking Group plc which is
incorporated in Scotland. Copies of the consolidated annual report and accounts of Lloyds Banking Group plc may be obtained from Lloyds
Banking Group’s head office at 25 Gresham Street, London EC2V 7HN or downloaded via www.lloydsbankinggroup.com.
Lloyds Bank plc
Notes to the accounts
Note 45: Cash flow statements (continued)
208
In compliance with Section 409 of the Companies Act 2006, the
following comprises a list of all related undertakings of the Group, as
at 31 December 2021. The list includes each undertaking’s registered
office and the percentage of the class(es) of shares held by the
Group. All shares held are ordinary shares unless indicated otherwise
in the notes.
Subsidiary undertakings
The Group directly or indirectly holds 100 per cent of the share class
or a majority of voting rights (including where the undertaking does
not have share capital as indicated) in the following undertakings. All
material subsidiary undertakings are consolidated by Lloyds Banking
Group.
A G Finance Ltd
17 iii #
A.C.L. Ltd
1 i
ACL Autolease Holdings Ltd
1 i
Alex Lawrie Factors Ltd
9 i
Alex. Lawrie Receivables Financing Ltd
9 i
Amberdate Ltd
1 i v
Anglo Scottish Utilities Partnership 1
+ *
Aquilus Ltd (in liquidation)
13 i
Automobile Association Personal Finance Ltd
4 i
Bank of Scotland (B G S) Nominees Ltd
5 *
Bank of Scotland Branch Nominees Ltd
5 i
Bank of Scotland Central Nominees Ltd
5 *
Bank of Scotland Edinburgh Nominees Ltd
5 *
Bank of Scotland Equipment Finance Ltd (in liquidation)
13 i
Bank of Scotland plc
5 i v
Bank of Scotland Structured Asset Finance Ltd
1 i
Bank of Scotland Transport Finance 1 Ltd (in liquidation)
13 i
Bank of Wales Ltd
20 i
Barents Leasing Ltd
1 i
Barnwood Mortgages Ltd (in liquidation)
13 i
Birchcrown Finance Ltd
1 v xii
Birmingham Midshires Financial Services Ltd
4 i
Birmingham Midshires Land Development Ltd (in
liquidation)
13 i
Birmingham Midshires Mortgage Services Ltd (in
liquidation)
13 i
Black Horse (TRF) Ltd
1 i
Black Horse Finance Holdings Ltd
1 ii ix
Black Horse Finance Management Ltd
1 i
Black Horse Group Ltd
1 i v
Black Horse Ltd
1 i
Boltro Nominees Ltd
1 i
BOS (Ireland) Property Services 2 Ltd
16 i
BOS (Ireland) Property Services Ltd
16 i
BOS (Shared Appreciation Mortgages (Scotland) No. 2)
Ltd
4 i
BOS (Shared Appreciation Mortgages (Scotland) No. 3)
Ltd
4 i
BOS (Shared Appreciation Mortgages (Scotland)) Ltd
4 i
BOS (Shared Appreciation Mortgages) No. 1 plc
4 # i
BOS (Shared Appreciation Mortgages) No. 2 plc
4 # i
BOS (Shared Appreciation Mortgages) No. 3 plc
4 # i
BOS (Shared Appreciation Mortgages) No. 4 plc
4 # i
BOS (Shared Appreciation Mortgages) No. 5 plc
4 i
BOS (Shared Appreciation Mortgages) No. 6 plc
4 i
BOSSAF Rail Ltd
1 i
BOS Personal Lending Ltd
4 ii iii
Name of Undertaking
Notes
British Linen Leasing (London) Ltd
5 i
British Linen Leasing Ltd
5 i
British Linen Shipping Ltd
5 i
Capital 1945 Ltd
20 i
Capital Bank Leasing 3 Ltd (in liquidation)
13 i
Capital Bank Leasing 5 Ltd
20 i
Capital Bank Leasing 12 Ltd
5 i
Capital Bank Property Investments (3) Ltd
20 i
Capital Personal Finance Ltd
4 i
Cardnet Merchant Services Ltd
1 # ^ iii vi
Cashfriday Ltd
9 i
Caveminster Ltd
1 i
Cedar Holdings Ltd (in liquidation)
13 i
CF Asset Finance Ltd (in liquidation)
13 i
Cheltenham & Gloucester plc
12 i
Cloak Lane Funding S.A.R.L.
8 i
Cloak Lane Investments S.A.R.L.
8 i
Conquest Securities Ltd
1 v xii
Corbiere Asset Investments Ltd
1 ii iii
Dunstan Investments (UK) Ltd
1 i
Eurolead Services Holdings Ltd
9 i
First Retail Finance (Chester) Ltd
4 i
Forthright Finance Ltd
20 i
General Leasing (No. 12) Ltd
1 i
Gresham Nominee 1 Ltd
1 i
Gresham Nominee 2 Ltd
1 i
Halifax Group Ltd
4 i
Halifax Leasing (March No.2) Ltd
1 i
Halifax Leasing (September) Ltd
1 i
Halifax Ltd
4 i
Halifax Loans Ltd
4 i
Halifax Mortgage Services Ltd (in liquidation)
13 i
Halifax Pension Nominees Ltd
25 i
Halifax Share Dealing Ltd
4 i
Halifax Vehicle Leasing (1998) Ltd
4 i
HBOS Covered Bonds LLP
4 *
HBOS Final Salary Trust Ltd
5 i
HBOS Insurance & Investment Group Ltd (in liquidation)
13 i
HBOS plc
5 i iv vi
HBOS Social Housing Covered Bonds LLP
20 *
HBOS UK Ltd
5 i
Heidi Finance Holdings (UK) Ltd
1 i
Hill Samuel Bank Ltd
1 i
Hill Samuel Finance Ltd
1 v x
Hill Samuel Leasing Co. Ltd
1 i
Home Shopping Personal Finance Ltd
4 i
HSDL Nominees Ltd
4 i
HVF Ltd
1 i
Hyundai Car Finance Ltd
17 ii iii
IBOS Finance Ltd
20 i
Intelligent Finance Software Ltd
4 i
International Motors Finance Ltd
17 ii #
Kanaalstraat Funding C.V.
28 *
LB Healthcare Trustee Ltd
1 i
LB Share Schemes Trustees Ltd
1 i
LBCF Ltd
9 i
Name of Undertaking
Notes
Lloyds Bank plc
Subsidiaries and related undertakings
209
LBI Leasing Ltd
1 i
Lex Autolease (CH) Ltd
1 i
Lex Autolease (VC) Ltd
1 i
Lex Autolease Carselect Ltd
1 i
Lex Autolease Ltd
1 i
Lex Vehicle Leasing (Holdings) Ltd (in liquidation)
13 ii iii xi
Lex Vehicle Leasing Ltd (in liquidation)
13 i
Lime Street (Funding) Ltd (in liquidation)
13 i
Lloyds (Gresham) Ltd
1 i xi
Lloyds (Nimrod) Specialist Finance Ltd
1 i
Lloyds Asset Leasing Ltd
1 i
Lloyds Bank (Colonial & Foreign) Nominees Ltd
1 i
Lloyds Bank (I.D.) Nominees Ltd
1 i
Lloyds Bank Asset Finance Ltd
1 i
Lloyds Bank Commercial Finance Ltd
9 i
Lloyds Bank Commercial Finance Scotland Ltd
23 i
Lloyds Bank Corporate Asset Finance (HP) Ltd
1 i
Lloyds Bank Corporate Asset Finance (No.2) Ltd
1 i
Lloyds Bank Corporate Asset Finance (No.3) Ltd
1 i
Lloyds Bank Corporate Asset Finance (No.4) Ltd
1 i
Lloyds Bank Covered Bonds LLP
26 *
Lloyds Bank Covered Bonds (LM) Ltd
26 *
Lloyds Bank Equipment Leasing (No. 1) Ltd
1 i
Lloyds Bank Equipment Leasing (No. 7) Ltd
1 i
Lloyds Bank Equipment Leasing (No. 9) Ltd
1 i
Lloyds Bank Financial Services (Holdings) Ltd
1 i v
Lloyds Bank General Leasing (No. 3) Ltd
1 i
Lloyds Bank General Leasing (No. 5) Ltd (in liquidation)
13 i
Lloyds Bank General Leasing (No. 11) Ltd
1 i
Lloyds Bank General Leasing (No. 17) Ltd (in liquidation)
13 i
Lloyds Bank GmbH
29 i
Lloyds Bank Leasing (No. 6) Ltd
1 i
Lloyds Bank Leasing Ltd
1 i
Lloyds Bank Maritime Leasing (No. 10) Ltd
1 i
Lloyds Bank Maritime Leasing (No.16) Ltd (in liquidation)
13 i
Lloyds Bank Maritime Leasing (No. 17) Ltd (in liquidation)
13 i
Lloyds Bank Nominees Ltd
1 i
Lloyds Bank Offshore Pension Trust Ltd
33 i
Lloyds Bank Pension ABCS (No. 1) LLP
1 *
Lloyds Bank Pension ABCS (No. 2) LLP
1 *
Lloyds Bank Pension Trust (No. 1) Ltd
1 i
Lloyds Bank Pension Trust (No. 2) Ltd
1 i
Lloyds Bank Pensions Property (Guernsey) Ltd
34 ii iii
Lloyds Bank Property Company Ltd
1 i
Lloyds Bank S.F. Nominees Ltd
1 i
Lloyds Bank Subsidiaries Ltd
1 i
Lloyds Bank Trustee Services Ltd
1 i
Lloyds Banking Group Pensions Trustees Ltd
1 i
Lloyds Capital GP Ltd
10 i
Lloyds Far East S.A.R.L.
8 i
Lloyds General Leasing Ltd
1 i
Lloyds Hypotheken B.V.
25 i
Lloyds Industrial Leasing Ltd
1 i
Lloyds Investment Bonds Ltd (in liquidation)
13 i
Lloyds Investment Securities No.5 Ltd
1 i
Lloyds Leasing (North Sea Transport) Ltd
1 i
Name of Undertaking
Notes
Lloyds Leasing Developments Ltd
1 i
Lloyds Offshore Global Services Private Ltd
18 i
Lloyds Plant Leasing Ltd
1 i
Lloyds Portfolio Leasing Ltd
1 i
Lloyds Project Leasing Ltd
1 i
Lloyds Property Investment Company No. 4 Ltd
1 i
Lloyds Property Investment Company No.5 Ltd (in
liquidation)
13 i
Lloyds Secretaries Ltd
1 i
Lloyds TSB Pacific Ltd
14 i
Lloyds UDT Asset Rentals Ltd (in liquidation)
13 i
Lloyds UDT Leasing Ltd
1 i
Lloyds UDT Ltd (in liquidation)
13 i
Lloyds Your Tomorrow Trustee Ltd
1 i
Loans.co.uk Ltd
20 i
London Taxi Finance Ltd
1 ii iii
Lotus Finance Ltd
17 ii #
LTGP Limited Partnership Incorporated
34 *
Maritime Leasing (No. 19) Ltd
1 i
MBNA Ltd
20 i
Membership Services Finance Ltd
4 i
Mitre Street Funding S.A.R.L.
8 i
NFU Mutual Finance Ltd
20 ii viii #
Nordic Leasing Ltd (in liquidation)
13 i
NWS Trust Ltd
5 i
Pacific Leasing Ltd
1 i
Perry Nominees Ltd
1 i
PIPS Asset Investments Ltd
1 ii iii
Proton Finance Ltd
17 iii #
R.F. Spencer and Company Ltd
9 i
Ranelagh Nominees Ltd
1 i
Retail Revival (Burgess Hill) Investments Ltd
1 i
Savban Leasing Ltd
1 i
Scotland International Finance B.V.
28 i
Scottish Widows Pension Trustees Ltd
3 i
Scottish Widows Services Ltd
3 i
Seabreeze Leasing Ltd
1 i
Seaspirit Leasing Ltd
1 i
Share Dealing Nominees Ltd
4 i
Shogun Finance Ltd
17 ii iii
St. Mary’s Court Investments
1 i
Standard Property Investment (1987) Ltd
5 ii iii
Sussex County Homes Ltd
4 i
Suzuki Financial Services Ltd
17 ii #
The Agricultural Mortgage Corporation plc
22 i
The British Linen Company Ltd
5 i
The Mortgage Business plc
4 i
Thistle Leasing
+ *
Tower Hill Property Investments (7) Ltd
20 i #
Tower Hill Property Investments (10) Ltd
20 i #
Tranquility Leasing Ltd
1 i
UDT Budget Leasing Ltd (in liquidation)
13 i
United Dominions Leasing Ltd
1 i
United Dominions Trust Ltd
1 i
Upsaala Ltd
16 i
Ward Nominees (Abingdon) Ltd
1 i
Name of Undertaking
Notes
Lloyds Bank plc
Subsidiaries and related undertakings
210
Ward Nominees (Birmingham) Ltd
1 i
Ward Nominees (Bristol) Ltd
1 i
Waymark Asset Investments Ltd
1 ii iii
Wood Street Leasing Ltd
1 i
Name of Undertaking
Notes
The Group has determined that it has the power to exercise control
over the following entities without having the majority of the voting
rights of the undertakings. Unless otherwise stated, the undertakings
do not have share capital or the Group does not hold any shares.
Addison Social Housing Holdings Ltd
31
Cancara Asset Securitisation Ltd
32
Candide Financing 2021-1 B.V.
21
Cardiff Auto Receivables Securitisation 2018-1 Plc
26
Cardiff Auto Receivables Securitisation 2019-1 Plc
26
Cardiff Auto Receivables Securitisation Holdings Ltd
26
Cheltenham Securities 2017 Ltd
31
Chepstow Blue Holdings Ltd
26
Chepstow Blue plc (in liquidation)
6
Chester Asset Options No.2 Ltd (in liquidation)
19
Chester Asset Receivables Dealings Issuer Ltd (in
liquidation)
32
Chester Asset Securitisation Holdings Ltd (in liquidation)
19
Chester Asset Securitisation Holdings No.2 Ltd (in
liquidation)
32
Deva Financing Holdings Ltd
26
Deva Financing plc
26
Edgbaston RMBS 2010-1 plc
26
Edgbaston RMBS Holdings Ltd
26
Elland RMBS 2018 plc
26
Elland RMBS Holdings Ltd
26
Fontwell Securities 2016 Ltd
31
Fontwell II Securities 2020 DAC
24
Gresham Receivables (No. 1) Ltd
32
Gresham Receivables (No. 3) Ltd
32
Gresham Receivables (No. 10) Ltd
32
Gresham Receivables (No.11) UK Ltd
7
Gresham Receivables (No. 12) Ltd
32
Gresham Receivables (No. 13) UK Ltd
7
Gresham Receivables (No. 14) UK Ltd
7
Gresham Receivables (No. 15) UK Ltd
7
Gresham Receivables (No. 16) UK Ltd
7
Gresham Receivables (No. 19) UK Ltd
7
Gresham Receivables (No. 20) Ltd
32
Gresham Receivables (No. 21) Ltd
32
Gresham Receivables (No. 22) Ltd
32
Gresham Receivables (No. 23) Ltd
32
Gresham Receivables (No. 24) Ltd
32
Gresham Receivables (No. 25) UK Ltd
7
Gresham Receivables (No. 26) UK Ltd
7
Gresham Receivables (No.27) UK Ltd
7
Gresham Receivables (No.28) Ltd
32
Gresham Receivables (No.29) Ltd
32
Gresham Receivables (No. 30) UK Ltd
7
Gresham Receivables (No. 31) UK Ltd
7
Gresham Receivables (No. 32) UK Ltd
7
Gresham Receivables (No. 33) UK Ltd
7
Gresham Receivables (No.34) UK Ltd
7
Name of Undertaking
Notes
Gresham Receivables (No.35) Ltd
32
Gresham Receivables (No.36) UK Ltd
7
Gresham Receivables (No.37) UK Ltd
7
Gresham Receivables (No.38) UK Ltd
7
Gresham Receivables (No.39) UK Ltd
7
Gresham Receivables (No.40) UK Ltd
7
Gresham Receivables (No.41) UK Ltd
7
Gresham Receivables (No.44) UK Ltd
7
Gresham Receivables (No.45) UK Ltd
7
Gresham Receivables (No.46) UK Ltd
7
Gresham Receivables (No.47) UK Ltd
7
Gresham Receivables (No.48) UK Ltd
7
Guildhall Asset Purchasing Company (No.3) Ltd
32
Guildhall Asset Purchasing Company (No.11) UK Ltd
7
Housing Association Risk Transfer 2019 DAC
24
Leicester Securities 2014 Ltd (in liquidation)
2
Lingfield 2014 I Holdings Ltd
26
Lingfield 2014 I plc
26
Lloyds Bank Covered Bonds (Holdings) Ltd
26
Molineux RMBS 2016-1 plc
26
Molineux RMBS Holdings Ltd
26
Penarth Asset Securitisation Holdings Ltd
26
Penarth Funding 1 Ltd
26
Penarth Funding 2 Ltd
26
Penarth Master Issuer plc
26
Penarth Receivables Trustee Ltd
26
Permanent Funding (No. 1) Ltd
26
Permanent Funding (No. 2) Ltd
26
Permanent Holdings Ltd
26
Permanent Master Issuer plc
26
Permanent Mortgages Trustee Ltd
26
Permanent PECOH Holdings Ltd
26
Permanent PECOH Ltd
26
Salisbury Securities 2015 Ltd
27
Salisbury II Securities 2016 Ltd
31
Salisbury II-A Securities 2017 Ltd
31
Salisbury III Securities 2019 DAC
24
Stichting Holding Candide Financing
21
Stichting Security Trustee Candide 2021-1 B.V.
21
Syon Securities 2019 DAC
24
Syon Securities 2020 DAC
24
Syon Securities 2020-2 DAC
24
Wetherby II Securities 2018 DAC
11
Wetherby III Securities 2019 DAC
24
Wetherby Securities 2017 Ltd
31
Wilmington Cards 2021-1 plc
26
Wilmington Cards Holdings Ltd
26
Wilmington Receivables Trustee Ltd
26
Name of Undertaking
Notes
Lloyds Bank plc
Subsidiaries and related undertakings
211
Associated undertakings
The Group has a participating interest in the following undertakings.
Name of undertaking
% of share class held by immediate parent
company (or by the Group where this varies)
Registered office address
Notes
Addison Social Housing Ltd
20%
1 Bartholomew Lane, London, EC2N 2AX
i
Connery Ltd
20%
44 Esplanade, St. Helier, Jersey, JE4 9WG
&
Omnium Leasing Company
39%
N/A
+
Registered office addresses
(1) 25 Gresham Street, London, EC2V 7HN
(2) 13-18 City Quay, Dublin, D02 ED70
(3) 69 Morrison Street, Edinburgh, EH3 8YF
(4) Trinity Road, Halifax, West Yorkshire HX1 2RG
(5) The Mound, Edinburgh, EH1 1YZ
(6) 40a Station Road, Upminster, Essex, RM14 2TR
(7) Wilmington Trust SP Services (London) Limited, Third Floor, 1 King’s
    Arms Yard, London EC2R 7AF
(8)  17 Boulevard F.W. Raiffeisen, L-2411 Luxembourg
(9) 1 Brookhill Way, Banbury, Oxon, OX16 3EL
(10) 6th Floor, 125 London Wall, London EC2Y 5AS
(11) 1-2 Victoria Buildings, Haddington Road, Dublin 4, Ireland
(12) Barnett Way, Gloucester, GL4 3RL
(13) 1 More London Place, London, SE1 2AF
(14) 18th Floor, United Centre, 95 Queensway, Hong Kong
(15) 2 North Queen Street, Belfast, Northern Ireland, B15 1ES
(16) Suite 6, Rineanna House, Shannon Free Zone, Co. Clare, Ireland
(17) St William House, Tresillian Terrace, Cardiff, CF10 5BH
(18) 6/12, Primrose Road, Bangalore, 560025, India
(19) The Shard, 32 London Bridge Street, London, SE1 9SG
(20) Cawley House, Chester Business Park, Chester, CH4 9FB, United
      Kingdom
(21) Prins Bernhardplein 200, 1097 JB, Amsterdam, Netherlands
(22) Keens House, Anton Mill Road, Andover, Hampshire, SP10 2NQ
(23) 110 St. Vincent Street, Glasgow, G2 4QR
(24) 5th Floor, The Exchange, George’s Dock, IFSC, Dublin 1, Ireland
(25) Fascinatio Boulevard 1302, 2909VA Capelle aan den IJssel, Netherlands
(26) 1 Bartholomew Lane, London EC2N 2AX
(27) 47 Esplanade, St. Helier, Jersey, JE1 0BD
(28) De Entrée 254, 1101 EE, Amsterdam, Netherlands
(29) Karl-Liebknecht-STR. 5, D-10178 Berlin, Germany
(30) 20 rue de la Poste, L-2346 Luxembourg
(31) 44 Esplanade, St. Helier, Jersey, JE4 9WG
(32) 26 New Street, St. Helier, Jersey, JE2 3RA
(33) 3rd Floor, Standard Bank House, 47-49 La Motte Street, St. Helier,
      JE2 4SZ, Jersey
(34) P O Box 186, Royal Chambers, St Julian's Avenue, St. Peter Port,
      GY1 4HP, Guernsey
(35) 8 Avenue Hoche, 75008, Paris, France
* The undertaking does not have share capital
+ The undertaking does not have a registered office
# In relation to Subsidiary Undertakings, an undertaking external to the
  Group holds shares
^ Shares held directly by Lloyds Banking Group plc
& The Group holds voting rights of between 20% and 49.9%
(i) Ordinary Shares
(ii) A Ordinary Shares
(iii) B Ordinary Shares
(iv) Non-Voting Preference Shares
(v) Preference Shares
(vi) Non-Voting Deferred Shares
(vii) Redeemable Non-Voting Shares
(viii) C Ordinary Shares
(ix) B Ordinary Non-Voting Shares
(x) Ordinary Limited Voting Shares
(xi) Redeemable Preference Shares
(xii) Ordinary Non-Voting Shares
Lloyds Bank plc
Subsidiaries and related undertakings
212