EBA欧洲银行-GB091_10页_1mb

Lloyds Banking Group plc Stress Test Summary

Core Tier 1 Capital and Capital Adequacy

Actual Results at 31 December 2010

• Operating profit before impairments: 13.022 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -15.313 million EUR
• Risk weighted assets (RWA): 472.114 million EUR
• Core Tier 1 capital: 47.984 million EUR
• Core Tier 1 capital ratio: 10.2%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Outcomes of Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions)

• Core Tier 1 capital ratio: 7.7%

Outcomes of Adverse Scenario at 31 December 2012 (Including Mitigating Measures)

• 2-year cumulative operating profit before impairments: 19.097 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -31.544 million EUR
• 2-year cumulative losses from the stress in the trading book: -388 million EUR
  • Valuation losses due to sovereign shock: -60 million EUR
• Risk weighted assets: 526.563 million EUR
• Core Tier 1 capital: 40.625 million EUR
• Core Tier 1 capital ratio: 7.7%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Effects of Mitigating Measures

• Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 0 million EUR
• Government support publicly announced and fully committed: 0 percentage points
• Mandatory restructuring plans: 0 percentage points

Capital Adequacy Ratios

Capital Adequacy (Full Static Balance Sheet Assumption)

• Risk weighted assets (RWA):
  • 2010: 472.114 million EUR
  • 2011: 483.304 million EUR
  • 2012: 484.176 million EUR
• Common equity according to EBA definition:
  • 2010: 47.984 million EUR
  • 2011: 48.044 million EUR
  • 2012: 53.127 million EUR
• Core Tier 1 capital:
  • 2010: 47.984 million EUR
  • 2011: 48.044 million EUR
  • 2012: 53.127 million EUR
• Core Tier 1 capital ratio:
  • 2010: 10.2%
  • 2011: 10.2%
  • 2012: 11.7% (Baseline) / 7.7% (Adverse)

Profit and Loss Analysis

Net Profit and Impairment Impact

• Net interest income:
  • 2010: 16.363 million EUR
  • 2011 (Baseline): 16.012 million EUR / 2011 (Adverse): 14.759 million EUR
  • 2012 (Baseline): 15.030 million EUR / 2012 (Adverse): 14.589 million EUR
• Trading income:
  • 2010: 374 million EUR
  • 2011 (Baseline): 307 million EUR / 2011 (Adverse): 132 million EUR
  • 2012 (Baseline): 307 million EUR / 2012 (Adverse): 132 million EUR
• Trading losses from stress scenarios:
  • 2011: -18 million EUR / 2012: -194 million EUR
• Valuation losses due to sovereign shock:
  • 2011: -30 million EUR / 2012: -30 million EUR
• Operating profit before impairments:
  • 2010: 13.022 million EUR
  • 2011 (Baseline): 9.182 million EUR / 2011 (Adverse): 7.717 million EUR
  • 2012 (Baseline): 12.084 million EUR / 2012 (Adverse): 11.380 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2010: -15.313 million EUR
  • 2011 (Baseline): -8.681 million EUR / 2011 (Adverse): -20.145 million EUR
  • 2012 (Baseline): -5.164 million EUR / 2012 (Adverse): -11.399 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2010: -2.292 million EUR
  • 2011 (Baseline): 501 million EUR / 2011 (Adverse): 6.920 million EUR
  • 2012 (Baseline): -12.428 million EUR / 2012 (Adverse): -19 million EUR
• Other income:
  • 2010: 980 million EUR
  • 2011 (Baseline): -1.679 million EUR / 2011 (Adverse): 1.919 million EUR
  • 2012 (Baseline): 1.097 million EUR / 2012 (Adverse): -646 million EUR
• Net profit after tax:
  • 2010: -1.938 million EUR
  • 2011 (Baseline): -1.246 million EUR / 2011 (Adverse): 5.772 million EUR
  • 2012 (Baseline): -8.104 million EUR / 2012 (Adverse): -653 million EUR

Additional Information

• Deferred tax assets:
  • 2010: 7.326 million EUR
  • 2011: 7.259 million EUR
  • 2012: 5.013 million EUR
• Stock of provisions:
  • 2010: 34.430 million EUR
  • 2011: 43.111 million EUR
  • 2012: 48.276 million EUR
• Loss rates:
  • Corporate (excluding Commercial real estate): 1.8% (2010) / 0.9% (2011) / 0.5% (2012)
  • Retail (excluding Commercial real estate): 0.8% (2010) / 0.8% (2011) / 0.6% (2012)
  • Commercial real estate: 8.7% (2010) / 2.8% (2011) / 0.8% (2012)
• Coverage ratio:
  • Corporate (excluding Commercial real estate): 54.3% (2010) / 49.4% (2011) / 47.8% (2012)
  • Retail (excluding Commercial real estate): 31.5% (2010) / 36.8% (2011) / 40.8% (2012)
  • Commercial real estate: 53.6% (2010) / 55.7% (2011) / 57.6% (2012)

Notes and Definitions

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results should not be interpreted as forecasts or directly compared with other published information.
• Regulatory transitional floors are applied where binding.
• The "Other operating income" includes fees and commissions, as well as P&L unwind of certain HBoS acquisition-related fair value adjustments.
• The "Other income" includes items like P&L results of JVs and non-consolidated entities, and mark-to-market revaluations of CoCos.
• The release of countercyclical provisions and other reserves is allowed under national legislation but not under the EBA methodology.
• Net profit includes profit attributable to minority interests.
• Deferred tax assets are based on the Basel 3 framework.
• Stock of provisions includes collective and specific provisions, as well as countercyclical provisions.
• Provisions for non-defaulted exposures to sovereigns and financial institutions are based on EBA benchmark risk parameters.
• The capital ratio impact of mitigating measures is based on the EBA definition, but may include other measures recognized by national supervisory authorities.
• Details of all mitigating measures are provided in the worksheet "3 - Mitigating measures".