Lloyds Banking : 0.3MB "Report Pillar 3 disclosures PDF" (2026 lbcm q1 pillar 3)

‌Lloyds Bank Corporate Markets plc Q1 2026

Pillar 3 Disclosures 29 April 2026

	‌TABLE OF CONTENTS
Basis of preparation		2
Leverage and overview of risk weighted exposure amounts
LR2 Leverage ratio common disclosure		3
OV1 Overview of risk weighted exposure amounts		4

Credit Risk

CR8 RWA flow statements of credit risk exposures under the IRB approach 5

MR2-B	RWA flow statements of market risk exposures under the Internal Model Approach	6
Liquidity
LIQ1	Liquidity coverage ratio (LCR)	7
LIQB	Qualitative information on LCR	8

Market Risk

Forward-looking statements 9

Contacts 10

‌BASIS OF PREPARATION‌

This report presents the interim Pillar 3 disclosures of Lloyds Bank Corporate Markets plc ('the Bank') as at 31 March 2026.

The disclosures have been prepared in accordance with the requirements of the Disclosure (CRR) section of the PRA Rulebook. Pillar 3 templates required to be disclosed on a quarterly basis that have not been included in this report are listed in the table below along with the reason for exclusion.

PRA reference	Template name	Reason for exclusion
CCR7	RWA flow statements of CCR exposures under the IMM	Not applicable to the Bank

The information presented in this Pillar 3 report is not required to be, and has not been, subject to external audit.

‌LEVERAGE AND OVERVIEW OF RISK WEIGHTED EXPOSURE AMOUNTS‌ LR2: Leverage ratio common disclosure1

		31 Mar 20262	31 Dec 2025	30 Sep 20252	30 Jun 2025
Ref	Leverage ratio
UK-24b	Total exposure measure excluding claims on central banks	90,883	84,702	86,981	84,779
25	Leverage ratio excluding claims on central banks (%)	7.9%	8.4%	8.0%	8.2%
UK-25c	Leverage ratio including claims on central banks (%)	6.4%	6.9%	6.5%	6.7%
	Additional leverage ratio disclosure requirements - leverage ratio buffers
27	Leverage ratio buffer (%)3	0.3%	0.3%	0.3%	0.3%
UK-27b	Of which: countercyclical leverage ratio buffer (%)	0.3%	0.3%	0.3%	0.3%
	Additional leverage ratio disclosure requirements - disclosure of mean values
UK-31	Average total exposure measure including claims on central banks4	110,159	108,537	108,698	104,275
UK-32	Average total exposure measure excluding claims on central banks4	91,322	88,057	87,193	84,107
UK-33	Average leverage ratio including claims on central banks4	6.5%	6.6%	6.4%	4.6%
UK-34	Average leverage ratio excluding claims on central banks4	7.8%	8.1%	8.0%	5.7%

1 Extracts of LR2 (Leverage ratio common disclosure) that are required to be disclosed quarterly.

2 Excludes profits for the preceding quarter from the total tier 1 capital positions at 31 March 2026 and 30 September 2025 (numerator of the leverage ratio) that remained subject to formal verification in accordance with capital regulations.

3 The additional leverage ratio buffer (ALRB) does not apply for the Bank.

4 The average UK leverage ratio is based on the average of the month end tier 1 capital position and average exposure measure over the quarter.

The Bank's UK leverage ratio reduced to 7.9% at 31 March 2026 (31 December 2025: 8.4%), with the increase in total tier 1 capital more than offset by the increase in the leverage exposure measure. The latter primarily reflects increases in loans and advances, derivatives and fair valued debt securities.

‌LEVERAGE AND OVERVIEW OF RISK WEIGHTED EXPOSURE AMOUNTS (Continued)‌ OV1: Overview of risk weighted exposure amounts Total RWA Total own funds requirements

		31 Mar 2026 £m	31 Dec 2025 £m	31 Mar 2026 £m
1	Credit risk (excluding CCR)	11,924	11,261	954
2	Of which the standardised approach	1,437	1,181	115
3	Of which the foundation IRB (FIRB) approach	9,697	9,318	776
4	Of which slotting approach	365	326	29
UK 4a	Of which equities under the simple risk weighted approach	359	359	29
	Of which: non-credit obligation assets1	66	77	5
6	Counterparty credit risk (CCR)	6,037	5,675	482
7	Of which the standardised approach	5,359	5,053	429
UK 8a	Of which exposures to a CCP	80	76	6
UK 8b	Of which credit valuation adjustment (CVA)	230	228	18
9	Of which other CCR	368	318	29
16	Securitisation exposures in the non-trading book (after the cap)	486	541	39
18	Of which SEC-ERBA approach (including IAA)	164	147	13
19	Of which SEC-SA approach	322	394	26
20	Position, foreign exchange and commodities risks (Market risk)	3,636	3,667	291
21	Of which the standardised approach	578	430	46
22	Of which IMA	3,058	3,237	245
23	Operational risk	1,298	1,298	104
UK 23b	Of which standardised approach	1,298	1,298	104
24	Memo: Amounts below the thresholds for deduction (subject to 250% risk weight)	390	398	31
29	Total	23,381	22,442	1,870
	Pillar 2A capital requirement2			924
	Total capital requirement			2,794

1 Non-credit obligation assets (IRB approach) includes other balance sheet assets that have no associated credit risk.

2 As at 31 March 2026, the Bank's Pillar 2A capital requirement was c.4.0% of risk-weighted assets, of which c.2.3% is to be met with CET1 capital.

‌CREDIT RISK‌ CR8: RWA flow statements of credit risk exposures under the IRB approach

The table below summarises the movements of risk-weighted assets for credit risk exposures under the Internal Ratings Based (IRB) Approach. The table excludes counterparty credit risk exposures, securitisation exposures and other non-credit obligation assets.

		Total RWA quarter to 31 Mar 2026 £m
1	Risk weighted exposure amount as at the end of previous reporting period	9,644
2	Asset size (+/-)	498
3	Asset quality (+/-)	(55)
7	Foreign exchange movements (+/-)	(25)
9	Risk weighted exposure amount as at the end of the reporting period	10,062

Key movements 31 December 2025 to 31 March 2026: - Asset size increase largely driven by lending growth. ‌MARKET RISK‌ MR2-B: RWA flow statements of market risk exposures under the Internal Model Approach

The table below summarises the movements of risk-weighted assets for market risk exposures under the Internal Model Approach (IMA).

Total RWA quarter to 31 Mar 2026

	VaR £m	SVaR £m	IRC £m	Other £m	Total RWA £m	Total own funds requirements £m
1 RWAs at 31 December 2025	413	1,542	545	737	3,237	259
1a Regulatory adjustment	(325)	(1,158)	(231)	-	(1,714)	(137)
1b RWAs at the previous quarter-end (end of the day)1	88	384	314	737	1,523	122
2 Movement in risk levels	233	(149)	35	(60)	59	5
8a RWAs at end of the disclosure period (end of the day)1	321	235	349	677	1,582	127
8b Regulatory adjustment	134	1,331	11	-	1,476	118
8 RWAs at 31 March 2026	455	1,566	360	677	3,058	245

1 End of day represents spot position.

Key movements 31 December 2025 to 31 March 2026:

- RWA reduction driven by portfolio evolution leading to lower average IRC (Incremental Risk Charge) during Q1 2026.

‌LIQUIDITY‌

The table below presents the breakdown of the Bank's cash outflows and cash inflows, as well as its available high quality liquid assets, calculated as the simple averages of month end observations over the 12 months preceding the end of each quarter.

LIQ1: Liquidity Coverage Ratio (LCR) Total unweighted value (average) Total weighted value (average)

	31 Mar 2026	31 Dec 2025	30 Sep 2025	30 Jun 2025	31 Mar 2026	31 Dec 2025	30 Sep 2025	30 Jun 2025
Number of data points used in calculation of averages	12	12	12	12	12	12	12	12
High-quality liquid assets (£m)
1	Total high-quality liquid assets (HQLA)				26,993	26,830	26,787	26,353
Cash - outflows (£m)
2 Retail deposits and deposits from small business customers, of which:	7,826	7,814	7,798	7,787	987	1,000	1,013	1,026
4 Less stable deposits	7,313	7,466	7,628	7,787	987	1,000	1,013	1,026
5 Unsecured wholesale funding	10,087	9,975	9,790	9,045	5,996	5,979	6,000	5,688
6 Operational deposits (all counterparties) and deposits in networks of cooperative banks	92	98	105	105	23	25	26	26
7 Non-operational deposits (all counterparties)	9,075	9,006	8,665	7,911	5,053	5,082	4,953	4,633
8 Unsecured debt	920	871	1,020	1,029	920	872	1,021	1,029
9 Secured wholesale funding					865	751	625	435
10 Additional requirements	23,707	23,996	23,816	24,568	15,451	15,826	15,830	16,920
11 Outflows related to derivative exposures and other collateral requirements	9,497	9,805	9,883	11,109	9,497	9,805	9,883	11,109
13 Credit and liquidity facilities	14,210	14,191	13,933	13,459	5,954	6,021	5,947	5,811
14 Other contractual funding obligations	5,607	5,350	4,612	3,721	870	910	753	696
15 Other contingent funding obligations	8,139	7,455	7,050	6,803	215	201	197	200

16

Total cash outflows

24,384

24,667

24,418

24,965

Cash - inflows (£m)

17	Secured lending (e.g. reverse repos)	23,475	22,521	21,568	20,878	198	162	158	126
18	Inflows from fully performing exposures	855	946	936	971	798	896	886	918
19	Other cash inflows	7,526	7,675	7,392	8,068	7,526	7,676	7,391	8,068
20	Total cash inflows	31,856	31,142	29,896	29,917	8,522	8,734	8,435	9,112
UK-20c	Inflows subject to 75% cap	30,916	30,042	28,650	28,478	8,522	8,734	8,435	9,112

Total adjusted value

UK-21	Liquidity buffer (£m)		26,993	26,830	26,787	26,353
22	Total net cash outflows (£m)		15,862	15,933	15,983	15,853
23	Liquidity coverage ratio (%)		170%	169%	168%	167%

‌LIQUIDITY (Continued)‌ LIQB: Qualitative information on LCR

The Bank's LCR disclosure increased to 170% (based on a simple average over the previous 12 months) at 31 March 2026 (31 December 2025: 169%), an increase of 1 percentage point with no material changes in the liquid asset buffer or the net cash outflows.

The Bank manages and monitors funding and liquidity risks in accordance with internal risk appetite, strategy and regulatory requirements, including maintaining diversified funding sources. The Bank's funding sources include a range of wholesale unsecured funding, across a diverse range of products and counterparties. Funding concentration by counterparty, currency and tenor are 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.

The liquid asset buffer consists almost entirely of Level 1 assets. The majority of Level 1 assets are held as central bank reserves, with the remaining balance of Level 1 assets primarily held as government bonds.

The Bank's outflows related to derivative exposures and other collateral requirements include outflows for potential deterioration in credit rating and for the impact of an adverse market scenario on derivatives transactions. Also included are outflows on derivative contracts that have offsetting inflows recorded in 'other cash inflows'.

The Bank's liquidity risk management framework covers currency liquidity risk and ensures the currency denomination of LCR liquid assets is consistent with the distribution of net currency liquidity outflows. Granular LCR risk appetites by significant currency are set and monitored across tenors at Bank committee level.

‌FORWARD-LOOKING STATEMENTS‌

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 Corporate Markets plc together with its subsidiaries (the Group) and its current goals and expectations. Statements that are not historical or current facts, including statements about the 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 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 Group's future financial performance; the level and extent of future impairments and write-downs; the Group's ESG targets and/or commitments; statements of plans, objectives or goals of the Group or its management and other statements that are not historical fact 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, targets, 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 (including in relation to tariffs); imposed and threatened tariffs and changes to global trade policies; acts of hostility or terrorism and responses to those acts, or other such events; geopolitical unpredictability; the war between Russia and Ukraine; the escalation of conflicts in the Middle East; the tensions between China and Taiwan; political instability including as a result of any UK general election; market-related risks, trends and developments; exposure to counterparty risk; the impact of any regulatory and/or legislative divergence between the UK and EU as a result of the exit by the UK from the European Union (EU) and the effects of the EU-UK Trade and Cooperation Agreement; the ability to access sufficient sources of capital, liquidity and funding when required; changes to the Group's credit ratings; fluctuations in interest rates, inflation, exchange rates, stock markets and currencies; volatility in credit markets; volatility in the price of the Group's securities; tightening of monetary policy in jurisdictions in which the Group operates; natural pandemic and other disasters; risks concerning borrower and counterparty credit quality; changes in laws, regulations, practices and accounting standards or taxation; changes to regulatory capital or liquidity requirements and similar contingencies; the policies and actions of governmental or regulatory authorities or courts together with any resulting impact on the future structure of the Group; risks associated with the Group's compliance with a wide range of laws and regulations; assessment related to resolution-planning requirements; risks related to regulatory actions which may be taken in the event of a bank or Group failure; exposure to legal, regulatory or competition proceedings, investigations or complaints; 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; operational risks including risks as a result of the failure of third-party suppliers; conduct risk; risks related to new and emerging technologies, including artificial intelligence; 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; technological failure; inadequate or failed internal or external processes or systems; risks relating to ESG matters, such as climate change (and achieving climate change ambitions) and decarbonisation, including the Group's ability along with the government and other stakeholders to measure, manage and mitigate the impacts of climate change effectively, and human rights issues; the impact of competitive conditions; failure to attract, retain and develop high-calibre talent; the ability to achieve strategic objectives; 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; assumptions and estimates that form the basis of the Group's financial statements; and potential changes in dividend policy. A number of these influences and factors are beyond the control of the Group or Lloyds Banking Group plc. Please refer to the Base Prospectus for the Group's Euro Medium-Term Note Programme and the latest Annual Report on Form 20-F filed by Lloyds Banking Group plc with the US Securities and Exchange Commission (the SEC), which is available on the SEC's website at https://www.sec.gov, for a discussion of certain factors and risks. Lloyds Banking Group 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 Banking Group 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 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.

‌CONTACTS‌

For further information please contact:

INVESTORS AND ANALYSTS

Douglas Radcliffe

Group Investor Relations Director [e-mail]

Rohith Chandra-Rajan Director of Investor Relations

[e-mail]

Nora Thoden

Director of Investor Relations - ESG [e-mail]

Tom Grantham

Investor Relations Senior Manager [e-mail]

CORPORATE AFFAIRS

Matt Smith

Head of Media Relations [e-mail]

Emma Fairhurst

Media Relations Senior Manager [e-mail]

Registered office: Lloyds Bank Corporate Markets plc, 25 Gresham Street, London, EC2V 7HN Registered in England No. 10399850