Lloyds Banking : 0.4MB "Report Pillar 3 disclosures PDF" (2026 bos hy pillar 3)

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‌Bank of Scotland plc 2026 Half-Year Pillar 3 Disclosures 12 August 2026 ‌TABLE OF CONTENTS Introduction and basis of preparation Introduction and basis of preparation 3 Key metrics and overview of risk weighted exposure amounts KM1 Key metrics 4 OV1 Overview of risk weighted exposure amounts 5 CR8 RWA flow statements of credit risk exposures under the IRB approach 6 Own funds CC1 Composition of regulatory own funds 7 CC2 Reconciliation of regulatory own funds to the balance sheet in the financial statements 8 CCyB1 Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer 9 CCyB2 Amount of institution-specific countercyclical capital buffer 10 Leverage LR2 Leverage ratio common disclosure 11 LR1 Summary reconciliation of accounting assets and leverage ratio exposures 12 LR3 Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) 12 Credit risk CR1 Performing and non-performing exposures and related provisions 13 CR1-A Maturity of exposures 15 CR2 Changes in the stock of non-performing loans and advances 15 CQ1 Credit quality of forborne exposures 16 CQ4 Quality of non-performing exposures by geography 17 CQ5 Credit quality of loans and advances to non-financial corporations by industry 18 CR3 CRM techniques overview: Disclosure of the use of credit risk mitigation techniques 19 CR4 Standardised approach - Credit risk exposure and CRM effects 19 CR7-A IRB approach - Disclosure of the extent of the use of CRM techniques 20 CR10 Specialised lending and equity exposures under the simple risk-weighted approach 22 Appendix 1: Excluded templates 24 Forward-looking statements 25 Contacts 26 ‌INTRODUCTION AND BASIS OF PREPARATION‌ This document presents the half-year Pillar 3 disclosures of Bank of Scotland plc ('the Bank') as at 30 June 2026 and should be read in conjunction with the Bank of Scotland plc 2026 Half-Year Results. ‌Basis of Preparation The disclosures have been prepared in accordance with the requirements of the Disclosure (CRR) section of the PRA Rulebook. Where specific 'Articles' are referenced these refer to the applicable requirement within the PRA Rulebook or the UK Capital Requirements Regulation ('UK CRR'). The disclosures presented within this document are not required to be, and have not been, subjected to an external audit. Article 432 on non-material, proprietary or confidential information permits institutions to omit one or more disclosures if the information provided by such a disclosure is not regarded as material. Appendix 1 includes a list of excluded templates and the reason for exclusion. Where relevant, de minimis monetary amounts (<£0.5 million) are rounded down for reporting purposes and disclosed as a dash ('-') in the table. ‌Capital Instruments And Eligible Liabilities - Main Features Report (CRR Article 437(b)) A description of the main features of common equity tier 1 (CET1), additional tier 1 (AT1) and tier 2 (T2) capital instruments issued by Lloyds Banking Group plc (the ultimate parent company) and its large subsidiaries (including Bank of Scotland plc) are included in a separate document on the Lloyds Banking Group plc website located at https://www.lloydsbankinggroup.com/investors/financial-downloads . In addition, the report identifies and provides a description of the main features of debt instruments that are recognised as eligible liabilities in accordance with the Bank of England's MREL framework. Template TLAC 2 is included within the Pillar 3 disclosures for Lloyds Banking Group plc and details the creditor hierarchy and nominal values of instruments issued by Bank of Scotland plc. The Lloyds Banking Group plc 2026 Half-Year Pillar 3 Disclosures can be found on the Lloyds Banking Group plc website. ‌IRB Disclosures Changes to the regulations applicable to internal ratings based (IRB) models were implemented by the PRA on 1 January 2022. The Group's models to meet CRD IV requirements are subject to review and approval by the PRA. As directed by PRA Supervisory Statement SS 11/13, the Group has applied temporary post model adjustments to risk-weighted asset and expected loss amounts reflecting the new modelling requirements. Under the revised IRB regulations, Residential Mortgage exposures are subject to a 90 day default backstop and a hybrid-philosophy Probability of Default (PD) model. The Bank's incumbent (pre CRD IV) UK Mortgage models at the reporting date use a 180 day default backstop and a less cyclical PD model. As a result, the reported risk-weighted assets and expected loss amounts include the impact of significant temporary post model adjustments which reflect 90 day default backstop and other new modelling requirements. Less material definitional differences also exist for other IRB asset classes where similar temporary post model adjustments have been applied. Standardised approach exposures already use a 90 day default backstop and this is reflected in the CR4 tables. Tables CQ1, CQ4 and CQ5 are based on accounting definitions, and therefore also use the current 90 days past due definition. ‌KEY METRICS AND OVERVIEW OF RISK WEIGHTED EXPOSURE AMOUNTS‌ KM1: Key metrics 1 KM1 LR2 30 Jun 2026 31 Dec 2025 30 Jun 2025 Ref Ref Available own funds (amounts) 1 Common Equity Tier 1 (CET1) capital (£m) 11,750 11,083 10,855 2 Tier 1 capital (£m) 14,600 13,683 13,455 3 Total capital (£m) 15,100 15,183 15,121 Risk-weighted exposure amounts 4 Total risk-weighted exposure amount (£m) 83,201 82,357 81,830 Capital ratios (as a percentage of risk-weighted exposure amount) 5 Common Equity Tier 1 ratio (%) 14.1% 13.5% 13.3% 6 Tier 1 ratio (%) 17.5% 16.6% 16.4% 7 Total capital ratio (%) 18.1% 18.4% 18.5% Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount) UK 7a Additional CET1 SREP requirements (%) 1.1% 1.1% 1.1% UK 7b Additional AT1 SREP requirements (%) 0.3% 0.3% 0.4% UK 7c Additional T2 SREP requirements (%) 0.5% 0.5% 0.5% UK 7d Total SREP own funds requirements (%) 9.9% 9.9% 10.0% Combined buffer requirement (as a percentage of risk-weighted exposure amount) 8 Capital conservation buffer (%) 2.5% 2.5% 2.5% 9 Institution specific countercyclical capital buffer (%) 2.0% 2.0% 2.0% 11 Combined buffer requirement (%) 4.5% 4.5% 4.5% UK 11a Overall capital requirements (%) 14.4% 14.4% 14.5% 12 CET1 available after meeting minimum SREP own funds requirements (%) 2 8.5% 7.9% 7.6% Leverage ratio 13 UK-24b Total exposure measure excluding claims on central banks (£m) 323,091 320,952 315,906 14 25 Leverage ratio excluding claims on central banks (%) 4.5% 4.3% 4.3% Additional leverage ratio disclosure requirements UK 14b UK-25c Leverage ratio including claims on central banks (%) 4.5% 4.2% 4.2% UK 14c UK-34 Average leverage ratio excluding claims on central banks (%) 3 4.5% 4.3% 4.4% UK 14d UK-33 Average leverage ratio including claims on central banks (%) 3 4.5% 4.3% 4.3% UK-31 Average total exposure measure including claims on central banks 3 324,514 322,402 317,263 UK-32 Average total exposure measure excluding claims on central banks 3 321,815 319,700 314,549 27 Leverage ratio buffer (%) 4 0.7% 0.7% 0.7% UK 14e UK-27b Of which: countercyclical leverage ratio buffer (%) 0.7% 0.7% 0.7% 1 Includes extracts of LR2 (Leverage ratio common disclosure) that are required to be disclosed quarterly. 2 Represents, as a percentage, the level of CET1 capital left available to meet buffer requirements after subtracting the minimum amount of CET1 capital required to meet total Pillar 1 plus Pillar 2A capital requirements, also referred to as total SREP own funds requirements. The minimum CET1 requirement is equivalent to 4.5% (Pillar 1) plus the additional CET1 SREP requirement (56.25% of Pillar 2A). 3 The average leverage ratio is based on the average of the month end tier 1 capital position and average exposure measure over the quarter. 4 The additional leverage ratio buffer (ALRB) does not apply for the Bank. ‌Common Equity Tier 1 The Bank's common equity tier 1 (CET1) capital ratio increased from 13.5% at 31 December 2025 to 14.1% at 30 June 2026. Profit for the first half of the year was partly offset by an increase in risk-weighted assets. Total Capital The total capital ratio reduced to 18.1% (31 December 2025: 18.4%) reflecting the increase in risk-weighted assets and a reduction in total capital resources, with the increase in CET1 capital and AT1 instrument issuance more than offset by AT1 and Tier 2 instrument calls. Risk-Weighted Assets Risk-weighted assets increased by £844 million from £82,357 million at 31 December 2025 to £83,201 million at 30 June 2026, largely reflecting the impact of lending growth offset by optimisation activity, including a securitisation of primarily legacy mortgages. Leverage The Bank's UK leverage ratio of 4.5% at 30 June 2026 has increased from 4.3% at 31 December 2025, reflecting the increase in total tier 1 capital, partially offset by the increase in the leverage exposure measure following lending growth. ‌KEY METRICS AND OVERVIEW OF RISK WEIGHTED EXPOSURE AMOUNTS (Continued) ‌ OV1: Overview of risk weighted exposure amounts Total RWA Total own funds requirements 30 Jun 2026 £m 31 Dec 2025 £m 30 Jun 2026 £m 1 Credit risk (excluding CCR) 76,475 75,342 6,118 2 Of which the standardised approach 5,577 6,196 446 3 Of which the foundation IRB (FIRB) approach 1,170 1,400 94 4 Of which slotting approach 521 542 42 UK 4a Of which equities under the simple risk weighted approach 2,896 2,782 232 5 Of which the advanced IRB (AIRB) approach 65,376 63,418 5,230 Of which: non-credit obligation assets 1 935 1,004 74 6 Counterparty credit risk (CCR) 129 188 10 7 Of which the standardised approach 88 125 7 UK 8b Of which credit valuation adjustment (CVA) 41 63 3 16 Securitisation exposures in the non-trading book (after the cap) 530 722 43 17 Of which SEC-IRBA approach - - - 18 Of which SEC-ERBA approach (including IAA) 529 705 43 19 Of which SEC-SA approach 1 17 - 20 Position, foreign exchange and commodities risks (Market risk) 16 54 1 21 Of which the standardised approach 16 54 1 23 Operational risk 6,051 6,051 484 UK 23b Of which standardised approach 6,051 6,051 484 24 Memo: Amounts below the thresholds for deduction (subject to 250% risk weight) 2,896 2,806 232 29 Total 83,201 82,357 6,656 Pillar 2A capital requirement 2 1,582 Total capital requirement 8,238 1 Non-credit obligation assets (IRB approach) predominantly relate to other balance sheet assets that have no associated credit risk. 2 As at 30 June 2026, the Bank's Pillar 2A capital requirement was c.1.9% of risk-weighted assets, of which c.1.1% is to be met with CET1 capital. ‌Risk-weighted assets increased by £844 million to £83,201 million at 31 December 2026 (31 December 2025: £82,357 million). This largely reflected: Credit Risk: RWAs increased by £1,133 million to £76,475 million, principally due to Retail lending, partially offset by optimisation activity, including the securitisation of primarily legacy mortgages. ‌KEY METRICS AND OVERVIEW OF RISK WEIGHTED EXPOSURE AMOUNTS (Continued) ‌ 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, other non-credit obligation assets and equity exposures. Total RWA quarter to 30 June 2026 £m Total RWA YTD 30 June 2026 £m 1 Risk weighted exposure amount as at the end of previous reporting period 65,958 65,360 2 Asset size (+/-) 1,638 2,168 3 Asset quality (+/-) (369) (332) 4 Model updates (+/-) (175) (175) 7 Foreign exchange movements (+/-) (1) (1) 8 Other (+/-) 16 47 9 Risk weighted exposure amount at the end of the reporting period 67,067 67,067 Key movements 31 March 2026 to 30 June 2026 and 31 December 2025 to 30 June 2026: - Asset size increase largely driven by Retail lending growth. ‌CC1: Composition of regulatory own funds‌ OWN FUNDS Jun 2026 Dec 2025 CC2 Common Equity Tier 1 (CET1) capital: instruments and reserves £m £m reference 1 Capital instruments and the related share premium accounts 5,847 5,847 of which: called up share capital 5,847 5,847 a 2 Retained earnings 4,831 5,290 c 3 Accumulated other comprehensive income (and other reserves) 3,244 3,226 c UK-5a Independently reviewed interim profits net of any foreseeable charge or dividend 1 644 (480) of which: foreseeable dividend - (480) 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments 14,566 13,883 Common Equity Tier 1 (CET1) capital: regulatory adjustments 7 Additional value adjustments (32) (39) 8 Intangible assets (net of related tax liability) (765) (746) d 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) (1,677) (1,736) e 11 Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value 76 90 12 Negative amounts resulting from the calculation of expected loss amounts (385) (295) 14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing (1) (1) 15 Defined-benefit pension fund assets (32) (28) f 19 Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) - (45) g 28 Total regulatory adjustments to Common Equity Tier 1 (CET1) (2,816) (2,800) 29 Common Equity Tier 1 (CET1) capital 11,750 11,083 Additional Tier 1 (AT1) capital: instruments 30 Capital instruments and the related share premium accounts 2,850 2,600 b 31 of which: classified as equity under applicable accounting standards 2,850 2,600 44 Additional Tier 1 (AT1) capital 2,850 2,600 45 Tier 1 capital (T1 = CET1 + AT1) 14,600 13,683 Tier 2 (T2) capital: instruments 46 Capital instruments and the related share premium accounts 500 1,500 h 50 Credit risk adjustments - - 51 Tier 2 (T2) capital before regulatory adjustments 500 1,500 Tier 2 (T2) capital: regulatory adjustments 58 Tier 2 (T2) capital 500 1,500 59 Total capital (TC = T1 + T2) 15,100 15,183 60 Total risk exposure amount 83,201 82,357 Capital ratios and buffer 61 Common Equity Tier 1 (as a percentage of total risk exposure amount) 14.1% 13.5% 62 Tier 1 (as a percentage of total risk exposure amount) 17.5% 16.6% 63 Total capital (as a percentage of total risk exposure amount) 18.1% 18.4% Institution CET1 overall capital requirement (CET1 requirement in accordance with Article 92 (1) CRR, plus additional CET1 requirement which the institution is required to hold in accordance with point (a) of Article 104(1) CRD, plus combined buffer requirement in accordance with Article 128(6) CRD) 64 expressed as a percentage of risk exposure amount) 10.1% 10.1% 65 of which: capital conservation buffer requirement 2.5% 2.5% 66 of which: countercyclical buffer requirement 2.0% 2.0% 68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 8.5% 7.9% Amounts below the thresholds for deduction (before risk weighting) Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net 73 of eligible short positions) 1,158 1,113 Deferred tax assets arising from temporary differences (amount below 17.65% threshold, net of related 75 tax liability where the conditions in Article 38 (3) CRR are met) - 9 Applicable caps on the inclusion of provisions in Tier 2 Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) - - Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach 409 399 1 The reported amount for 30 June 2026 through row UK-5a reflects the independently reviewed interim profits of the Bank attributable to ordinary shareholders. The reported amount for 31 December 2025 reflects the year end foreseeable dividend accrual only as the externally audited profits for the year to 31 December 2025 are included in row 2 (Retained earnings). ‌OWN FUNDS (Continued) ‌ CC2: Reconciliation of regulatory own funds to the balance sheet in the financial statements The following table presents the Bank's accounting balance sheet as at 30 June 2026 which forms the basis for the calculation of the Bank's regulatory own funds as presented in table CC1. There is no difference between the Bank's accounting and regulatory balance sheets. Balance sheet at 30 Jun 26 £m Reference 1 Assets 1 Cash and balances at central banks 2,706 2 Financial assets at fair value through profit or loss 122 3 Derivative financial instruments 1,951 4 Loans and advances to banks 117 5 Loans and advances to customers 307,969 6 Debt securities 680 7 Due from fellow Lloyds Bank Group undertakings 32,241 8 Financial assets at amortised cost 341,007 9 Investment in subsidiary undertakings 1,284 d, g 10 Goodwill and other intangible assets 325 d 11 Current tax recoverable 416 12 Deferred tax assets 2 1,689 e 13 Retirement benefit assets 45 f 14 Other assets 1,497 15 Total assets 351,042 Liabilities 1 Deposits from banks 109 2 Customer deposits 164,617 3 Repurchase agreements at amortised cost 12,969 4 Due to fellow Lloyds Bank Group undertakings 140,476 5 Derivative financial instruments 1,883 6 Notes in circulation 2,177 7 Debt securities in issue 9,399 8 Other liabilities 1,145 11 Other provisions 322 12 Subordinated liabilities 529 h 13 Total liabilities 333,626 Shareholders' equity 1 Called up share capital 5,847 2 of which: share capital 5,847 a 3 Other equity instruments 2,850 b 4 Retained earnings, accumulated other comprehensive income and other reserves 8,719 c 5 Total equity excluding non-controlling interests 17,416 6 Non-controlling interests - 7 Total equity 17,416 8 Total equity and liabilities 351,042 1 The references (a) to (h) identify regulatory balance sheet components that link initially to items disclosed in table CC1, prior to the application of regulatory definitions and adjustments per the rules for calculating own funds. 2 Deferred tax assets that rely on future profitability may be reduced by associated deferred tax liabilities where the conditions specified in Article 38 of the CRR are met. The resultant net deferred tax asset positions are deducted from CET1 capital, except in the case of deferred tax assets that arise from temporary differences which may be risk weighted instead of deducted from capital for the portion of the balance that does not exceed a threshold limit. ‌OWN FUNDS (Continued) CCyB1: Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer‌ 30 Jun 2026 General credit exposures 2,3 Relevant credit exposures - Market risk 2 Securitisation exposures 3 Own fund requirements - relevant credit exposures Sum of long and Exposure value short positions Value of trading Securitisation under the Exposure value of trading book book exposures Exposure value Total positions in the Risk-weighted Own fund standardised under the IRB exposures for for internal for non- exposure non-trading exposure requirements Countercyclical approach approach SA models trading book value Credit risk 2,3 Market risk 2 book 3 Total amounts weights buffer rate Breakdown by Country £m £m £m £m £m £m £m £m £m £m £m % % United Kingdom 13,411 348,075 - - 930 362,416 5,882 - 16 5,898 73,724 99.41 2.00 Denmark - 5 - - - 5 - - - - 4 0.01 2.50 France - - - - 71 71 - - 3 3 38 0.05 1.00 Germany - 28 - - 230 258 3 1 4 55 0.07 0.75 Hong Kong - 3 - - - 3 - - - - 2 0.00 0.50 Ireland 1 5 - - - 6 - - - - 4 0.01 1.50 Luxembourg - 40 - - - 40 - - - - - 0.00 0.50 Netherlands - - - - 66 66 - - 1 1 7 0.01 2.00 i) Total 1 13,412 348,156 - - 1,297 362,865 5,885 - 21 5,906 73,834 99.56 ii) Total 1 - - - - - - - - - - - 0.00 iii) Rest of the World 1 73 18 - - 1,549 1,640 5 - 22 27 326 0.44 Total 13,485 348,174 - - 2,846 364,505 5,890 - 43 5,933 74,160 100.00 OWN FUNDS (Continued) CCyB1: Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer continued 31 Dec 2025 General credit exposures 2,3 Relevant credit exposures - Market risk 2 Securitisation exposures 3 Own fund requirements - relevant credit exposures Exposure value Sum of long and Value of trading Securitisation under the Exposure value short positions book exposures Exposure value Total positions in the Risk-weighted Own fund standardised under the IRB of trading book for internal for non-trading exposure non-trading exposure requirements Countercyclical approach approach exposures for SA models book value Credit risk 2,3 Market risk 2 book 3 Total amounts weights buffer rate Breakdown by Country £m £m £m £m £m £m £m £m £m £m £m % % United Kingdom 14,998 341,037 - - 1,462 357,497 5,799 - 35 5,834 72,919 99.45 2.00 Denmark - 6 - - - 6 - - - - 4 0.01 2.50 France - - - - 62 62 - - 3 3 34 0.05 1.00 Germany - 30 - - 233 263 3 - 2 5 58 0.08 0.75 Hong Kong - 3 - - - 3 - - - - 2 0.00 0.50 Ireland - 6 - - - 6 - - - - 5 0.01 1.50 Luxembourg - 47 - - - 47 - - - - - 0.00 0.50 Netherlands - - - - 67 67 - - 1 1 7 0.01 2.00 i) Total 1 14,998 341,129 - - 1,824 357,951 5,802 - 41 5,843 73,029 99.61 ii) Total 1 - - - - - - - - - - - 0.00 iii) Rest of the World 1 73 37 - - 1,282 1,392 6 - 17 23 292 0.39 Total 1 15,071 341,166 - - 3,106 359,343 5,808 - 58 5,866 73,321 100.00 1 The breakdown by country is disclosed on the following basis: i. those countries for which a countercyclical capital buffer rate has been set and the Bank holds applicable exposures. ii. those countries for which a countercyclical capital buffer rate has not been set and have an own funds requirement weighting of greater than or equal to one per cent, the threshold having been determined by the Bank in accordance with guidelines on materiality for Pillar 3. iii. the aggregate of all remaining countries for which a countercyclical buffer rate has not been set and individually have an own funds requirement weighting of less than one per cent. 2 For the purposes of the calculation of the countercyclical capital buffer, general credit risk and trading book exposures exclude exposures to central governments, central banks, regional governments, local authorities, public sector entities, multilateral development banks, international organisations and institutions. In addition, trading book exposures are limited to those that are subject to the own funds requirement for specific risk or incremental default and migration risk (IRC). 3 General credit and securitisation exposures include counterparty credit risk and are stated on a post CRM basis. ‌CCyB2: Amount of institution-specific countercyclical capital buffer‌ 30 Jun 2026 31 Dec 2025 1 Total risk exposure amount £83,201m £82,357m 2 Institution specific countercyclical capital buffer rate 1.99% 1.99% 3 Institution specific countercyclical capital buffer requirement £1,655m £1,639m ‌LEVERAGE‌ LR2: Leverage ratio common disclosure 30 Jun 2026 31 Dec 2025 £m £m On-balance sheet exposures (excluding derivatives and SFTs) 1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) 1 348,996 333,752 3 Deductions of receivables assets for cash variation margin provided in derivatives transactions (71) (72) 6 Asset amounts deducted in determining tier 1 capital (leverage) (2,862) (2,856) 7 Total on-balance sheet exposures (excluding derivatives and SFTs) 346,063 330,824 Derivative exposures 8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) 225 86 9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions 400 475 11 Adjusted effective notional amount of written credit derivatives - - 12 Adjusted effective notional offsets and add-on deductions for written credit derivatives - - 13 Total derivatives exposures 625 561 Securities financing transaction (SFT) exposures 14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions - 5 18 Total securities financing transaction exposures - 5 Other off-balance sheet exposures 19 Off-balance sheet exposures at gross notional amount 48,248 45,236 20 Adjustments for conversion to credit equivalent amounts (39,025) (37,049) General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off- 21 balance sheet exposures (59) (63) 22 Off-balance sheet exposures 9,164 8,124 Excluded exposures UK-22a Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR (30,055) (15,847) UK-22k Total exempted exposures (30,055) (15,847) Capital and total exposure measure 23 Tier 1 capital (leverage) 14,600 13,683 24 Total exposure measure including claims on central banks 325,797 323,667 UK-24a (-) Claims on central banks excluded (2,706) (2,715) UK-24b Total exposure measure excluding claims on central banks 323,091 320,952 Leverage ratio 25 Leverage ratio excluding claims on central banks (%) 4.5% 4.3% UK-25c Leverage ratio including claims on central banks (%) 4.5% 4.2% 26 Regulatory minimum leverage ratio requirement (%) 3.25% 3.25% Additional leverage ratio disclosure requirements - leverage ratio buffers 27 Leverage ratio buffer (%) 0.7% 0.7% UK-27b Of which: countercyclical leverage ratio buffer (%) 0.7% 0.7% Additional leverage ratio disclosure requirements - disclosure of mean values Mean of daily values of gross SFT assets (over the quarter), after adjustment for sale accounting transactions and 28 netted of amounts of associated cash payables and cash receivable 2 - - Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts 29 of associated cash payables and cash receivables 2 - - UK-31 Average total exposure measure including claims on central banks 324,514 322,402 UK-32 Average total exposure measure excluding claims on central banks 321,815 319,700 UK-33 Average leverage ratio including claims on central banks 4.5% 4.3% UK-34 Average leverage ratio excluding claims on central banks 4.5% 4.3% 1 Includes an adjustment to exclude lending under the UK Government's Bounce Back Loan Scheme (BBLS). 2 Excludes intragroup SFT assets amounting to £5 million at 31 December 2025, exempted in accordance with point (c) of Article 429a(1) of the CRR. ‌LEVERAGE (Continued) LR1: Summary reconciliation of accounting assets and leverage ratio exposures‌ 30 Jun 2026 £m 31 Dec 2025 £m 1 Total assets as per financial statements 351,042 336,117 4 Adjustment for exemption of exposures to central banks (2,706) (2,715) 6 Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting - (1) 8 Adjustment for derivative financial instruments 282 148 10 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) 1 9,223 8,187 11 Adjustment for items and specific and general provisions which have reduced tier 1 capital (leverage) (2,921) (2,919) UK-11a Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR (31,735) (17,719) 12 Other adjustments 2 (94) (146) 13 Total exposure measure 323,091 320,952 1 Gross of specific provisions. The amount net of specific provisions at 30 June 2026 is £9,164 million (31 December 2025: £8,124 million). 2 Includes an adjustment to exclude lending under the UK Government's Bounce Back Loan Scheme (BBLS). ‌LR3: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)‌ 30 Jun 2026 £m 31 Dec 2025 £m UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: 319,398 318,258 UK-2 Trading book exposures - - UK-3 Banking book exposures, of which: 319,398 318,258 UK-5 Exposures treated as sovereigns 2,230 2,244 UK-7 Institutions 38 29 UK-8 Secured by mortgages of immovable properties 291,089 288,402 UK-9 Retail exposures 11,366 11,226 UK-10 Corporates 3,687 3,417 UK-11 Exposures in default 2,546 2,892 UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) 8,442 10,048 ‌CREDIT RISK‌ The tables in this section reflect FINREP categories and definitions. The reported values for defaulted exposure reflect a definition of default backstop of 90 days. CR1: Performing and non-performing exposures and related provisions Gross carrying amount/nominal amount 1 30 Jun 2026 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions 1 Non-performing exposures -accumulated impairment, Collateral and financial guarantees received Performing exposures Non-performing exposures Performing exposures -accumulated impairment and provisions accumulated negative changes in fair value due to credit risk and provisions On On non- £m Of which stage 1 £m Of which stage 2 £m £m Of which stage 2 £m Of which stage 3 £m £m Of which stage 1 £m Of which stage 2 £m £m Of which stage 2 £m Of which stage 3 £m Accumulated partial write-off £m performing exposures £m performing exposures £m Cash balances at central banks and other 005 demand deposits 4,506 4,506 - - - - - - - - - - - - - 010 Loans and advances 332,961 305,123 27,720 5,161 312 4,849 (530) (156) (374) (595) (19) (576) (147) 290,352 4,273 020 Central banks 1,780 1,780 - - - - - - - - - - - - - 030 General governments 21 8 - - - - - - - - - - - 8 - 040 Credit institutions 23,066 23,066 - - - - - - - - - - - - - 050 Other financial corporations 4,109 4,108 1 2 - 2 - - - (2) - (2) - 16 - 060 Non-financial corporations 4,803 4,043 682 232 11 221 (39) (9) (30) (58) - (58) (147) 1,398 58 070 Of which SMEs 1,946 1,590 356 99 11 88 (11) (3) (8) (8) - (8) - 363 18 080 Households 299,182 272,118 27,037 4,927 301 4,626 (491) (147) (344) (535) (19) (516) - 288,930 4,215 090 Debt securities 1,406 1,403 - 1 - 1 - - - (1) - (1) - - - 120 Credit institutions 151 151 - - - - - - - - - - - - - 130 Other financial corporations 1,255 1,252 - - - - - - - - - - - - - 140 Non-financial corporations - - - 1 - 1 - - - (1) - (1) - - - 150 Off-balance-sheet exposures 47,450 46,348 1,102 135 110 25 (59) (32) (27) (3) (2) (1) 383 - 170 General governments 22 22 - - - - - - - - - - - - 190 Other financial corporations 2,538 2,537 1 - - - - - - - - - - - 200 Non-financial corporations 2,005 1,913 92 62 60 2 (4) (2) (2) (1) - (1) 383 - 210 Households 42,885 41,876 1,009 73 50 23 (55) (30) (25) (2) (2) - - - 220 Total 386,323 357,380 28,822 5,297 422 4,875 (589) (188) (401) (599) (21) (578) (147) 290,735 4,273 CREDIT RISK (Continued) CR1: Performing and non-performing exposures and related provisions continued Gross carrying amount/nominal amount 1 31 Dec 2025 Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions 1 Non-performing exposures -accumulated impairment, Collateral and financial guarantees received Performing exposures Non-performing exposures Performing exposures -accumulated impairment and provisions accumulated negative changes in fair value due to credit risk and provisions On On non- £m Of which stage 1 £m Of which stage 2 £m £m Of which stage 2 £m Of which stage 3 £m £m Of which stage 1 £m Of which stage 2 £m £m Of which stage 2 £m Of which stage 3 £m Accumulated partial write-off £m performing exposures £m performing exposures £m Cash balances at central banks and other 005 demand deposits 1,728 1,728 - - - - - - - - - - - - - 010 Loans and advances 319,572 290,159 29,292 5,722 343 5,379 (558) (153) (405) (686) (21) (665) (147) 287,943 4,728 020 Central banks 1,745 1,745 - - - - - - - - - - - - - 030 General governments 23 10 - - - - - - - - - - - 10 - 040 Credit institutions 11,779 11,779 - - - - - - - - - - - - - 050 Other financial corporations 4,063 4,063 - 2 - 2 - - - (2) - (2) - 12 - 060 Non-financial corporations 4,995 4,226 689 245 15 230 (54) (11) (43) (60) - (60) (147) 1,608 56 070 Of which SMEs 1,950 1,590 360 106 15 91 (14) (4) (10) (9) - (9) - 418 13 080 Households 296,967 268,336 28,603 5,475 328 5,147 (504) (142) (362) (624) (21) (603) - 286,313 4,672 090 Debt securities 1,672 1,669 - 1 - 1 - - - (1) - (1) - - - 120 Credit institutions 40 40 - - - - - - - - - - - - - 130 Other financial corporations 1,632 1,629 - - - - - - - - - - - - - 140 Non-financial corporations - - - 1 - 1 - - - (1) - (1) - - - 150 Off-balance-sheet exposures 45,073 43,528 1,544 72 52 20 (61) (31) (30) (2) (2) - 228 - 170 General governments 5 5 - - - - - - - - - - - - 190 Other financial corporations 2,508 2,508 - - - - - - - - - - 1 - 200 Non-financial corporations 1,908 1,773 134 3 2 1 (3) (1) (2) - - - 227 - 210 Households 40,652 39,242 1,410 69 50 19 (58) (30) (28) (2) (2) - - - 220 Total 368,045 337,084 30,836 5,795 395 5,400 (619) (184) (435) (689) (23) (666) (147) 288,171 4,728 1 Staging analysis will exclude those assets and provisions that can not be allocated to a stage such as those classified as 'purchased or originated credit impaired' (POCI) and those measured at fair value. BANK OF SCOTLAND PLC 2026 HALF-YEAR PILLAR 3 DISCLOSURES ‌CREDIT RISK (Continued) ‌ CR1-A: Maturity of exposures 30 Jun 2026 Net exposure value On demand £m <= 1 year £m > 1 year <= 5 years £m > 5 years £m No stated maturity £m Total £m 1 Loans and advances 6,884 4,978 18,373 306,723 39 336,997 2 Debt securities 151 - 883 372 - 1,406 3 Total 7,035 4,978 19,256 307,095 39 338,403 31 Dec 2025 £m £m £m £m £m £m 1 Loans and advances 7,114 7,113 19,584 290,198 40 324,049 2 Debt securities 40 967 270 395 - 1,672 3 Total 7,154 8,080 19,854 290,593 40 325,721 ‌CR2: Changes in the stock of non-performing loans and advances‌ Gross carrying amount £m 010 Initial stock of non-performing loans and advances at 31 December 2025 5,722 020 Inflows to non-performing portfolios 1,126 030 Outflows from non-performing portfolios (1,687) 040 Outflows due to write-offs (232) 050 Outflow due to other situations (1,455) 060 Final stock of non-performing loans and advances at 30 June 2026 5,161 Page 15 of 26 BANK OF SCOTLAND PLC 2026 HALF-YEAR PILLAR 3 DISCLOSURES ‌CREDIT RISK (Continued) ‌ CQ1: Credit quality of forborne exposures 30 Jun 2026 Gross carrying amount/nominal amount of exposures with forbearance measures Non-performing forborne Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Collateral received and financial guarantees received on forborne exposures Of which collateral and financial guarantees received on non-performing Performing forborne £m £m Of which defaulted £m Of which impaired £m On performing forborne exposures £m On non-performing forborne exposures £m £m exposures with forbearance measures £m 010 Loans and advances 877 2,258 2,098 2,098 (17) (263) 2,531 1,756 050 Other financial corporations 1 2 2 2 - (2) - - 060 Non-financial corporations 34 232 221 221 - (58) 59 58 070 Households 842 2,024 1,875 1,875 (17) (203) 2,472 1,698 090 Loan commitments given 48 108 25 25 (1) (2) - - 100 Total 925 2,366 2,123 2,123 (18) (265) 2,531 1,756 31 Dec 2025 £m £m £m £m £m £m £m £m 010 Loans and advances 838 2,370 2,182 2,182 (16) (289) 2,559 1,833 050 Other financial corporations 1 2 2 2 - (2) - - 060 Non-financial corporations 46 232 195 195 - (58) 50 48 070 Households 791 2,136 1,985 1,985 (16) (229) 2,509 1,785 090 Loan commitments given 46 46 19 19 (1) (1) - - 100 Total 884 2,416 2,201 2,201 (17) (290) 2,559 1,833 Page 16 of 26 ‌CREDIT RISK (Continued) CQ4: Quality of non-performing exposures by geography‌ Total performing and Accumulated Provisions on off- balance-sheet commitments and financial guarantees negative changes in fair value due to credit risk on non- performing non-performing Of which defaulted impairment given exposures £m £m £m £m £m 010 On-balance-sheet exposures 339,529 4,849 (1,126) - 040 United Kingdom 339,331 4,849 (1,124) - 070 Other countries 198 - (2) - 080 Off-balance-sheet exposures 47,585 25 (62) 110 United Kingdom 47,575 25 (62) 140 Other countries 10 - - 150 Total 387,114 4,874 (1,126) (62) - 31 Dec 2025 1 £m £m £m £m £m 010 On-balance-sheet exposures 326,967 5,378 (1,245) - 040 United Kingdom 326,756 5,378 (1,242) - 070 Other countries 211 - (3) - 080 Off-balance-sheet exposures 45,145 20 (63) 110 United Kingdom 45,111 20 (63) 140 Other countries 34 - - 150 Total 372,112 5,398 (1,245) (63) - Gross carrying/nominal amount 30 Jun 2026 1 Accumulated 1 Geographical exposures are presented individually by country where the total exposure to that country exceeds 1% of the Bank's total exposure. All other geographical exposures are presented in aggregate within other countries. ‌CREDIT RISK (Continued) CQ5: Credit quality of loans and advances to non-financial corporations by industry‌ 30 Jun 2026 Gross carrying amount Accumulated negative changes in fair value due to credit risk on non- £m Of which defaulted £m Accumulated impairment £m performing exposures £m 010 Agriculture, forestry and fishing 508 15 (8) - 020 Mining and quarrying 4 - - - 030 Manufacturing 155 2 (1) - 040 Electricity, gas, steam and air conditioning supply 9 - - - 050 Water supply 6 - - - 060 Construction 453 67 (23) - 070 Wholesale and retail trade 425 9 (4) - 080 Transport and storage 110 1 (6) - 090 Accommodation and food service activities 294 6 (3) - 100 Information and communication 31 11 (1) - 110 Financial and insurance activities 120 Real estate activities 2,544 85 (37) - 130 Professional, scientific and technical activities 103 4 (5) - 140 Administrative and support service activities 73 1 (1) - 160 Education 53 8 (1) - 170 Human health services and social work activities 170 4 (1) - 180 Arts, entertainment and recreation 35 6 (5) - 190 Other services 62 2 (1) - 200 Total 5,035 221 (97) - 31 Dec 2025 £m £m £m £m 010 Agriculture, forestry and fishing 499 21 (10) - 020 Mining and quarrying 4 - - - 030 Manufacturing 150 38 (1) - 040 Electricity, gas, steam and air conditioning supply 11 - - - 050 Water supply 7 - - - 060 Construction 469 36 (25) - 070 Wholesale and retail trade 359 6 (4) - 080 Transport and storage 390 2 (8) - 090 Accommodation and food service activities 304 10 (4) - 100 Information and communication 30 3 (1) - 110 Financial and insurance activities 120 Real estate activities 2,526 92 (44) - 130 Professional, scientific and technical activities 135 4 (8) - 140 Administrative and support service activities 59 6 (1) - 160 Education 37 - (1) - 170 Human health services and social work activities 166 5 (1) - 180 Arts, entertainment and recreation 33 6 (5) - 190 Other services 61 1 (1) - 200 Total 5,240 230 (114) - ‌CREDIT RISK (Continued) CR3: CRM techniques overview: Disclosure of the use of credit risk mitigation techniques‌ 30 Jun 2026 Unsecured Secured Of which Of which secured by Of which secured by carrying amount carrying amount secured by collateral financial guarantees credit derivatives £m £m £m £m £m Loans and advances 42,372 294,625 294,453 172 - Debt securities 1,406 - - - Total 43,778 294,625 294,453 172 - Of which non-performing exposures 293 4,273 4,260 13 - Of which defaulted 190 4,063 31 Dec 2025 £m £m £m £m £m Loans and advances 31,378 292,672 292,432 239 - Debt securities 1,672 - - - Total 33,050 292,672 292,432 239 - Of which non-performing exposures 307 4,728 4,717 11 - Of which defaulted 189 4,503 ‌CR4: Standardised approach - Credit risk exposure and CRM effects‌ Exposures before CCF and before CRM 30 Jun 2026 Exposures post CCF and post CRM RWAs and RWAs density 1 On-balance Off-balance On-balance Off-balance sheet sheet sheet sheet RWAs exposures exposures exposures exposures RWAs density Exposure classes £m £m £m £m £m % 1 Central governments or central banks 2,196 - 2,326 46 - - 6 Institutions 28,600 41 28,600 8 11 - 7 Corporates 3,366 628 3,363 147 1,108 32 8 Retail 1,344 308 1,263 13 864 68 9 Secured by mortgages on immovable property 7,317 712 7,317 509 2,756 35 10 Exposures in default 722 3 700 - 716 102 16 Other items 163 - 163 - 122 75 17 Total 43,708 1,692 43,732 723 5,577 13 31 Dec 2025 Exposure classes £m £m £m £m £m % 1 Central governments or central banks 2,204 - 2,388 36 23 1 6 Institutions 13,856 40 13,856 8 11 - 7 Corporates 2,915 955 2,909 209 810 26 8 Retail 1,375 327 1,242 8 845 68 9 Secured by mortgages on immovable property 9,039 761 9,039 501 3,357 35 10 Exposures in default 1,002 4 974 - 999 103 16 Other items 180 - 180 - 151 84 17 Total 30,571 2,087 30,588 762 6,196 20 1 Risk-weighted assets and density reported in this table are disclosed after application of supporting factors. ‌CREDIT RISK (Continued) ‌ CR7-A IRB approach - Disclosure of the extent of the use of CRM techniques 30 Jun 2026 Part of Part of Part of Part of exposures Part of Part of RWA with Part of exposures exposures exposures covered by Part of exposures exposures Part of substitution exposures covered by covered by Part of covered by other exposures covered by covered by Part of exposures effects (both Total covered by other immovable exposures other funded covered by life instruments exposures covered by reduction and exposure financial eligible property covered by physical credit cash on insurance held by a covered by credit substitution at default collaterals collaterals 1 collaterals 1 receivables collateral protection deposit policies third party guarantees derivatives effects) A-IRB £m % % % % % % % % % % % £m 4 Retail 343,147 - 92.4 92.4 - - - - - - - - 65,376 4.1 Of which Retail - Immovable property SMEs - - - - - - - - - - - - - 4.2 Of which Retail - Immovable property non-SMEs 317,330 - 99.9 99.9 - - - - - - - - 54,708 4.3 Of which Retail - Qualifying revolving 21,113 - - - - - - - - - - - 5,757 4.4 Of which Retail - Other SMEs - - - - - - - - - - - - - 4.5 Of which Retail - Other non-SMEs 4,704 - - - - - - - - - - - 4,911 5 Total 343,147 - 92.4 92.4 - - - - - - - - 65,376 Credit risk mitigation techniques Funded Credit Protection (FCP) Unfunded Credit Protection (UFCP) 2 Credit risk mitigation methods in the calculation of RWAs F-IRB 1 Central governments and central banks - - - - - - - - - - 2 Institutions 33 45.0 - - - - - - - 5 3 Corporates 2,264 15.9 52.4 52.1 0.3 - - 6.0 - 1,166 3.1 Of which Corporates - SMEs 538 2.1 46.6 46.5 0.1 - - 0.6 - 337 3.3 Of which Corporates - Other 1,726 20.2 54.2 53.9 0.3 - - 7.6 - 829 4 Total 2,297 16.3 51.7 51.4 0.3 - - 5.9 - 1,171 Other IRB Specialised lending under the slotting approach 3 818 521 Total 818 521 CREDIT RISK (Continued) CR7-A IRB approach - Disclosure of the extent of the use of CRM techniques continued 31 Dec 2025 Credit risk mitigation techniques Credit risk mitigation methods in Funded Credit Protection (FCP) Unfunded Credit Protection (UFCP) 2 the calculation of RWAs Part of Part of Part of Part of exposures Part of Part of RWA with Part of exposures exposures exposures covered by Part of exposures exposures Part of substitution exposures covered by covered by Part of covered by other exposures covered by covered by Part of exposures effects (both Total covered by other immovable exposures other funded covered by life instruments exposures covered by reduction and exposure financial eligible property covered by physical credit cash on insurance held by a covered by credit substitution at default collaterals collaterals 1 collaterals 1 receivables collateral protection deposit policies third party guarantees derivatives effects) A-IRB £m % % % % % % % % % % % £m 4 Retail 335,772 - 92.2 92.2 - - - - - - - - 63,418 4.1 Of which Retail - Immovable property SMEs - - - - - - - - - - - - - 4.2 Of which Retail - Immovable property non-SMEs 310,007 - 99.9 99.9 - - - - - - - - 52,991 4.3 Of which Retail - Qualifying revolving 21,294 - - - - - - - - - - - 5,769 4.4 Of which Retail - Other SMEs - - - - - - - - - - - - - 4.5 Of which Retail - Other non-SMEs 4,471 - - - - - - - - - - - 4,658 5 Total 335,772 - 92.2 92.2 - - - - - - - - 63,418 F-IRB 1 Central governments and central banks - - - - - - - - - - 2 Institutions 51 14.0 - - - - - - - 19 3 Corporates 2,372 20.6 27.3 27.3 - - - 5.5 - 1,381 3.1 Of which Corporates - SMEs 505 1.5 23.1 22.9 0.1 - - 1.5 - 366 3.3 Of which Corporates - Other 1,867 25.8 28.4 28.4 - - - 6.5 - 1,015 4 Total 2,423 20.5 26.7 26.7 - - - 5.3 - 1,400 Other IRB Specialised lending under the slotting approach 3 820 542 Total 820 542 1 For AIRB the value of eligible collateral has been capped at the individual exposure amount. For FIRB the amount is capped at the value used in determining the LGD. 2 For AIRB the unfunded credit protection includes only cases where unfunded credit protection is taken into account in own estimates of LGD. For FIRB it relates to unfunded credit protection which has substitution effect. 3 The exposures disclosed in the 'Specialised lending under the slotting approach' row are fully secured, however the collateral is not used directly in the calculation of RWA. ‌CREDIT RISK (Continued) ‌ CR10.1: IRB - Specialised lending - Project Finance (Slotting approach) On-balance Off-balance 30 Jun 2026 Risk Risk weighted Expected Regulatory categories Remaining maturity sheet exposure £m sheet exposure £m weight % Exposure value £m exposure amount £m loss amount £m Less than 2.5 years - 5 50 1 1 - 1) Strong Equal to or more than 2.5 years 94 37 70 123 78 - Less than 2.5 years 2 3 70 5 3 - 2) Good Equal to or more than 2.5 years 2 3 90 4 3 - Less than 2.5 years - - 115 - - - 3) Satisfactory Equal to or more than 2.5 years 18 4 115 21 24 1 Less than 2.5 years - - 250 - - - 4) Weak Equal to or more than 2.5 years - - 250 - - - 5) Default Less than 2.5 years Equal to or more than 2.5 years 31 - 4 7 34 5 - - 17 3 Total Less than 2.5 years Equal to or more than 2.5 years 33 114 12 51 40 153 4 105 17 4 31 Dec 2025 Regulatory categories Remaining maturity £m £m % £m £m £m Less than 2.5 years - 5 50 1 - - 1) Strong Equal to or more than 2.5 years 96 37 70 125 80 1 Less than 2.5 years - 4 70 4 3 - 2) Good Equal to or more than 2.5 years 4 2 90 6 5 - Less than 2.5 years - - 115 - - - 3) Satisfactory Equal to or more than 2.5 years 19 4 115 22 25 1 Less than 2.5 years - - 250 - - - 4) Weak Equal to or more than 2.5 years - 7 250 5 13 - 5) Default Less than 2.5 years Equal to or more than 2.5 years 30 - 3 1 32 - - - 16 - Total Less than 2.5 years Equal to or more than 2.5 years 30 119 12 51 37 158 3 123 16 2 ‌CREDIT RISK (Continued) CR10.2: IRB - Specialised lending - Income-producing real estate and high volatility commercial real estate (Slotting approach) 30 Jun 2026 Regulatory categories Remaining maturity On-balance sheet exposure £m Off-balance sheet exposure £m Risk weight % Exposure value £m Risk weighted exposure amount £m Expected loss amount £m Less than 2.5 years 64 12 50 69 32 - 1) Strong Equal to or more than 2.5 years 105 1 70 105 66 - Less than 2.5 years 123 20 70 135 88 1 2) Good Equal to or more than 2.5 years 165 46 90 198 158 2 Less than 2.5 years 6 - 115 6 7 - 3) Satisfactory Equal to or more than 2.5 years 53 1 115 53 61 2 5) Default Less than 2.5 years Equal to or more than 2.5 years 56 3 1 - 56 3 - - 28 1 Total Less than 2.5 years Equal to or more than 2.5 years 249 326 33 48 266 359 127 285 29 5 31 Dec 2025 Regulatory categories Remaining maturity On-balance sheet exposure £m Off-balance sheet exposure £m Risk weight % Exposure value £m Risk weighted exposure amount £m Expected loss amount £m Less than 2.5 years 76 2 50 76 35 - 1) Strong Equal to or more than 2.5 years 117 1 70 117 75 - Less than 2.5 years 108 10 70 112 76 1 2) Good Equal to or more than 2.5 years 167 23 90 182 150 1 Less than 2.5 years 11 1 115 12 13 - 3) Satisfactory Equal to or more than 2.5 years 58 1 115 59 67 2 5) Default Less than 2.5 years Equal to or more than 2.5 years 62 2 4 - 64 2 - - 32 1 Total Less than 2.5 years Equal to or more than 2.5 years 257 344 17 25 264 360 124 292 33 4 ‌APPENDIX 1: EXCLUDED TEMPLATES‌ Pillar 3 templates that are required to be disclosed semi-annually but have not been included in this document are listed in the table below along with the reason for exclusion. PRA reference Template name Reason for exclusion CR2a Changes in the stock of non-performing loans and advances and related net accumulated recoveries Threshold for disclosure not met CQ2 Quality of forbearance Threshold for disclosure not met CQ6 Collateral valuation - loans and advances Threshold for disclosure not met CQ7 Collateral obtained by taking possession and execution processes No collateral taken into possession is recognised on the balance sheet CQ8 Collateral obtained by taking possession and execution processes - vintage breakdown No collateral taken into possession is recognised on the balance sheet and threshold for disclosure is not met CR7 IRB - Effect on the RWAs of credit derivatives used as CRM techniques Excluded on materiality basis CR10.3 Specialised lending: Object finance (Slotting approach) Not applicable to the Bank CR10.4 Specialised lending: Commodities finance (Slotting approach) Not applicable to the Bank CR10.5 Equity exposures subject to the simple risk weight method Not applicable to the Bank CCR7 RWA flow statements of CCR exposures under the IMM Not applicable to the Bank MR2-B RWA flow statements of market risk exposures under the Internal Model Approach Not applicable to the Bank LIQ1 Liquidity coverage ratio (LCR) Liquidity is managed at a Lloyds Bank LIQ2 Net stable funding ratio LIQB Qualitative information on LCR Liquidity Sub-Group level. Refer to the Lloyds Bank plc 2026 Half-Year Pillar 3 Disclosures for further information. ‌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 Bank of Scotland 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; changes in client and consumer behaviour and demand; exposure to counterparty risk; 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; natural pandemic and other disasters; risks concerning borrower and counterparty credit quality; risks affecting defined benefit pension schemes; 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; and assumptions and estimates that form the basis of the Group's financial statements. A number of these influences and factors are beyond the Group's control. Please refer to 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 [email protected] Rohith Chandra-Rajan Director of Investor Relations [email protected] Nora Thoden Director of Investor Relations - ESG [email protected] Tom Grantham Investor Relations Senior Manager [email protected] Stefan Tutino Investor Relations Senior Manager [email protected] CORPORATE AFFAIRS Matt Smith Head of Media Relations [email protected] Emma Fairhurst Media Relations Senior Manager [email protected] Registered office: Bank of Scotland plc, The Mound, Edinburgh, EH1 1YZ Registered in Scotland No. SC327000

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