FINANCIAL INSTITUTIONS

CREDIT OPINION TSB Banking Group plc 12 April 2021 Update to credit analysis

Update Summary TSB plc's (TSB) baa2 Baseline Credit Assessment (BCA) reflects 1) the bank's high- quality loan portfolio, consisting mostly of prime mortgages; 2) weak profitability, given the large inherited cost base; 3) solid risk-based capital levels; 4) large proportion of retail deposits in its funding profile; 5) a large stack of high quality liquid assets; and 6) RATINGS concentration of revenue and risks in UK residential mortgages. TSB Banking Group plc Domicile TSB's revised strategy focusing on cost containment will support its future profitability. In Long Term Issuer Rating Baa3 addition, the operational and execution risk related to TSB's IT migration challenges in 2018 Type LT Issuer Rating Dom has significantly reduced, because the bank reorganised its management structure and IT curr governance, and subsequently demonstrated successful client management and improved Outlook Negative customer satisfaction. The tail risk stemming from potential regulatory actions related to Please see the ratings section at the end of this report IT migration will be manageable for TSB, given its solid capitalisation, as well as potential for more information. The ratings and outlook shown recoveries under insurance claims. reflect information as of the publication date. The Baa2 long-term bank deposit and issuer ratings of TSB, as well as the Baa3 issuer rating and subordinated debt rating of TSB Banking Group plc (TSBG), are underpinned by TSB's Contacts baa2 BCA; the results of our Advanced Loss Given Failure (LGF) analysis, which lead to no Anna Sherbakova +44.20.7772.1954 uplift for TSB’s ratings; and a negative one-notch adjustment from the BCA to TSBG's ratings. AVP-Analyst Our assumption of a low probability of support from the Government of the United Kingdom [email protected] (UK, Aa3 stable) results in no further rating uplift. Romy Van Rooij, CFA +44.20.7772.1638 Associate Analyst Exhibit 1 [email protected] Rating Scorecard - Key financial ratios For 2020 financials Laurie Mayers +44.20.7772.5582 Associate Managing Director TSB Banking Group plc (BCA: baa2) Median baa2-rated [email protected] 18% 30% 16% 25% 14%

12% Liquidity Factors 20% 10% 8% 15% 6% 10% 4% Solvency FactorsSolvency 2% 1.8% 15.6% 5% 0% 11.3% 17.2% -0.4% -2% 0% Asset Risk: Capital: Profitability: Funding Structure: Liquid Resources: Problem Loans/Gross Loans Tangible Common Equity/Risk- Net Income/ Market Funds/Tangible Liquid Banking Weighted Assets Tangible Assets Banking Assets Assets/Tangible Banking Assets Solvency Factors (LHS) Liquidity Factors (RHS)

Source: Moody's Investors Service MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit strengths » Solid capital and leverage metrics

» High-quality retail loan portfolio, consisting mostly of prime mortgages

» Strong funding profile, supported by low reliance on wholesale funding and a stable retail deposit base

» Large stack of high quality liquid assets

Credit challenges » Weak profitability, given its large inherited cost base, continued expenditures related to strategic initiatives and investments in the technology platform, as well as margin pressures due to low interest rate environment

» Rapid loan portfolio expansion

» Existence of a higher-risk legacy portfolio

» Concentration of revenue and risks in UK residential mortgages

» Weakening operating environment in the UK

Outlook The negative outlook reflects our expectation that TSB’s profitability will remain under pressure as the bank continues its strategic transitioning plan, which includes optimising its cost structure through branch closures and other budget initiatives, as well as investments in the technology platform. The pressure on TSB’s profitability is exacerbated by the economic shock generated by the coronavirus pandemic in the UK and a sharp drop in interest rates since the onset of the outbreak, which will weigh on the sector’s net interest margins, outweighing the benefits of increased pricing on mortgage products. Factors that could lead to an upgrade TSB's BCA is unlikely to be upgraded, given the negative outlook. The outlook could be revised to stable over the next 12-18 months if the bank improves and stabilises its profitability, while maintaining solid asset quality and capitalisation, with no deterioration in its liquidity and funding profiles.

TSB's deposit and issuer ratings could be upgraded if the bank were to issue significant amounts of long-term debt, including structurally subordinated debt issued through its holding company. Factors that could lead to a downgrade TSB's BCA could be downgraded if the bank's profitability and asset quality prove to be significantly weaker than our expectations or its weak profitability during the period of its strategic repositioning is accompanied by a significant reduction in capitalisation.

TSB's BCA could also be downgraded if the parent's, Banco , S.A. (Sabadell; Baa2 stable, ba21) BCA is downgraded.

A downward movement in TSB's BCA would likely result in a downgrade of all its ratings. TSB's deposit and issuer ratings could also be downgraded in response to a decline in the volume of its deposits or debt that could be bailed in, which would increase the loss given failure for depositors.

Any increase in the interdependence between TSB and its parent, in the absence of an upgrade of Sabadell's BCA, could result in negative pressure on TSB's ratings.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page on www.moodys.com for the most updated credit rating action information and rating history.

2 12 April 2021 TSB Banking Group plc: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Key indicators

Exhibit 2 TSB Banking Group plc (Consolidated Financials) [1] 12-202 12-192 12-182 12-172 12-162 CAGR/Avg.3 Total Assets (GBP Billion) 42.4 39.5 41.1 42.5 37.2 3.34 Total Assets (USD Billion) 58.0 52.4 52.4 57.5 46.0 6.04 Tangible Common Equity (GBP Billion) 1.7 1.9 1.8 2.0 1.9 (2.7)4 Tangible Common Equity (USD Billion) 2.3 2.5 2.3 2.7 2.3 (0.2)4 Problem Loans / Gross Loans (%) 1.6 1.7 2.0 0.5 0.5 1.35 Tangible Common Equity / Risk Weighted Assets (%) 15.6 20.9 19.7 20.7 19.2 19.26 Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 28.5 27.0 29.1 7.6 7.3 19.95 Net Interest Margin (%) 1.9 2.1 2.2 2.4 2.5 2.25 PPI / Average RWA (%) -0.4 1.2 -0.3 2.5 2.5 1.16 Net Income / Tangible Assets (%) -0.4 0.1 -0.2 0.3 0.3 0.05 Cost / Income Ratio (%) 104.4 89.2 102.5 78.1 75.5 89.95 Market Funds / Tangible Banking Assets (%) 11.3 15.2 21.6 20.7 13.6 16.55 Liquid Banking Assets / Tangible Banking Assets (%) 17.2 17.7 24.7 24.3 17.7 20.35 Gross Loans / Due to Customers (%) 97.4 103.3 103.6 101.3 100.4 101.25 [1] All figures and ratios are adjusted using Moody's standard adjustments. [2] Basel III - fully loaded or transitional phase-in; IFRS. [3] May include rounding differences because of the scale of reported amounts. [4] Compound annual growth rate (%) based on the periods for the latest accounting regime. [5] Simple average of periods for the latest accounting regime. [6] Simple average of Basel III periods. Sources: Moody's Investors Service and company filings

Profile TSB Bank plc (TSB) is a retail bank operating in the United Kingdom (UK, Aa3 stable) and it is headquartered in Edinburgh, Scotland. As of year-end 2020, TSB had £42.4 billion of assets.

TSB was initially operating under the name of TSB Group plc, which was listed on the Stock Exchange. In 1995, the group merged with and was renamed Lloyds TSB; however, it was later divested from Lloyds following a European Commission ruling. The new bank, named TSB Bank, started operations in 2013 with a strong presence in Scotland, and the remainder of Lloyds TSB was renamed Lloyds Bank plc (A1 stable, a32). On 30 June 2015, TSBG was purchased by the Spanish banking group Sabadell Group. Recent developments The UK is one of the countries that has experienced a severe and extensive credit shock generated by the coronavirus pandemic. The banking sector is one of the sectors affected by the shock, given the negative impact on banks' profitability and asset quality.

As Covid-19 and its variants continue to cast a shadow over the world's health systems and economies, the level of uncertainty and strength of the economic recovery will vary across countries. We expect real GDP in all G-20 countries to grow compared with last year, but some countries will take longer than others to return to full capacity. Fiscal and monetary policy response, as well as pandemic management, will play a key role. The pandemic's toll on global economic activity has been staggering, even as the economy has also shown a remarkable degree of resilience. But the effects on individual businesses, sectors and regions continue to be uneven, and the COVID-19 crisis will endure as a challenge to the world's economies well beyond our two-year forecast horizon (see February 2021 update of Global Macro Outlook 2021-22: G-20 economies will return to growth in 2021 but recovery will not be uniform).

In December 2020, TSB issued £450 million of senior unsecured notes to its parent company, Sabadell, to satisfy MREL requirements. The notes mature in 2023. In March 2021, TSB issued £300 million of subordinated notes maturing in 2031 to Sabadell.

In 2020, Sabadell announced that it would commence a strategic review in 2021, including a potential change of ownership of its international businesses that include TSB.

3 12 April 2021 TSB Banking Group plc: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Detailed credit considerations The financial data in the following sections are sourced from TSBG's financial statements, unless otherwise stated.

Heightened credit risk due as a result of the coronavirus crisis We assign a score of a3 to TSB's Asset Risk, two notches below the Macro-Adjusted score. The assigned score mainly reflects a risk of deterioration in credit quality of the loan portfolio in the weakened economic environment, particularly when the government and bank support measures, which have largely deferred realisation of credit losses, get reduced or withdrawn. The assigned score also reflects the execution risk related to TSB's strategic transitioning plan, and the bank's rapid loan portfolio expansion.

We view TSB's loan portfolio as relatively low risk, predominantly comprising prime mortgage loans (£29.6 billion, 89% of total gross loans) with comparatively low loan-to-value (LTV) of 45% as of year-end 2020. The rest of the portfolio consists of a legacy mortgage portfolio Whistletree (£1.2 billion, 5% of total loans), which has been in a run-off, and also an unsecured loan book (£1.8 billion, 4% of total loans) and business banking loans (£708 billion, 2% of total loans).

Exhibit 3 Breakdown of TSB's lending portfolio

Whistletree Loans Mortgage Enhancement Franchise (secured) Franchise (unsecured) Banking Business 35

30

25

£ £ Bilion 20

15

10

5

0 2014 2015 2016 2017 2018 2019 2020

Source: Company's financials

In 2020, TSB's mortgage portfolio (excluding Whistletree loans) grew by £1.8 billion (6.4% year-over-year), reflecting buoyant mortgage market in 2H20. About 12% of TSB's core mortgages were buy-to-let loans, which we view as relatively low compared with that of other mortgage lenders that we rate. The Whistletree portfolio continued to run-off, shrinking by £183 million (-13%) in 2020, to £1.2 billion from £1.4 billion. We view the Whistletree portfolio as higher risk because these loans were underwritten under a different risk appetite framework (by Northern Rock, before 2007). By YE 2020, the Whistletree portfolio amortised to 40% of the original amount of £3 billion, which TSB acquired from Cerberus Capital Management Group in 2015. The loans have largely performed within the bank's expectations, although the portfolio seasoning since TSB's purchase of the portfolio has been in a benign credit environment.

In 2020, TSB's business banking portfolio expanded rapidly, reaching £708.4 million (2.1% of the total loan portfolio) by YE 2020, from £129.0 million (0.4% of the portfolio) at YE 2019. The increase was primarily driven by lending through the Bounce Back Loan Scheme (BBL). The loans under the new BBL scheme represent 100% government-guaranteed loans of up to £50,000, available to small and medium-sized businesses negatively impacted by the coronavirus.

On the other hand, TSB's unsecured loan portfolio, which includes credit cards and unsecured personal loans, increased by only £67.6 million (3.4%) during the year, to £1,821.8 million, due to lower consumer spending. As of year-end 2020, £411.5 million (1% of gross loans) of TSB's loan book portfolio was still subject to payment moratoria, a decline from the peak of £5.1 billion (approximate 15% of gross loans) during the coronavirus crisis. During 2020, TSB transferred a net amount of £1,297 million (4.5% of Stage 1 loans at year-end 2019 ) to Stage 2 and Stage 3 from Stage 1, reflecting the deteriorating outlook for macroeconomic conditions due to the coronavirus pandemic. There could be further migration to Stage 2 from Stage 1 loans when the government and bank support measures get reduced or withdrawn.

TSB's problem loan ratio declined to 1.6% at year-end 2020 from 1.7% at year-end 2019. The decline in the ratio was driven by the growth in total loans in 2020, as the £17 million increase in Stage 3 loans was offset by the £17.3 million run-off in the purchased or originated credit impaired (POCI) loans.

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In 2020, TSB recorded £162.7 million of loan loss provisions, which represented 0.5% of average gross loans; as compared to £60.9 million in 2019 (0.20% of average gross loans). The additional provisioning in 2020 increased the bank's reserves to 0.71% at year- end 2020 from 0.52% at year-end 2019. Also included in the increase of the loan reserves was £2.3 million of charges related to a possibility that TSB will not be able to collect under the government guarantee under the BBL scheme, which reflects the risk that there might be additional exposures under the program where the bank might not be able to call on the guarantee.

Solid capitalisation protects TSB against downside risks We assign a score of aa3 to TSB's capitalisation, in-line with the Macro-Adjusted score. We view TSB's capitalisation as solid, despite a meaningful decline in capital levels during 2020.

TSB's fully-loaded Common Equity Tier 1 (CET1) capital ratio dropped to 14.8% by year-end 2020 from 20.6% at year-end 2019 as a result of a large financial loss recorded during the year, but also due to lending growth and the bank's implementation of the 90 day definition of default which resulted in an increase in risk weighted assets. TSB's Basel III transitional leverage ratio also dropped during the year, to 3.7% at year-end 2020 from 4.6% at year-end 2019, relative to the regulatory minimum requirement of 3%.

A potential regulatory charge related to the IT migration challenges in 2018 presents a downside risk to TSB's capitalisation; however, we don't expect a meaningful impact on the bank's capitalisation due to potential recoveries under insurance claims.

Profitability is constrained by high cost base We assign a Caa1 score to TSB's Profitability, in-line with the Macro-Adjusted score, reflecting the bank's recent financial losses, as well as our expectation that its earnings will remain weak into 2021.

In FY 2020, TSB reported a financial loss of -£159.7 million down from earnings of £26.3 million reported in FY 2019, translating into a negative return on assets of -0.4%. On a pre-tax basis, the bank's earnings amounted to -£204.6 million, down from £46.0 million reported in 2019. The financial losses were driven by large loan loss impairment charges of £164 million (2019: £60.5 million), taken in connection with the worsening economic outlook for the UK as a result of the coronavirus crisis. In addition, the bank recorded £90.6 million of restructuring charges (2019: £43.7 million), which primarily relate to the branch closing plan announced on 30 September 2020, as well as reorganising certain jobs at the headquarters. Also contributing to the loss was a £55 million provision related to treatment of certain customers in arrears.

Despite an increase of 7.2% in total loans year-on-year, TSB's net revenues also declined in 2020, to £928.8 million from £987.8 million (-6.4% year-over-year), as the bank waived overdraft fees and interest charges on certain products to support its customers and to comply with government and regulatory measures taken in response to the coronavirus crisis. TSB's net interest margin declined to 1.95% in 2020 from 2.12% in 2019, as higher pricing on mortgages in 2H20, driven by strong demand, was insufficient to offset the impact of the interest rate cut by the Bank of England to 0.1% from 0.75% in March 2020.

We anticipate TSB's earnings to be weak in 2021, as the bank will incur higher-than forecasted restructuring charges in 1H 2021 due to the accelerated branch closing plan announced in September 2020. We expect the bank's cost efficiency to improve afterwards, mitigating pressure on profitability from low interest rates and mortgage market competition, which we expect to prevail over the long term.

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Exhibit 4 High cost base impedes TSB's profitability

Cost/Income Ratio, % (LHS) Net Income/Tangible Assets, % (RHS) 110% 0.9%

0.7% 90%

0.5% 70%

0.3% 50% 0.1%

30% -0.1%

10% -0.3%

-10% -0.5% 2013 2014 2015 2016 2017 2018 2019 2020 Source: Moody's Financial Metrics

Moderate reliance on wholesale funding and a large and granular deposit base We assign a baa1 Funding Structure score to TSB, two notches below the Macro-Adjusted score, reflecting our view that the bank's long-term use of wholesale funding would vary in response to market conditions and the bank's growth objectives. The assigned score also reflects a large proportion of deposits in TSB's funding.

TSB's loan-to-deposit ratio declined to 97.4% as of year-end 2020 (103.5% as of year-end 2019), as deposits grew due to reduced consumer spending. As a result, TSB's wholesale funding decreased, driven by the £1.4 billion repayment of borrowings under the Bank of England's Term Funding Scheme (TFS), of which there was £3.1 billion as of year-end 2020. The central bank funding is currently TSB's main source of funding, with the TFS borrowings representing 7.2% of tangible banking assets, while total market funds accounted for 11.3% of tangible banking assets, down from 15.2% at year-end 2019. TSB's other sources of wholesale funding include covered bonds and securitisations. As of year-end 2020, TSB did not have any borrowings under the new Bank of England's Term Funding Scheme with additional incentives for SMEs (TFSME).

Solid liquidity with high-quality liquid assets moderates refinancing risk TSB has high liquidity buffers, as reflected in our assigned baa2 Liquid Resources score, which is in line with the Macro-Adjusted score. TSB's liquid assets represented 17.2% of its tangible banking assets at year-end 2020, and its liquidity coverage ratio (LCR) was 201%, a decline from 231% as of year-end 2019, but still strong.

Qualitative adjustment and relationship with Sabadell In aggregate, we assign a Financial Profile score of baa1 to TSB. Given that TSB's business activity has been predominantly focused on retail banking, this relatively narrow focus results in a one-notch negative qualitative adjustment in respect of business diversification, resulting in a BCA of baa2.

Currently, TSB's BCA at baa2 exceeds the standalone rating of its parent Sabadell by three notches. This differential reflects the very limited connection between the two institutions, Sabadell's plans to retain the TSB brand name and our expectation that the UK Prudential Regulation Authority will continue to ensure that TSB maintains adequate solvency and liquidity before any dividends are allowed to be paid. Should increasing operational links between the two institutions develop, this could affect the notching differential between TSB and Sabadell. Environmental, social and governance considerations In line with our general view of the banking sector, TSB has low exposure to environmental risks. See our environmental risk heat map for further information.

The most relevant social risks for banks arise from the way they interact with their customers. Social risks are particularly high in the area of data security and customer privacy, which are partly mitigated by sizeable technology investments and banks’ long track record of handling sensitive client data. Fines and reputational damage because of product mis-selling or other types of misconduct are

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further social risks. The IT issue TSB experienced during the migration of its systems in 2018 had substantial implications in the form of financial costs and reputational damage.

Social trends are also relevant in a number of areas, such as shifting customer preferences towards digital banking services increasing information technology costs, ageing population concerns in several countries weakening demand for or socially driven policy agendas that may translate into regulations that affect banks’ revenue base. Overall, banks face moderate social risks.

In our assessment of social risk, we also include considerations in relation to the rapid and widening spread of the coronavirus pandemic, given the substantial implications for public health and safety, and the deteriorating global economic outlook, which is creating a severe and extensive credit shock across many sectors, regions and markets. See our social risk heat map for further information.

Governance is highly relevant for TSB, as it is to all competitors in the banking industry. Corporate governance weaknesses can lead to a deterioration in a bank’s credit quality, while governance strengths can benefit its credit profile. Governance risks are largely internal rather than externally driven. The 2018 IT migration issue brought to light corporate governance deficiencies that subsequently resulted in management changes, including replacement of the CEO of the bank. TSB's corporate governance remains a key credit consideration and requires ongoing monitoring. Support and structural considerations Loss given failure (LGF) analysis and additional notching TSB is domiciled in the UK, a jurisdiction that is subject to the European Union Bank Recovery and Resolution Directive, which we consider an operational resolution regime. We assume a residual tangible common equity (TCE) of 3% and post-failure losses of 8% of tangible banking assets, a 25% runoff in junior wholesale deposits and a 5% runoff in preferred deposits, and assign a 25% probability to deposits being preferred to senior unsecured debt. These assumptions are in line with our standard assumptions. Particular to TSB and most savings banks and building societies in the UK, we assume the proportion of deposits considered junior at 10%, relative to the standard assumption of 26%, because of their largely retail-oriented deposit base.

Our Advanced LGF analysis indicates that TSB's deposits and senior unsecured debt are likely to face moderate loss given failure, because of the volume of deposits and limited loss absorption provided by a relatively small amount of dated subordinated debt issued by the holding company, TSBG. This results in a Preliminary Rating Assessment (PRA) for TSB's deposits and any senior unsecured debt at the same level as the bank's BCA at baa2.

TSBG's senior unsecured and subordinated instruments are likely to face a high loss given failure according to our Advanced LGF analysis, given the relatively small volume of existing debt and very limited protection from more subordinated instruments and residual equity. This results in a baa3 PRA for TSBG's existing Tier 2 dated subordinated bonds and potentially for senior unsecured debt, one notch below that of TSB's BCA.

Government support considerations Because of the limited interconnection with other financial institutions and the relatively small size of its operations, we assume a low probability of government support for TSB's deposits and its potential senior unsecured debt, resulting in no uplift to the PRA. The same assumption applies to the future bondholders of TSB Group because holding company creditors would be expected to bear losses, if necessary.

As a result, we assign issuer and deposit ratings of Baa2 to TSB, in line with the PRA. We also assign a Baa3 issuer rating to TSB Group and a Baa3 rating to its existing Tier 2 dated subordinated bonds.

In line with our support assumptions on deposits and senior unsecured debt ratings, neither the CR Assessment nor CRRs benefit from a notching uplift because of government support.

Counterparty Risk Ratings (CRRs) CRRs are opinions on the ability of entities to honour the uncollateralised portion of non-debt counterparty financial liabilities (CRR liabilities) and also reflect the expected financial losses in the event that such liabilities are not honoured. CRR liabilities typically relate to transactions with unrelated parties. Examples of CRR liabilities include the uncollateralised portion of payables arising from

7 12 April 2021 TSB Banking Group plc: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

derivative transactions and the uncollateralised portion of liabilities under sale and repurchase agreements. CRRs are not applicable to funding commitments or other obligations associated with covered bonds, letters of credit, guarantees, servicer and trustee obligations and other similar obligations that arise from a bank performing its essential operating functions.

TSB's CRRs are positioned at Baa1/P-2 The CRR is one notch above the bank's Adjusted BCA of baa2. The uplift derives from the buffer against default provided to the operating obligations by bail-in-able debt and deposits.

Counterparty Risk (CR) Assessment The CR Assessment is an opinion of how counterparty obligations are likely to be treated if a bank fails and is distinct from debt and deposit ratings in that it considers only the risk of default rather than both the likelihood of default and the expected financial loss suffered in the event of default and applies to counterparty obligations and contractual commitments rather than debt or deposit instruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds, contractual performance obligations (servicing), derivatives (for example, swaps), letters of credit guarantees and liquidity facilities.

TSB's CR Assessment is positioned at A3(cr)/P-2(cr) The CR Assessment is positioned two notches above the Adjusted BCA of baa2, based on the buffer against default provided to the senior obligations represented by the CR Assessment by more subordinated instruments. Methodology and scorecard About Moody's Bank Scorecard Our scorecard is designed to capture, express and explain in summary form our Rating Committee's judgement. When read in conjunction with our research, a fulsome presentation of our judgement is expressed. As a result, the output of our scorecard may materially differ from that suggested by raw data alone (though it has been calibrated to avoid the frequent need for strong divergence). The scorecard output and the individual scores are discussed in rating committees and may be adjusted up or down to reflect conditions specific to each rated entity.

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Rating methodology and scorecard factors

Exhibit 5 TSB Banking Group plc Macro Factors Weighted Macro Profile Strong + 100%

Factor Historic Initial Expected Assigned Score Key driver #1 Key driver #2 Ratio Score Trend Solvency Asset Risk Problem Loans / Gross Loans 1.8% a1 ↔ a3 Operational risk Loan growth Capital Tangible Common Equity / Risk Weighted Assets 15.6% aa3 ↔ aa3 Expected trend Capital retention (Basel III - fully loaded) Profitability Net Income / Tangible Assets -0.4% caa1 ↔ caa1 Expected trend Combined Solvency Score a3 baa1 Liquidity Funding Structure Market Funds / Tangible Banking Assets 11.3% a2 ↔ baa1 Expected trend Liquid Resources Liquid Banking Assets / Tangible Banking Assets 17.2% baa2 ↔ baa2 Expected trend Combined Liquidity Score a3 baa1 Financial Profile baa1 Qualitative Adjustments Adjustment Business Diversification -1 Opacity and Complexity 0 Corporate Behavior 0 Total Qualitative Adjustments -1 Sovereign or Affiliate constraint Aa3 BCA Scorecard-indicated Outcome - Range baa1 - baa3 Assigned BCA baa2 Affiliate Support notching 0 Adjusted BCA baa2

Balance Sheet in-scope % in-scope at-failure % at-failure (GBP Million) (GBP Million) Other liabilities 6,326 14.9% 8,732 20.6% Deposits 34,375 81.2% 31,969 75.5% Preferred deposits 30,938 73.0% 29,391 69.4% Junior deposits 3,438 8.1% 2,578 6.1% Dated subordinated holding company debt 385 0.9% 385 0.9% Equity 1,271 3.0% 1,271 3.0% Total Tangible Banking Assets 42,357 100.0% 42,357 100.0%

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Debt Class De Jure waterfall De Facto waterfall Notching LGF Assigned AdditionalPreliminary Instrument Sub- Instrument Sub- De Jure De Facto Notching LGF Notching Rating volume + ordination volume + ordination Guidance notching Assessment subordination subordination vs. Adjusted BCA Counterparty Risk Rating 10.0% 10.0% 10.0% 10.0% 1 1 1 1 0 baa1 Counterparty Risk Assessment 10.0% 10.0% 10.0% 10.0% 2 2 2 2 0 a3 (cr) Deposits 10.0% 3.9% 10.0% 3.9% 0 0 0 0 0 baa2 Dated subordinated holding company 3.9% 3.0% 3.9% 3.0% -1 -1 -1 -1 0 baa3 debt

Instrument Class Loss Given Additional Preliminary Rating Government Local Currency Foreign Failure notching notching Assessment Support notching Rating Currency Rating Counterparty Risk Rating 1 0 baa1 0 Baa1 Baa1 Counterparty Risk Assessment 2 0 a3 (cr) 0 A3(cr) Deposits 0 0 baa2 0 Baa2 Dated subordinated holding company -1 0 baa3 0 Baa3 debt [1] Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information. Source: Moody’s Investors Service

Ratings

Exhibit 6 Category Moody's Rating TSB BANKING GROUP PLC Outlook Negative Issuer Rating -Dom Curr Baa3 Subordinate -Dom Curr Baa3 PARENT: , S.A. Outlook Stable Counterparty Risk Rating Baa1/P-2 Bank Deposits Baa2/P-2 Baseline Credit Assessment ba2 Adjusted Baseline Credit Assessment ba2 Counterparty Risk Assessment Baa1(cr)/P-2(cr) Senior Unsecured -Dom Curr Baa3 Junior Senior Unsecured -Dom Curr Ba3 Senior Subordinate -Dom Curr (P)Ba3 Pref. Stock Non-cumulative -Dom Curr B2 (hyb) TSB BANK PLC Outlook Negative Counterparty Risk Rating Baa1/P-2 Bank Deposits -Dom Curr Baa2/P-2 Baseline Credit Assessment baa2 Adjusted Baseline Credit Assessment baa2 Counterparty Risk Assessment A3(cr)/P-2(cr) Issuer Rating -Dom Curr Baa2 Source: Moody's Investors Service

Endnotes 1 The bank ratings shown in this report are the bank’s deposit rating and BCA. 2 The bank ratings shown in this report are the bank's deposit rating and BCA

10 12 April 2021 TSB Banking Group plc: Update to credit analysis MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

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REPORT NUMBER 1270112

11 12 April 2021 TSB Banking Group plc: Update to credit analysis