From: Tazia Smith To: [email protected] Cc: MEW, Paul Morris Subject: Put your Lloyds 8% fixed- to-float CoCo up for tender? [C] Date: Mon, 31 Mar 2014 18:34:52 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) >, Vahe Stepanian Classification: Confidential Jeffrey - Consider putting your Lloyd's CoCo up for tender. Vanshree (Vinit's team in London) reviewed with us together: Your LLoyds 8% fixed-to-float CoCo (trading —107.50, cusip G5433BBG8, 144A CoCo) is up for voluntary tender. Lloyds is offering to exchange up to $5bn of outstanding CoCos that do not currently count as going-concern capital for new-issued CoCos that will count as capital, likely be more liquid, and not be subject to a perpetual regulatory call (detail below). There are -$8.4bn outstanding CoCos that qualify for ender. Lloyd's is going to swap $5bn of outstanding for new CoCos. Your issue is low on the waterfall of that $8.4bn that could be swapped• may not be exchanged at all or could be pro-rated. New bond will have a 7.5% coupon that floats at 5yr MS +476bps in 2024 (callable in 2024). Details below, source: Pershing LLC as of 3/31/14. Your cost basis is 108.25 (down $22 500k MTM on 3mm face does not include coupons collected) Exchange ratio will be at 105.75 + accrued ($24k per 1mm as of today), -6.8% yield vs -6.5% current. Benefits include no perpetual regulatory call, and liquidity. Speak with you soon. Tazia Lloyd's G5433BBG8 - lyr price history \ry Jun Sep 2013 E088956 Corp (LLOYDS 812/29/49) Daily 31MAR2013-31MAR2014 1 • Last Price 107206 T High on 01/21/14 109.060 -6-Average 105.900 I Low on 06/25/13 100.563 107.706 106.000 104.000 102.000 100.000 Dec Mar 2014 Copyright@ 2014 Bloomberg Finance . 31-16r-2014 14:24:42 EFTA01195785