From: Jeffrey Epstein <jeevaeationggmail.com> To: Tazia Smith Subject: Re: Put your Lloyds 8% fixed- to-float CoCo up for tender? [C] Date: Mon, 31 Mar 2014 18:42:14 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2) ok On Mon, Mar 31, 2014 at 2:34 PM, Tazia Smith wrote: 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 - 1yr price history EFTA01195791