EFTA01453473.pdf

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, Lloyd's G5433BBG8 - 1yr price history "Art elheVIN 107.706 106.000 104.000 102.000 100.000 Jun Sep Dec Mar 2013 2014 Q088956 Corp (LLOYDS 812/29/49) Daily 3114AR2013-31MAR2014 Copyright® 2014 Bloomberg Finance L.P. 31-wa•-2014 14 24 42 Top of Font Description LBG CAPITAL NO I Symbol LYG.HT CUSIP G5433BBG8 Offer EXCHANGE Offer Description EXCHANGE OFFER Subject To IRC 302 Withholding NO Other Otters Available CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 111083 CONFIDENTIAL SDNY_GM_00257267 EFTA01453473