3bn Global Covered Bond Programme Monthly Report April 212 This document is directed at persons in the UK and other EEA countries who are market counterparties and intermediate customers and may not be used or relied upon by private customers (as such terms are defined by the rules of the Financial Services Authority). Nothing in this document is, or is to be construed as, an offer of or invitation to subscribe for, underwrite or purchase securities in any jurisdiction. Nothing in this document constitutes an offer of securities for sale in the United States. This report is for information purposes only and is not intended as an offer or invitation with respect to the purchase or sale of security. Reliance should not be placed on the information herein when making any decision whether to buy, hold or sell notes (or other securities) or for any other purpose. Correspondence Details Steve Vance Senior Manager Barnett Way, Gloucester, GL4 3RL Steve.Vance@Lloydsbanking.com +44 145 237371 Gary Staines Director 1 Gresham Street, London, EC2V 7AE Gary.Staines@Lloydsbanking.com +44 27 1581932 For further information please refer to: http://www.lloydsbankinggroup.com/investors/debt_investors/covered_bonds_terms.asp Reporting Information Reporting Date: 15 May 212 Reporting Period: 1 April - 3 April 212 Accrual Period: 1 April - 7 May 212 Transaction Counterparties Role Issuer Guarantor Seller Principal Paying Agent and Agent Bank Bonds Trustee/Security Trustee Asset Monitor Servicer Cash Manager Covered Bonds Swap Provider Interest Rate Swap Provider Account Bank/GIC provider Name Lloyds TSB Covered Bonds LLP Bank of New York Mellon BNY Corporate Trustee Services Limited PricewaterhouseCoopers LLP Page 1 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Portfolio Tests Asset Coverage Test Interest Rate Shortfall Test Expected cash flows for calculation period: 1/5/212 to 31/5/212 Adjusted loan balance calculated by method A(a) 31,99,872,68 Adjusted loan balance calculated by method A(b) 27,162,342,892 Interest Receipts on Mortgages 89,8,772 Method used for calculating A A(b) A Adjusted loan balance being the lower of A(a) and A(b) 27,162,342,892 Amounts receivable (+) / payable (-) under Interest Rate Swap - 25,471,776 B Principal collections not applied 1,239,41,82 Interest receivable on bank accounts C Cash Capital Contributions held on Capital Ledger D Substitution Assets Interest receivable on other Investments E Sales proceeds or Capital Contributions credited to the Pre-Maturity Liquidity Ledger Available Income X For set-off risk 1 Y For redraw capacity Payments due to third parties Z Potential negative carry 3,773,262,143 Payments due to scheme administrators A+B+C+D+E-(X+Y+Z) 24,628,481,831 Payments due under Covered Bond Swap / Inter company loan 619,613 64,228,61 2,712,53 49,196,568 Asset percentage 2 79.9% Covered bonds (GBP) 22,634,51,682 Over collateralisation 1,994,43,15 Test result Pass Other Payments not covered above Payments Net Surplus (+) / Deficit (-) Test result 51,99,71 12,319,539 Pass 1 This rises to 5% of the aggregated current balance of loans in the portfolio on the relevant calculation date if the Seller's ratings fall below long term Moody's A2 or Fitch A-. 2 The maximum asset percentage permitted, as stated in the prospectus, is 93.%. Other Programme Tests Portfolio Tests Amortisation Test Pre-maturity Liquidity Test Yield Shortfall Test Results Not applicable as a Notice to Pay has not been served Not applicable as no hard bullet bonds outstanding Not applicable as there has been no Issuer Event of Default More details on all of these tests can be obtained from the Prospectus by following the link on the first page of this report. Page 2 of 16
LLP Mortgage Assets Current Period Previous Period Number of Mortgage Accounts in portfolio 3,676 32,392 Current Balance - Mortgage Accounts Mortgage Collections in month Number of Mortgage Assets repurchased from portfolio by Lloyds TSB Balance of Mortgage Assets repurchased from portfolio by Lloyds TSB Additions current period (Number) Additions current period (Current Balance) Pool Yield 3bn Global Covered Bond Programme - Monthly Report April 212 Mortgage Asset Data 34,263,4,876 34,543,97,739 385,474,868 393,689,78 16 6 4,112,51 744,482 38,4 3,999,344,694 Current Period Previous Period Weighted Average Pre Swap Mortgage Yield 3.9% 3.1% CPR / PPR Single Month (annualised) Unscheduled Principal Repayments Repurchased by Lloyds TSB CPR Scheduled Principal Repayments PPR Quarterly (annualised) Unscheduled Principal repayments Repurchased by Lloyds TSB CPR Scheduled Principal repayments PPR Product Breakdown Fixed Rate Loans (by balance) Discretionary Rate based Loans (by balance) Current Period Previous Period 7.27% 8.49%.14%.3% 7.4% 8.52% 2.88% 3.2% 1.9% 7.63% 11.47% 7.53%.9%.15% 7.71% 7.67% 3.8% 3.22% 1.58% 1.66% Current Period Previous Period 24.41% 25.4% 52.41% 51.8% Tracker Rate Loans (by balance) 23.18% 23.17% 1.% 1.% Mortgage Analysis Weighted Average* Minimum Maximum Loan Seasoning (Months) 52.86 183 Loan Remaining Term (Years) 16.39 39 Mortgage Account Balance 113,955-2,716 1,6,26 Original LTV of Accounts 67.92%.26% 125.% Current Indexed LTV of Accounts 68.22%.% 18.67% Discretionary Rates Standard Variable Rate Homeowner Variable Rate % Effective Date of Last Change 2.5 Apr-9 3.99 Jul-1 *Weighted averages are weighted by current balance. For Mortgage Account Balance a simple average is reported. Page 3 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Mortgage Asset Data Geographic Analysis East Anglia Number of Mortgage Accounts 14,84 % of of Mortgage Accounts 4.68% 1,488,932,131 4.35% East Midlands 21,94 7.2% 1,93,54,513 5.63% Greater London 28,321 9.42% 5,35,842,51 15.49% Northern 17,754 5.9% 1,466,438,624 4.28% North West 33,138 11.2% 2,968,793,357 8.66% Scotland 7, 2.33% 736,85,262 2.15% South East 59,313 19.73% 8,368,18,38 24.42% South West 4,327 13.41% 4,584,422,36 13.38% Wales 18,796 6.25% 1,667,39,7 4.87% West Midlands 37,162 12.36% 3,637,1,686 1.61% Yorkshire & Humberside 23,687 7.88% 2,19,693,452 6.16% 3,676 1.% 34,263,4,876 1.% Seasoning of Loans to <12 months Number of Mortgage Loans 36,954 % of of Mortgage Loans 4.48% 1,335,241,29 3.9% 12 to <24 months 94,176 11.41% 4,95,139,59 11.95% 24 to <36 months 89,831 1.88% 3,847,919,73 11.23% 36 to <48 months 129,414 15.68% 6,884,187,612 2.9% 48 to <6 months 171,253 2.75% 8,669,274,679 25.3% 6 to <72 months 68,464 8.3% 3,196,249,784 9.33% 72 to <84 months 43,95 5.22% 1,641,58,745 4.79% 84 to <96 months 41,893 5.8% 1,327,613,84 3.87% 96 to <18 months 45,28 5.46% 1,144,942,449 3.34% 18 to <12 months 32,776 3.97% 791,365,1 2.31% =>12 months 72,417 8.77% 1,33,49,12 3.88% 825,31 1.% 34,263,4,876 1.% Repayment Terms Number of Mortgage Loans % of of Mortgage Loans Interest Only 256,999 31.14% 14,774,874,139 43.12% Repayment 568,32 68.86% 19,488,526,737 56.88% 825,31 1.% 34,263,4,876 1.% Page 4 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Mortgage Asset Data Outstanding Balances < 25, Number of Mortgage Accounts % of of Mortgage Accounts 2,687 6.88% 38,897,496.9% 25, to < 5, 41,28 13.73% 1,589,88,84 4.64% 5, to < 75, 53,59 17.65% 3,316,45,724 9.68% 75, to < 1, 48,231 16.4% 4,23,85,784 12.27% 1, to < 125, 39,571 13.16% 4,427,424,96 12.92% 125, to < 15, 29,384 9.77% 4,19,72,754 11.73% 15, to < 175, 19,946 6.63% 3,221,79,7 9.4% 175, to < 2, 13,29 4.39% 2,465,935,279 7.2% 2, to < 225, 9,21 3.6% 1,945,57,14 5.68% 225, to < 25, 6,256 2.8% 1,481,342,1 4.32% 25, to < 275, 4,429 1.47% 1,156,94,127 3.38% 275, to < 3, 3,224 1.7% 924,989,366 2.7% 3, to < 325, 325, to < 35, 35, to < 375, 2,437.81% 758,789,535 1,85.6% 68,73,655 1,48.49% 534,375,368 2.21% 1.77% 1.56% 375, to < 4, 1,155.38% 447,368,177 1.31% => 4, 5,322 1.77% 2,853,82,536 8.33% 3,676 1.% 34,263,4,876 1.% Years to Maturity to <5 years Number of Mortgage Loans % of of Mortgage Loans 87,349 1.58% 1,774,779,188 5.18% 5 to <1 years 156,259 18.93% 4,427,122,883 12.92% 1 to <15 years 198,845 24.9% 7,164,442,879 2.91% 15 to <2 years 29,47 25.37% 1,28,17,42 3.% 2 to <25 years 123,196 14.93% 7,587,24,25 22.14% 25 to <3 years 32,634 3.95% 1,954,391,811 5.7% 3 to <35 years 16,836 2.4% 1,29,542,352 3.% => 35 years 775.9% 45,864,335.13% 825,31 1.% 34,263,4,876 1.% Page 5 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Mortgage Asset Data Indexed Loan to Value Ratios % to 25% Number of Mortgage Accounts 41,551 % of of Mortgage Accounts 13.82% 1,54,143,37 4.5% > 25% to 5% 72,521 24.12% 6,127,3,12 > 5% to 55% 17,24 5.72% 1,925,1,683 > 55% to 6% 17,782 5.91% 2,15,59,699 > 6% to 65% 18,297 6.9% 2,344,387,351 > 65% to 7% 2,565 6.84% 2,89,42,95 > 7% to 75% 23,219 7.72% 3,348,46,55 17.88% 5.62% 6.28% 6.84% 8.2% 9.77% > 75% to 8% 2,367 6.77% 3,14,863,778 8.8% > 8% to 85% 15,268 5.8% 2,313,65,664 6.75% > 85% to 9% 14,329 4.77% 2,199,121,324 6.42% > 9% to 95% 12,449 4.14% 1,961,786,712 5.73% > 95% to 1% 1,4 3.33% 1,684,48,9 4.92% > 1% 17,12 5.69% 2,845,453,712 8.3% 3,676 1.% 34,263,4,876 1.% Original Loan to Value Ratios % to 25% Number of Mortgage Accounts % of of Mortgage Accounts 24,345 8.1% 1,169,363,947 3.41% > 25% to 5% 7,6 23.48% 5,838,849,861 17.4% > 5% to 55% 16,978 5.65% 1,785,917,726 > 55% to 6% 23,383 7.78% 2,695,979,966 > 6% to 65% 16,728 5.56% 1,972,6,758 > 65% to 7% 19,536 6.5% 2,492,47,227 5.21% 7.87% 5.76% 7.27% > 7% to 75% 33,514 11.15% 4,754,946,911 13.88% > 75% to 8% 19,298 6.42% 2,697,643,222 > 8% to 85% 17,331 5.76% 2,547,769,814 7.87% 7.44% > 85% to 9% 36,88 12.27% 5,66,219,162 16.36% > 9% to 95% 19,44 6.47% 2,345,717,31 6.85% > 95% to 1% 2,519.84% 343,275,461 > 1% 124.4% 13,24,511 1.%.4% 3,676 1.% 34,263,4,876 1.% Page 6 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Mortgage Asset Data Distribution of Fixed Rate Loans Number of Mortgage Loans % of of Mortgage Loans.% - 2.99% 1,567.73% 72,238,48.86% 3.% - 3.99% 18,497 8.66% 976,394,555 11.67% 4.% - 4.99% 41,22 19.2% 1,724,14,197 2.61% 5.% - 5.99% 71,16 33.23% 2,96,58,412 35.39% 6.% - 6.99% 76,856 35.96% 2,527,88,435 3.22% 7.% - 7.99% 4,745 2.22% 13,894,57 1.24% 213,73 1.% 8,365,19,74 1.% Year Current Fixed Rate Ends Number of Mortgage Loans 212 69,99 213 8,131 214 215 39,696 14,373 216 8,41 217 21 218 2,342 % of of Mortgage Loans 32.33% 2,653,515,83 37.5% 3,452,254,942 18.58% 1,479,26,64 6.73% 414,479,327 3.76% 27,691,779.1% 1,14,529 1.1% 93,947,26 31.72% 41.27% 17.68% 4.95% 3.24%.1% 1.12% 213,73 1.% 8,365,19,74 1.% Origination Channel Direct Number of Mortgage Loans 618,24 % of of Mortgage Loans 74.91% 21,39,58,276 62.19% Introduced 27,97 25.9% 12,953,82,6 37.81% 825,31 1.% 34,263,4,876 1.% Purpose of Lending Purchase Number of Mortgage Loans % of of Mortgage Loans 519,27 62.92% 18,4,274,643 52.65% Remortgage 36,31 37.8% 16,223,126,233 47.35% 825,31 1.% 34,263,4,876 1.% Loan Originator Number of Mortgage Accounts Lloyds TSB 3,676 Bank of Scotland 3,676 % of of Mortgage Accounts 1.% 34,263,4,876.% 1.% 34,263,4,876 1.%.% 1.% Page 7 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Arrears Analysis of Non Repossessed Mortgage Accounts Arrears and Repossessions Month(s) In Arrears Current to < 1 Number of Mortgage Accounts % of of Mortgage Accounts 295,784 98.38% 33,726,43,35 98.44% Arrears Balance ( ) 898,145 1 to < 2 2,481.83% 282,945,115.83% 1,762,132 2 to < 3 853.28% 9,998,976.27% 1,133,14 3 to < 6 887.3% 95,62,337.28% 2,24,374 6 to < 9 289.1% 3,747,511.9% 1,98,591 9 to < 12 125.4% 11,746,188.3% 548,971 12 25.8% 24,143,671.7% 1,947,14 3,669 1.% 34,262,46,832 1.% 9,412,455 Capitalised Arrears Arrears Capitalised in Month Current Period ( ) Previous Period ( ) 68,15 57,764 Repossessions Properties in possession (at start of period) Repossessed (current period) Number of Accounts Arrears Balance ( ) 8 924,898 31,264 7 1,354,44 44,719 Properties returned to borrower (current period) Bought back by Lloyds TSB (current period) Properties in possession (at end of period) -8-924,898-31,264 7 1,354,44 44,719 Repossessed (programme to date) Properties returned to borrower (programme to date) 12 1,531,892 161 Sold (programme to date) - Losses (Current Period) Losses (Programme to date) Value ( ) Value ( ) Current Balance at sale date Losses following possession sale (programme to date) 259,454 Proceeds of Sale Losses following borrower sale with shortfall (programme to date) 97,58 Losses following possession sale (current period) Recoveries (programme to date) Losses following borrower sale with shortfall (current period) Net losses (programme to date) 356,962 Recoveries - current period Net losses current period Number with loss 2 8 1 Page 8 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Cash Ledgers and Waterfall Summary Cash Ledgers Opening balance ( ) debits in period ( ) credits in period ( ) Revenue ledger 86,823,548-86,823,548 Principal ledger 934,528,416 34,872,667 Retained profit 12, Reserve Fund ledger 1 44,292,548 14,425,428 Pre-maturity liquidity ledger - - - Closing balance ( ) 1,239,41,82 12, 58,717,976 - Target balance ( ) - - - 146,62,719 - Bank Account Balances / Other Assets GIC account Transaction account Authorised investments/substitution assets Value ( ) 1,298,131,58 1,298,131,58 Note: The cash ledgers reflect current month end cash positions adjusted for the subsequent waterfall payments and receipts on the 8th of the month. 1 Reserve fund triggered as result of Issuer's rating falling below Fitch short term F-1+. Ledger balance to reach target using monthly available revenue receipts. Waterfall summary Revenue waterfall Revenue ledger brought forward Value ( ) Principal waterfall Principal ledger brought forward Value ( ) 934,528,416 Revenue receipts in month 86,323,632 Principal receipts in month 34,872,667 GIC Interest in month 499,917 available principal receipts 1,239,41,82 available revenue receipts 86,823,548 Repayment of capital contribution in month LLP Expenses -9,323 Principal ledger carried forward 1,239,41,82 Cash Manager & Servicer Fees -2,642,862 Net swap payment -25,281,572 Interest Payments -44,464,365 Balance transferred (to)/from Reserve Fund Ledger -14,425,428 LLP members profit & expenses Deferred consideration Revenue ledger carried forward Page 9 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Bonds Outstanding and Covered Bond Swaps Bonds issued Series Series 21-1 Series 21-2 Series 21-3 Series 21-4 Series 21-5 Series 21-6 Series 21-7 Series 211-1 Series 211-2 Series 211-3 Issue date 17-Mar-1 25-Jun-1 3-Jun-1 2-Sep-1 29-Sep-1 11-Oct-1 12-Oct-1 11-Jan-11 13-Jan-11 2-Jan-11 Tap date n/a n/a n/a n/a n/a n/a 17-Nov-1 n/a 4-Oct-11 n/a ISIN XS48288465 XS519671787 XS522716223 XS538831685 XS5429581 XS54815166 XS548498343 XS577346553 XS57766725 XS58328911 Stock Exchange Listing London London London London London London London London London London Original Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Current Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Issuance Size 1,5,, 75,, 25,, 5,, 2,,, 25,, 543,, 45,, 1,,, 25,, Outstanding amount 1,5,, 75,, 25,, 5,, 2,,, 25,, 543,, 45,, 1,,, 25,, Currency EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR Coupon Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Current Rate 3.375% 4.% 2.625% 4.% 4.% 2.375% 4.% 4.95% 4.875% 2.75% Frequency - Interest payment Annual Annual Annual Annual Annual Annual Annual Annual Annual Annual Final maturity date 17-Mar-15 25-Jun-18 1-Jul-13 2-Sep-24 29-Sep-2 11-Oct-13 12-Oct-22 13-Jan-31 13-Jan-23 2-Jan-14 Bond structure Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Extended due for payment date 17-Mar-16 25-Jun-19 1-Jul-14 2-Sep-25 29-Sep-21 13-Oct-14 12-Oct-23 13-Jan-32 15-Jan-24 2-Jan-15 Swap counterparty Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Swap notional 1,5,, 75,, 25,, 5,, 2,,, 25,, 543,, 45,, 1,,, 25,, Exchange rate.911.832.825.8184.856.865.86226.8485.84758.8318 Equivalent 1,366,5, 624,, 26,25, 4,919,553 1,712,, 216,25, 468,25,5 38,182,5 847,575, 27,95, LLP pay rate (margin over 1mth GBP Libor).95% 2.2% 1.88% 1.93% 1.92% 1.5% 1.71% 1.71% 2.26% 1.65% Swap payments in period 1,779,226 1,297,897 46,683 82,333 3,432,191 363,363 863,15 7,221 1,92,564 372,548 Swap receipts in period.......... Expected interest payment in period.......... Actual interest payment in period.......... Interest shortfall in period.......... Cumulative interest shortfall.......... Expected principal payment in period.......... Actual principal payment in period.......... Principal shortfall in period.......... Cumulative principal shortfall.......... Page 1 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Bonds Outstanding and Covered Bond Swaps Bonds issued Series Series 211-4 Series 211-5 Series 211-6 Series 211-7 Series 211-8 Series 211-9 Series 211-1 Series 211-11 Series 211-12 Series 211-13 Issue date 26-Jan-11 8-Feb-11 8-Feb-11 11-Mar-11 1-Mar-11 14-Mar-11 6-Apr-11 8-Apr-11 8-Jun-11 1-Jun-11 Tap date n/a n/a n/a 14-Apr-11 n/a n/a n/a n/a n/a n/a ISIN XS58356346 XS589945459 XS5915945 XS63282939 XS63344713 XS65429454 XS613942738 XS61581149 XS635256349 XS63588793 Stock Exchange Listing London London London London London London London London London London Original Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Current Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Issuance Size 75,, 1,25,, 25,, 1,,, 5,, 25,, 1,75,, 25,, 25,, 45,, Outstanding amount 75,, 1,25,, 25,, 1,,, 5,, 25,, 1,75,, 25,, 25,, 45,, Currency NOK GBP EUR EUR NOK EUR EUR EUR EUR GBP Coupon Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed 3mth Euribor +.85% 3m Libor + 1.8% Current Rate 5.825% 6.% 3.125% 2.875% 5.97% 3.375% 4.125% 3.5% 1.77% 2.11963% Frequency - Interest payment Annual Annual Annual Annual Annual Annual Annual Annual Quarterly Quarterly Final maturity date 26-Jan-21 8-Feb-29 1-Feb-14 11-Mar-13 1-Mar-21 14-Mar-14 6-Apr-16 8-Apr-14 8-Jun-14 1-Jun-14 Bond structure Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Extended due for payment date 26-Jan-22 8-Feb-3 1-Feb-15 11-Mar-14 1-Mar-22 16-Mar-15 6-Apr-17 8-Apr-15 8-Jun-15 1-Jun-15 Swap counterparty Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Swap notional 75,, 1,25,, 25,, 1,,, 5,, 25,, 1,75,, 25,, 25,, 45,, Exchange rate.1781 1..8525.8648.1128.861.8784.887.8792 1. Equivalent 8,853,816 1,25,, 213,125, 864,8, 55,139,193 215,25, 1,537,112,5 22,175, 219,8, 45,, LLP pay rate (margin over 1mth GBP Libor) 1.96% 2.11% 1.58% 1.33% 1.84% 1.52% 1.85% 1.48% 1.41% 1.32% Swap payments in period 164,79 2,685,296 371,192 1,341,546 17,31 364,985 2,999,39 366,158 354,153 69,434 Swap receipts in period.......... Expected interest payment in period.... 72,187,5 8,75,.. Actual interest payment in period.... 72,187,5 8,75,.. Interest shortfall in period.......... Cumulative interest shortfall.......... Expected principal payment in period.......... Actual principal payment in period.......... Principal shortfall in period.......... Cumulative principal shortfall.......... Page 11 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Bonds Outstanding and Covered Bond Swaps Bonds issued Series Series 211-14 Series 211-15 Series 211-16 Series 211-17 Series 212-1 Series 212-2 Series 212-4 Series 212-6 Series 212-7 Series 212-8 Issue date 16-Jun-11 14-Jun-11 21-Jun-11 18-Jul-11 4-Jan-12 11-Jan-12 27-Jan-12 8-Feb-12 1-Feb-12 1-Feb-12 Tap date n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a ISIN XS636635574 XS638557313 XS638851427 XS649795589 XS721326295 XS72918866 XS737747211 XS744721761 XS746945 XS74691395 Stock Exchange Listing London London London London London London London London London London Original Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Current Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Issuance Size 2,, 48,, 55,, 5,, 5,, 1,25,, 1,25,, 4,, 1,451,4, 1,29,5, Outstanding amount 2,, 48,, 55,, 5,, 5,, 1,25,, 1,25,, 4,, 1,451,4, 1,29,5, Currency EUR NOK SEK EUR NOK EUR GBP NOK EUR EUR Coupon 3mth Euribor +.83% Annual Fixed 3mth Stibor +.93% 3mth Euribor +.85% Annual Fixed Annual Fixed Annual Fixed Annual Fixed 3mth Euribor +.65% 3mth Euribor +.9% Current Rate 1.71% 5.2925% 3.228% 1.6% 5.38% 3.5% 5.125% 4.82% 1.633% 1.683% Frequency - Interest payment Quarterly Annual Quarterly Quarterly Annual Annual Annual Annual Quarterly Quarterly Final maturity date 16-Jun-14 14-Jun-18 21-Jun-14 18-Jul-14 4-Jan-24 11-Jan-17 7-Mar-25 8-Feb-19 2-Sep-13 1-Oct-14 Bond structure Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Extended due for payment date 16-Jun-15 14-Jun-19 22-Jun-15 2-Jul-15 4-Jan-25 11-Jan-18 7-Mar-26 8-Feb-2 2-Sep-14 1-Oct-15 Swap counterparty Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Swap notional 2,, 48,, 55,, 5,, 5,, 1,25,, 1,25,, 4,, 1,451,4, 1,29,5, Exchange rate.8911.11417.9832.8814.1114.8277 1..185.8268.8268 Equivalent 178,22, 54,8, 54,77,971 44,7, 55,679,287 1,34,562,5 1,25,, 43,399,139 1,2,, 1,,, LLP pay rate (margin over 1mth GBP Libor) 1.38% 1.56% 1.29% 1.47% 2.93% 2.92% 2.81% 2.7% 1.38% 1.61% Swap payments in period 282,782 94,686 82,321 73,362 154,466 2,866,918 3,357,679 91,867 1,92,22 1,767,744 Swap receipts in period.......... Expected interest payment in period... 2,618,778..... 2,983,971 Actual interest payment in period... 2,618,778..... 2,983,971 Interest shortfall in period.......... Cumulative interest shortfall.......... Expected principal payment in period.......... Actual principal payment in period.......... Principal shortfall in period.......... Cumulative principal shortfall.......... Page 12 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Bonds Outstanding and Covered Bond Swaps Bonds issued Series Series 212-9 Series 212-1 Series 212-11 Series 212-12 Series 212-14 Series 212-15 Series 212-16 Issue date 1-Feb-12 1-Feb-12 1-Feb-12 1-Feb-12 23-Mar-12 22-Mar-12 3-Mar-12 Tap date n/a n/a n/a n/a n/a 2-Apr-12 n/a ISIN XS74692526 XS74694498 XS74696782 XS7461725 XS76221739 XS76224179 XS76561947 Stock Exchange Listing London London London London London London London Original Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Current Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Issuance Size 1,29,5, 1,29,5, 1,451,4, 1,29,5, 1,,, 1,,, 1,25,, Outstanding amount 1,29,5, 1,29,5, 1,451,4, 1,29,5, 1,,, 1,,, 1,25,, Currency EUR EUR EUR EUR NOK GBP GBP Coupon 3mth Euribor + 1.35% 3mth Euribor + 1.6% 3mth Euribor + 1.6% 3mth Euribor + 1.6% Annual Fixed 3mth Libor + 1.65% Annual Fixed Current Rate 2.11% 2.366% 2.377% 2.324% 5.225% 2.68244% 4.875% Frequency - Interest payment Quarterly Quarterly Quarterly Quarterly Annual Quarterly Annual Final maturity date 13-Jul-16 11-Jan-27 3-Jul-28 27-Jul-29 23-Mar-27 22-Mar-17 3-Mar-27 Bond structure Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Extended due for payment date 13-Jul-17 11-Jan-28 3-Jul-29 27-Jul-3 23-Mar-28 22-Mar-18 3-Mar-28 Swap counterparty Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Swap notional 1,29,5, 1,29,5, 1,451,4, 1,29,5, 1,,, 1,,, 1,25,, Exchange rate.8268.8814.8814.8277.115 1. 1. Equivalent 1,,, 1,,, 1,2,, 1,,, 11,518,172 1,,, 1,25,, LLP pay rate (margin over 1mth GBP Libor) 2.3% 1.88% 1.86% 1.85% 1.75% 1.81% 2.6% Swap payments in period 2,85,333 1,971,31 2,344,985 1,946,483 26,474 1,915,31 2,637,351 Swap receipts in period....... Expected interest payment in period 4,734,89 5,68,242 5,16,332 6,689,946... Actual interest payment in period 4,734,89 5,68,242 5,16,332 6,689,946... Interest shortfall in period....... Cumulative interest shortfall....... Expected principal payment in period....... Actual principal payment in period....... Principal shortfall in period....... Cumulative principal shortfall....... Page 13 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 N-Bonds Outstanding and Bond Swaps N-Bonds issued Series Series 211-18 Series 211-19 Series 212-3 Series 212-5 Series 212-13 Series 212-17 Issue date 31-Aug-11 13-Oct-11 1-Feb-12 7-Feb-12 22-Mar-12 26-Apr-12 Tap date n/a n/a n/a n/a n/a n/a ISIN n/a n/a n/a n/a n/a n/a Stock Exchange Listing London London London London London London Original Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Current Rating (Moody's/Fitch) Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Aaa/AAA Issuance Size 11,, 4,, 47,, 5,, 16,, 4,, Outstanding amount 11,, 4,, 47,, 5,, 16,, 4,, Currency EUR EUR EUR EUR EUR EUR Coupon Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Annual Fixed Weighted average current Rate 4.1513% 4.1513% 4.1513% 4.1513% 4.1513% 4.1513% Frequency - Interest payment Annual Annual Annual Annual Annual Annual Final maturity date 1-Sep-26 13-Oct-27 1-Feb-27 7-Jun-27 22-Mar-27 26-Apr-25 Bond structure Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Soft bullet Extended due for payment date 1-Sep-27 13-Oct-28 1-Feb-28 7-Jun-28 22-Mar-28 26-Apr-26 Swap counterparty Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Lloyds TSB Swap notional 11,, 4,, 47,, 5,, 16,, 4,, Exchange rate.8748.8719.83385.83335.8331.8182 Equivalent 96,228, 34,876, 39,19,95 41,675, 88,38,6 32,728, LLP pay rate (margin over 1mth GBP Libor) 1.83% 2.14% 2.2% 2.3% 1.7% 1.55% Swap payments in period 186,273 75,751 81,546 86,81 162,136 23,89 Swap receipts in period...... Expected interest payment in period...... Actual interest payment in period...... Interest shortfall in period...... Cumulative interest shortfall...... Expected principal payment in period...... Actual principal payment in period...... Principal shortfall in period...... Cumulative principal shortfall...... Note: The balances above reflect current month end positions adjusted for the subsequent waterfall payments and receipts on the 8th of the month. LLP Asset Swap Swap Provider Swap Provider Party A Payments Party B Payments Party A Party B Currency Notional Amount Blended Rate in Period Payment in period Currency Notional Amount Blended Rate in Period Payment in period Lloyds TSB Lloyds TSB Covered Bonds LLP GBP 34,263,4,876 1.86% 53,3,535 GBP 34,263,4,876 2.74% 78,312,17 There has been no collateral posted under any of the swaps as no counterparty trigger events have occurred. Page 14 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Ratings and Triggers Countertparty linked rating triggers Required Rating Rating (where required) Party to the Transaction Name (Moody's/Fitch) (Moody's/Fitch) Status Consequences Issuer 1. Long term <A2 or short term <P-1 / short term <F1 A1; P-1 / F1 Not breached Pre-Maturity Liquidity Test breach resulting in need to fund the Pre-Maturity Liquidity Ledger in respect of upcoming hard bullet bonds and/or leading to the sale of Selected Loans 2. Short term <P-1 / short term <F1+ P-1 / F1 Breached Issuer required to establish and maintain Reserve Fund Servicer (or Parent Support Provider) Cheltenham and Gloucester plc (Lloyds TSB Bank plc) Long term <Baa3 / long term < BBB- A1 / A Not breached Servicer required to use reasonable efforts to enter, within 6 days, into a back-up or master servicing agreement with a third party with suitable experience and credentials Cash Manager (or Parent Support Provider) Cheltenham and Gloucester plc (Lloyds TSB bank plc) Long term <Baa3 / long term < BBB- A1 / A Not breached Asset Monitor required to report on arithmetic accuracy of Cash Manager's calculations more frequently Account Bank Short term <P-1 / short term <F1 P-1 / F1 Not breached Termination Event pursuant to the Bank Account Agreement, unless such downgrade is remedied in accordance with the terms of the Bank Account Agreement Covered Bonds Swap Provider(s) Counterparty credit ratings are downgraded by a Rating Agency below the required ratings specified in the relevant swap agreement. A1; P-1 / A; F1 Not breached Swap provider to provide collateral for its obligations, procure another entity to become a co-obligor or guarantor, arrange for its obligations to be transferred to a replacement counterparty or terminate the swap Interest Rate Swap Provider Counterparty credit ratings are downgraded by a Rating Agency below the required ratings specified in the relevant swap agreement. A1; P-1 / A; F1 Not breached Swap provider to provide collateral for its obligations, arrange for its obligations to be transferredto a replacement counterparty or terminate the swap Issuer and LLP Events of Default Party Trigger Event Status Consequences Issuer LLP Any of the events listed at Condition 9(a) (Events of Default, Acceleration and Enforcement Issuer Events of Default) occurs. See the section of the Prospectus entitled "Terms and Conditions of the Covered Bonds " for more information. Any of the events listed at Condition 9(b) of the Prospectus (Events of Default and Enforcement LLP Events of Default ) occurs and an LLP Acceleration Notice is served. See the section of the Prospectus entitled "Terms and Conditions of the Covered Bonds " for more information. Not breached Not breached Covered Bonds become accelerated as against the Issuer (but not against the LLP). Notice to Pay served on the LLP. Following service of Notice to Pay, LLP starts making payments of Guaranteed Amounts under the Covered Bonds. Security becomes enforceable. Covered Bonds will become immediately due and repayable as against the Issuer (if not already the case) and also against the LLP. Moneys received or recovered by the Security Trustee will be applied in accordance with the Post-Enforcement Priority of Payments. Page 15 of 16
3bn Global Covered Bond Programme - Monthly Report April 212 Glossary Arrears Arrears Capitalisation Policy Monthly Constant Prepayment Date (CPR/PPR) Arrears are calculated in accordance with standard market practice in the UK. A mortgage is identified as being in arrears when, on any due date, the overdue amounts which were due on previous due dates equal, in the aggregate, one or more full monthly payments. In making an arrears determination, the servicer calculates as of the date of determination the difference between the sum of all monthly payments that were due and payable by a borrower on any due date up to that date of determination (less the aggregate amount of all authorised underpayments made by such borrower up to such date of determination) and the sum of all payments actually made by that borrower up to that date of determination. If the result arrived at by dividing that difference (if any) by the amount of the required current monthly payment equals or exceeds 1 the account is deemed to be in arrears. Arrears classification is determined based on the number of equivalent full current monthly payments that have been missed. A borrower that has missed payments that in the aggregate equal or exceeding 2 monthly payments (but for which the aggregate of missed payments is less than 3 monthly payments) would be classified as being 2 to <3 months in arrears, and so on. For the purpose of the Asset Coverage Test, an account is treated as being in default if it is 3 or more months in arrears. We will consider capitalising arrears where a customer has made at least 6 consecutive full repayments since the last missed payment and the customer has provided consent for the capitalisation. Monthly CPR on any portfolio calculation date means the total unscheduled principal receipts received during the period of one month ending on that calculation date divided by the aggregate current balance of the loans comprised in the portfolio property as at the immediately preceding calculation date. Unscheduled Principal Repayments comprise payments from Lloyds TSB for the repurchase of loans from the portfolio, and capital repayments and redemptions other than those received at the expected term end date of the loan. Where there has been portfolio transfers within the month, CPR is calculated on a weighted average basis. Monthly PPR on any portfolio calculation date means the total scheduled and unscheduled principal receipts received during the period of one month ending on that calculation date divided by the aggregate current balance of the loans comprised in the portfolio property as at the immediately preceding portfolio calculation date. Where there has been portfolio transfers within the month, PPR is calculated on a weighted average basis. These are annualised using the formula: 1-((1-M)^12) where M is the monthly CPR or PPR expressed as a percentage. Please note that CPR, as defined in the programme documentation, and as previously reported in the Investor Reports, corresponds with PPR in this revised format Investor Report. Quarterly CPR/PPR Current Balance Mortgage Account / Loan Mortgage Collections Origination Channel Purpose of Loan Original LTV Loan Seasoning Remaining Term Indexed LTV Indexed Valuation Product Balance Pre Swap Mortgage yield The average of the three most recent monthly annualised CPR / PPR expressed as a percentage. In relation to any Loan at any date (the current balance determination date), the aggregate at such date (but avoiding double counting) of: (i) the Initial Advance; (ii) Further Advances and/or Flexible Loan Drawings; (iii) Capitalised Expenses; (iv) Capitalised Interest; and (v) all expenses, charges, fees, premium or payment due and owing by the Borrower which have not yet been capitalised, in each case relating to such Loan less all prepayments, repayments or payments of any of the foregoing made on or prior to the current balance determination date; and in relation to any Mortgage Account at the current balance determination date, the aggregate at such date of the Current Balance in respect of each Loan comprised in the relevant Mortgage Account A mortgage account consists of one or more loans secured, by way of equal ranking first charge, on the same property and thereby forming a single mortgage account. All cash receipts on a mortgage within the portfolio excluding monies paid by LTSB in respect of loans repurchased from the portfolio. The origination channel of each loan. Direct origination includes loans originated in Lloyds TSB branches, C&G branches, direct telephone sales and internet sales. Whether the purpose of the initial loan origination was to finance the purchase of a new property or to remortgage a property already owned by the borrower. Based on the original amount advanced on the date of the origination of the initial loan (excluding capitalised interest, high LTV fees, insurance fees, booking fees and valuation fees), divided by the value of the property securing the loans in that mortgage account at that date. The number of months since the date of origination of the loan. The number of remaining years of the term of each loan. The aggregate current balance of all loans within a mortgage account divided by the indexed valuation of the property securing the loans in that mortgage account at the reporting date. Indexation is applied on a regional basis to property valuations on a quarterly basis in January, April, July and October of each year using the Halifax House Price Index. Month End Spot Balance The pre swap mortgage yield is defined as the total revenue receipts generated by the mortgage assets in the period divided by the average mortgage balance for the period. Page 16 of 16