LA Loan Restructuring Platform

Spread over SONIA

bps

Reference Gilt

Auto-matched by WAL

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Semi-Annual Act/365

Principal

Coupon

Maturity

#	Date	Days	Coupon	Principal	Total CF	Yrs to CF	DF	PV

Tenor	Rate (%)	Years

Benchmark	Description	Coupon (%)	Maturity	Yrs to Mat	Yield (%)

Tenor (yrs)

IO Period (yrs)

Profile

Spread over Gilts

bps

Rate Override (%)

Reference Gilt (New WAL)

Solved Rate

Saving

New WAL

Discount Rate

Spread / SONIA

Target Dirty

Barclays MtM

New Dirty Price

10% Test

#	Date	Days	Balance	Coupon	Principal	Total CF	DF	PV

Tenor (yrs)

IO Period (yrs)

Profile

Current Spread

bps

Spread over Gilts

bps

Rate Override (%)

Reference Gilt (New WAL)

Original Rate

Unchanged

Tap (New Lending)

New WAL

Barclays Dirty

Purchase price

Restructured Dirty

10% Test

Implied Spread (New)

on new tranche

1yr PWLB Saving

vs 1yr rolling PWLB

Lifetime PWLB Saving

undiscounted

PV PWLB Saving

discounted at PWLB long

#	Date	Days	Balance	Coupon	Principal	Total CF	DF	PV

Impact of parallel rate shifts on restructure savings and new lending.

RESTRUCTURE SAVING (bps)

NEW LENDING R&T

Parallel Shift

bps

Steepening (at 30Y)

bps

Swap Spread

bps

Tenor (yrs)

IO (yrs)

SONIA SWAP CURVE

GILT YIELD CURVE

SWAP SPREADS (SONIA - GILT)

Barclays Dirty

Solved Rate

Saving (RSX)

New Lending (R&T)

RESTRUCTURE SAVING (bps) — Parallel vs Steepening

NEW LENDING R&T (£k) — Parallel vs Steepening

Assumptions

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Advisor Activity Log

Loan Restructuring Platform

Assumptions

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Advisor Activity Log

Client Email

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Stress Test