Project Lollipop

Model Outputs

December 2016
Strictly private and confidential
 Assumptions
Our approach mirrors criteria published by Fitch (EMEA Consumer ABS Rating Criteria)
6% Car Finance defaults

Other Base Case Assumptions Car Home Personal 4%

Prepayment Rate (CPR) 25% 22% 19%

2%
Recovery Rate 25% 25% 0%

Arrears Rate 4% 4% 4% 0%
1 6 11 16 21 26 31 36 41 46 51 56 61
2010 2011 2012 2013

Scenario Inputs 1 2 3
20%
Home Loan defaults
Indicative Stress AAA AA A
15%
Default Stress 5.00x 4.00x 3.00x
Arrears Stress 3.00x 2.50x 2.00x 10%

Months to recover stress 24 24 18 5%

Recovery Rate Haircut 50% 40% 30%
0%
Margin Haircut 0% 0% 0% 1 6 11 16 21 26 31 36 41 46 51 56 61
Libor Stress 3.00x 2.50x 2.00x 2010 2011 2012 2013
2014 2015 2016 Base
Servicing % Standby Standby Standby
Minimum Monthly Servicing £30,000 £30,000 £30,000
Prepayment Stress 1x 1x 1x 20%
Personal Loan Defaults

15%
Base Libor
1.50% 10%

1.00% 5%

0.50% 0%
1 6 11 16 21 26 31 36 41
0.00% 2014 2015 Base
1 6 11 16 21 26 31 36 41 46 51 56 Tenant 2014 Tenant 2015

2
 Current Loan Book – (Car)
Run-off analysis of Car Loans
Current Yield (c.2%)
Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 13,620,598
Status Working Prepayment % 36%
Month Repaid 24 22 21 Senior Repaid TRUE Default Amount 9,382,536
Month Repaid 22 Default % 25%
% Principal repaid (if unpaid) - - -
Surplus Cash to Equity 1,042,560 Recovery Amount 1,407,380
% Mezzanine Repaid 107%1 Full Full Recovery % 15%
Mezzanine Repaid TRUE Loss Amount 7,975,156
Cash to Equity 0 1,042,560 4,216,068 Month Repaid 39 Loss % 21%
Surplus to Equity 1,042,560 Senior Advance Rate 80%
1Indicates Interest Loss Mezzanine Advance
Rate 95%

Yield Compression

Assumed Yield (1.9%)

Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 13,559,574
Status Working Prepayment % 35%
Month Repaid 25 23 21 Senior Repaid TRUE Default Amount 9,375,786
Month Repaid 23 Default % 25%
% Principal repaid (if unpaid) - - -
Surplus Cash to Equity 329,669 Recovery Amount 1,406,368
% Mezzanine Repaid 97% Full Full Recovery % 15%
Mezzanine Repaid TRUE Loss Amount 7,969,418
Cash to Equity 0 329,669 3,530,506 Month Repaid 45 Loss % 21%
Surplus to Equity 329,669 Senior Advance Rate 80%
Mezzanine Advance
Rate 95%

3
 Current Loan Book – (Home)
Run-off analysis of Home Loans
Current Yield (c.1.75%)
Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 8,311,421
Status Working Prepayment % 34%
Month Repaid Senior Repaid TRUE Default Amount 12,089,370
Unpaid 71 35
Month Repaid 71 Default % 50%
% Principal repaid (if unpaid) 92% - -
Surplus Cash to Equity 0 Recovery Amount 1,813,406
% Mezzanine Repaid 0% 7% 98% Recovery % 15%
Mezzanine Repaid FALSE Loss Amount 10,275,965
Loss % 43%
Senior Advance Rate 75%
Mezzanine Advance
Cash / Principal 6.96% Rate 95%

Yield Compression

Assumed Yield (1.6%)

Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 8,266,524
Status Working Prepayment % 34%
Month Repaid Unpaid Unpaid 37 Senior Repaid FALSE Default Amount 12,070,619
Month Repaid Default % 50%
% Principal repaid (if unpaid) 91% 108%1 -
Surplus Cash to Equity Recovery Amount 1,810,593
% Mezzanine Repaid 0% 0% 87% 107.84% Recovery % 15%
Mezzanine Repaid FALSE Loss Amount 10,260,026
1Indicates Interest Loss Month Repaid Loss % 42%
Surplus to Equity Senior Advance Rate 75%
Mezzanine Advance
0.00% Rate 95%

4
 Current Loan Book – (Personal)
Run-off analysis of Personal Loans
Current Yield (c.2%)
Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 2,497,214
Status Working Prepayment % 16%
Month Repaid Senior Repaid FALSE Default Amount 9,818,771
Unpaid Unpaid Unpaid
Default % 63%
% Principal repaid (if unpaid)
64% 75% 97% Recovery Amount 0
% Mezzanine Repaid 0% 0% 0% Cash / Principal 75.24% Recovery % 0%
Mezzanine Repaid FALSE Loss Amount 9,818,771
Loss % 63%
Senior Advance Rate 70%
Mezzanine Advance
Cash / Principal 0.00% Rate 95%

Yield Compression

Assumed Yield (1.9%)

Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 2,501,314
Status Working Prepayment % 16%
Month Repaid Senior Repaid FALSE Default Amount 9,805,025
Unpaid Unpaid Unpaid
Default % 63%
% Principal repaid (if unpaid)
63% 75% 97% Recovery Amount 0
% Mezzanine Repaid 0% 0% 0% Cash / Principal 74.92% Recovery % 0%
Mezzanine Repaid FALSE Loss Amount 9,805,025
Loss % 63%
Senior Advance Rate 70%
Mezzanine Advance
Cash / Principal 0.00% Rate 95%

5
 Current Loan Book – (All)
Run-off analysis of All Loans
Current Yield
Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 24,735,434
Status Working Prepayment % 31%
Month Repaid Unpaid 37 27 Senior Repaid TRUE Default Amount 31,990,466
Month Repaid 37 Default % 40%
% Principal repaid (if unpaid) 92% - -
Surplus Cash to Equity 0 Recovery Amount 3,220,786
% Mezzanine Repaid 0% 25% 89% Recovery % 10%
Mezzanine Repaid FALSE Loss Amount 28,769,681
Loss % 36%
Senior Advance Rate 76%
Mezzanine Advance
Cash / Principal 24.86% Rate 95%

Yield Compression as per individual products

Scenario 2 (AA) Scenario Outputs

Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 24,642,893
Status Working Prepayment % 31%
Month Repaid Senior Repaid TRUE Default Amount 31,957,746
Unpaid 40 28
Month Repaid 40 Default % 40%
% Principal repaid (if unpaid)
91% - - Surplus Cash to Equity 0 Recovery Amount 3,216,961
% Mezzanine Repaid 0% 18% 81% Recovery % 10%
Mezzanine Repaid FALSE Loss Amount 28,740,786
Loss % 36%
Senior Advance Rate 76%
Mezzanine Advance
Cash / Principal 17.66% Rate 95%

6
Additional Scenarios
 Personal Loan
Some alternative Personal Loan Scenarios
Higher Yield (3%)
Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 2,613,469
Status Working Prepayment % 17%
Month Repaid Unpaid Unpaid 28 Senior Repaid FALSE Default Amount 10,006,805
Default % 65%
% Principal repaid (if unpaid) n/a 88% -
Recovery Amount 0
% Mezzanine Repaid n/a 0% 33% Cash / Principal 87.96% Recovery % 0%
Mezzanine Repaid FALSE Loss Amount 10,006,805
Loss % 65%
Senior Advance Rate 70%
Mezzanine Advance
Cash / Principal 0.00% Rate 95%

Better Defaults flattening off at 10%

Current Yield (2%)

Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 3,196,841
Status Working Prepayment % 21%
Month Repaid Unpaid 52 28 Senior Repaid TRUE Default Amount 6,927,462
Month Repaid 52 Default % 45%
% Principal repaid (if unpaid) 88% - -
Surplus Cash to Equity 0 Recovery Amount 0
% Mezzanine Repaid 0% 4% 67% Recovery % 0%
Mezzanine Repaid FALSE Loss Amount 6,927,462
Loss % 45%
Senior Advance Rate 70%
Mezzanine Advance
Cash / Principal 4.25% Rate 95%

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 Personal Loan at 30%
Increasing Personal Loans to 30% of the portfolio
Current Yield
Scenario 2 (AA) Scenario Outputs
Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 26,637,823
Status Working Prepayment % 29%
Month Repaid N/A 51 29 Senior Repaid TRUE Default Amount 39,949,129
Month Repaid 51 Default % 44%
% Principal repaid (if unpaid) N/A - -
Surplus Cash to Equity 0 Recovery Amount 3,220,786
% Mezzanine Repaid N/A 4% 69% Recovery % 8%
Mezzanine Repaid FALSE Loss Amount 36,728,343
Loss % 40%
Senior Advance Rate 75%
Mezzanine Advance
Cash / Principal 3.55% Rate 95%

Yield Compression as per individual products

Scenario 2 (AA) Scenario Outputs

Senior Repayment 1 (AAA) 2 (AA) 3 (A) Prepayment 1 Prepayment Amount 24,202,682
Status Error Prepayment % 26%
Month Repaid Senior Repaid FALSE Default Amount 41,850,565
N/A Unpaid 30
Default % 45%
% Principal repaid (if unpaid)
N/A 94% - Recovery Amount 2,319,169
% Mezzanine Repaid N/A 0% 48% Cash / Principal 94.15% Recovery % 6%
Mezzanine Repaid FALSE Loss Amount 39,531,396
Loss % 43%
Senior Advance Rate 75%
Mezzanine Advance
Cash / Principal 0.00% Rate 95%