Commentary & Deal Flow

Optional Interest Cancellation

The Bank can elect, in its sole and absolute discretion and for any reason, to cancel interest payments in whole or in part (subject to certain restrictions on discretionary payments to members)

Mandatory Interest Cancellation

Upon the occurrence of a Trigger Event and for so long as the Trigger Event is continuing, any accrued and unpaid interest shall be cancelled

Trigger Event

If on any date which the Bank’s annual audited financial statements are published (each a “Determination Date”), the ratio of Total Assets to Paid-in Capital and Reserves > 7.5x. The Trigger Event shall continue until the next Determination Date on which the ratio of Total Assets to Paid-in Capital and Reserves is not > 7.5x

Interest Non-Cumulative

Interest payments will be non-cumulative. If any payment of interest (in whole or part) is not made, the right to receive such interest will be extinguished and the Bank will have no obligation to pay such interest or any interest thereon, whether or not interest is paid in respect of any future interest period. Noteholders shall have no rights to cancelled interest or to receive any additional interest or compensation as a result of such cancellation. Any interest so cancelled shall not constitute a default by the Bank for any purpose

Restriction on Discretionary Payments

Following any interest cancellation, no payment or other distribution shall be made by the Bank to any of its Members in respect of its annual net income until the scheduled interest payment in respect of the Notes on any subsequent interest payment date is made in full

Permanent Principal Write-Down

In the event a call is made by the Bank on its callable capital, the Bank will (a) cancel any accrued and unpaid interest in respect of the Notes and no further interest shall accrue or be due and payable, and (b) permanently reduce the outstanding principal amount of the Notes to zero. Following a Permanent Principal Write-Down, Noteholders will have no rights or claim against the Bank with respect to the payment of any principal, interest or other amount on or in respect of the Notes and the Bank shall have no further obligations under the Notes. A Permanent Write-Down Event shall not constitute a default by the Bank under the Notes for any purpose or entitle Noteholders to institute proceedings or take any other action against the Bank.

Optional Early Redemption

The Bank may, at its sole and absolute discretion, on giving not less than 10 and no more than 60 calendar days’ notice, redeem all (but not some only) of the Notes on any date during the period commencing on (and including) the date falling three months prior to the next succeeding Reset Date and ending on (and including) such Reset Date, in each case at their outstanding principal amount together with any interest accrued but unpaid (other than any interest cancelled optionally or mandatorily)

Redemption following an Accounting Event or a Rating Event

The Bank may, on giving not less than 10 nor more than 60 calendar days' notice, redeem all (but not some only) of the Notes at any time following the occurrence of an Accounting Event (i.e. where the Notes may not or may no longer be classified as “equity” in full in the audited annual or unaudited semi-annual financial statements of the Bank pursuant to IFRS) or a Rating Event (i.e. a change in the "equity credit" or "equity content" criteria resulting in the assignment of a lower level of "equity credit" or "equity content" or shorter period for such assignment), (i) at 101 per cent. of their outstanding principal amount at any time until the three months prior to the First Reset Date and (ii) at any time thereafter at their outstanding principal amount together with any interest accrued but unpaid (other than any interest cancelled optionally or mandatorily)

Redemption following a Substantial Repurchase Event

The Bank may, on giving not less than 10 nor more than 60 calendar days' notice, redeem all (but not some only) of the Notes at any time upon at least 75 per cent. in aggregate principal amount of the Notes issued on the Issue Date having been redeemed or purchased by or on behalf of the Bank and cancelled, at their outstanding principal amount together with any interest accrued but unpaid (other than any interest cancelled optionally or mandatorily)

Mandatory Redemption Deferral

Upon the occurrence of a Trigger Event, and for so long as that Trigger Event is continuing, the Bank may not redeem the Notes

Substitution or Variation

If an Accounting Event, a Rating Event or, subject to the Issuer determining in its sole discretion that the inclusion of provision for the substitution, or variation of the terms, of the Notes upon the occurrence of an Alignment Event (the Alignment Event Provision) will not negatively impact on the level of "equity content" or "equity credit" to be assigned to the Notes, an Alignment Event (as detailed below) (each a “Substitution or Variation Event”) has occurred, then the Bank may without any requirement for the consent or approval of the Noteholders), on giving not less than 10 nor more than 60 calendar days' notice, at any time either (a) substitute all, but not some only, of the Notes for Qualifying Deeply Subordinated Notes, or (b) vary the terms of the Notes so that they remain or become Qualifying Deeply Subordinated Notes (at terms not materially less favourable to holders)

Alignment Event

An Alignment Event will be deemed to have occurred, if, as a result of amendment, clarification or change in the "equity credit" or "equity content" criteria, as applicable, of any Rating Agency, effective after the Issue Date, the Bank would be able to (i) substitute the notes for Qualifying Deeply Subordinated Notes containing one or more Write-Up Provisions or (ii) vary the terms of the Notes so that they contain Write-Up Provisions while remaining Qualifying Deeply Subordinated Notes, and following such substitution or variation such substituted Qualifying Deeply Subordinated Notes or the Notes, as the case may be, would be assigned by all of the Rating Agencies an "equity content" or "equity credit" at least equal to that assigned immediately prior to such substitution or variation. New Terms means, at any time, any one or more provisions specified by the Bank in its sole and absolute discretion that are different from those contained in the terms and conditions of the Notes at such time.

Use of Proceeds

An amount equal (or equivalent in another currency) to the net proceeds of the Notes will be incorporated in the ordinary capital resources of the Bank and used in its ordinary operations

No Negative Pledge and no Events of Default

There will be no negative pledge or events of default in respect of the Notes

Governing Law

English Law

Rating

The Notes are expected to be assigned on issue a rating of AA- by S&P and Aa3 by Moody’s. A credit rating is not a recommendation to buy, sell or hold securities and may be subject to suspension, reduction or withdrawal at any time by the assigning rating agency

Listing

Luxembourg Stock Exchange's regulated market

Offering

Global SEC exempt

Denominations

$200K + 1K

ISIN

US008281BK24