PROSPECTUS

Dated 2 July 2021

LLOYDS BANK

LLOYDS BANK plc

(incorporated in England with limited liability with registered number 2065)

£25,000,000,000

Global Medium Term Note Programme

This Prospectus

This document (this "Prospectus") is the base prospectus for the Global Medium Term Note Programme (the "Programme") of Lloyds Bank plc (the "Bank" or "Lloyds Bank") which allows for the issue of Notes (as defined below) by the Bank. The aggregate nominal amount of Notes outstanding will not at any time exceed £25,000,000,000 (or the equivalent in other currencies), subject to increase as provided herein.

This Prospectus constitutes a base prospectus for the purposes of the UK Prospectus Regulation. This Prospectus will be valid as a base prospectus under the UK Prospectus Regulation for 12 months from 2 July 2021. The obligation to supplement this Prospectus in the event of significant new factors, material mistakes or material inaccuracies will not apply following the expiry of that period. When used in this Prospectus, "UK Prospectus Regulation" means Regulation (EU) 2017/1129 (as amended), as it forms part of domestic law by virtue of the European Union (Withdrawal) Act 2018 ("EUWA").

This Prospectus has been approved by the Financial Conduct Authority (the "FCA"), as competent authority under the UK Prospectus Regulation. The FCA only approves this Prospectus as meeting the standards of completeness, comprehensibility and consistency imposed by the UK Prospectus Regulation. Such approval should not be considered as (a) an endorsement of the Bank or (b) an endorsement of the quality of the securities that are the subject of this Prospectus. Investors should make their own assessment as to the suitability of investing in the Notes.

In respect of any Series of Notes, this Prospectus will be completed by a final terms document specific to those Notes ("Final Terms").

Notes

Under the terms of the Programme, the Bank may issue notes ("Notes") which pay interest at:

a fixed rate ("Fixed Rate Notes");
a floating rate ("Floating Rate Notes"); or
a rate that is determined in accordance with a formula ("Structured Rate Notes"),

or which do not bear interest ("Zero Coupon Notes").

Notes issued under this Programme may redeem at their nominal amount or another fixed amount or amounts. Alternatively, Notes may be issued that redeem at an amount calculated in accordance with a formula ("Structured Redemption Notes").

Structured Rate Notes may, and Structured Redemption Notes will, have payments linked to any of the following and Notes where Autocall is specified as applicable may redeem early upon the occurrence of a trigger event linked to any of the following:

a specified index or a basket of indices ("Index Linked Notes");

a specified inflation index (“Inflation Linked Notes”);
a specified currency or a basket of currencies (“Currency Linked Notes”);
a specified underlying rate or a basket of rates (“Rate Linked Notes”); or
a basket of a combination of the foregoing (“Multi-Asset Basket Linked Notes”),

(together, “Reference Item Linked Notes”).

Terms and Conditions

This Prospectus contains, among other things, the legal terms and conditions relating to the Notes (see “Overview of the Terms and Conditions of the Notes” on pages 86 to 87), which comprise the following:

(i) general terms that apply to all Notes (referred to as the “Base General Conditions”);
(ii) terms relating to the asset (or assets) to which the Notes are linked (if any) (referred to as the Asset Conditions); and
(iii) terms relating to the structured interest and redemption payments (if any) applicable to the Notes (referred to as the Payout Conditions).

Specific details of a Series of Notes, such as amounts, dates, rates and the application (or disapplication) of certain base conditions will be set out in the relevant Final Terms for those Notes.

Credit Ratings

As at the date of this Prospectus:

(i) long-term senior obligations of the Bank are rated “A+” by S&P Global Ratings UK Limited (“S&P”), “A1” by Moody’s Investors Service Ltd. (“Moody’s”) and “A+” by Fitch Ratings Ltd (“Fitch”); and
(ii) short-term senior obligations of the Bank are rated “A-1” by S&P, “P-1” by Moody’s and “F1” by Fitch.

Each of S&P, Fitch and Moody’s is established in the United Kingdom (the “UK”) and is registered under Regulation (EC) No. 1060/2009 as it forms part of domestic law by virtue of the EUWA (the “UK CRA Regulation”).

Notes issued under the Programme will be rated or unrated. Where an issue of Notes is to be rated, such rating will not necessarily be the same as the rating assigned to Notes already issued or endorsed. Whether or not a rating in relation to any Tranche of Notes will be treated as having been issued or endorsed by a credit rating agency established in the UK and registered under the UK CRA Regulation will be disclosed in the relevant Issue Terms. A 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.

Risks

Prospective investors should have regard to the factors described under the section headed “Risk Factors” in this Prospectus.

Prospective purchasers of Notes should ensure that they understand the nature of the relevant Notes and the extent of their exposure to risks and that they consider the suitability of the relevant Notes as an investment in the light of their own circumstances and financial condition. Notes may involve a high degree of risk and prospective purchasers should recognise that Notes, other than Notes having a minimum expiration or redemption value, may expire worthless. Potential purchasers should be prepared to sustain a total loss of their investment. It is the responsibility of potential purchasers to ensure they have sufficient knowledge, experience and professional advice to make their own legal, financial, tax, accounting, regulatory and other business evaluation of the merits and risks of investing in Notes and are not relying on the advice of the Bank or any Dealer. See the sections headed “Risk Factors” and “Taxation” in this Prospectus.

Taxes

The Bank will not be liable for, or otherwise obliged to pay, any tax, duty or other payment which may arise as a result of the ownership, transfer, exercise, redemption or enforcement of any Note by any person and all payments and/or deliveries made by the Bank shall be made subject to any such tax, duty, withholding or other payment.

Listing and Admission to Trading

Application has been made to the FCA under Part VI of the Financial Services and Markets Act 2000 (the “FSMA”) for Notes to be admitted to the Official List of the FCA (the “Official List”) and for such Notes to be admitted to trading on the Main Market of the London Stock Exchange plc (the “London Stock Exchange”).

Definitions

Unless otherwise defined, capitalised terms used in this Prospectus have the meanings given to them in the Conditions.

Arranger

BofA Securities

Co-Arranger

Lloyds Bank Corporate Markets

Dealers

Barclays
BNP PARIBAS

BofA Securities
Citigroup

Commerzbank
Crédit Agricole CIB

Credit Suisse
Daiwa Capital Markets Europe

Deutsche Bank
DZ BANK AG

Goldman Sachs International
HSBC

J.P. Morgan
Lloyds Bank Corporate Markets

Mizuho Securities
Morgan Stanley

NatWest Markets
Nomura

RBC Capital Markets
Société Générale Corporate & Investment Banking

SMBC Nikko
Standard Chartered Bank

UBS Investment Bank
UniCredit

The Bank accepts responsibility for the information contained in this Prospectus and the relevant Final Terms for each Tranche of Notes issued under the Programme. To the best of the knowledge of the Bank, the information contained in this Prospectus and the relevant Final Terms is in accordance with the facts and the Prospectus as completed by the relevant Final Terms does not omit anything likely to affect the import of such information.

Where the Notes are Reference Item Linked Notes, any information contained herein relating to any Reference Item will only consist of extracts from, or summaries of, information contained in financial and other information released publicly by the owner or sponsor, as the case may be, of any such Reference Item. The Bank accepts responsibility for accurately reproducing such extracts or summaries (insofar as it is applicable) and, so far as the Bank is aware and is able to ascertain from information published by the owner or sponsor, as the case may be, of such Reference Item, no facts have been omitted which would render the reproduced information inaccurate or misleading.

The Notes may not be a suitable investment for all investors. Each potential investor in any Notes must determine the suitability of that investment in light of its own circumstances. In particular, each potential investor should:

(i) have sufficient knowledge and experience to make a meaningful evaluation of the relevant Notes, the merits and risks of investing in the relevant Notes and the information contained or incorporated by reference in this Prospectus or any applicable Supplemental Prospectus (as defined in "Documents Incorporated by Reference") and all information contained in the relevant Final Terms;

(ii) have access to, and knowledge of, appropriate analytical tools to evaluate, in the context of its particular financial situation, an investment in the relevant Notes and the impact such investment will have on its overall investment portfolio;

(iii) have sufficient financial resources and liquidity to bear all of the risks of an investment in the relevant Notes, including where principal or interest is payable in one or more currencies, or where the currency for principal or interest payments is different from the potential investor's currency;

(iv) understand thoroughly the terms of the relevant Notes, be familiar with the behaviour of any relevant indices and financial markets and be familiar with the resolution regime applicable to the Bank and Lloyds Bank Group, including the possibility that the Notes may be subject to write-down or conversion if the resolution powers are exercised;

(v) be able to evaluate (either alone or with the help of a financial adviser) possible scenarios for economic, interest rate and other factors that may affect its investment and its ability to bear the applicable risks; and

(vi) understand the accounting, legal, regulatory and tax implications of a purchase, holding and disposal of an interest in the relevant Notes.

An investment in the Notes may give rise to higher yields than a bank deposit placed with a deposit-taking bank within the Lloyds Bank Group. However, an investment in the Notes carries risks which are very different from the risk profile of such a bank deposit. The Notes may provide greater liquidity than a bank deposit since bank deposits are generally not transferable. Conversely, unlike certain bank deposits (i) holders of the Notes (where the Put Option is stated in the relevant Final Terms to be not applicable) have no ability to require repayment of their investment unless an Event of Default occurs and then only in limited circumstances (see "Terms and Conditions of the Notes") and (ii) holders of the Notes will not have the benefit of any insurance or deposit guarantee of the FSCS (as defined below) or any other government agency.

In addition, an investment in Reference Item Linked Notes may entail significant risks not associated with investments in conventional securities such as debt or equity securities, including, but not limited to, the risks set out in "Risk Factors – Risks related to the structure of a particular issue of Notes".

Some Notes are complex financial instruments and such instruments may be purchased by investors as a way to reduce risk or enhance yield with an understood, measured, appropriate addition of risk to their overall portfolios. A potential investor should not invest in Notes which are complex financial instruments unless it has the expertise (either alone or with the help of a financial adviser) to evaluate how the Notes will perform under changing conditions, the resulting effects on the value of such Notes and the impact this investment will have on the potential investor’s overall investment portfolio.

The distribution of this Prospectus and the offering or sale of the Notes in certain jurisdictions may be restricted by law. Persons into whose possession this Prospectus comes are required by the Bank, the Dealers, the Arranger and the Co-Arranger to inform themselves about and to observe any such restriction. The Notes have not been and will not be registered under the United States Securities Act of 1933 (the “Securities Act”) or with any securities authority of any State or other jurisdiction of the U.S., and include Notes in bearer form that are subject to U.S. tax law requirements. Subject to certain exceptions, Notes may not be offered, sold or delivered within the United States or to, or for the accounts or benefit of, U.S. persons nor, subject to certain exceptions may any U.S. person at any time trade or maintain a position in such Notes. The Notes are being offered and sold outside the U.S. to persons that are not U.S. persons (as defined in Regulation S (“Regulation S”) under the Securities Act) in reliance on Regulation S. For a description of certain restrictions on offers and sales of Notes and on distribution of this Prospectus, see “Selling Restrictions”. If, in respect of any offering of Notes, the offer of such Notes in a given jurisdiction is required to be made by a licensed broker or dealer and if any Dealer or any affiliate of any Dealer involved in such offering is so licensed and so agrees, the offer of such Notes in such jurisdiction shall be deemed to be made by the relevant Dealer(s) or affiliate(s), as the case may be, on behalf of the Bank.

The Notes have not been approved or disapproved by the U.S. Securities and Exchange Commission, any State securities commission in the United States or any other U.S. regulatory authority, nor has any of the foregoing authorities passed upon or endorsed the merits of the offering of Notes or the accuracy or the adequacy of this Prospectus. Any representation to the contrary is a criminal offence in the United States. In connection with any issue of Notes or otherwise, the Bank and/or any of its Affiliates may acquire and/or maintain positions in the underlying asset(s) relating to such Notes but neither the Bank nor any of its Affiliates will have any obligation to acquire or maintain any such position.

This Prospectus is to be read in conjunction with all documents which are incorporated herein by reference (see “Documents Incorporated by Reference”).

No person is or has been authorised to give any information or to make any representation other than as contained in this Prospectus in its entirety in connection with the offering of the Notes and, if given or made, such information or representation must not be relied upon as having been authorised by the Bank or any of the Dealers, the Arranger or the Co-Arranger (each as defined in “Overview of the Programme”). Neither the delivery of this Prospectus nor any sale made hereunder shall, under any circumstances, create any implication that there has been no change in the affairs of the Bank, Lloyds Bank Group or Lloyds Banking Group since the date hereof or the date upon which this Prospectus has been most recently amended or supplemented or that any other information supplied in connection with the Programme is correct as of any time subsequent to the date on which it is supplied or, if different, the date indicated in the document containing the same. Neither this Prospectus nor any other information supplied in connection with the Programme or any Notes (i) is intended to provide the basis of any credit or other evaluation or (ii) should be considered as a recommendation, or constituting an invitation or offer by the Bank, the Arranger, the Co-Arranger or any of the Dealers, that any recipient of this Prospectus or any other information supplied in connection with the Programme or any Notes should purchase any Notes. Each prospective investor contemplating purchasing any Notes should make its own independent investigation of the financial condition and affairs, and its own appraisal of the creditworthiness, of the Bank. Neither this Prospectus nor any other information supplied in connection with the Programme or the issue of any Notes constitutes an offer of, or an invitation by or on behalf of the Bank or any of the Dealers to any person to subscribe for or purchase, any Notes.

The Bank may issue Notes to one or more Dealers and/or any additional or other dealer of an issue of Notes from time to time. Notes not initially sold by a Dealer will be held by such Dealer or an Affiliate or Affiliates of such Dealer and may be retained or sold by such Dealer or such Affiliate or Affiliates from time to time in such amounts and at such prices as such Dealer or such Affiliate or Affiliates may determine. There is no obligation upon any Dealer to sell all of the Notes of any issue. No representation or warranty or other assurance is given as to the number of Notes of a Series issued or outstanding at any time.

In relation to any issue of Notes, the Bank may appoint a Dealer to offer such Notes in such country or countries and on such terms as may be specified in the relevant Final Terms. Each Dealer and its address in relation to any issue of Notes and all other relevant terms relating to the offer of such Notes will be set forth in the relevant Final Terms.

To the fullest extent permitted by law, no Dealer accepts any responsibility for the contents of this Prospectus or for any other statement made or purported to be made by a Dealer or on its behalf in connection with the Bank or the issue and offering of the Notes. Each Dealer accordingly disclaims all and any liability, whether arising in tort or contract or otherwise (save as referred to above), which it might otherwise have in respect of this Prospectus or any such statement.

No representation, warranty or undertaking, express or implied, is made and no responsibility or liability is accepted by the Dealers, the Arranger or the Co-Arranger as to the accuracy or completeness of the information contained or incorporated by reference in this Prospectus or any other information provided by the Bank in connection with the Programme. Neither the Dealers, the Arranger nor the Co-Arranger accepts any liability in relation to the information contained or incorporated by reference in this Prospectus or any other information provided by the Bank in connection with the Programme.

MiFID II PRODUCT GOVERNANCE / TARGET MARKET: The Final Terms in respect of any Notes may include a legend entitled "MiFID II Product Governance" which will outline the target market assessment in respect of the Notes and which channels for distribution of the Notes are appropriate. Any person subsequently offering, selling or recommending the Notes (a "distributor") should take into consideration the target market assessment; however, a distributor subject to Directive 2014/65/EU (as amended, "MiFID II") is responsible for undertaking its own target market assessment in respect of the Notes (by either adopting or refining the target market assessment) and determining appropriate distribution channels. A determination will be made in relation to each issue of Notes about whether, for the purpose of the MiFID Product Governance rules under EU Delegated Directive 2017/593 (the "MiFID Product Governance Rules"), any Dealer subscribing for any Notes is a manufacturer in respect of such Notes, but otherwise neither the Arranger, the Co-Arranger nor the Dealers nor any of their respective affiliates will be a manufacturer for the purpose of the MiFID Product Governance Rules.

UK MiFIR PRODUCT GOVERNANCE / TARGET MARKET: The Final Terms in respect of any Notes may include a legend entitled "UK MiFIR Product Governance" which will outline the target market assessment in respect of the Notes and which channels for distribution of the Notes are appropriate. Any distributor should take into consideration the target market assessment; however, a distributor subject to the FCA Handbook Product Intervention and Product Governance Sourcebook (the "UK MiFIR Product Governance Rules") is responsible for undertaking its own target market assessment in respect of the Notes (by either adopting or refining the target market assessment) and determining appropriate distribution channels. A determination will be made in relation to each issue of Notes about whether, for the purpose of the UK MiFIR Product Governance Rules, any Dealer subscribing for any Notes is a manufacturer in respect of such Notes, but otherwise neither the Arranger, the Co-arranger nor the Dealers nor any of their respective affiliates will be a manufacturer for the purpose of the UK MiFIR Product Governance Rules.

meaning of Directive (EU) 2016/97 (as amended, the “Insurance Distribution Directive”), where that customer would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II. Consequently, no key information document required by Regulation (EU) No 1286/2014 (as amended, the “PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors in the EEA has been prepared and therefore offering or selling the Notes or otherwise making them available to any retail investor in the EEA may be unlawful under the PRIIPs Regulation.

PROHIBITION OF SALES TO UK RETAIL INVESTORS: The Notes are not intended to be offered, sold or otherwise made available to and should not be offered, sold or otherwise made available to any retail investor in the UK. For these purposes, a retail investor means a person who is one (or more) of: (i) a retail client, as defined in point (8) of Article 2 of Regulation (EU) No 2017/565 as it forms part of domestic law by virtue of the EUWA; or (ii) a customer within the meaning of the provisions of the FSMA and any rules or regulations made under the FSMA to implement the Insurance Distribution Directive, where that customer would not qualify as a professional client, as defined in point (8) of Article 2(1) of UK MiFIR. Consequently, no key information document required by the PRIIPs Regulation as it forms part of domestic law by virtue of the EUWA (the “UK PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors in the UK has been prepared and therefore offering or selling the Notes or otherwise making them available to any retail investor in the UK may be unlawful under the UK PRIIPs Regulation.

SINGAPORE SFA PRODUCT CLASSIFICATION: In connection with Section 309B of the Securities and Futures Act (Chapter 289) of Singapore (the “SFA”) and the Securities and Futures (Capital Markets Products) Regulations 2018 of Singapore (the “CMP Regulations 2018”), unless otherwise specified before an offer of Notes, the Bank has determined, and hereby notifies all relevant persons (as defined in Section 309A(1) of the SFA), that: (i) Notes which are Fixed Rate Notes, Floating Rate Notes or Zero Coupon Notes are ‘prescribed capital markets products’ (as defined in the CMP Regulations 2018) and Excluded Investment Products (as defined in MAS Notice SFA 04-N12: Notice on the Sale of Investment Products and MAS Notice FAA-N16: Notice on Recommendations on Investment Products); and (ii) all other Notes are not ‘prescribed capital markets products’ (as defined in the CMP Regulations 2018) and are Specified Investment Products (as defined in MAS Notice SFA 04-N12: Notice on the Sale of Investment Products and MAS Notice FAA-N16: Notice on Recommendations on Investment Products).

Neither the delivery of this Prospectus nor the offering, sale or delivery of any Notes shall at any time imply that the information contained herein concerning the Bank is correct at any time subsequent to the date hereof or that any other information supplied in connection with the Programme or any Notes is correct as of any time subsequent to the date indicated in the document containing the same. The Dealers expressly do not undertake to review the financial condition or affairs of the Bank during the life of the Programme. Investors should review, inter alia, the documents incorporated herein by reference when deciding whether or not to purchase any Notes.

In this Prospectus, unless otherwise specified or the context otherwise requires, references to “£”, “pounds” and “Sterling” are to pounds sterling, references to “U.S. dollars” and to “U.S.$” are to United States dollars, references to “Yen” are to Japanese Yen, references to “Renminbi”, “RMB” and “CNY” are to the lawful currency of the PRC and references to “€” and “Euro” are to the currency introduced at the start of the third stage of European economic and monetary union pursuant to the Treaty on the Functioning of the European Union, as amended.

In this Prospectus, references to “PRC” are to the People’s Republic of China which, for the purpose of this Prospectus, shall exclude the Hong Kong Special Administrative Region of the People’s Republic of China, the Macau Special Administrative Region of the People’s Republic of China and Taiwan.

In this Prospectus, references to “CNH Notes” are to Notes denominated in CNY or Renminbi deliverable in Hong Kong.

In this Prospectus, references to “CMU Notes” are to Notes denominated in any lawful currency which the Central Moneymarkets Unit Service (the “CMU Service”) accepts for settlement from time to time that are, or are intended to be, cleared through the CMU Service.

In connection with the issue of any Tranche (as defined in “Overview of the Programme”), the Dealer or Dealers (if any) acting as stabilisation manager(s) (the “Stabilisation Manager(s)”) (or persons acting on behalf of any Stabilisation Manager(s)) may over-allot Notes or effect transactions with a view to supporting the market price of the Notes at a level higher than that which might otherwise prevail. However, stabilisation may not necessarily occur. Any stabilisation action may begin on or after the date on which adequate public disclosure of the terms of the offer of the relevant Tranche is made and, if begun, may cease at any time, but it must end no later than the earlier of 30 days after the issue date of the relevant Tranche and 60 days after the date of the allotment of the relevant Tranche. Any stabilisation action or over-allotment must be conducted by the relevant Stabilisation Manager(s) (or persons acting on behalf of any Stabilisation Manager(s)) in accordance with all applicable laws and rules.

The investment activities of certain investors are subject to investment laws and regulations, or review or regulation by certain authorities. Each potential investor should consult its legal advisers to determine whether and to what extent (1) Notes are legal investments for it, (2) Notes can be used as collateral for various types of borrowing and (3) other restrictions apply to its purchase or pledge of any Notes. Financial institutions should consult their legal advisers or the appropriate regulators to determine the appropriate treatment of Notes under any applicable risk-based capital or similar rules.

Interest, redemption amounts and/or other amounts payable under the Notes may be calculated by reference to certain reference rates. Any such reference rate may constitute a benchmark for the purposes of the Benchmarks Regulation (Regulation (EU) 2016/1011) as it forms part of domestic law by virtue of the EUWA (the “UK Benchmarks Regulation”). If any such reference rate does constitute such a benchmark, the relevant Final Terms will indicate whether or not the benchmark is provided by an administrator included in the register of administrators and benchmarks established and maintained by the FCA pursuant to Article 36 of the UK Benchmarks Regulation. Not every reference rate will fall within the scope of the UK Benchmarks Regulation. Transitional provisions in the UK Benchmarks Regulation may have the result that the administrator of a particular benchmark is not required to appear in the register of administrators and benchmarks at the date of the relevant Final Terms (or, if located outside the UK, recognition, endorsement or equivalence). The registration status of any administrator under the UK Benchmarks Regulation is a matter of public record and, save where required by applicable law, the Bank does not intend to update the relevant Final Terms to reflect any change in the registration status of the administrator.

TABLE OF CONTENTS

Page

READER'S GUIDE TO THIS PROSPECTUS ... 13
This section provides a guide as to which parts of this Prospectus are relevant to particular Notes ... 13
FORWARD LOOKING STATEMENTS ... 19
This section sets out considerations that should be taken into account when reading any statement relating to future events and circumstances. ... 19
DOCUMENTS INCORPORATED BY REFERENCE ... 21
PRESENTATION OF FINANCIAL INFORMATION ... 24
OVERVIEW OF THE PROGRAMME ... 25
This section provides an overview of the Programme ... 25
RISK FACTORS ... 30
OVERVIEW OF THE TERMS AND CONDITIONS OF THE NOTES ... 86
This section describes the components of the terms and conditions of the Notes. This introductory section does not form part of the terms and conditions ... 86
BASE GENERAL CONDITIONS ... 88
This section sets out the terms and conditions that apply to all Notes. ... 88
ASSET CONDITIONS ... 142
The chapters of this section each set out additional terms and conditions for Notes linked to a particular asset class (if any) as specified in the relevant Final Terms. ... 142
AC Chapter 1: Index Linked Asset Conditions ... 143
This chapter sets out additional terms and conditions that are only applicable to Index Linked Notes. ... 143
AC Chapter 2: Inflation Linked Asset Conditions ... 171
This chapter sets out additional terms and conditions that are only applicable to Inflation Linked Notes... 171
AC Chapter 3: Currency Linked Asset Conditions ... 175
This chapter sets out additional terms and conditions that are only applicable to Currency Linked Notes... 175
AC Chapter 4: Rate Linked Asset Conditions ... 198
This chapter sets out additional terms and conditions that are only applicable to Rate Linked Notes. ... 198
AC Chapter 5: Multi-Asset Basket Linked Asset Conditions ... 218
This chapter sets out additional terms and conditions that are only applicable to Multi-Asset Basket Linked Notes. ... 218
AC Chapter 6: Additional Disruption Asset Conditions ... 237
This chapter sets out additional terms and conditions that will apply if the relevant Issue Terms specify "Additional Disruption Events" to be applicable. ... 237
AC Chapter 7: Alternative Currency Asset Conditions ... 240

This chapter sets out additional terms and conditions that will apply if the relevant Final Terms specify "Alternative Currency Equivalent" to be applicable. 240

AC Chapter 8: Synthetic Currency Asset Conditions 247

This chapter sets out additional terms and conditions that will apply if the relevant Final Terms specify "Synthetic Currency Asset Conditions" to be applicable. 247

PAYOUT CONDITIONS 260

This section sets out the additional terms and conditions that may apply to the interest and/or redemption payments in respect of the Notes. 260

CPC Chapter 1: Structured Floating Rate Coupon Payout Conditions 262

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Structured Floating Rate Coupon" to be applicable. 262

CPC Chapter 2: Inverse Floating Rate Coupon Payout Conditions 264

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Inverse Floating Rate Coupon" to be applicable. 264

CPC Chapter 3: Fixed Rate Step-up/Step-down Coupon Payout Conditions 266

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Fixed Rate Step-up/Step-down Coupon" to be applicable. 266

CPC Chapter 4: Fixed to Floating Coupon Payout Conditions 267

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Fixed to Floating Coupon" to be applicable. 267

CPC Chapter 5: Floating to Fixed Coupon Payout Conditions 269

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Floating to Fixed Coupon" to be applicable. 269

CPC Chapter 6: Fixed to Floating Switchable Coupon Payout Conditions 271

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Fixed to Floating Switchable Coupon" to be applicable. 271

CPC Chapter 7: Floating to Fixed Switchable Coupon Payout Conditions 273

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Floating to Fixed Switchable Coupon" to be applicable. 273

CPC Chapter 8: Fixed Rate Range Accrual Coupon Payout Conditions 275

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Fixed Rate Range Accrual Coupon" to be applicable. 275

CPC Chapter 9: Floating Rate Range Accrual Coupon Payout Conditions 282

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Floating Rate Range Accrual Coupon" to be applicable. 282

CPC Chapter 10: Fixed Rate Dual Range Accrual Coupon Payout Conditions 289

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify "Fixed Rate Dual Range Accrual Coupon" to be applicable. 289

CPC Chapter 11: Floating Rate Dual Range Accrual Coupon Payout Conditions ... 297
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Floating Rate Dual Range Accrual Coupon” to be applicable. ... 297
CPC Chapter 12: Digital Coupon Payout Conditions ... 306
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Digital Coupon” to be applicable. ... 306
CPC Chapter 13: Inflation-Linked Coupon Payout Conditions ... 311
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Inflation-Linked Coupon” to be applicable. ... 311
CPC Chapter 14: Inflation Protected Coupon Payout Conditions ... 313
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Inflation Protected Coupon” to be applicable. ... 313
CPC Chapter 15: Performance Coupon Payout Conditions ... 315
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Performance Coupon” to be applicable. ... 315
CPC Chapter 16: Annualised Performance Coupon Payout Conditions ... 318
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Annualised Performance Coupon” to be applicable. ... 318
RPC Chapter 1: Performance Redemption Payout Conditions ... 321
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Performance Redemption” to be applicable. ... 321
RPC Chapter 2: Performance Plus Downside Redemption Payout Conditions ... 324
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Performance Plus Downside Redemption” to be applicable. ... 324
RPC Chapter 3: Performance Plus Conditional Downside Redemption Payout Conditions ... 327
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Performance Plus Conditional Downside Redemption” to be applicable. ... 327
RPC Chapter 4: Absolute Performance Redemption Payout Conditions ... 331
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Absolute Performance Redemption” to be applicable. ... 331
RPC Chapter 5: Reverse Convertible Redemption Payout Conditions ... 335
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Reverse Convertible Redemption” to be applicable. ... 335
RPC Chapter 6: Reverse Convertible Plus Conditional Downside Redemption Payout Conditions ... 338
This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Reverse Convertible Plus Conditional Downside Redemption” to be applicable. ... 338
RPC Chapter 7: Inflation Protected Redemption Payout Conditions ... 341

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Inflation Protected Redemption” to be applicable. 341

RPC Chapter 8: Dual Currency Redemption Payout Conditions 343

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Dual Currency Redemption” to be applicable. 343

SUMMARY OF PROVISIONS RELATING TO THE NOTES WHILE IN GLOBAL FORM 357

This section provides a summary of the provisions relating to Notes whilst in Global Form. 357

FORM OF FINAL TERMS OF THE NOTES WITH A DENOMINATION OF AT LEAST €100,000 (OR EQUIVALENT) 366

This section sets out the form of final terms. 366

USE OF PROCEEDS 633

This section sets out what the proceeds from the sale of Notes will be used for. 633

CLEARING AND SETTLEMENT 634

This section provides information on the ways in which Notes may be cleared and settled through clearing systems. 634

CERTAIN DEFINITIONS 636

This section sets out the meanings of certain defined terms that are used in this Prospectus. 636

LLOYDS BANK GROUP 637

This section provides a description of Lloyds Bank Group’s business activities as well as certain financial information and key risks faced by Lloyds Bank Group. 637

TAXATION 652

This section sets out a summary of certain taxation considerations relating to the Notes. 652

SELLING RESTRICTIONS 655

This section sets out a summary of certain restrictions regarding who can purchase the Notes in certain jurisdictions. 655

GENERAL INFORMATION 673

GLOSSARY 676

This is an index of all defined terms used in this Prospectus. 676

Reader's Guide

READER'S GUIDE TO THIS PROSPECTUS

This section provides a guide as to which parts of this Prospectus are relevant to particular Notes

A wide range of Notes may be issued under the Programme. This Prospectus provides information about all Notes that may be issued under the Programme. Accordingly, only some of the information in this Prospectus will be relevant to a particular issue of Notes.

In respect of a particular issue of Notes, the following sections of this Prospectus will be relevant (in addition to the Final Terms of such Notes):

Relevant to all Notes

FRONT COVER TO PAGE 8

FORWARD LOOKING STATEMENTS (Pages 19 to 20)

DOCUMENTS INCORPORATED BY REFERENCE (Pages 21 to 23)*

PRESENTATION OF FINANCIAL INFORMATION (Page 24)

OVERVIEW OF THE PROGRAMME (Pages 25 to 29)

RISK FACTORS (Pages 30 to 85)

OVERVIEW OF THE TERMS AND CONDITIONS OF THE NOTES (Pages 86 to 87)

BASE GENERAL CONDITIONS (Pages 88 to 141)

SUMMARY OF PROVISIONS RELATING TO THE NOTES WHILE IN GLOBAL FORM (Pages 357 to 364)

USE OF PROCEEDS (Page 633)

CLEARING AND SETTLEMENT (Pages 634 to 635)

CERTAIN DEFINITIONS (Page 636)

LLOYDS BANK GROUP (Pages 637 to 651)

TAXATION (Pages 652 to 654)

SELLING RESTRICTIONS (Pages 655 to 672)

GENERAL INFORMATION (Pages 673 to 675)

Of the documents incorporated by reference into this Prospectus, the terms and conditions of previous base prospectuses, as referred to in (i), (ii), (iii) and (iv) of "Documents Incorporated by Reference — Other documents incorporated by reference", will only be relevant to tranches of Notes having those terms and conditions (being additional fungible tranches of existing securities, the first tranche of which was issued before the date of this Prospectus), as specified in the relevant Final Terms.

Reader's Guide

ASSET CONDITIONS:

If the Final Terms specify that the Notes are Index Linked Notes

AC Chapter 1: Index Linked Asset Conditions (Pages 143 to 170)

If the Final Terms specify that the Notes are Inflation Linked Notes

AC Chapter 2: Inflation Linked Asset Conditions (Pages 171 to 174)

If the Final Terms specify that the Notes are Currency Linked Notes

AC Chapter 3: Currency Linked Asset Conditions (Pages 175 to 197)

If the Final Terms specify that the Notes are Rate Linked Notes

AC Chapter 4: Rate Linked Asset Conditions (Pages 198 to 217)

If the Final Terms specify that the Notes are Multi-Asset Basket Linked

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions (Pages 218 to 236)

If the Final Terms specify that Additional Disruption Events are applicable

AC Chapter 6: Additional Disruption Asset Conditions (Pages 237 to 239)

Reader's Guide

If the Final Terms specify Alternative Currency Equivalent to be applicable

AC Chapter 7: Alternative Currency Asset Conditions (Pages 240 to 246)

If the Final Terms specify Synthetic Currency Asset Conditions to be applicable

AC Chapter 8: Synthetic Currency Asset Conditions (Pages 247 to 259)

PAYOUT CONDITIONS:

If the Final Terms specify Structured Floating Rate Coupon to be applicable

CPC Chapter 1: Structured Floating Rate Coupon Payout Conditions (Pages 262 to 263)

If the Final Terms specify Inverse Floating Rate Coupon to be applicable

CPC Chapter 2: Inverse Floating Rate Coupon Payout Conditions (Pages 264 to 265)

If the Final Terms specify Fixed Rate Step-up/Step-down Coupon to be applicable

CPC Chapter 3: Fixed Rate Step-up/Step-down Coupon Payout Conditions (Page 266)

If the Final Terms specify Fixed to Floating Coupon to be applicable

CPC Chapter 4: Fixed to Floating Coupon Payout Conditions (Pages 267 to 268)

Reader's Guide

If the Final Terms specify Floating to Fixed Coupon to be applicable

CPC Chapter 5: Floating to Fixed Coupon Payout Conditions (Pages 269 to 270)

If the Final Terms specify Fixed to Floating Switchable Coupon to be applicable

CPC Chapter 6: Fixed to Floating Switchable Coupon Payout Conditions (Pages 271 to 272)

If the Final Terms specify Floating to Fixed Switchable Coupon to be applicable

CPC Chapter 7: Floating to Fixed Switchable Coupon Payout Conditions (Pages 273 to 274)

If the Final Terms specify Fixed Rate Range Accrual to be applicable

CPC Chapter 8: Fixed Rate Range Accrual Coupon Payout Conditions (Pages 275 to 281)

If the Final Terms specify Floating Rate Range Accrual Coupon to be applicable

CPC Chapter 9: Floating Rate Range Accrual Coupon Payout Conditions (Pages 282 to 288)

If the Final Terms specify Fixed Rate Dual Range Accrual Coupon to be applicable

CPC Chapter 10: Fixed Rate Dual Range Accrual Coupon Payout Conditions (Pages 289 to 296)

If the Final Terms specify Floating Rate Dual Range Accrual Coupon to be applicable

CPC Chapter 11: Floating Rate Dual Range Accrual Coupon Payout Conditions (Pages 297 to 305)

Reader's Guide

If the Final Terms specify Digital Coupon to be applicable

CPC Chapter 12: Digital Coupon Payout Conditions (Pages 306 to 310)

If the Final Terms specify Inflation-Linked Coupon to be applicable

CPC Chapter 13: Inflation-Linked Coupon Payout Conditions (Pages 311 to 312)

If the Final Terms specify Inflation Protected Coupon to be applicable

CPC Chapter 14: Inflation Protected Coupon Payout Conditions (Pages 313 to 314)

If the Final Terms specify Performance Coupon to be applicable

CPC Chapter 15: Performance Coupon Payout Conditions (Pages 315 to 317)

If the Final Terms specify Annualised Performance Coupon to be applicable

CPC Chapter 16: Annualised Performance Coupon Payout Conditions (Pages 318 to 320)

If the Final Terms specify Performance Redemption to be applicable

RPC Chapter 1: Performance Redemption Payout Conditions (Pages 321 to 323)

If the Final Terms specify Performance Plus Downside Redemption to be applicable

RPC Chapter 2: Performance Plus Downside Redemption Payout Conditions (Pages 324 to 326)

Reader's Guide

If the Final Terms specify
Performance Plus Conditional
Downside Redemption to be applicable

RPC Chapter 3: Performance Plus Conditional Downside Redemption Payout Conditions (Pages 327 to 330)

If the Final Terms specify Absolute Performance Redemption to be applicable

RPC Chapter 4: Absolute Performance Redemption Payout Conditions (Pages 331 to 334)

If the Final Terms specify Reverse Convertible Redemption to be applicable

RPC Chapter 5: Reverse Convertible Redemption Payout Conditions (Pages 335 to 337)

If the Final Terms specify Reverse Convertible Plus Conditional Downside Redemption to be applicable

RPC Chapter 6: Reverse Convertible Plus Conditional Downside Redemption Payout Conditions (Pages 338 to 340)

If the Final Terms specify Inflation Protected Redemption to be applicable

RPC Chapter 7: Inflation Protected Redemption Payout Conditions (Pages 341 to 342)

If the Final Terms specify Dual Currency Redemption to be applicable

RPC Chapter 8: Dual Currency Redemption Payout Conditions (Pages 343 to 356)

Forward Looking Statements

FORWARD LOOKING STATEMENTS

This section sets out considerations that should be taken into account when reading any statement relating to future events and circumstances.

Certain statements included herein may constitute forward looking statements with respect to the business, strategy, plans and/or results of Lloyds Bank Group and its current goals and expectations relating to its future financial condition and performance. Statements that are not historical or current facts, including statements about Lloyds Bank Group's or its directors' and/or management's beliefs and expectations, are forward looking statements. Words such as 'believes', 'achieves', 'anticipates', 'estimates', 'expects', 'targets', 'should', 'intends', 'aims', 'projects', 'plans', 'potential', 'will', 'would', 'could', 'considered', 'likely', 'may', 'seek', 'estimate' and variations of these words and similar future or conditional expressions are intended to identify forward looking statements but are not the exclusive means of identifying such statements.

Examples of such forward looking statements include, but are not limited to, statements or guidance relating to: projections or expectations of Lloyds Bank Group's future financial position including profit attributable to shareholders, provisions, economic profit, dividends, capital structure, portfolios, net interest margin, capital ratios, liquidity, risk-weighted assets, expenditures or any other financial items or ratios; litigation, regulatory and governmental investigations; Lloyds Bank Group's future financial performance; the level and extent of future impairments and write-downs; statements of plans, objectives or goals of Lloyds Bank Group or its management including in respect of statements about the future business and economic environments in the UK and elsewhere including, but not limited to, future trends in interest rates, foreign exchange rates, credit and equity market levels and demographic developments; statements about competition, regulation, disposals and consolidation or technological developments in the financial services industry; and statements of assumptions underlying such statements.

By their nature, forward looking statements involve risk and uncertainty because they relate to events and depend upon circumstances that will or may occur in the future.

Factors that could cause actual business, strategy, plans and/or results (including but not limited to the payment of dividends) to differ materially from forward looking statements made by Lloyds Bank Group or on its behalf include, but are not limited to: general economic and business conditions in the UK and internationally; market related trends and developments; fluctuations in interest rates, inflation, exchange rates, stock markets and currencies; any impact of the transition from interbank offered rates (IBORs) to alternative reference rates; the ability to access sufficient sources of capital, liquidity and funding when required; changes to Lloyds Banking Group's or Lloyds Bank Group's credit ratings; the ability to derive cost savings and other benefits including, but without limitation as a result of any acquisitions, disposals and other strategic transactions; potential changes in dividend policy; the ability to achieve strategic objectives; Lloyds Bank Group's environmental, social and corporate governance ("ESG") targets and/or commitments; changing customer behaviour including consumer spending, saving and borrowing habits; changes to borrower or counterparty credit quality; impacting the recoverability and value of balance sheet assets; concentration of financial exposure; management and monitoring of conduct risk; exposure to counterparty risk (including but not limited to third parties conducting illegal activities without Lloyds Bank Group's knowledge); instability in the global financial markets, including Eurozone instability, instability as a result of uncertainty surrounding the exit by the UK from the European Union ("EU") and the EU-UK Trade and Cooperation Agreement, instability as a result of the potential for other countries to exit the EU or the Eurozone, and the impact of any sovereign credit rating downgrade or other sovereign financial issues; political instability including as a result of any UK general election and any further possible referendum on Scottish independence; technological changes and risks to the security of IT and operational infrastructure, systems, data and information resulting from increased threat of cyber and other attacks; natural, pandemic (including but not limited to the coronavirus disease ("COVID-19") pandemic) and other disasters, adverse weather and similar contingencies outside Lloyds Bank Group's or the Company's control; inadequate or failed internal or external processes or systems; acts of war, other acts of hostility, terrorist acts and responses to those acts, or other such events; geopolitical unpredictability; risks relating to

Overview of the Programme

sustainability and climate change including Lloyds Bank Group's or the Company's ability along with the government and other stakeholders to manage and mitigate the impacts of climate change effectively; changes in laws, regulations, practices and accounting standards or taxation, including as a result of the UK's exit from the EU; changes to regulatory capital or liquidity requirements (including regulatory measures to restrict distributions to address potential capital and liquidity stress) and similar contingencies outside Lloyds Bank Group's or the Company's control; the policies, decisions and actions of governmental or regulatory authorities or courts in the UK, the EU, the United States (the "U.S.") or elsewhere including the implementation and interpretation of key laws, legislation and regulation together with any resulting impact on the future structure of Lloyds Bank Group; the ability to attract and retain senior management and other employees and meet its diversity objectives; actions or omissions by Lloyds Bank Group's directors, management or employees including industrial action; changes in Lloyds Bank Group's ability to develop sustainable finance products and Lloyds Bank Group's capacity to measure the climate impact from its financing activity, which may affect Lloyds Bank Group's ability to achieve its climate ambition; post-retirement defined benefit scheme obligations; the extent of any future impairment charges or write-downs caused by, but not limited to, depressed asset valuations, market disruptions and illiquid markets; the value and effectiveness of any credit protection purchased by Lloyds Bank Group; the inability to hedge certain risks economically; the adequacy of loss reserves; the actions of competitors, including non-bank financial services, lending companies and digital innovators and disruptive technologies; and exposure to regulatory or competition scrutiny, legal, regulatory or competition proceedings, investigations or complaints.

Lloyds Banking Group may also make or disclose written and/or oral forward looking statements in reports filed with or furnished to the U.S. Securities and Exchange Commission, its annual reviews, half-year announcements, proxy statements, offering circulars, prospectuses, press releases and other written materials and in oral statements made by the directors, officers or employees of Lloyds Banking Group to third parties, including financial analysts. Except as required by any applicable law or regulation, the forward looking statements contained in this Prospectus are made as of the date hereof, and Lloyds Bank Group expressly disclaims any obligation or undertaking to release publicly any updates or revisions to any forward looking statements contained in this Prospectus to reflect any change in Lloyds Bank Group's expectations with regard thereto or any change in events, conditions or circumstances on which any such statement is based.

Documents Incorporated by Reference

DOCUMENTS INCORPORATED BY REFERENCE

This section incorporates selected publicly available information that should be read in conjunction with this Prospectus.

Lloyds Bank plc financial statements:

(i) the Bank’s Q1 2021 Interim Management Statement for the three months ended 31 March 2021 (the “Bank’s Q1 2021 Statement”); and available at https://www.lloydsbankinggroup.com/assets/pdfs/investors/financial-performance/lloyds-bank-plc/2021/q1/2021-lb-q1-ims.pdf;

(ii) the audited consolidated annual financial statements of the Bank for the financial year ended 31 December 2020, together with the audit report thereon, as set out on pages 79 to 223 and 68 to 78, respectively (the “Bank’s 2020 Annual Report”); and available at https://www.lloydsbankinggroup.com/assets/pdfs/investors/financial-performance/lloyds-bank-plc/2020/2020-lb-annual-report.pdf; and

(iii) the audited consolidated annual financial statements of the Bank for the financial year ended 31 December 2019, together with the audit report thereon, as set out on pages 34 to 197 and 26 to 33, respectively (the “Bank’s 2019 Annual Report”); and available at https://www.lloydsbankinggroup.com/assets/pdfs/investors/financial-performance/lloyds-bank-plc/2019/2019-lb-annual-report.pdf.

PRESENTATION OF FINANCIAL INFORMATION

In this Prospectus, references to the “consolidated financial statements” or “financial statements” are to Lloyds Bank Group’s consolidated financial statements included in the Bank’s 2020 Annual Report, unless indicated otherwise.

The consolidated financial statements of the Bank incorporated by reference within the Prospectus have been prepared in accordance with International Financial Reporting Standards (“IFRS”) issued by the International Accounting Standards Board (“IASB”).

Overview of the Programme

OVERVIEW OF THE PROGRAMME

This section provides an overview of the Programme.

This overview must be read as an introduction to this Prospectus and any decision to invest in the Notes should be based on a consideration of this Prospectus as a whole, including the documents incorporated by reference and the relevant Final Terms. Terms and expressions defined in the Conditions and the form of Final Terms shall have the same meanings in this overview.

Information relating to the Bank

Issuer
Lloyds Bank plc

Legal Entity Identifier (LEI) of the Bank
H7FNTJ4851HG0EXQ1Z70

Website of the Lloyds Bank Group and the Bank
www.lloydsbankinggroup.com

Business
Lloyds Bank plc (the “Bank” or “Lloyds Bank”) was incorporated in England and Wales on 20 April 1865 (Registration number 2065). The Bank’s registered office is at 25 Gresham Street, London EC2V 7HN. The Bank is a wholly-owned subsidiary of Lloyds Banking Group plc (the “Company”).

As at the date of this Prospectus, the Bank is the principal operating subsidiary of Lloyds Banking Group. The Bank and its subsidiary and associated undertakings (“Lloyds Bank Group”, “Lloyds” or the “Group”) is a leading provider of financial services to individual and business customers in the UK. As at the date of this Prospectus, its main business activities are retail and commercial banking.

Risks relating to the Lloyds Bank Group and the Notes

Investors should note that the risks that are stated to apply to “the Lloyds Bank Group” apply also to the Bank.

Investing in the Notes issued under the Programme involves certain risks. The principal risks that may affect the ability of the Bank to fulfil its obligations under the Notes are discussed under “Risk Factors” below.

Information relating to the Programme

Description
Global Medium Term Note Programme

Size
Up to £25,000,000,000 (or the equivalent in other currencies at the date of issue).

Arranger
Merrill Lynch International

Co-Arranger
Lloyds Bank Corporate Markets plc

Dealers
Barclays Bank PLC
BNP Paribas
Citigroup Global Markets Europe AG
Citigroup Global Markets Limited

Overview of the Programme

Commerzbank Aktiengesellschaft
Crédit Agricole Corporate and Investment Bank
Credit Suisse International
Daiwa Capital Markets Europe Limited
Deutsche Bank AG, London Branch
DZ BANK AG Deutsche Zentral-Genossenschaftsbank,
Frankfurt am Main
Goldman Sachs International
HSBC Bank plc
J.P. Morgan Securities plc
Lloyds Bank Corporate Markets plc
Merrill Lynch International
Mizuho International plc
Morgan Stanley & Co. International plc
NatWest Markets Plc
Nomura International plc
RBC Europe Limited
SMBC Nikko Capital Markets Limited
Société Générale
Standard Chartered Bank
UBS AG London Branch
UniCredit Bank AG
(together, the “Dealers”). The Bank may terminate the
appointment of any Dealer under the Programme or appoint
additional dealers either in respect of one or more Series or
Tranches of Notes or in respect of the Programme generally.

Fiscal Agent, Registrar and Transfer Agent
Citibank N.A., London Branch

CMU Fiscal Agent and CMU Lodging Agent
Citicorp International Limited

Calculation Agent
The calculation agent specified in the relevant Final Terms.

Currencies
Subject to all relevant laws, regulations and directives, any
currency agreed between the Bank and the relevant Dealer(s).

Maturities
Subject to all relevant laws, regulations and directives, any
maturity.

Denomination/Number
Notes will be in such denominations specified in the relevant
Final Terms, which, for the avoidance of doubt, shall be at least
€100,000 (or equivalent).

Method of Issue
The Notes will be syndicated or non-syndicated and will be
issued in series (each a “Series”) having one or more issue dates
and on terms otherwise identical (other than in respect of the
first payment of interest), the Notes of each Series being
intended to be interchangeable with all other Notes of that
Series. Each Series may be issued in tranches (each a
“Tranche”) on the same or different issue dates.

Overview of the Programme

Types of Notes

The Bank may from time to time issue Notes of any kind, including, but not limited to, Fixed Rate Notes, Floating Rate Notes, Zero Coupon Notes, Structured Rate Notes and Reference Item Linked Notes.

The Notes may have any or none of the following payout conditions (collectively the “Payout Conditions”):

(i) Coupon payout conditions:
- Structured Floating Rate Coupon Payout Conditions
- Inverse Floating Rate Coupon Payout Conditions
- Fixed Rate Step-up/Step-down Coupon Payout Conditions
- Fixed to Floating Coupon Payout Conditions
- Floating to Fixed Coupon Payout Conditions
- Fixed to Floating Switchable Coupon Payout Conditions
- Floating to Fixed Switchable Coupon Payout Conditions
- Fixed Rate Range Accrual Coupon Payout Conditions
- Floating Rate Range Accrual Coupon Payout Conditions
- Fixed Rate Dual Range Accrual Coupon Payout Conditions
- Floating Rate Dual Range Accrual Coupon Payout Conditions
- Digital Coupon Payout Conditions
- Inflation-Linked Coupon Payout Conditions
- Inflation Protected Coupon Payout Conditions
- Performance Coupon Payout Conditions
- Annualised Performance Coupon Payout Conditions

(ii) Redemption payout conditions:
- Performance Redemption Payout Conditions
- Performance Plus Downside Redemption Payout Conditions
- Performance Plus Conditional Downside Redemption Payout Conditions
- Absolute Performance Redemption Payout Conditions
- Reverse Convertible Redemption Payout Conditions
- Reverse Convertible Plus Conditional Downside Redemption Payout Conditions
- Inflation Protected Redemption Payout Conditions
- Dual Currency Redemption Payout Conditions

Fixed Rate Notes

Fixed Rate Notes will bear interest payable in arrear on the date(s) in each year and at the rate specified in the relevant Final Terms.

Floating Rate Notes

Floating Rate Notes will bear interest as follows:
- (i) on the same basis as the floating rate under a notional interest rate swap transaction; or
- (ii) by reference to EURIBOR, HIBOR, STIBOR, SIBOR, TIBOR, CDOR, €STR, BBSW, SONIA,

Overview of the Programme

SOFR, SARON, NIBOR, SONIA Compounded Index, SOFR Compounded Index or SARON Compounded Index.

Zero Coupon Notes
Zero Coupon Notes may be issued at their nominal amount or at a discount to it and will not bear interest, except that any overdue principal will bear interest from the Maturity Date at a rate equal to the Amortisation Yield.

Structured Rate Notes
Structured Rate Notes will bear interest at a rate calculated in accordance with the relevant Coupon Payout Condition which is specified to be applicable in the relevant Final Terms.

Structured Redemption Notes
Structured Redemption Notes will redeem at an amount calculated in accordance with the relevant Redemption Payout Condition which is specified to be applicable in the relevant Final Terms.

Reference Item Linked Notes
The Bank may from time to time issue Notes where a redemption amount and/or interest amount will be calculated by reference to a single index (including an equity or inflation index), currency, rate or basket of any such type(s) of reference item (or a combination of any of them). If a disruption or certain other events occur, the Notes may be subject to adjustment, the relevant Reference Item may be substituted, or the Bank may redeem the Notes. The redemption amount or interest amount of Reference Item Linked Notes may be made by reference to a formula as set out in the applicable Payout Conditions.

The Bank may also from time to time issue Notes which redeem early upon the occurrence of a trigger event determined by reference to any such type of reference item or a combination of any of them (known as an autocall feature).

Maximum/Minimum Interest Rate
Notes may also have a maximum interest rate and/or a minimum interest rate.

Additional Disruption Events
Upon the occurrence of an Additional Disruption Event, if specified in the relevant Final Terms, the Notes will be subject to adjustment or substitution or may be redeemed.

Issue Price
Notes will be issued at such price specified in the relevant Final Terms (if any).

Redemption of Notes
Notes will be redeemed on the relevant Maturity Date at their final redemption amount (the “Final Redemption Amount”).

If Notes are redeemable in two or more instalments (“Instalment Notes”), the relevant Final Terms will set out the dates on which, and the amounts at which, such Notes may be redeemed.

Notes where Target Automatic Redemption is specified in the relevant Final Terms shall be redeemed prior to the Maturity Date if the aggregate amount of interest paid during the life of such Notes reaches a specified level.

Notes where Autocall is specified in the relevant Final Terms shall be redeemed prior to the Maturity Date if the specified Autocall Redemption Event occurs.

Overview of the Programme

Form of Notes

The Notes may be issued in bearer form only (“Bearer Notes”) represented by a Global Note, in bearer form exchangeable for Registered Notes (“Exchangeable Bearer Notes”) or in registered form only (“Registered Notes”) represented by a Global Note Certificate.

Clearing Systems

Unless otherwise specified in the relevant Final Terms (other than CMU Notes), Clearstream, Luxembourg and Euroclear. With respect to CMU Notes, the CMU Service operated by the Hong Kong Monetary Authority (the “HKMA”). The Bank may, if so specified in the relevant Final Terms, issue Notes which are clearable through clearing systems other than or in addition to Clearstream, Luxembourg and Euroclear, or CMU Service.

Expenses and Taxes

If specified in the relevant Final Terms, a holder of Notes must pay or discharge all Expenses relating to such Notes.

Status

The Notes constitute unsecured and unsubordinated obligations of the Bank.

Listing and admission to trading

Application has been made to admit any Notes issued to the Official List and to admit them to trading on the Main Market of the London Stock Exchange.

Governing Law

The Notes, and any non-contractual obligations arising out of or in connection with the Notes, will be governed by, and construed in accordance with, English law.

Selling Restrictions

United States, Prohibition of Sales to EEA Retail Investors, Prohibition of Sales to UK Retail Investors, Switzerland, the UK and all jurisdictions listed in “Selling Restrictions”. Other restrictions may be required in connection with a particular issue of Notes. The Bank is Category 2 for the purposes of Regulation S under the Securities Act.

The Bearer Notes will be issued in compliance with U.S. Treas. Reg. §1.163-5(c)(2)(i)(D) (or any successor rules in substantially the same form as such rules for purposes of section 4701 of the U.S. Internal Revenue Code of 1986, as amended (the “Code”)) (“TEFRA D”) unless (i) the relevant Final Terms states that Notes are issued in compliance with U.S. Treas. Reg. §1.163-5(c)(2)(i)(C) (or any successor rules in substantially the same form as such rules for purposes of section 4701 of the Code) (“TEFRA C”) or (ii) the Notes are issued other than in compliance with TEFRA D or TEFRA C but in circumstances in which the Notes will not constitute “registration required obligations” under the United States Tax Equity and Fiscal Responsibility Act of 1982 (“TEFRA”), which circumstances will be referred to in the relevant Final Terms as a transaction to which TEFRA is not applicable.

Risk Factors

RISK FACTORS

The Bank believes that the following factors may affect its ability to fulfil its obligations under the Notes issued under the Programme and confirms that the risks that are stated to apply to “the Lloyds Bank Group” below apply also to the Bank. All of these factors are contingencies which may or may not occur. Factors which the Bank believes may be material for the purpose of assessing the market risks associated with Notes issued under the Programme in relation to the Lloyds Bank Group are also described below.

The Bank believes that the factors described below represent the principal risks inherent in investing in Notes issued under the Programme, but the inability of the Bank to pay interest, principal or other amounts on or in connection with any Notes may occur for other reasons and the Bank does not represent that the statements below regarding the risks of holding any Notes are exhaustive. Prospective purchasers should consider carefully the risks and uncertainties described below, together with all other information contained in this Prospectus and the information incorporated by reference herein before making any investment decision.

CONTENTS OF THESE RISK FACTORS

RISK FACTORS RELATING TO THE BANK AND THE LLOYDS BANK GROUP

Economic and Financial Risks
Regulatory and Legal Risks
Business and Operational Risks

RISK FACTORS RELATING TO THE NOTES

Risks related to the structure of a particular issue of Notes
Risks related to Notes generally
Risks related to the market generally
Additional risks associated with Notes that are linked to Reference Item(s)
Additional risks associated with Notes that are linked to a particular Reference Item
General risks relating to Notes with structured payouts
Additional risks associated with particular structured payouts
Risks related to Notes denominated in Renminbi
Risks related to payment of Notes in an Alternative Currency or Payment Currency

Economic and Financial Risks

Lloyds Bank Group’s businesses are subject to inherent and indirect risks arising from general macroeconomic conditions in the UK in particular, but also in the Eurozone, the U.S., Asia and globally

Lloyds Bank Group’s businesses are subject to inherent and indirect risks arising from general and sector-specific economic conditions in the markets in which it operates, particularly the UK, where Lloyds Bank Group’s earnings are predominantly generated, and its operations are increasingly concentrated following the strategic reduction of its international presence. Whilst Lloyds Bank Group’s revenues are predominantly generated in the UK, Lloyds Bank Group does have some credit exposure in countries outside the UK even if it does not have a presence in such countries. Any further significant macroeconomic deterioration in the UK and/or other economies as a result of the COVID-19 pandemic, or otherwise could lead to increased unemployment, reduced corporate profitability, reduced personal income levels, inflationary pressures, including those arising from sterling’s depreciation, reduced UK Government and/or consumer expenditure, increased corporate, small and medium-sized enterprises

Risk Factors

("SME") or personal insolvency rates, increased tax rates, borrowers' reduced ability to repay loans, increased tenant defaults, fluctuations in commodity prices and changes in foreign exchange rates, which could have a material adverse effect on the results of operations, financial condition or prospects of Lloyds Bank Group.

The effects on the UK, European and global economies following the UK's exit from the EU and the impact of the EU-UK Trade and Cooperation Agreement signed on 30 December 2020 (the "EU-UK TCA") remain difficult to predict but may include economic and financial instability in the UK, Europe and the global economy, constitutional instability in the UK (including the possibility of a further Scottish independence referendum and a decision in favour of Scotland leaving the Union with the rest of the UK) and the other types of risks described in "Regulatory and Legal Risks — Legal and regulatory risk arising from the UK's exit from the EU could adversely impact Lloyds Bank Group's business, operations, financial condition and prospects". In the event of any further substantial weakening in the UK's economic growth, the possibility of decreases in interest rates by the Bank of England or sustained low or negative interest rates would put further pressure on Lloyds Bank Group's interest margins and potentially adversely affect its profitability and prospects. Furthermore, such market conditions may also result in an increase in Lloyds Bank Group's pension deficit.

In the Eurozone, the economic outlook is also uncertain. High levels of private and public debt, continued weakness in the financial sector and reform fatigue remain a concern. Conversely, further monetary policy stimulus from the European Central Bank could undermine financial stability by encouraging a further build-up of unsustainable debt. In addition, political uncertainty in the Eurozone, and fragmentation risk in the EU, could create financial instability and have a negative impact on the Eurozone and global economies. Any default on the sovereign debt of a Eurozone country and the resulting impact on other Eurozone countries, including the potential that some countries could leave the Eurozone, could materially affect the capital and the funding position of participants in the banking industry, including Lloyds Bank Group.

Moreover, the effects on the UK, European and global economies of the exit of one or more EU member states from the Economic and Monetary Union, or the redenomination of financial instruments from the Euro to a different currency, are extremely uncertain and very difficult to predict and protect fully against in view of: (i) the potential for economic and financial instability in the Eurozone and possibly in the UK; (ii) the lasting impact on governments' financial positions of the global financial crisis and the COVID-19 pandemic; (iii) the uncertain legal position; and (iv) the fact that many of the risks related to the business are totally, or in part, outside the control of Lloyds Bank Group. If any such events were to occur, they may result in: (a) significant market dislocation; (b) heightened counterparty risk; (c) an adverse effect on the management of market risk and, in particular, asset and liability management due, in part, to redenomination of financial assets and liabilities; (d) an indirect risk of counterparty failure; or (e) further political uncertainty in the UK or other countries, any of which could have a material adverse effect on the results of operations, financial condition or prospects of Lloyds Bank Group. U.S. economic policies may have an adverse effect on both U.S. and global growth as well as global trade prospects. In addition, concerns remain around the impact of increased tariffs on trade between the U.S. and other nations including China, Canada and the EU. The potential for escalation of trade disputes and any retaliatory actions taken may adversely impact the global economic outlook.

Macroeconomic uncertainty in emerging markets in the wake of the COVID-19 pandemic, in particular the slowdown of international trade and industrial production, as well as the high and growing level of debt in China may be exacerbated by attempts to de-risk its highly leveraged economy, or a devaluation of the Renminbi. External debt levels are higher now in emerging markets than before the global financial crisis, which could lead to higher levels of defaults and non-performing loans.

Any adverse changes affecting the economies of the countries in which Lloyds Bank Group has significant direct and indirect credit exposures and any further deterioration in global macroeconomic conditions,

Risk Factors

including as a result of geopolitical events, global health issues, including the COVID-19 pandemic (see “Economic and Financial Risks – Lloyds Bank Group’s businesses are subject to risks relating to the COVID-19 pandemic”) or acts of war or terrorism, could have a material adverse effect on Lloyds Bank Group’s results of operations, financial condition or prospects.

2 Lloyds Bank Group’s businesses are subject to risks relating to the COVID-19 pandemic

The global pandemic from the outbreak of COVID-19 continues to cause widespread disruption to normal patterns of business activity across the world, including in the UK, and volatility in financial markets. Measures taken to contain the health impact of the COVID-19 pandemic have resulted in an adverse impact on economic activity across the world and the duration of these measures remains uncertain. Monetary policy loosening has supported asset valuations across many financial markets, but longer-term impacts on consumer demand and behaviours, inflation, interest rates, credit spreads, foreign exchange rates and commodity, equity and bond prices remain unclear.

Emergency measures to slow the spread of COVID-19 across the world have brought about rapid deterioration in economic growth across all countries and regions, directly adversely impacting the UK through many channels, including trade and capital flows. The recession is likely to have a lasting negative impact on future path of global GDP, through its impact on human and physical capital accumulation, and supply chain disruption. The UK experienced a deep contraction in economic activity during 2020 as a result of the COVID-19 pandemic, and both private and public sector debt have risen significantly. If the economic downturn damage were to be prolonged significantly by inability to control COVID-19 spread with vaccines, public finances would likely continue to deteriorate and could result in a sovereign downgrade that could also impact the credit ratings of Lloyds Bank Group. Rating downgrades could have a material adverse impact on Lloyds Bank Group's ability to raise funding in the wholesale markets (see "Economic and Financial Risks – A reduction in Lloyds Bank Group's longer-term credit rating could materially adversely affect Lloyds Bank Group's results of operations, financial condition or prospects").

Further, the economic impact of the COVID-19 pandemic, including increased levels of unemployment, corporate insolvencies and business failures could adversely impact Lloyds Bank Group's retail or corporate customers and their ability to service their contractual obligations, including to Lloyds Bank Group. Adverse changes in the credit quality of Lloyds Bank Group's borrowers and counterparties or collateral held in support of exposures, or in their behaviour, may reduce the value of Lloyds Bank Group's assets and materially increase Lloyds Bank Group's write-downs and allowances for impairment losses. This could have a material adverse effect on Lloyds Bank Group's results of operations, financial condition or prospects.

As a result of recent monetary policy actions, interest rates have declined substantially and financial markets are applying an increased probability to a wider use of unconventional policy tools such as negative interest rates. In many countries, interest rates have already turned negative or are very close to zero and governments, are borrowing at negative yields. If negative interest rates were to be applied in the UK and U.S., they could have an adverse impact on Lloyds Bank Group's net income and profitability.

The effect of the COVID-19 pandemic on emerging markets increases the risks already identified from the slowdown of growth and trade, with limited capacity to respond effectively to the crisis impacting growth and potentially increasing the risk of default on debt.

Governments, central banks and regulators across the world are taking significant action to address this economic impact, which led to a deep recession in the UK and globally. Governments are likely to be judged for their policy responses and success in vaccine rollouts, which could result in political upheaval and destabilise governments and political movements even after the pandemic has passed. There is also the possibility that vaccines are not as effective as expected against current or future strains of coronavirus, which could result in significantly extended lockdowns or restrictions. In addition to providing support under government support schemes, Lloyds Bank Group has taken specific measures to alleviate the

Risk Factors

impact on Lloyds Bank Group’s customers or borrowers, including payment holidays which, taken together with lower interest rates and restrictions on fees associated with certain products, may have an adverse impact on Lloyds Bank Group’s results of operations, financial conditions or prospects. Additionally, although the UK Government and the Bank of England have provided certain guarantees to banks relating to lending schemes that have been initiated to support businesses through the current COVID-19 pandemic, there is a risk that in some circumstances Lloyds Bank Group may not be able to claim under the guarantees, or the claim may be rejected, if, for example, it later transpires that all terms and conditions under the relevant guarantee scheme were not met when the lending was originated.

As a result of the COVID-19 pandemic, the potential for conduct and compliance risks (see “Business and Operational Risks – Lloyds Bank Group is exposed to conduct risk”) as well as operational risks materialising has increased, notably in the areas of cyber, fraud, people, technology, operational resilience and where there is reliance on third-party suppliers. In addition to the key operational risks, new risks are likely to arise as Lloyds Bank Group may need to change its ways of working whilst managing any instances of COVID-19 among its employees and locations to ensure continuity and support to colleagues and customers.

Any and all such events described above could have a material adverse effect on Lloyds Bank Group’s business, financial condition, results of operations, prospects, liquidity, capital position and credit ratings (including potential changes of outlooks or ratings), as well as on its customers, borrowers, counterparties, employees and suppliers.

3 Lloyds Bank Group’s businesses are subject to inherent risks concerning borrower and counterparty credit quality which have affected and may adversely impact the recoverability and value of assets on Lloyds Bank Group’s balance sheet

Lloyds Bank Group has exposures to many different products, counterparties, obligors and other contractual relationships and the credit quality of its exposures can have a significant impact on its earnings. Credit risk exposures are categorised as either “retail” or “corporate” and reflect the risks inherent in Lloyds Bank Group’s lending and lending-related activities.

Adverse changes in the credit quality of Lloyds Bank Group’s UK and/or international borrowers and counterparties or collateral held in support of exposures, or in their behaviour or businesses, may reduce the value of Lloyds Bank Group’s assets and materially increase its write-downs and allowances for impairment losses. Credit risk can be affected by a range of factors outside Lloyds Bank Group’s control, which include but are not limited to an adverse economic environment, the effect of the UK’s withdrawal from the EU and the operation of the EU-UK TCA, reduced UK and global consumer and/or government spending and benefits, inflation, changes in the credit rating of individual counterparties, the debt levels of individual contractual counterparties, increased unemployment or reduced income, reduced asset values, increased personal or corporate insolvency levels, falling stock and bond/other financial markets, reduced corporate profits, over-indebtedness, changes in interest rates or foreign exchange rates, counterparty challenges to the interpretation or validity of contractual arrangements, an increase in credit spreads, changes to insolvency regimes which make it harder to enforce against counterparties, changes in consumer and customer demands and requirements, negative reputational impact or direct campaigns which adversely impact customers, industries or sectors and any external factors of a political, legislative, environmental or regulatory nature, including changes in accounting rules and changes to tax legislation and rates, some of which are materially heightened by the current COVID-19 pandemic.

In particular, Lloyds Bank Group has exposure to concentration risk where its business activities focus particularly on a single obligor, related/connected group of obligors or a similar type of customer (borrower, sovereign, financial institution or central counterparty), product, industrial sector or geographic location, including the UK.

Risk Factors

Lloyds Bank Group's credit exposure includes residential mortgage lending (in the UK and, to a lesser extent, the Netherlands) and commercial real estate lending, including lending secured against secondary and tertiary commercial property assets in the UK. As a result, decreases in residential or commercial property values, reduced rental payments and/or increases in tenant defaults are likely to lead to higher impairment charges, which could materially affect Lloyds Bank Group's results of operations, financial condition or prospects. The COVID-19 pandemic initially led to some uncertainty in asset valuations and, whilst this may persist for some time, policy support and a sharp rise in accumulated private sector savings may be contributing to unsustainable asset valuation growth in some markets. A rapid recovery could intensify this growth, particularly in the real estate sector, subsequent revaluations of which could have potentially negative consequences to the Lloyds Bank Group. Additionally, COVID-19 has led to, and may lead to as yet unknown, structural changes in the risk profile of a number of counterparties and/or of sectors, including but not limited to commercial real estate, retail, hospitality, leisure and transportation, driven largely by evolving changes in consumer behaviour, working patterns, supply chains, government policy and infrastructure. Lloyds Bank Group also has significant credit exposure to certain individual counterparties in higher risk and cyclical asset classes and sectors (such as commercial real estate, financial intermediation, manufacturing, leveraged lending, oil and gas and related sectors, hotels, commodities trading, automotive and related sectors, construction, agriculture, consumer-related sectors (such as retail, passenger transport and leisure), house builders and outsourcing services). Lloyds Bank Group's retail customer portfolios will remain strongly linked to the UK economic environment, with house price deterioration, unemployment increases, inflationary pressures, consumer over-indebtedness and prolonged low or rising interest rates among the factors that may impact secured and unsecured retail credit exposures. Deterioration in used vehicle prices, including as a result of changing consumer demand, could result in increased provisions and/or losses and/or accelerated depreciation charges.

Lloyds Bank Group's corporate lending portfolio also contains substantial exposure to large and midsized, public and private companies. In addition to exposures to sectors that have experienced cyclical weakness in recent years, the portfolio also contains exposures in key coronavirus impacted sectors, most notably consumer facing sectors such as travel, transportation, non-essential retail and hospitality. These exposures along with a historic strategy of taking large single name concentrations to non-listed companies and entrepreneurs, and taking exposure at various levels of the capital structure, may give rise to single name concentration and risk capital exposure. Lloyds Bank Group's corporate portfolios are also susceptible to "fallen angel" risk, that is, the probability of significant default increases following material unexpected events, and to risks related to the impact of the COVID-19 pandemic, resulting in the potential for large losses. As in the UK, Lloyds Bank Group's lending business overseas is also exposed to a small number of long-term customer relationships and these single name concentrations place Lloyds Bank Group at risk of loss should default occur. Any disruption to the liquidity or transparency of the financial markets may result in Lloyds Bank Group's inability to sell or syndicate securities, loans or other instruments or positions held (including through underwriting), thereby leading to concentrations in these positions. These concentrations could expose Lloyds Bank Group to losses if the mark-to-market value of the securities, loans or other instruments or positions declines causing Lloyds Bank Group to take write-downs. Moreover, the inability to reduce Lloyds Bank Group's positions not only increases the market and credit risks associated with such positions, but also increases the level of risk-weighted assets on Lloyds Bank Group's balance sheet, thereby increasing its capital requirements and funding costs, all of which could materially adversely affect Lloyds Bank Group's results of operations, financial condition or prospects.

Providing support to customers under the COVID-19 government schemes means Lloyds Bank Group has extended its lending risk appetite in line with the various scheme guidelines during the crisis and, despite the protection offered by the UK Government's or by the Bank of England's guarantees, as applicable, in respect of the schemes, this may lead to additional losses.

Risk Factors

With the exception of COVID-19 related payment holidays to retail customers and lending provided through certain government support schemes, including the Bounce Back Loan Scheme (which provides support of up to £50,000 for smaller businesses), in respect of which no credit assessment was undertaken, all lending decisions, and decisions related to other exposures (including, but not limited to, undrawn commitments, derivative, equity, contingent and/or settlement risks), are dependent on Lloyds Bank Group's assessment of each customer's ability to repay and the value of any underlying security. Such assessments may also take into account future forecasts, which may be less reliable due to the uncertainty of their likely accuracy and probability as a result of the impact of the COVID-19 pandemic. There is an inherent risk that Lloyds Bank Group has incorrectly assessed the credit quality and/or the ability or willingness of borrowers to repay, possibly as a result of incomplete or inaccurate disclosure by those borrowers or as a result of the inherent uncertainty that is involved in the exercise of constructing and using models to estimate the risk of lending to counterparties.

In addition, observed credit quality of the portfolios is likely to be influenced by the significant temporary support provided in light of the COVID-19 pandemic, including government lending schemes, payment holidays and furlough arrangements, which have the potential to distort underlying credit risks in the portfolio and may lead to increases in arrears and/or defaults which remain unidentified. This may result in additional impairment charges if the forward looking economic scenarios used to raise expected credit loss allowances have not adequately captured the impact of the withdrawal of the temporary support measures.

Repayments on government lending scheme loans commenced from the second quarter of 2021. However, Bounce Back Loans benefit from Pay As You Grow options which may materially delay repayments through, for example, extended payment holidays and has the potential to delay recognition of customer financial difficulties.

4 Lloyds Bank Group's businesses are subject to inherent risks concerning liquidity and funding, particularly if the availability of traditional sources of funding such as retail deposits or the access to wholesale funding markets becomes more limited

Liquidity and funding continues to remain a key area of focus for Lloyds Bank Group and the industry as a whole. Like all major banks, Lloyds Bank Group is dependent on confidence in the short and long-term wholesale funding markets. Lloyds Bank Group relies on customer savings and transmission balances, as well as ongoing access to the global wholesale funding markets to meet its funding needs. The ability of Lloyds Bank Group to gain access to wholesale and retail funding sources on satisfactory economic terms is subject to a number of factors outside its control, such as liquidity constraints, general market conditions, regulatory requirements, the encouraged or mandated repatriation of deposits by foreign wholesale or central bank depositors and the level of confidence in the UK banking system.

Lloyds Bank Group's profitability or solvency could be adversely affected if access to liquidity and funding is constrained, made more expensive for a prolonged period of time or if Lloyds Bank Group experiences an unusually high and unforeseen level of withdrawals. In such circumstances, Lloyds Bank Group may not be in a position to continue to operate or meet its regulatory minimum liquidity requirements without additional funding support, which it may be unable to access (including government and central bank facilities).

Lloyds Bank Group is also subject to the risk of deterioration of the commercial soundness and/or perceived soundness of other financial services institutions within and outside the UK. Financial services institutions that deal with each other are interrelated as a result of trading, investment, clearing, counterparty and other relationships. This presents systemic risk and may adversely affect financial intermediaries, such as clearing agencies, clearing houses, banks, securities firms and exchanges with which Lloyds Bank Group interacts on a daily basis, any of which could have a material adverse effect on Lloyds Bank Group's ability to raise new funding. A default by, or even concerns about the financial resilience of, one or more financial services institutions could lead to further significant systemic liquidity

Risk Factors

problems, or losses or defaults by other financial institutions, which could have a material adverse effect on Lloyds Bank Group’s results of operations, financial condition or prospects.

Corporate and institutional counterparties may also seek to reduce aggregate credit exposures to Lloyds Bank Group (or to all banks) which could increase Lloyds Bank Group’s cost of funding and limit its access to liquidity. The funding structure employed by Lloyds Bank Group may also prove to be inefficient, thus giving rise to a level of funding cost where the cumulative costs are not sustainable over the longer term.

In addition, medium-term growth in Lloyds Bank Group’s lending activities will rely, in part, on the availability of retail deposit funding on appropriate terms, which is dependent on a variety of factors outside Lloyds Bank Group’s control, such as general macroeconomic conditions and market volatility, the confidence of retail depositors in the economy, the financial services industry and Lloyds Bank Group, as well as the availability and extent of deposit guarantees. Increases in the cost of retail deposit funding will impact on Lloyds Bank Group’s margins and affect profit, and a lack of availability of retail deposit funding could have a material adverse effect on its future growth. Any loss in consumer confidence in Lloyds Bank Group could significantly increase the amount of retail deposit withdrawals in a short period of time. See “Economic and Financial Risks – Lloyds Bank Group’s businesses are subject to inherent and indirect risks arising from general macroeconomic conditions in the UK in particular, but also in the Eurozone, the U.S., Asia and globally”.

Lloyds Bank Group makes use of central bank funding schemes such as the Bank of England’s Term Funding Scheme with additional incentives for SMEs. Following the closure of this scheme in 2021, Lloyds Bank Group will have to replace matured central bank scheme funding, which could cause an increased dependence on term funding issuances. If the wholesale funding markets were to suffer stress or central bank provision of liquidity to the financial markets is abruptly curtailed, or Lloyds Bank Group’s credit ratings are downgraded, it is likely that wholesale funding will prove more difficult to obtain.

Any of the refinancing or liquidity risks mentioned above, in isolation or in concert, could have a material adverse effect on Lloyds Bank Group’s results or operations and its ability to meet its financial obligations as they fall due.

5 A reduction in Lloyds Bank Group’s longer-term credit rating could materially adversely affect Lloyds Bank Group’s results of operations, financial condition or prospects

Rating agencies regularly evaluate Lloyds Bank Group and the Company, and their ratings of longer-term debt are based on a number of factors which can change over time, including Lloyds Bank Group’s financial strength as well as factors not entirely within its control, including conditions affecting the financial services industry generally, and the legal and regulatory frameworks affecting its legal structure, business activities and the rights of its creditors. In light of the difficulties in the financial services industry and the financial markets, there can be no assurance that Lloyds Bank Group or the Company will maintain their current ratings. The credit rating agencies may also revise the ratings methodologies applicable to issuers within a particular industry or political or economic region. If credit rating agencies perceive there to be adverse changes in the factors affecting an issuer’s credit rating, including by virtue of change to applicable ratings methodologies, the credit rating agencies may downgrade, suspend or withdraw the ratings assigned to an issuer and/or its securities. Downgrades of Lloyds Bank Group’s longer-term credit rating could lead to additional collateral posting and cash outflow, significantly increase its borrowing costs, limit its issuance capacity in the capital markets and weaken Lloyds Bank Group’s competitive position in certain markets.

6 Lloyds Bank Group’s businesses are inherently subject to the risk of market fluctuations, which could have a material adverse effect on the results of operations, financial condition or prospects of Lloyds Bank Group

Risk Factors

Lloyds Bank Group’s businesses are inherently subject to risks in financial markets including changes in, and increased volatility of, interest rates, inflation rates, credit spreads, foreign exchange rates, commodity, equity, bond and property prices and the risk that its customers act in a manner which is inconsistent with Lloyds Bank Group’s business, pricing and hedging assumptions. Movements in these markets will continue to have a significant impact on Lloyds Bank Group in a number of key areas.

For example, adverse market movements have had, and will likely continue to have an adverse effect, upon the financial condition of the defined benefit pension schemes of Lloyds Bank Group. The schemes’ main exposures are to real rate risk and credit spread risk. These risks arise from two main sources: the “AA” corporate bond liability discount rate and asset holdings.

In addition, Lloyds Bank Group’s banking and trading activities are also subject to market movements. For example, changes in interest rate levels, interbank margins over official rates, yield curves and spreads affect the interest rate margin realised between lending and borrowing costs. The potential for future volatility and margin changes remains. Competitive pressures on fixed rates or product terms in existing loans and deposits may restrict Lloyds Bank Group in its ability to change interest rates applying to customers in response to changes in official and wholesale market rates.

Changes in foreign exchange rates, including with respect to the U.S. dollar and the Euro, may also have a material adverse effect on Lloyds Bank Group’s financial position and/or forecasted earnings.

7 Market conditions have resulted, and are expected to result in the future, in material changes to the estimated fair values of financial assets of Lloyds Bank Group, including negative fair value adjustments

Lloyds Bank Group has exposures to securities, derivatives and other investments, including asset-backed securities, structured investments and private equity investments that are recorded by Lloyds Bank Group at fair value, which may be subject to further negative fair value adjustments in view of the volatile global markets and challenging economic environment, including as a result of the COVID-19 pandemic. See also “Economic and Financial Risks – Lloyds Bank Group’s businesses are subject to risks relating to the COVID-19 pandemic”.

In volatile markets, hedging and other risk management strategies (including collateralisation and the purchase of credit default swaps) may not be as effective as they are in normal market conditions, due in part to the decreasing credit quality of hedge counterparties, and general illiquidity in the markets within which transactions are executed.

In circumstances where fair values are determined using financial valuation models, Lloyds Bank Group’s valuation methodologies may require it to make assumptions, judgements and estimates in order to establish fair value. These valuation models are complex and the assumptions used are difficult to make and are inherently uncertain. This uncertainty may be amplified during periods of market volatility and illiquidity. Any consequential impairments, write-downs or adjustments could have a material adverse effect on Lloyds Bank Group’s results of operations, capital ratios, financial condition or prospects.

Any of these factors could cause the value ultimately realised by Lloyds Bank Group for its securities and other investments to be lower than their current fair value or require Lloyds Bank Group to record further negative fair value adjustments, which may have a material adverse effect on its results of operations, financial condition or prospects.

8 Any tightening of monetary policy in jurisdictions in which Lloyds Bank Group operates could affect the financial condition of its customers, clients and counterparties, including governments and other financial institutions

Quantitative easing measures implemented by major central banks, adopted alongside record low interest rates to support recovery from the global financial crisis and, more recently, the COVID-19 pandemic, have helped loosen financial conditions and reduced borrowing costs. These measures may have supported

Risk Factors

liquidity and valuations for asset classes that are vulnerable to rapid price corrections as financial conditions tighten, potentially causing losses to investors and increasing the risk of default on Lloyds Bank Group's exposure to these sectors.

Monetary policy in the UK and in the markets in which Lloyds Bank Group operates has been highly accommodative in recent years and even more so as a result of the COVID-19 pandemic, however, there remains considerable uncertainty as to the direction of interest rates and the pace of change, as set by the Bank of England and other major central banks. In the UK, monetary policy has further been supported by the Bank of England and HM Treasury "Funding for Lending" scheme (which closed in January 2018), the "Help to Buy" scheme (which closed in November 2019), the "Term Funding Scheme" (which closed in February 2018) and the purchase of corporate bonds in the UK. In response to the COVID-19 pandemic, the UK Government and the Bank of England have adopted a series of financial measures to help offset the economic disruption caused by efforts to contain the spread of the virus. These include a package of government-backed and guaranteed loans to support businesses, announced on 17 March 2020, and which made available an initial £330 billion of guarantees (equivalent to approximately 15 per cent. of the UK's current GDP). These included a joint HM Treasury and Bank of England lending facility, the Covid Corporate Financing Facility (CCFF), designed to support liquidity among larger firms, as well as the Coronavirus Business Interruption Loan Scheme (CBILS) for small and medium-sized enterprises run by the British Business Bank. Further support has been provided through the Coronavirus Large Business Interruption Loan Scheme (CLBILS) and the Bounce Back Loans Scheme (BBLS). Further measures may be introduced depending on the length and severity of the crisis. However, such a long period of stimulus and support has increased uncertainty over the impact of its future reduction, which could lead to a risk of higher borrowing costs in wholesale markets, higher interest rates for retail borrowers, generally weaker than expected growth, or even contracting GDP, reduced business and consumer confidence, higher levels of unemployment or underemployment, adverse changes to levels of inflation and falling property prices in the markets in which Lloyds Bank Group operates, and consequently to an increase in delinquency rates and default rates among its customers. Similar risks result from the low level of inflation in developed economies which, in Europe particularly, could deteriorate into sustained deflation if policy measures prove ineffective and economic growth weakens. Reduced monetary stimulus and the actions and commercial soundness of other financial institutions have the potential to impact market liquidity. The adverse impact on the credit quality of Lloyds Bank Group's customers and counterparties, coupled with a decline in collateral values, could lead to a reduction in recoverability and value of Lloyds Bank Group's assets and higher levels of expected credit loss allowances, which could have an adverse effect on its operations, financial condition or prospects.

9 Lloyds Bank Group's defined benefit pension schemes are subject to longevity risks

Lloyds Bank Group's defined benefit pension schemes are exposed to longevity risk. Increases in life expectancy (longevity) beyond current allowances will increase the period over which pension scheme benefits are paid and may adversely affect Lloyds Bank Group's financial condition and results of operations.

10 Lloyds Bank Group may be required to record Credit Value Adjustments, Funding Value Adjustments and Debit Value Adjustments on its derivative portfolio, which could have a material adverse effect on its results of operations, financial condition or prospects

Lloyds Bank Group continually seeks to limit and manage counterparty credit risk exposure to market counterparties. Credit Value Adjustment ("CVA") and Funding Value Adjustment ("FVA") reserves are held against uncollateralised derivative exposures and a risk management framework is in place to mitigate the impact on income of reserve value changes. CVA is an expected loss calculation that incorporates current market factors including counterparty credit spreads. FVA reserves are held to capitalise the cost of funding uncollateralised derivative exposures. Lloyds Bank Group also calculates a Debit Value Adjustment to reflect own credit spread risk as part of the fair value of derivative liabilities. Deterioration

Risk Factors

in the creditworthiness of financial counterparties, or large adverse financial market movements, could impact the size of CVA and FVA reserves and result in a material charge to Lloyds Bank Group's profit and loss account which could have a material adverse effect on its results of operations, financial condition or prospects.

11 Lloyds Bank Group is exposed to risks related to the uncertainty surrounding the integrity and continued existence of reference rates

Reference rates and indices, including interest rate benchmarks, such as the London Interbank Offered Rate ("LIBOR") and the Euro Interbank Offered Rate ("EURIBOR"), which are used to determine the amounts payable under financial instruments or the value of such financial instruments ("Benchmarks"), have, in recent years, been the subject of political and regulatory scrutiny as to how they are created and operated. This has resulted in regulatory reform and changes to existing Benchmarks, the progressive transition of existing and future activity to reference different rates and indices, with further changes anticipated.

On 5 March 2021, the FCA published a statement on the future cessation and loss of representativeness of all LIBOR currencies and tenors. Permanent cessation will occur immediately after 31 December 2021 for all Euro and Swiss Franc LIBOR tenors and certain Sterling, Japanese Yen and US Dollar LIBOR settings and immediately after 30 June 2023 for certain other US Dollar LIBOR settings. The statement specified that in relation to the remaining LIBOR settings (1-month, 3-month and 6-month Sterling, US Dollar and Japanese Yen LIBOR settings), the FCA will consult on, or continue to consider the case for, using its powers to continue their publication under a changed methodology for a further period after end-2021 (end-June 2023 in the case of US Dollar LIBOR). The announcement states that consequently, these LIBOR settings will no longer be representative of the underlying market that such settings are intended to measure immediately after 31 December 2021, in the case of the Sterling and Japanese Yen LIBOR settings and immediately after 30 June 2023, in the case of the US Dollar LIBOR settings. Any continued publication of the Japanese Yen LIBOR settings will also cease permanently at the end of 2022.

Furthermore, the UK has recently passed the Financial Services Act 2021. The new legislation provides a framework to enable the FCA to take action where it has determined that a critical benchmark is at risk of becoming unrepresentative, or has become unrepresentative, and that its representativeness cannot reasonably be maintained or restored (including for the benefit of the so-called 'tough legacy' contracts). FCA is currently consulting on whether to use its powers to compel the ICE Benchmark Administration to publish certain settings of LIBOR under a changed methodology, so-called 'synthetic LIBOR'. Similar to the UK, both the New York State legislature and the EU have passed legislation with respect to tough legacy contracts in 2021.

These reforms and changes may cause a Benchmark to perform differently than it has done in the past or to be discontinued. At this time, it is not possible to predict the overall effect (including conduct, operational and financial impacts) of any such reforms and changes, any establishment of alternative reference rates or any other reforms to these reference rates that may be enacted, including the potential or actual discontinuance of LIBOR publication, any transition away from LIBOR or ongoing reliance on LIBOR for some legacy products. Uncertainty as to the nature of such potential changes, alternative reference rates (including, without limitation, SONIA, €STR, SARON and SOFR or term versions of those rates) or other reforms may adversely affect a broad array of financial products, including any LIBOR-based or EURIBOR-based securities, loans and derivatives that are included in Lloyds Bank Group's financial assets and liabilities, that use these reference rates and may impact the availability and cost of hedging instruments and borrowings. During the transition to the new reference rates and/or when these reference rates are no longer available, Lloyds Bank Group may incur additional expenses in effecting the transition from such reference rates, and may be subject to disputes, which could have an adverse effect on Lloyds Bank Group's results of operations. In addition, it can have important operational impacts through Lloyds Bank Group's systems and infrastructure as all systems will need to account for

Risk Factors

the changes in the reference rates. Any of these factors may have a material adverse effect on Lloyds Bank Group's results of operations, financial condition or prospects.

Regulatory and Legal Risks

Lloyds Bank Group and its businesses are subject to substantial regulation and oversight. Adverse legal or regulatory developments could have a material adverse effect on Lloyds Bank Group's business, results of operations, financial condition or prospects

Lloyds Bank Group and its businesses are subject to legislation, regulation, court proceedings, policies and voluntary codes of practice in the UK, the EU and the other markets in which it operates which are impacted by factors beyond its control, including:

(a) general changes in government, central bank or regulatory policy, or changes in regulatory regimes that may influence investor decisions in particular markets in which Lloyds Bank Group operates, and which may change the structure of those markets and the products offered or may increase the costs of doing business in those markets;

(b) external bodies applying or interpreting standards, laws, regulations or contracts differently to Lloyds Bank Group;

(d) changes in competitive and pricing environments, including markets investigations, or one or more of Lloyds Bank Group's regulators intervening to mandate the pricing of Lloyds Bank Group's products, as a consumer protection measure;

(e) one or more of Lloyds Bank Group's regulators intervening to prevent or delay the launch of a product or service, or prohibiting an existing product or service;

(f) further requirements relating to financial reporting, corporate governance, corporate structure and conduct of business and employee compensation;

(g) expropriation, nationalisation, confiscation of assets and changes in legislation relating to foreign ownership;

(h) changes to regulation and legislation relating to economic and trading sanctions, money laundering and terrorist financing;

(i) developments in the international or national legal environment resulting in regulation, legislation and/or litigation targeting entities such as Lloyds Bank Group for investing in, or lending to organisations deemed to be responsible for, or contributing to climate change; and

(j) regulatory changes which influence business strategy, particularly the rate of growth of the business, or which impose conditions on the sales and servicing of products, which have the effect of making such products unprofitable or unattractive to sell.

These laws and regulations include increased regulatory oversight, particularly in respect of conduct issues, data protection, product governance and prudential regulatory developments, including ring-fencing.

Unfavourable developments across any of these areas, both in and outside the UK, as a result of the factors above could materially affect Lloyds Bank Group's ability to maintain appropriate liquidity, increase its funding costs, constrain the operation of its business and/or have a material adverse effect on Lloyds Bank Group's business, results of operations and financial condition.

Lloyds Bank Group faces risks associated with its compliance with a wide range of laws and regulations

Risk Factors

Lloyds Bank Group is exposed to risk associated with compliance with laws and regulations, including:

(a) certain aspects of Lloyds Bank Group’s activities and business may be determined by the relevant authorities, the Financial Ombudsman Service (the “FOS”), or the courts, to have not been conducted in accordance with applicable laws or regulations, or, in the case of the FOS, with what is fair and reasonable in the Ombudsman’s opinion;

(b) the possibility of alleged mis-selling of financial products or the mishandling of complaints related to the sale of such products by or attributed to a member of Lloyds Bank Group, resulting in disciplinary action or requirements to amend sales processes, withdraw products, or provide restitution to affected customers, all of which may require additional provisions;

(c) risks relating to compliance with, or enforcement actions in respect of, existing and/or new regulatory or reporting requirements, including as a result of a change in focus of regulation or a transfer of responsibility for regulating certain aspects of Lloyds Bank Group’s activities and business to other regulatory bodies;

(d) contractual and other obligations may either not be enforceable as intended or may be enforced against Lloyds Bank Group in an adverse way;

(e) the intellectual property of Lloyds Bank Group (such as trade names) may not be adequately protected;

(f) Lloyds Bank Group may be liable for damages to third-parties harmed by the conduct of its business; and

(g) the risk of regulatory proceedings, enforcement actions and/or private litigation, arising out of regulatory investigations or otherwise (brought by individuals or groups of plaintiffs) in the UK and other jurisdictions.

Regulatory and legal actions pose a number of risks to Lloyds Bank Group, including substantial monetary damages or fines, the amounts of which are difficult to predict and may exceed the amount of provisions set aside to cover such risks. See “Regulatory and Legal Risks – The financial impact of legal proceedings and regulatory risks may be material and is difficult to quantify. Amounts eventually paid may materially exceed the amount of provisions set aside to cover such risks, or existing provisions may need to be materially increased in response to changing circumstances”. In addition, Lloyds Bank Group may be subject, including as a result of regulatory actions, to other penalties and injunctive relief, civil or private litigation arising out of a regulatory investigation or otherwise, the potential for criminal prosecution in certain circumstances and regulatory restrictions on Lloyds Bank Group’s business, all of which can have a negative effect on Lloyds Bank Group’s reputation as well as taking a significant amount of management time and resources away from the implementation of its strategy.

Lloyds Bank Group may settle litigation or regulatory proceedings prior to a final judgement or determination of liability to avoid the cost, management efforts or negative business, regulatory or reputational consequences of continuing to contest liability, even when Lloyds Bank Group believes that it has no liability or when the potential consequences of failing to prevail would be disproportionate to the costs of settlement. Furthermore, Lloyds Bank Group may, for similar reasons, reimburse counterparties for their losses even in situations where Lloyds Bank Group does not believe that it is legally compelled to do so. Failure to manage these risks adequately could materially affect Lloyds Bank Group, both financially and reputationally.

3 Legal and regulatory risk arising from the UK’s exit from the EU could adversely impact Lloyds Bank Group’s business, operations, financial condition and prospects

The EU-UK TCA provides a structure for the EU and UK relationship following the UK’s exit from the EU.

Risk Factors

The EU and the UK agreed a Memorandum of Understanding on Financial Services Regulatory Cooperation on 26 March 2021 to help preserve financial stability, market integrity, and the protection of investors and consumers. However, there can be no assurance as to the making of any financial services regulatory equivalence decisions (including as to the extent, duration and conditionality of any such decisions). The EU-UK TCA does not lay down any binding commitments on financial services and it remains uncertain if the UK and the EU financial regulatory regimes will diverge substantially in the future or not. This uncertainty may be exacerbated by the possible re-emergence of calls for a further Scottish independence referendum and/or the differential arrangements under the EU-UK TCA and the EU withdrawal agreement for Northern Ireland relative to the rest of the UK.

Lloyds Bank Group is subject to substantial EU-derived laws, regulation and oversight, which will be impacted as a result of the UK's exit from the EU. Lloyds Bank Group and its subsidiaries in the UK have ceased to be subject to EU law; but EU law continues to apply to its EU subsidiaries. Divergence between UK law and EU law will increase the burden of associated compliance costs on Lloyds Bank Group. Moreover, Lloyds Bank Group and its counterparties are no longer able to rely on the European passporting framework for financial services. Lloyds Bank Group continues to service existing products in certain EU jurisdictions, where permitted. A change to any EU jurisdiction's acceptance of continued servicing could potentially result in the loss of customers and/or the requirement for Lloyds Bank Group to apply for authorisation in EU jurisdictions where it is to continue business, with associated costs and operational considerations. Any new or amended legislation and regulation may have a significant impact on Lloyds Bank Group's operations, profitability and business model.

4 Lloyds Banking Group and its subsidiaries, including Lloyds Bank Group, are subject to resolution planning requirements, which could have an adverse impact on Lloyds Bank Group's business

In July 2019, the Bank of England and the PRA published final rules for a resolvability assessment framework (the "Resolvability Assessment Framework"), with full implementation of the framework required by 2022. This requires Lloyds Banking Group to carry out a detailed assessment of its preparations for resolution. These rules on the Resolvability Assessment Framework may affect the way in which Lloyds Banking Group manages its business and ultimately impact the profitability of Lloyds Bank Group. Further, the publication of the outcome of such assessment may affect the way Lloyds Bank Group is perceived by the market which, in turn, may affect the secondary market value of the Bank's securities.

5 Lloyds Banking Group and its subsidiaries, including Lloyds Bank Group, are subject to regulatory actions which may be taken in the event of a bank or parent group failure

Under the Banking Act 2009, as amended, (the "Banking Act"), substantial powers have been granted to HM Treasury, the Bank of England and the PRA and FCA (together, the "Authorities") as part of the special resolution regime (the "SRR"). These powers enable the Authorities to deal with and stabilise UK-incorporated institutions with permission to accept deposits (including the Bank and members of Lloyds Bank Group) if they are failing or are likely to fail to satisfy certain threshold conditions.

The SRR consists of five stabilisation options: (i) transfer of all or part of the business of the relevant entity or the shares of the relevant entity to a private sector purchaser; (ii) transfer of all or part of the business of the relevant entity to a "bridge bank" established and wholly owned by the Bank of England; (iii) transfer all or part of the relevant entity or "bridge bank" to an asset management vehicle; (iv) making of one or more resolution instruments by the Bank of England; and (v) temporary public ownership of the relevant entity. HM Treasury may also take a parent company of a relevant entity into temporary public ownership where certain conditions are met. Certain ancillary powers include the power to modify contractual arrangements in certain circumstances.

Under the Banking Act, powers are granted to the Authorities which include, but are not limited to: (i) a "write-down and conversion power" relating to Tier 1 and Tier 2 capital instruments; and (ii) a "bail-in"

Risk Factors

power relating to the majority of unsecured liabilities (including the capital instruments and senior unsecured debt securities issued by the Bank). While the Company is currently the resolution entity for Lloyds Banking Group pursuant to the Bank of England's "single point of entry" resolution model, bail-in is capable of being applied to all of the Bank's senior unsecured and subordinated debt instruments with a remaining maturity of greater than seven days. Such loss absorption powers give resolution authorities the ability to write-down or write-off all or a portion of the claims of certain unsecured creditors of a failing institution or group and/or to convert certain debt claims into another security, including ordinary shares of the surviving group entity, if any. Such resulting ordinary shares may be subject to severe dilution, transfer for no consideration, write-down or write-off. The Banking Act specifies the order in which the bail-in tool should be applied, reflecting the hierarchy of capital instruments under Regulation (EU) No 575/2013 (as amended) as it forms part of retained EU law in the United Kingdom under the EUWA and related legislation, with certain amendments (the "Capital Requirements Regulation") and otherwise respecting the hierarchy of claims in an ordinary insolvency. Moreover, the Banking Act and secondary legislation made thereunder provides certain limited safeguards for creditors in specific circumstances. For example, a holder of debt securities issued by the Bank should not suffer a worse outcome than it would in insolvency proceedings. However, this "no creditor worse off" safeguard may not apply in relation to an application of the write-down and conversion power in circumstances where a stabilisation power is not also used; holders of debt instruments which are subject to the power may, however, have ordinary shares transferred to or issued to them by way of compensation. The exercise of mandatory write-down and conversion power under the Banking Act or any suggestion of such exercise could, therefore, materially adversely affect the rights of the holders of equity and debt securities and the price or value of their investment and/or the ability of Lloyds Bank Group to satisfy its obligations under such debt securities.

Resolution authorities also have powers to amend the terms of contracts (for example, varying the maturity of a debt instrument) and to override events of default or termination rights that might be invoked as a result of the exercise of the resolution powers, which could have a material adverse effect on the rights of holders of the debt securities issued by the Bank, including through a material adverse effect on the price of such securities. The Banking Act also gives the Bank of England the power to override, vary or impose contractual obligations between a UK bank, its holding company and its group undertakings for reasonable consideration, in order to enable any transferee or successor bank to operate effectively. There is also power for HM Treasury to amend the law (excluding provisions made by or under the Banking Act) for the purpose of enabling it to use the regime powers effectively, potentially with retrospective effect.

The determination that securities and other obligations issued by the Bank will be subject to loss absorption is likely to be inherently unpredictable and may depend on a number of factors which may be outside of Lloyds Bank Group's control. This determination will also be made by the relevant UK resolution authority and there may be many factors, including factors not directly related to Lloyds Bank Group, which could result in such a determination. Because of this inherent uncertainty and given that the relevant provisions of the Banking Act remain largely untested in practice, it will be difficult to predict when, if at all, the exercise of a loss absorption power may occur which would result in a principal write-off or conversion to other securities. Moreover, as the criteria that the relevant UK resolution authority will be obliged to consider in exercising any loss absorption power provide it with considerable discretion, holders of the securities issued by the Bank may not be able to refer to publicly available criteria in order to anticipate a potential exercise of any such power and consequently its potential effect on Lloyds Bank Group and the securities issued by the Bank.

Potential investors in the securities issued by the Bank should consider the risk that a holder may lose some or all of its investment, including the principal amount plus any accrued interest, if such statutory loss absorption measures are acted upon. The Banking Act provides that, other than in certain limited circumstances set out in the Banking Act, extraordinary governmental financial support will only be available to the Bank as a last resort once the write-down and conversion powers and resolution tools

Risk Factors

referred to above have been exploited to the maximum extent possible. Accordingly, it is unlikely that investors in securities issued by the Bank will benefit from such support even if it were provided.

Holders of the Bank's securities may have limited rights or no rights to challenge any decision of the relevant UK resolution authority to exercise the UK resolution powers or to have that decision reviewed by a judicial or administrative process or otherwise. Accordingly, trading behaviour in respect of such securities is not necessarily expected to follow the trading behaviour associated with other types of securities that are not subject to such resolution powers. Further, the introduction or amendment of such recovery and resolution powers, and/or any implication or anticipation that they may be used, may have a significant adverse effect on the market price of such securities, even if such powers are not used.

The minimum requirement for own funds and eligible liabilities ("MREL") applies to UK financial institutions and covers own funds and debt instruments that are capable of being written-down or converted to equity in order to prevent a financial institution or its group from failing in a crisis. The Bank of England has set a final MREL conformance date for larger banks of 1 January 2022 with interim compliance required from 1 January 2020. Lloyds Bank Group has been identified as a material subsidiary of the Company and must therefore maintain internal MREL resources from 1 January 2020 at the higher of: minimum requirements calculated on a sub consolidated basis and on an individual basis.

In addition, Lloyds Bank Group's costs of doing business may increase by amendments made to the Banking Act in relation to deposits covered by the UK Financial Services Compensation Scheme (the "FSCS"). Lloyds Banking Group contributes to compensation schemes such as the FSCS in respect of banks and other authorised financial services firms that are unable to meet their obligations to customers. Further provisions in respect of these costs are likely to be necessary in the future. The ultimate cost to the industry, which will also include the cost of any compensation payments made by the FSCS and, if necessary, the cost of meeting any shortfall after recoveries on the borrowings entered into by the FSCS, remains uncertain but may be significant and may have a material effect on Lloyds Bank Group's business, results of operations or financial condition.

6 Lloyds Bank Group is subject to the risk of having insufficient capital resources and/or not meeting liquidity requirements

Under PRA requirements, Lloyds Bank Group (as the ring-fenced bank sub-group) became subject to prudential requirements on a sub-consolidated basis from 1 January 2019. These requirements are in addition to the requirements that the Bank must meet under the existing prudential regime on an individual basis.

If the Bank and/or Lloyds Bank Group has, or is perceived to have, a shortage of regulatory capital or to be unable to meet its regulatory minimum liquidity requirements, then it may be subject to regulatory interventions and sanctions and may suffer a loss of confidence in the market with the result that access to sources of liquidity and funding may become constrained, more expensive or unavailable. This, in turn, may affect Lloyds Bank Group's capacity to continue its business operations, pay future dividends to the Company and make other distributions or pursue acquisitions or other strategic opportunities, impacting future growth potential.

See also the risk factor above entitled "Economic and Financial Risks – Lloyds Bank Group's businesses are subject to inherent risks concerning liquidity and funding, particularly if the availability of traditional sources of funding such as retail deposits or the access to wholesale funding markets becomes more limited".

A shortage of capital could arise from: (i) a depletion of the Bank and/or Lloyds Bank Group's capital resources through increased costs or liabilities and reduced asset values which could arise as a result of the crystallisation of credit-related risks, regulatory and legal risks, business and economic risks, operational risks, financial soundness-related risks and other risks; and/or (ii) an increase in the amount of capital that is needed to be held; and/or (iii) changes in the manner in which Lloyds Bank Group and/or

Risk Factors

the Bank is required to calculate its capital and/or the risk-weightings applied to its assets. This might be driven by a change to the actual level of risk faced by Lloyds Bank Group or to changes in the minimum capital required by legislation or by the regulatory authorities. For example, an aggregated risk weighted asset output floor has been proposed by the Basel Committee with an expected transitional period from 2023 to 2028. The application of the final phase of implementation of the Basel reforms (“Basel 3.1”), including the output floor, will be a matter for the UK legislature and Lloyds Bank Group’s and the Bank’s prudential regulators and there remains uncertainty until such rules translate into UK legislation.

Lloyds Bank Group and/or the Bank may address a shortage of capital by acting to reduce leverage exposures and/or risk-weighted assets, for example by way of business disposals. Such actions may impact the profitability of Lloyds Bank Group.

Whilst Lloyds Bank Group monitors current and expected future capital, MREL and liquidity requirements, including having regard to both leverage and risk weighted assets-based requirements, and seeks to manage and plan the prudential position accordingly and on the basis of current assumptions regarding future regulatory capital and liquidity requirements, there can be no assurance that the assumptions will be accurate in all respects or that it will not be required to take additional measures to strengthen its capital or liquidity position. Market expectations as to capital and liquidity levels may also increase, driven by, for example, the capital and liquidity levels (or targets) of peer banking groups.

Lloyds Bank Group’s borrowing costs and access to capital markets, as well as its ability to lend or carry out certain aspects of its business, could also be affected by future prudential regulatory developments more generally, including: (i) evolving UK and global prudential and regulatory changes, for example, the UK consultation on the remaining changes to implement the Capital Requirements Regulation II, and Basel 3.1 in the UK; (ii) regulatory changes in other jurisdictions to which Lloyds Bank Group has exposure; and (iii) the evolving regulatory and legal impacts of the UK’s exit from the EU.

Any of the risks mentioned above could have a material adverse effect on Lloyds Bank Group’s capital resources and/or liquidity, results of operations, its ability to continue its business operations and its financial condition.

7 The financial impact of legal proceedings and regulatory risks may be material and is difficult to quantify. Amounts eventually paid may materially exceed the amount of provisions set aside to cover such risks, or existing provisions may need to be materially increased in response to changing circumstances

Where provisions have already been taken in published financial statements of Lloyds Bank Group or results announcements for ongoing legal or regulatory matters, these have been recognised, in accordance with IAS 37 (“Provisions, Contingent Liabilities and Contingent Assets”) (“IAS 37”), as the best estimate of the expenditure required to settle the obligation as at the reporting date. Such estimates are inherently uncertain and it is possible that the eventual outcomes may differ materially from current estimates, resulting in future increases or decreases to the required provisions, or actual losses that exceed or fall short of the provisions taken.

Excluding MBNA Limited (“MBNA”), Lloyds Bank Group increased provisions for expected payment protection insurance (“PPI”) costs by a further £0.1 billion recognised in the final quarter of the year ended 31 December 2020. Of the approximately six million enquiries received pre-deadline, more than 99 per cent. have now been processed. The £0.1 billion charge in the fourth quarter was driven by the impact of the COVID-19 pandemic delaying operational activities during 2020, the final stages of work to ensure operational completeness ahead of an orderly programme close and final validation of information requests and complaints with third parties that resulted in a limited number of additional complaints to be handled. A small part of the costs incurred during the year also reflect the costs associated with litigation activity to date.

Risk Factors

This brings the total amount provided for at the end of 2020 to £21.9 billion, of which £0.2 billion remains unutilised relating to complaints and associated administration costs.

With regard to MBNA, as announced in December 2016, Lloyds Bank Group’s exposure continues to remain capped at £240 million under the terms of the MBNA sale and purchase agreement. No additional charge has been made by MBNA to its PPI provision in the year ended 31 December 2020.

Provisions have not been taken where no obligation (as defined in IAS 37) has been established, whether associated with a known or potential future litigation or regulatory matter. Accordingly, an adverse decision in any such matters could result in significant losses to Lloyds Bank Group which have not been provided for. Such losses would have an adverse impact on Lloyds Bank Group’s financial condition and operations.

In November 2014, the UK Supreme Court ruled in Plevin v Paragon Personal Finance Limited [2014] UKSC 61 (“Plevin”) that failure to disclose to a customer a “high” commission payment on a single premium PPI policy sold with a consumer credit agreement created an unfair relationship between the lender and the borrower under s140 of the Consumer Credit Act 1974. It did not define a tipping point above which commission was deemed “high”. The disclosure of commission was not a requirement of the FSA’s (now FCA’s) Insurance: Conduct of Business sourcebook rules for the sale of general insurance (including PPI). Permission to appeal the redress outcome in the Plevin case was refused by the Court of Appeal in July 2015 and by the President of the Family Division in November 2015.

In November 2015 and August 2016, the FCA consulted on the introduction of a two year industry deadline by which consumers would need to make their PPI complaints or lose their right to have them assessed, and proposed rules and guidance about how firms should handle PPI complaints fairly in light of the Plevin judgment discussed above. On 2 March 2017, the FCA confirmed an industry deadline of 29 August 2019. The FCA’s rules to address Plevin commenced on 29 August 2017. The industry deadline also applies to the handling of these complaints. The FCA’s rules, issued on 2 March 2017, could have a material adverse effect on Lloyds Bank Group’s reputation, business, financial condition, results of operations and prospects.

Further, no assurance can be given that Lloyds Bank Group will not incur liability in connection with any past, current or future non-compliance with legislation or regulation, and any such non-compliance could be significant and materially adversely affect its reputation, business, financial condition, results of operations and prospects.

8 Lloyds Bank Group must comply with anti-money laundering, counter terrorist financing, anti-bribery and sanctions regulations, and a failure to prevent or detect any illegal or improper activities fully or on a timely basis could negatively impact customers and expose Lloyds Bank Group to liability

Lloyds Bank Group is required to comply with applicable anti-money laundering, anti-terrorism, sanctions, anti-bribery and other laws and regulations in the jurisdictions in which it operates. These extensive laws and regulations require Lloyds Bank Group, amongst other things, to adopt and enforce “know-your-customer” policies and procedures and to report suspicions of money laundering and terrorist financing, and in some countries specific transactions to the applicable regulatory authorities. These laws and regulations have become increasingly complex and detailed, require improved systems and sophisticated monitoring and compliance personnel, and have become the subject of enhanced government and regulatory supervision.

Lloyds Bank Group has adopted policies and procedures aimed at detecting and preventing the use of its banking network and services for money laundering, financing terrorism, bribery, tax evasion, human trafficking, modern day slavery, wildlife trafficking and related activities. These controls, however, may not eliminate instances where third parties seek to use Lloyds Bank Group’s products and services to engage in illegal or improper activities. In addition, while Lloyds Bank Group reviews its relevant counterparties’ internal policies and procedures with respect to such matters, Lloyds Bank Group, to a

Risk Factors

large degree, relies upon its relevant counterparties to maintain and properly apply their own appropriate anti-money laundering procedures. Such measures, procedures and compliance may not be effective in preventing third parties from using Lloyds Bank Group (and its relevant counterparties) as a conduit for money laundering and terrorist financing (including illegal cash operations) without Lloyds Bank Group's (and its relevant counterparties') knowledge. If Lloyds Bank Group is associated with, or even accused of being associated with, or becomes a party to, money laundering or terrorist financing, its reputation could suffer and it could become subject to fines, sanctions and/or legal enforcement (including being added to any "black lists" that would prohibit certain parties from engaging in transactions with Lloyds Bank Group), any one of which could have a material adverse effect on its results of operations, financial condition and prospects.

Furthermore, failure to comply with trade and economic sanctions, both primary and secondary (which are frequently subject to change by relevant governments and agencies in the jurisdictions in which Lloyds Bank Group operates), and failure to comply fully with other applicable compliance laws and regulations, may result in the imposition of fines and other penalties on Lloyds Bank Group, including the revocation of licences. In addition, Lloyds Bank Group's business and reputation could suffer if customers use its banking network for money laundering, financing terrorism, or other illegal or improper purposes.

9 Failure to manage the risks associated with changes in taxation rates or applicable tax laws, or misinterpretation of such tax laws, could materially adversely affect Lloyds Bank Group's results of operations, financial condition or prospects

Tax risk is the risk associated with changes in taxation rates, applicable tax laws, misinterpretation of such tax laws, disputes with relevant tax authorities in relation to historic transactions, or conducting a challenge to a relevant tax authority. Failure to manage this risk adequately could cause Lloyds Bank Group to suffer losses due to additional tax charges and other financial costs including penalties. Such failure could lead to adverse publicity, reputational damage and potentially costs materially exceeding current provisions, in each case to an extent which could have an adverse effect on Lloyds Bank Group's results of operations, financial condition or prospects.

Business and Operational Risks

1 Operational risks, including the risk that the Lloyds Bank Group fails to design resilience into business operations, underlying infrastructure and controls, including weaknesses or failures in the Lloyds Bank Group's processes, systems and security, and risks due to reliance on third party services and products could materially adversely affect the Lloyds Bank Group's operations

Operational risks, through inadequate or failed processes, systems (including financial reporting and risk monitoring processes) or security, or from people-related or external events, including the risk of fraud and other criminal acts carried out against Lloyds Bank Group, are present in Lloyds Bank Group's businesses. Lloyds Bank Group's businesses are dependent on processing and reporting accurately and efficiently a high volume of complex transactions across numerous and diverse products and services, in different currencies and subject to a number of different legal and regulatory regimes. Any weakness or errors in these processes, systems or security could have an adverse effect on Lloyds Bank Group's results, reporting of such results, and on the ability to deliver appropriate customer outcomes during the affected period which may lead to an increase in complaints and damage to the reputation of Lloyds Bank Group.

Specifically, failure to develop, deliver or maintain effective IT solutions in line with Lloyds Bank Group's operating environment could have a material adverse impact on customer service and business operations. Any prolonged loss of service availability could damage Lloyds Bank Group's ability to service its customers, could result in compensation costs and could cause long-term damage to its business and brand. See "Business and Operational Risks – Lloyds Bank Group's business is subject to risks related to cybercrime."

Risk Factors

Third parties such as suppliers and vendors upon which Lloyds Bank Group relies for important products and services could also be sources of operational risk, specifically with regard to security breaches affecting such parties. Lloyds Bank Group may be required to take steps to protect the integrity of its operational systems, thereby increasing its operational costs. Additionally, any problems caused by these third parties, including as a result of their not providing Lloyds Bank Group their services for any reason, their performing their services poorly, or employee misconduct, could adversely affect Lloyds Bank Group's ability to deliver products and services to customers and otherwise to conduct business. Replacing these third party vendors or moving critical services from one provider to another could also entail significant delays and expense.

Lloyds Bank Group is also exposed to risk of fraud and other criminal activities (both internal and external) due to the operational risks inherent in banking operations. These risks are also present when Lloyds Bank Group relies on outside suppliers or vendors to provide services to Lloyds Bank Group and its customers. Fraudsters may target any of Lloyds Bank Group's products, services and delivery channels, including lending, internet banking, payments, bank accounts and cards. This may result in financial loss to Lloyds Bank Group and/or Lloyds Bank Group's customers, poor customer experience, reputational damage, potential litigation and regulatory proceedings. Industry reported gross fraud losses have continued to increase as both financial institutions and their customers are targeted.

Fraud losses and their impacts on customers and the wider society are now an increasing priority for consumer groups, regulators and the UK Government. Any weakness or errors in Lloyds Bank Group's processes, systems or security could have an adverse effect on Lloyds Bank Group's results and on the ability to deliver appropriate customer responses, which may lead to an increase in complaints and damage to Lloyds Bank Group's reputation. Please see "Regulatory and Legal Risks – Lloyds Bank Group must comply with anti-money laundering, counter terrorist financing, anti-bribery and sanctions regulations, and a failure to prevent or detect any illegal or improper activities fully or on a timely basis could negatively impact customers and expose Lloyds Bank Group to liability".

In addition, the COVID-19 pandemic has resulted in heightened operational risk as Lloyds Bank Group responds to the pandemic, including in the areas of cyber, fraud, people, technology and operational resilience. Cyber criminals continue to exploit COVID-19, seeking to mislead customers and colleagues. The impact of COVID-19 has required the reprioritising of planned activities and provided a challenge on colleagues' ability to absorb increased workloads, whilst adapting to new ways of working. As a result, there has been heightened focus on colleague wellbeing and resilience. There has also been significant levels of stress on supplier business models and the possibility of multiple supplier failures. Despite anticipated heightened operational risks, the volume of operational loss events in 2020 remained broadly consistent with previous years. As with other businesses, how Lloyds Bank Group is perceived to have supported its clients, employees and suppliers through the challenges presented by the COVID-19 pandemic could have a material effect on its reputation.

2 Lloyds Bank Group is exposed to conduct risk

Lloyds Bank Group is exposed to various forms of conduct risk in its operations. Conduct risk is the risk of customer detriment across the customer lifecycle including: failures in product management, distribution and servicing activities; from other risks materialising, or other activities which could undermine the integrity of the market or distort competition, leading to unfair customer outcomes, regulatory censure, or reputational damage or financial loss. Such risks are inherent in banking services. Forms of conduct risk include business and strategic planning that does not sufficiently consider customer need (leading to products being offered beyond target markets and mis-selling of financial products), ineffective management and monitoring of products and their distribution (which could result in customers receiving unfair outcomes), customer communications that are unclear, unfair, misleading or untimely (which could impact customer decision-making and result in customers receiving unfair outcomes), a culture that is not sufficiently customer-centric (potentially driving improper decision-making and unfair

Risk Factors

outcomes for customers), outsourcing of customer service and product delivery via third parties that do not have the same level of control, oversight and customer-centric culture as Lloyds Bank Group (which could result in potentially unfair or inconsistent customer outcomes), the possibility of alleged mis-selling of financial products (which could require amendments to sales processes, withdrawal of products or the provision of restitution to affected customers, all of which may require additional provisions in Lloyds Bank Group’s financial accounts), ineffective management of customer complaints or claims (which could result in customers receiving unfair outcomes), ineffective processes or procedures to support customers, including those in potentially vulnerable circumstances (which could result in customers receiving unfair outcomes or treatments which do not support their needs), and poor governance of colleagues’ incentives and rewards and approval of schemes which drive unfair customer outcomes. Ineffective management and oversight of legacy conduct issues can also result in customers who are undergoing remediation being unfairly treated and therefore further rectification being required.

Lloyds Bank Group is also exposed to the risk of engaging in, or failing to manage, conduct which could constitute market abuse, undermine the integrity of a market in which it is active, distort competition or create conflicts of interest. Each of these risks can lead to regulatory censure, reputational damage, regulatory intervention/enforcement, the imposition of lengthy remedial redress programmes and financial penalties or other loss for Lloyds Bank Group, all of which could have a material adverse effect on its results of operations, financial condition or prospects.

3 Lloyds Bank Group’s business is subject to risks related to cybercrime

Lloyds Bank Group holds personal data on its systems aligned to product and services delivered to customers. Protection is delivered in accordance with data protection legislation, including the General Data Protection Regulation, Data Protection Act 2018 and the Private and Electronic Communication Regulation.

In certain international locations, there are additional regulatory requirements that must be followed for business conducted in that jurisdiction. In the U.S., for example, the Company’s U.S. entity is required to formally attest that it complies with specific cyber security requirements put forth by the New York State Department of Financial Services in Part 500 of Title 23 of the Official Compilation of Codes, Rules and Regulations of the State of New York.

Lloyds Bank Group’s IT infrastructure, and that of third parties on whom it relies, may be vulnerable to cyber-attacks, malware, denial of services, unauthorised access and other events that have a security impact. Such an event may impact the confidentiality or integrity of Lloyds Bank Group’s or its clients’, employees’ or counterparties’ information or the availability of services to customers. As a result of such an event or a failure in Lloyds Bank Group’s cyber security policies, Lloyds Bank Group could experience material financial loss, loss of competitive position, regulatory actions, breach of client contracts, reputational harm or legal liability, which, in turn, could have a material adverse effect on its results of operations, financial condition or prospects. Lloyds Bank Group may be required to spend additional resources to modify its protective measures or to investigate and remediate vulnerabilities or other exposures, and it may be subject to litigation and financial losses that are either not insured against fully or not fully covered through any insurance that it maintains. Lloyds Bank Group is committed to continued participation in industry-wide activity relating to cyber risk. This includes working with relevant regulatory and government departments to evaluate the approach Lloyds Bank Group is taking to mitigate this risk and sharing relevant information across the financial services sector.

4 Lloyds Bank Group is subject to the emerging risks associated with climate change

The risks associated with climate change are coming under an increasing focus, both in the UK and internationally, from governments, regulators and large sections of society. These risks include: physical risks, arising from climate and weather-related events of increasing severity and/or frequency; transition risks resulting from the process of adjustment towards a lower carbon economy (including stranded,

Risk Factors

redundant or prohibited assets); and liability risks arising from Lloyds Bank Group or clients experiencing litigation or reputational damage as a result of sustainability issues.

Physical risks from climate change arise from a number of factors and relate to specific weather events and longer term shifts in the climate. The nature and timing of extreme weather events are uncertain but they are increasing in frequency and their impact on the economy is predicted to be more acute in the future. The potential impact on the economy includes, but is not limited to, lower GDP growth, higher unemployment and significant changes in asset prices and profitability of industries. The physical risks could also lead to the disruption of business activity at clients' locations. In addition, Lloyds Bank Group's premises and resilience may also suffer physical damage due to weather events leading to increased costs for Lloyds Bank Group.

The move towards a low-carbon economy will also create transition risks, due to potential significant and rapid developments in the expectations of policymakers, regulators and society resulting in policy, regulatory and technological changes which could impact Lloyds Bank Group. These risks may cause the impairment of asset values, impact the creditworthiness of clients of Lloyds Bank Group, and impact defaults among retail customers (including through the ability of customers to repay their mortgages, as well as the impact on the value of the underlying property), which could result in currently profitable business deteriorating over the term of agreed facilities.

In 2020, Lloyds Banking Group announced an ambitious goal to work with customers, government and the market to help reduce the emissions Lloyds Banking Group finances by more than 50 per cent. by 2030 on the path to net zero greenhouse gas emissions by 2050 or sooner, supporting both the UK Government's ambition and the 2015 Paris Agreement. Achieving this goal will require, among other things: customers and clients to transition to a low carbon economy; governments to introduce new policies, incentives and to invest in infrastructure; new market developments; and technological advancements. If these changes, most of which are out of Lloyds Banking Group's control, do not occur, Lloyds Banking Group (of which Lloyds Bank Group forms a large part) may have difficulty achieving its targets. Furthermore, in order to reach its targets, Lloyds Banking Group will need to further develop sustainable finance products and may be required to alter its business model. In April 2021, the Lloyds Banking Group joined, as a founding member, the Net Zero Banking Alliance, committing to aligning its lending portfolios with net-zero emissions by 2050.

If Lloyds Bank Group does not adequately embed the risks associated with climate change identified above into its risk framework to appropriately measure, manage and disclose the various financial and operational risks it faces as a result of climate change, or fails to adapt its strategy and business model to the changing regulatory requirements and market expectations on a timely basis, this could have an adverse impact on Lloyds Bank Group's results of operations, financial condition and prospects. Furthermore, inadequate climate risk disclosure could result in the loss of Lloyds Banking Group's investor base as it will not be perceived to be a green investment. Implications of inadequately managing or disclosing climate-related risk or evidencing progress in line with expectations could also result in potential reputational damage, customer attrition or loss of investor confidence.

5 Lloyds Bank Group's businesses are conducted in competitive environments, with increased competition scrutiny, and Lloyds Bank Group's financial performance depends upon management's ability to respond effectively to competitive pressures and scrutiny

The markets for UK financial services, and the other markets within which Lloyds Bank Group operates, are competitive, and management expects such competition to continue or intensify. This expectation is due to competitor behaviour, new entrants to the market (including a number of new retail banks as well as non-traditional financial services providers), consumer demand, technological changes such as the growth of digital banking, and the impact of regulatory actions and other factors. Lloyds Bank Group's financial performance and its ability to maintain existing or capture additional market share depends significantly upon the competitive environment and management's response thereto.

Risk Factors

The competitive environment can be, and is, influenced by intervention by the UK Government competition authorities and/or European regulatory bodies and/or governments of other countries in which Lloyds Bank Group operates, including in response to any perceived lack of competition within these markets. This may significantly impact the competitive position of Lloyds Bank Group relative to its international competitors, which may be subject to different forms of government intervention.

The Competition and Markets Authority (the "CMA") launched a full market investigation into competition in the SME banking and personal current account ("PCA") markets in November 2014 and published its final report on 9 August 2016, followed by the Retail Banking Market Investigation Order 2017 on 2 February 2017. The key final remedies include: the introduction of "Open Banking", the publication of service quality information and customer information prompts. Recommendations were also made regarding improvements to current account switching, monthly maximum charges for PCA overdraft users, overdraft notifications and additional measures to assist small business in comparing the different products available. The FCA has also undertaken market reviews in each of the major retail product markets and introduced remedies to help customers compare products and switch between products and product providers.

Additionally, the internet and mobile technologies are changing customer behaviour and the competitive environment. There has been a steep rise in customer use of mobile banking over the last several years. Lloyds Bank Group faces competition from established providers of financial services as well as from banking business developed by non-financial companies, including technology companies with strong brand recognition.

As a result of any restructuring or evolution in the market, there may emerge one or more new viable competitors in the UK banking market or a material strengthening of one or more of Lloyds Bank Group's existing competitors in that market. Any of these factors or a combination thereof could result in a significant reduction in the profit of Lloyds Bank Group.

6 Lloyds Bank Group could fail to attract or retain senior management or other key employees

Lloyds Bank Group's success depends on its ability to attract, retain and develop high calibre talent. If Lloyds Bank Group was to unexpectedly lose a member of its key management or fail to maintain one of the strategic relationships of its key management team, its business and results of operations could be materially adversely affected.

In addition, Lloyds Bank Group also relies upon the services of other third-party providers for certain services and it may exercise limited control over the activities and business practices of these providers and any inability on Lloyds Bank Group's part to maintain satisfactory commercial relationships with them or their failure to provide quality services could adversely affect Lloyds Bank Group's business.

Attracting additional and retaining existing skilled personnel is fundamental to the continued growth of Lloyds Bank Group's business. Personnel costs, including salaries, are increasing as the general level of prices and the standard of living increases in the countries in which Lloyds Bank Group does business and as industry-wide demand for suitably qualified personnel increases. No assurance can be given that Lloyds Bank Group will successfully attract new personnel or retain existing personnel required to continue to expand its business and to successfully execute and implement its business strategy. In addition, the uncertainty resulting from the UK's exit from the EU on foreign nationals' long-term residency permissions in the UK may make it challenging for Lloyds Bank Group to retain and recruit colleagues with relevant skills and experience.

7 Lloyds Bank Group may fail to execute its ongoing strategic change initiatives, and the expected benefits of such initiatives may not be achieved on time or as planned

In order to maintain and enhance Lloyds Bank Group's strategic position, it continues to invest in new initiatives and programmes. Lloyds Bank Group acknowledges the challenges faced with delivering these

Risk Factors

initiatives and programmes alongside the extensive agenda of regulatory and legal changes whilst safely operating existing systems and controls.

The successful completion of these programmes and Lloyds Bank Group’s other strategic initiatives requires complex judgements, including forecasts of economic conditions in various parts of the world, and can be subject to significant risks. For example, Lloyds Bank Group’s ability to execute its strategic initiatives successfully may be adversely impacted by a significant global macroeconomic downturn, legacy issues, limitations in its management or operational capacity and capability or significant and unexpected regulatory change in countries in which it operates.

Failure to execute Lloyds Bank Group’s strategic initiatives successfully could have an adverse effect on Lloyds Bank Group’s ability to achieve the stated targets and other expected benefits of these initiatives, and there is also a risk that the costs associated with implementing such initiatives may be higher than expected or benefits may be lesser than expected. Both of these factors could materially adversely impact Lloyds Bank Group’s results of operations, financial condition or prospects.

8 Lloyds Bank Group may be unable to fully capture the expected value from acquisitions, which could materially and adversely affect its results of operations, financial condition or prospects

Lloyds Bank Group may from time to time undertake acquisitions as part of its growth strategy, which could subject it to a number of risks, such as: (i) the rationale and assumptions underlying the business plans supporting the valuation of a target business may prove inaccurate, in particular with respect to synergies and expected commercial demand; (ii) Lloyds Bank Group may fail to successfully integrate any acquired business, including its technologies, products and personnel; (iii) Lloyds Bank Group may fail to retain key employees, customers and suppliers of any acquired business; (iv) Lloyds Bank Group may be required or wish to terminate pre-existing contractual relationships, which could prove costly and/or be executed at unfavourable terms and conditions; (v) Lloyds Bank Group may fail to discover certain contingent or undisclosed liabilities in businesses that it acquires, or its due diligence to discover any such liabilities may be inadequate; and (vi) it may be necessary to obtain regulatory and other approvals in connection with certain acquisitions and there can be no assurance that such approvals will be obtained and even if granted, that there will be no burdensome conditions attached to such approvals, all of which could materially and adversely affect Lloyds Bank Group’s results of operations, financial conditions or prospects.

9 Lloyds Bank Group could be exposed to industrial action and increased labour costs resulting from a lack of agreement with trade unions

Within Lloyds Bank Group, there are currently two recognised unions for the purposes of collective bargaining. Combined, these collective bargaining arrangements apply to around 95 per cent. of Lloyds Bank Group’s total workforce.

Where Lloyds Bank Group or its employees or their unions seek to change any of their contractual terms, a consultation and negotiation process is undertaken. Such a process could potentially lead to increased labour costs or, in the event that any such negotiations were to be unsuccessful and result in formal industrial action, Lloyds Bank Group could experience a work stoppage that could materially adversely impact its business, financial condition and results of operations.

10 Lloyds Bank Group’s financial statements are based, in part, on assumptions and estimates

The preparation of Lloyds Bank Group’s financial statements requires management to make judgements, estimates and assumptions that affect the reported amounts of assets, liabilities, income and expenses. Due to the inherent uncertainty in making estimates, actual results reported in future periods may be based upon amounts which differ from those estimates. Estimates, judgements and assumptions are continually evaluated and are based on historical experience and other factors, including expectations of future events

Risk Factors

that are believed to be reasonable under the circumstances. Revisions to accounting estimates are recognised in the period in which the estimate is revised and in any future periods affected.

Lloyds Bank Group and the Bank’s financial statements are prepared using judgements, estimates and assumptions based on information available at the reporting date. If one or more of these judgements, estimates and assumptions is subsequently revised as a result of new factors or circumstances emerging, there could be a material adverse effect on the Bank and/or Lloyds Bank Group’s results of operations, financial condition or prospects and a corresponding impact on its funding requirements and capital ratios.

Risks related to the structure of a particular issue of Notes

1 Notes issued at a substantial discount or premium

The market values of Notes issued at a substantial discount or premium to their nominal amount tend to fluctuate more in relation to general changes in interest rates than do prices for conventional interest bearing Notes. Generally, the longer the remaining term of the Notes, the greater the price volatility as compared to conventional interest-bearing Notes with comparable maturities.

2 Notes subject to optional redemption by the Bank

If the applicable Final Terms for Notes of any Series specify that the Bank has an option to redeem such Notes, the Bank may opt to redeem all, or (if specified in the applicable Final Terms) some only, of such Notes at the price set out in the applicable Final Terms together with any outstanding interest.

If the Notes are to be so redeemed or there is a perception that the Notes may be so redeemed, this may impact the market price of the Notes. During any period when the Bank may elect to redeem Notes, or during any period in which there is an actual or perceived increase in the likelihood that the Bank may elect to redeem the Notes in the future, the market value of those Notes generally will not rise substantially above the price at which they can be redeemed. This also may be true prior to any redemption period.

The Bank may be expected to redeem Notes when its cost of borrowing is lower than the interest rate on the Notes. At those times, an investor generally would not be able to reinvest the redemption proceeds at an effective interest rate as high as the interest rate on the Notes being redeemed and may only be able to do so at a significantly lower rate. Potential investors should consider reinvestment risk in light of other investments available at that time.

3 Notes subject to automatic redemption

The Bank may issue Notes where the relevant Final Terms may provide that the Bank may, or will automatically redeem the Notes prior to their Maturity Date if a specified event occurs. Such specified event may relate to the level, price, value or performance of one or more Reference Items and/or such factor as compared to a specified level, price, value, barrier, threshold, trigger or other factor, as specified in the relevant Final Terms. The proceeds of any such redemption received by Noteholders in such circumstances may be lower than the Issue Price for the Notes paid by the Noteholder and may be zero. As a consequence, upon such redemption, the Noteholder may not receive the total amount of the capital invested. In addition, investors that choose to reinvest monies they receive on any such redemption that occurs prior to the scheduled Maturity Date may be able to do so only in securities with a lower yield than the redeemed Notes. Such automatic redemption may affect the return on, and the market value of, the Notes.

In addition, the Bank may issue Notes where the relevant Final Terms provide that the Notes will be automatically redeemed prior to their Maturity Date if the total amount of interest paid during the life of the Notes reaches a certain level, as specified in the relevant Final Terms. As a consequence, the amount of interest that investors may receive on such Notes is capped. Investors that choose to reinvest monies they receive on any such redemption may be able to do so only in securities with a lower yield than the redeemed Notes. Such automatic redemption may affect the return on, and the market value of, the Notes.

Risk Factors

4 Time lag before settlement

In the case of Notes which the Bank is required to redeem prior to their scheduled Maturity Date at the option of the Noteholder, there will be a time lag between the time a Noteholder gives the instruction to redeem and the time the relevant Final Redemption Amount is determined by the Calculation Agent.

Such time lag could be significantly longer, however, particularly in the case of a delay in the redemption of Notes arising from any daily maximum exercise limitation or the occurrence of a Disrupted Day or a Market Disruption Event (if applicable), or following the imposition of any exchange controls or similar regulations affecting the ability to obtain or exchange any relevant currency (or basket of currencies). The applicable Final Redemption Amount may change significantly during any such period.

5 General risks and risks relating to Reference Item(s)

A Series of Notes may involve a high degree of risk, which may include, among others, interest, inflation and foreign exchange rate(s), time value and political risks. Prospective purchasers of Notes should recognise that their Notes, other than any Notes having a minimum redemption value, as the case may be, may be worthless on redemption. Purchasers should be prepared to sustain a total loss of their investment in the Notes, except, if so indicated in the relevant Final Terms, to the extent of any minimum redemption value, as the case may be, that is attributable to such Notes. This risk reflects the nature of a Note as an asset which, other factors held constant, tends to decline in value over time and which may become worthless when it is redeemed (except to the extent of any minimum redemption value, as the case may be). See "Certain factors affecting the value and trading price of Notes". Prospective purchasers of Notes should be experienced with respect to options and option transactions, should understand the risks of transactions involving the relevant Notes and the relevant Reference Item(s) and should reach an investment decision only after careful consideration, with their advisers, of the suitability of such Notes in light of their particular financial circumstances, the information set forth herein and the information regarding the relevant Notes and the particular Reference Item(s) (if any) to which the value of the relevant Notes may relate, as specified in the relevant Final Terms.

The risk of the loss of some or all of the purchase price of a Note upon maturity or redemption, as the case may be, means that, in order to recover and realise a return upon his or her investment, a purchaser of a Note must generally be correct about the direction, timing and magnitude of an anticipated change in the value of the relevant Reference Item(s) (if any) specified in the relevant Final Terms. Assuming all other factors are held constant, the more a Note is "out-of-the-money" and the shorter its remaining term to redemption the greater the risk that purchasers of such Notes will lose all or part of their investment. The only means through which a Noteholder can realise value from the Note prior to the Maturity Date in relation to such Note (other than, for the avoidance of doubt, any interest that may be payable) is to sell it at its then market price in an available secondary market. See "Risks related to the market generally - Possible illiquidity of the Notes in the secondary market". The Bank makes no representation as to the existence of a secondary market for the Notes. The market value can be expected to fluctuate significantly and investors should be prepared to assume the market risks associated with these Notes.

Fluctuations in the value of the relevant index or basket of indices will affect the value of Index Linked Notes and Inflation Linked Notes linked to an Inflation Index. Fluctuations in the price of the relevant currencies or value of the basket of currencies will affect the value of Currency Linked Notes. Fluctuations in inflation and interest rates will affect the value of Inflation Linked Notes. Fluctuations in interest rates will affect the value of Rate Linked Notes. Purchasers of Notes risk losing their entire investment if the value of the relevant Reference Item does not move in the anticipated direction. The Bank may issue several issues of Notes relating to various reference indices, equities, currencies, underlying rates or combinations thereof as specified in the relevant Final Terms. However, no assurance can be given that the Bank will issue any Notes other than the Notes to which the particular Final Terms relate. At any given time, the number of Notes outstanding may be substantial. Notes provide opportunities for investment and pose risks to investors as a result of fluctuations in the value of the Reference Item. Notes on currencies

Risk Factors

are priced primarily on the basis of the value of underlying securities, whilst Index Linked Notes and Inflation Linked Notes are priced primarily on the basis of present and expected values of the reference index (or basket of indices) specified in the relevant Final Terms.

6 Certain factors affecting the value and trading price of Notes

The difference between the trading price and the Final Redemption Amount will reflect, among other things, the "time value" of the Notes. The "time value" of the Notes will depend partly upon the length of the period remaining to redemption and expectations concerning the value of the reference equity or currency (or basket of shares or currencies), index (or basket of indices) or other basis of reference (if any) as specified in the relevant Final Terms. Notes offer hedging and investment diversification opportunities, but also pose some additional risks with regard to interim value. The interim value of the Notes varies with the price level of the Reference Item(s) as specified in the relevant Final Terms, as well as due to a number of other interrelated factors, including those specified herein.

Before selling Notes, Noteholders should carefully consider, among other things, (A) the trading price of the Notes, (B) the value and volatility of the Reference Item(s) (if any) as specified in the relevant Final Terms, (C) the time remaining to redemption, (D) the probable range of Final Redemption Amounts, (E) any change(s) in interim interest rates and dividend yields (if applicable), (F) any change(s) in currency exchange rates, (G) the depth of the market or liquidity of the Reference Item(s) as specified in the relevant Final Terms and (H) any related transaction costs.

Risks related to Notes generally

1 Notes are obligations of the Bank only

The Notes are obligations of the Bank only and are not guaranteed by any other entity and accordingly the holders of Notes have recourse in respect thereof only to the Bank.

2 Notes are unsecured obligations

All Notes will represent direct, unconditional, unsecured and unsubordinated obligations of the Bank and of no other person. All Notes will rank without any preference among themselves and (save to the extent that laws affecting creditors' rights generally in a bankruptcy or winding-up may give preference to any of such other obligations) equally with all other unsecured and unsubordinated obligations of the Bank.

3 Substitution of the Bank

Base General Condition 12(c) (Substitution of the Bank) permits the Bank to substitute for the Bank another company subject as provided in Base General Condition 12(c) (Substitution of the Bank) without the consent of Noteholders. Base General Condition 12(c) (Substitution of the Bank) provides that no guarantee of the Bank is necessary if the Substitute is its holding company. Accordingly, if the Bank is substituted with its holding company, Noteholders will only have recourse to the holding company and no other entity guaranteeing its obligations.

4 Redemption due to illegality or change in law

If the Bank determines in good faith in accordance with Base General Condition 7(d) (Redemption for Illegality or Change in Law) that either (i) it has become or will become unlawful, illegal, or otherwise prohibited in whole or in part or (ii) the Bank will incur a materially increased cost (including, without limitation, due to any increase in tax liability, decrease in tax benefit or other adverse effect on the tax position of the Bank and/or any of its Affiliates) in performing its obligations under the Notes or in holding, acquiring or disposing of any arrangement made to hedge its positions under the Notes, whether under any applicable present or future law, rule, regulation, judgment, order or directive of any governmental, administrative, legislative or judicial authority or power (but, if not having the force of law, only if compliance with it is in accordance with the general practice of persons to whom it is intended to

Risk Factors

apply), or in the interpretation thereof (an “Illegality”), the Bank may redeem such Notes. If the Bank redeems the Notes, then the Bank will, if and to the extent permitted by applicable law, pay an amount to each Noteholder in respect of each Note equal to the Early Redemption Amount, which amount shall be adjusted to account fully for any Unwind Costs, if specified as applicable in the relevant Final Terms, notwithstanding such unlawfulness, illegality or other prohibition.

5 Redemption due to taxation

If at any time a payment of principal or interest in respect of the Notes was to be due (whether or not the same is in fact then due), and the Bank would, for reasons outside its control, be unable, after making reasonable endeavours, to make such payment of principal or interest without having to pay additional amounts as provided or referred to in Base General Condition 9(a) (Taxation), the Bank may, at its option, redeem the Notes.

If the Bank redeems the Notes for taxation reasons, then the Bank will pay an amount to each Noteholder in respect of each Note equal to the Early Redemption Amount, which amount shall be adjusted to account fully for any Unwind Costs, if specified as applicable in the relevant Final Terms.

6 Noteholder Meetings

The Conditions contain provisions for calling meetings of Noteholders to consider matters affecting their interests generally. These provisions permit defined majorities to bind all Noteholders including Noteholders who did not attend and vote at the relevant meeting and Noteholders who voted in a manner contrary to the majority.

7 Change of law

The Conditions are based on English law in effect as at the date of issue of the relevant Notes. No assurance can be given as to the impact of any possible judicial decision or change to English law or administrative practice after the date of issue of the relevant Notes.

8 Expenses and taxes

If Expenses are specified as applicable in the relevant Final Terms, a holder of Notes must pay all Expenses relating to the Notes. As used in the Base General Conditions, “Expenses” means all taxes, duties and/or expenses, including any applicable depository charges, transaction, exercise or redemption charges, trading costs, stamp duty, stamp duty reserve tax, issue, registration, securities transfer and/or taxes or duties arising in connection with the exercise or redemption, as the case may be, of the Notes provided that a Noteholder’s obligation to pay any taxes or duties described above shall be satisfied to the extent that the Early Redemption Amount already takes into account such amounts.

The Bank will not be liable for, or otherwise obliged to pay, any tax, duty or other payment which may arise as a result of the ownership, transfer, exercise, redemption or enforcement of any Note by any person and all payments and/or deliveries made by the Bank will be made subject to any such tax, duty, withholding or other payment which may be required to be made, paid, withheld or deducted (whether by operation of law or agreement of the Bank and its agents).

As described fully in Base General Condition 9(a) (Taxation), where payments of principal and/or interest in respect of a Note, Receipt or Coupon are subject to deduction for or on account of withholding taxes imposed by the United Kingdom, the Bank will (subject to certain limitations and exceptions) pay such additional amounts as may be necessary in order that the net amounts of principal and/or interest received by the Noteholders after the deduction shall equal the respective amounts which would have been receivable in the absence of such deduction.

9 Potential U.S. Foreign Account Tax Compliance Act withholding

Risk Factors

Pursuant to certain provisions of U.S. law, commonly known as FATCA, withholding may be required on, among other things, (i) certain payments made by “foreign financial institutions” (“foreign passthru payments”), (ii) dividend equivalent payments (as described below in “Potential U.S. withholding on Dividend Equivalent Payments”) and (iii) payments of gross proceeds from the disposition of securities that generate dividend equivalent payments, in each case, to persons that fail to meet certain certification, reporting, or related requirements. The Bank is a foreign financial institution for these purposes. A number of jurisdictions (including the United Kingdom) have entered into, or have agreed in substance to, intergovernmental agreements with the United States to implement FATCA (“IGAs”), which modify the way in which FATCA applies in their jurisdictions.

Certain aspects of the application of FATCA to instruments such as the Notes, including whether withholding would ever be required pursuant to FATCA or an IGA with respect to foreign passthru payments, are uncertain and may be subject to change. Proposed Treasury regulations have been issued that provide for (i) the repeal of the 30 per cent. withholding tax applicable to payments of gross proceeds from the sale or other taxable disposition of Notes that generate dividend equivalent payments and (ii) the extension of the date on which withholding applies to foreign passthru payments to the date that is two years after the date of publication in the Federal Register of applicable final regulations defining foreign passthru payments. In the preamble to the proposed regulations, the U.S. Treasury Department indicated that taxpayers may rely on these proposed regulations until the issuance of final regulations. Additionally, Notes that are not treated as equity for U.S. federal income tax purposes and that have a defined term generally would be “grandfathered” for purposes of FATCA withholding (i) in respect of foreign passthru payments, if issued on or prior to the date that is six months after the date on which final regulations defining “foreign passthru payments” are filed with the U.S. Federal Register, and (ii) in respect of dividend equivalent payments and payments of gross proceeds on Notes that generate dividend equivalent payments, if issued on or prior to the date that is six months after the date on which Notes of its type are first treated as giving rise to dividend equivalent payments, in each case, unless the Note is materially modified after the relevant grandfathering date (including by reason of a substitution of the Bank). However, if additional notes (as described under “Terms and Conditions of the Notes – Further Issues”) that are not distinguishable from grandfathered Notes are issued after the expiration of the grandfathering period and are subject to withholding under FATCA, then withholding agents may treat all Notes, including grandfathered Notes, as subject to withholding under FATCA.

In the event any withholding would be required pursuant to FATCA or an IGA with respect to payments on the Notes, no person will be required to pay additional amounts as a result of the withholding. Prospective Noteholders should consult their own tax advisers regarding how these rules may apply to their investment in the Notes.

10 Potential U.S. withholding on Dividend Equivalent Payments

Under Section 871(m) of the Code and the U.S. Treasury regulations thereunder (“Section 871(m)”), a “dividend equivalent” payment is treated as a dividend from sources within the United States and will be subject to U.S. withholding tax at a rate of 30 per cent. when paid to a non-U.S. person (unless a lower treaty rate on dividends is applicable). A “dividend equivalent” payment generally includes a payment (or deemed payment) that is contingent upon, or determined by reference to, the payment of a U.S.-source dividend under certain financial instruments. An instrument whose economic characteristics are sufficiently similar to those of an underlying or referenced U.S. security that pays U.S.-source dividends under tests provided in applicable U.S. Treasury regulations will generally be subject to the Section 871(m) regime (such an instrument, a “Specified ELI”). The tests applicable for determining whether an instrument is a Specified ELI will depend on the terms of the relevant instrument and the date on which the instrument is issued, and may be subject to redetermination in connection with certain modifications of the instrument. Similarly, if additional Notes of the same series are issued (or deemed issued for U.S. tax purposes, such as certain sales of Notes out of inventory) after the original issue date, the IRS could

Risk Factors

treat the issue date for determining whether the existing Notes are Specified ELIs as the date of such subsequent sale or issuance.

Pursuant to a U.S. Internal Revenue Service notice and U.S. Treasury regulations issued prior to the date of this Prospectus, Section 871(m) will not apply to certain financial instruments issued prior to 1 January 2021 if such financial instruments are not “delta one” transactions. In addition, the Section 871(m) regulations provide certain broadly applicable exceptions to characterisation as Specified ELIs, in particular for certain instruments linked to certain broad-based indices.

Withholding in respect of dividend equivalents will generally be required when cash payments are made under a Specified ELI to a non-U.S. person or upon the date of maturity, lapse or other disposition by the non-U.S. person of the Specified ELI. If the underlying or referenced U.S. security or securities are treated as paying dividends during the term of the Specified ELI, withholding generally will still be required even if the Specified ELI does not provide for payments explicitly linked to such dividends.

As discussed above, FATCA would impose withholding tax at a rate of 30 per cent. on any payments in respect of a Note that are treated as dividend equivalent payments when paid to persons that fail to meet certain certification, reporting, or related requirements. While a payment with respect to a Note could be subject to U.S. withholding under both FATCA and as a result of being treated as a dividend equivalent payment, the maximum rate of U.S. withholding on such payment would not exceed 30 per cent.

Upon the issuance of a series of Notes, the Bank will state in an attachment to the relevant Final Terms or on the Bank’s website if it has determined that the Notes are Specified ELI at the time such Notes are issued, in which case Noteholders should expect to be subject to withholding in respect of any dividend equivalent payments on such Notes. In the event that any withholding would be required pursuant to Section 871(m) with respect to payments on the Notes, no person will be required to pay any additional amounts with respect to amounts so withheld. Additionally, the Bank may withhold the full 30 per cent. tax on any payment on the Notes in respect of any dividend equivalent arising with respect to such Notes regardless of any exemption from, or reduction in, such withholding otherwise available under applicable law (including, for the avoidance of doubt, where a Noteholder is eligible for a reduced tax rate under an applicable tax treaty with the United States). A Noteholder may be able to claim a refund of any excess withholding provided the required information is timely furnished to the U.S. Internal Revenue Service. Prospective investors should consult their tax advisers regarding the consequences to them of the potential application of Section 871(m) to the Notes, including their ability to claim reductions in the amount of withholding, or refunds or credits in respect of amounts withheld, under an applicable tax treaty with the United States.

11 Information reporting obligations

Information relating to the Notes, their holders and beneficial owners may be required to be provided to tax authorities in certain circumstances pursuant to domestic or international reporting and transparency regimes. This may include (but is not limited to) information relating to the value of the Notes, amounts paid or credited with respect to the Notes, details of the holders or beneficial owners of the Notes and information and documents in connection with transactions relating to the Notes. In certain circumstances, the information obtained by a tax authority may be provided to tax authorities in other countries. Some jurisdictions operate a withholding system in place of, or in addition to, such provision of information requirements.

12 Emerging markets

Where the Notes relate to Reference Items which involve emerging market countries, investors should note that the risk of the occurrence and the severity of the consequences of the matters described herein may be greater than they would otherwise be in relation to more developed countries.

Risk Factors

Notes that are linked to Reference Items involving an emerging market should be considered speculative. Economies in emerging markets generally are heavily dependent upon international trade and, accordingly, may be affected adversely by trade barriers, foreign exchange controls (including taxes), managed adjustments in relative currency values and other protectionist measures imposed or negotiated by the countries with which they trade. These economies also may be affected adversely by their economic, financial, military and political conditions and the supply and demand for such currency in the global markets.

13 Notes where denominations involve integral multiples

In the case of Notes which have denominations consisting of a minimum Specified Denomination plus one or more higher integral multiples of another smaller amount, it is possible that Notes may be traded in amounts that are not integral multiples of such minimum Specified Denomination. In the case of bearer Notes, a Noteholder who, as a result of trading such amounts, holds a nominal amount of less than the minimum Specified Denomination will not receive a definitive Note in respect of such holding (should definitive Notes be printed) and would need to purchase a nominal amount of Notes such that it holds an amount equal to one or more Specified Denominations.

If definitive Notes are issued, holders should be aware that definitive Notes which have a denomination that is not an integral multiple of the minimum Specified Denomination may be illiquid and difficult to trade.

14 Early Redemption Amount

The Notes may be redeemed earlier than the date scheduled for redemption. If the Notes are redeemed early (other than pursuant to a Target Auto Redemption Note or Autocall feature), they will be redeemed at the applicable Early Redemption Amount, which will be the fair market value thereof as determined by the Bank, which amount in either case shall be adjusted to account fully for any Unwind Costs if specified as applicable in the relevant Final Terms. Such amount may be less than the nominal amount of such Note, and may not be sufficient such that if an investor were to reinvest such Early Redemption Amount it would, on the scheduled redemption date, be worth an amount equal to the nominal amount of such Note.

15 Over-issuance

As part of its issuing, market-making and/or trading arrangements, the Bank may issue more Notes than those which are to be subscribed or purchased by third party investors. The Bank (or any of its affiliates) may hold such Notes for the purpose of meeting any investor interest in the future. Prospective investors in the Notes should therefore not regard the issue size of any Series as indicative of the depth or liquidity of the market for such Series, or of the demand for such Series.

16 Noteholders' claims rank junior to those of depositors

If the Bank enters into an insolvent winding-up procedure, the administrator, liquidator or other insolvency practitioner would be expected to make distributions of the Bank's residual assets to its creditors in accordance with a statutory hierarchy or "order of priority".

17 Noteholders may be required to absorb losses in the event the Bank or the Company become subject to recovery and resolution action

See "Regulatory and Legal Risks – Lloyds Banking Group and its subsidiaries, including Lloyds Bank Group, are subject to regulatory actions which may be taken in the event of a bank or parent group failure"

Risks related to the market generally

Possible illiquidity of the Notes in the secondary market

Risk Factors

There can be no assurance as to how any Notes will trade in the secondary market or whether such market will be liquid or illiquid. Application has been made to list an issue of Notes on a stock exchange, as indicated in the relevant Final Terms. The fact that Notes will be listed does not necessarily lead to greater liquidity. No assurance can be given that there will be a market for any Notes. If any Notes are not traded on any stock exchange, pricing information for such Notes may be more difficult to obtain, and the liquidity and market prices of such Notes may be adversely affected. The liquidity of the Notes may also be affected by restrictions on offers and sales of Notes in some jurisdictions. Notes may be more difficult to obtain and the liquidity of the Notes may be adversely affected. Also, to the extent Notes of a particular issue are redeemed, the number of Notes of such issue outstanding will decrease, resulting in a diminished liquidity for the remaining Notes of such issue. A decrease in the liquidity of an issue of Notes may cause, in turn, an increase in the volatility associated with the price of such issue of Notes.

The Bank and any Dealer may, but is not obliged to, at any time purchase Notes at any price in the open market or by tender or private treaty. Any Notes so purchased may be held or resold or surrendered for cancellation. A Dealer may, but is not obliged to, be a market-maker for an issue of Notes. Even if a Dealer is a market-maker for an issue of Notes, the secondary market for such Notes may be limited. To the extent that an issue of Notes becomes illiquid, a Noteholder may have to await redemption of such Notes to realise value.

2 Exchange rate risks and exchange controls

The Bank will pay the Final Redemption Amount in respect of the Notes in the Specified Currency specified in the relevant Final Terms. This presents certain risks relating to currency conversions if a Noteholder's financial activities are denominated principally in a currency or currency unit (the "Investor's Currency") other than the Specified Currency. These include the risk that exchange rates may significantly change (including changes due to devaluation of the Specified Currency or revaluation of the Investor's Currency) and the risk that authorities with jurisdiction over the Investor's Currency may impose or modify exchange controls. An appreciation in the value of the Investor's Currency relative to the Specified Currency would decrease (i) the Investor's Currency-equivalent yield on the Notes, (ii) the Investor's Currency equivalent value of the Final Redemption Amount in respect of the Notes and (iii) the Investor's Currency equivalent market value of the Notes.

Government and monetary authorities may impose (as some have done in the past) exchange controls that could adversely affect an applicable exchange rate. As a result, the Final Redemption Amount that investors may receive may be less than expected or zero.

3 European Monetary Union

If the Notes are issued in a currency other than Euro but the relevant country (the "Acceding Country") of the principal financial centre of such currency (the "Acceding Currency") joins the EMU prior to the maturity of the Notes, there is no assurance that this would not adversely affect investors in the Notes. It is possible that prior to the maturity of the Notes the Acceding Country may become a participating Member State and that the Euro may become the lawful currency of the Acceding Country. In that event (i) all amounts payable in respect of any Notes denominated in the Acceding Currency may become payable in Euro, (ii) the law may allow or require such Notes to be re-denominated into Euro and additional measures to be taken in respect of such Notes, or the Bank may otherwise effect certain changes to the terms and conditions of the Notes on notice to Noteholders and (iii) there may no longer be available published or displayed rates for deposits in the Acceding Currency used to determine the rates of interest on such Notes or changes in the way those rates are calculated, quoted and published or displayed. The introduction of the Euro could also be accompanied by a volatile interest rate environment, which could adversely affect investors in the Notes.

4 Investors in Notes cleared through Euroclear and Clearstream, Luxembourg rely on the procedures of Euroclear and Clearstream, Luxembourg for transfer, payment and communication with the Bank

Risk Factors

Notes issued under the Programme may be represented by one or more Global Notes or Global Note Certificates. Such Global Notes or Global Note Certificates may be deposited with a common depositary or a common safekeeper, as the case may be, for Euroclear and Clearstream, Luxembourg. Except in the circumstances described in the relevant Global Note or Global Note Certificate, investors will not be entitled to receive definitive Notes or Note Certificates. Euroclear and Clearstream, Luxembourg will maintain records of the beneficial interests in the Global Notes or Global Note Certificates. While the Notes are represented by one or more Global Notes or Global Note Certificates, investors will be able to trade their beneficial interests only through Euroclear or Clearstream, Luxembourg.

While the Notes are represented by one or more Global Notes or Global Note Certificates, the Bank will discharge its payment obligations under the Notes by making payments to the common depositary or a common safekeeper, as the case may be, for Euroclear or Clearstream, Luxembourg for distribution to their account holders. A holder of a beneficial interest in a Global Note or Global Note Certificate must rely on the procedures of Euroclear and Clearstream, Luxembourg to receive payments under the relevant Notes. The Bank has no responsibility or liability for the records relating to, or payments made in respect of, beneficial interest in the Global Notes or Global Note Certificates.

Holders of beneficial interests in the Global Notes or Global Note Certificates will not have a direct right to vote in respect of the relevant Notes. Instead, such holders will be permitted to act only to the extent that they are enabled by Euroclear or Clearstream, Luxembourg to appoint appropriate proxies.

5 Credit ratings may not reflect all risks

One or more independent credit rating agencies may assign ratings to an issue of Notes. The ratings may not reflect the potential impact of all risks related to the structure, market, additional factors discussed above, and other factors that may affect the value of the Notes. A credit rating is not a recommendation to buy, sell or hold securities and may be revised or withdrawn by the rating agency at any time.

6 Effect of credit rating reduction

The value of the Notes is expected to be affected, in part, by investors' general appraisal of the Bank's creditworthiness. Such perceptions are generally influenced by the ratings accorded to the Bank's outstanding securities by standard statistical rating services, such as Moody's, S&P, and Fitch. A reduction in the rating, if any, accorded to outstanding debt securities of the Bank by one of these rating agencies could result in a reduction in the trading value of the Notes.

7 Determinations by the Calculation Agent

The Conditions provide that the Calculation Agent has discretion to make certain determinations and judgements in respect of the Notes and certain adjustments to the Conditions, which could affect the amount payable by the Bank on the Notes. Such determinations, judgements or adjustments shall, in the absence of manifest error, be conclusive and binding on Noteholders. In making any determination, judgement or adjustment, the Calculation Agent shall not have regard to any interests arising from circumstances particular to individual Noteholders (whatever their number) and, in particular but without limitation, shall not have regard to the consequences of any such determination or adjustment for individual Noteholders (whatever their number) resulting from their being for any purpose domiciled or resident in, or otherwise connected with, or subject to the jurisdiction of, any particular territory or any political sub-division thereof and the Calculation Agent shall not be entitled to require, nor shall any Noteholder be entitled to claim, from the Bank, the Calculation Agent or any other person any indemnification or payment in respect of any tax consequences of any such determination or adjustment upon individual Noteholders. In exercising its right to make such determinations, judgements and adjustments, the Calculation Agent is entitled to act in its sole and absolute discretion, but must act in good faith.

Risk Factors

8 Lloyds Bank Group’s businesses are subject to inherent risks concerning borrower and counterparty credit quality which have affected and may adversely impact the recoverability and value of assets on Lloyds Bank Group’s balance sheet

Lloyds Bank Group has exposures to many different products, counterparties, obligors and other contractual relationships and the credit quality of its exposures can have a significant impact on Lloyds Bank Group’s earnings. Credit risk exposures are categorised as either “retail” or “corporate” and reflect the risks inherent in Lloyds Bank Group’s lending and lending-related activities.

Adverse changes in the credit quality of Lloyds Bank Group’s UK and/or international borrowers and counterparties or collateral held in support of exposures, or in their behaviour or businesses, may reduce the value of Lloyds Bank Group’s assets and materially increase Lloyds Bank Group’s write-downs and allowances for impairment losses. Credit risk can be affected by a range of factors outside Lloyds Bank Group’s control, which include but are not limited to an adverse economic environment, reduced UK and global consumer and/or government spending and benefits, inflation, changes in the credit rating of individual counterparties, the debt levels of individual contractual counterparties, increased unemployment, reduced asset values, increased personal or corporate insolvency levels, falling stock and bond/other financial markets, reduced corporate profits, over-indebtedness, changes in interest rates or foreign exchange rates, counterparty challenges to the interpretation or validity of contractual arrangements, an increase in credit spreads, changes to insolvency regimes which make it harder to enforce against counterparties, changes in consumer and customer demands and requirements, negative reputational impact or direct campaigns which adversely impact customers, industries or sectors and any external factors of a political, legislative, environmental or regulatory nature, including changes in accounting rules and changes to tax legislation and rates.

Lloyds Bank Group’s credit exposure includes residential mortgage lending (in the UK and, to a lesser extent, the Netherlands) and commercial real estate lending, including lending secured against secondary and tertiary commercial assets in the UK. As a result, decreases in residential or commercial property values and/or increases in tenant defaults are likely to lead to higher impairment charges, which could materially affect Lloyds Bank Group’s results of operations, financial condition or prospects. Lloyds Bank Group’s retail customer portfolios will remain strongly linked to the UK economic environment, with house price deterioration, unemployment increases, inflationary pressures, consumer over-indebtedness and prolonged low or rising interest rates among the factors that may impact secured and unsecured retail credit exposures. Deterioration in used vehicle prices, including as a result of changing consumer demand, could result in increased provisions and/or losses and/or accelerated depreciation charges. Lloyds Bank Group also has significant credit exposure to certain individual counterparties in higher risk and cyclical asset classes and sectors (such as commercial real estate, financial intermediation, manufacturing, leveraged lending, oil and gas and related sectors, hotels, commodities trading, automotive and related sectors, construction, agriculture, consumer-related sectors (such as retail and leisure), housebuilders and outsourcing services).

Lloyds Bank Group’s corporate lending portfolio also contains substantial exposure to large and mid-sized, public and private companies. Exposures to sectors that have experienced cyclical weakness in recent years, coupled with a historic strategy of taking large single name concentrations to non-listed companies and entrepreneurs, and taking exposure at various levels of the capital structure, may give rise to (albeit reducing) single name and risk capital exposure. As in the UK, Lloyds Bank Group’s lending business overseas is also exposed to a small number of long-term customer relationships and these single name concentrations place Lloyds Bank Group at risk of loss should default occur. Any disruption to the

Risk Factors

liquidity or transparency of the financial markets may result in Lloyds Bank Group's inability to sell or syndicate securities, loans or other instruments or positions held (including through underwriting), thereby leading to concentrations in these positions. These concentrations could expose Lloyds Bank Group to losses if the mark-to-market value of the securities, loans or other instruments or positions declines causing Lloyds Bank Group to take write-downs. Moreover, the inability to reduce Lloyds Bank Group's positions not only increases the market and credit risks associated with such positions, but also increases the level of risk-weighted assets on Lloyds Bank Group's balance sheet, thereby increasing its capital requirements and funding costs, all of which could materially adversely affect Lloyds Bank Group's results of operations, financial condition or prospects. Lloyds Bank Group's corporate portfolios are also susceptible to "fallen angel" risk, that is, the probability of significant default increases following material unexpected events, resulting in the potential for large losses.

In addition, all lending decisions, and decisions related to other exposures (including, but not limited to, undrawn commitments, derivative, equity, contingent and/or settlement risks), are dependent on Lloyds Bank Group's assessment of each customer's ability to repay and the value of any underlying security. There is an inherent risk that Lloyds Bank Group has incorrectly assessed the credit quality and/or the ability or willingness of borrowers to repay, possibly as a result of incomplete or inaccurate disclosure by those borrowers or as a result of the inherent uncertainty that is involved in the exercise of constructing and using models to estimate the risk of lending to counterparties.

Additional risks associated with Notes that are linked to Reference Item(s)

1 Risks relating to Reference Item(s) generally

Reference Item Linked Notes involve a high degree of risk. Reference Item Linked Notes provide opportunities for investment and pose risks to investors as a result of fluctuations in the value of the Reference Item(s) to which such Reference Item Linked Notes relate.

Prospective investors in Reference Item Linked Notes should understand the risks of transactions involving Reference Item Linked Notes and should reach an investment decision only after careful consideration, with their advisers, of the suitability of such Reference Item Linked Notes in light of their particular financial circumstances, the information set forth herein and the information regarding the relevant Reference Item Linked Notes and the particular Reference Item(s) to which the value of, or payments in respect of, the relevant Reference Item Linked Notes may relate, as specified in the relevant Final Terms.

As the Interest Amounts or other amounts payable periodically and/or the Final Redemption Amount and/or (in the case of Autocall Notes) the timing of redemption may be linked to the performance of the relevant Reference Item(s), an investor in a Reference Item Linked Note must generally be knowledgeable as to, and take a view with respect to, the direction, timing and magnitude of an anticipated change in the value of the relevant Reference Item(s).

Where the relevant Final Terms specify one or more Reference Items, the relevant Reference Item Linked Notes will represent an investment linked to the economic performance of such Reference Item(s) and prospective investors should note that the return (if any) on their investment in Reference Item Linked Notes will depend upon the performance of such Reference Item(s). Potential investors should also note that, whilst the market value of such Reference Item Linked Notes is linked to such Reference Item(s) and will be influenced (positively or negatively) by such Reference Item(s), any change may not be comparable and may be disproportionate to the nominal amount or calculation amount of such Note, for example because of leveraging. It is impossible to predict how the level of the relevant Reference Item(s) will vary over time. In contrast to a direct investment in the relevant Reference Item(s), Reference Item Linked Notes represent the right to receive payment of the Final Redemption Amount, as well as periodic payments of interest (if specified in the relevant Final Terms), all or some of which may be determined by reference to the performance of the relevant Reference Item(s). The relevant Final Terms will set out the

Risk Factors

provisions for the determination of the Final Redemption Amount and/or any periodic payments and (in the case of Autocall Notes) for the relevant trigger for early redemption.

PROSPECTIVE INVESTORS MUST REVIEW THE RELEVANT FINAL TERMS TO ASCERTAIN WHAT THE RELEVANT REFERENCE ITEM(S) ARE AND TO SEE HOW THE FINAL REDEMPTION AMOUNT AND/OR ANY PERIODIC PAYMENTS OF INTEREST OR OTHERWISE ARE DETERMINED AND WHEN ANY SUCH AMOUNTS ARE PAYABLE AND/OR DELIVERABLE, AS THE CASE MAY BE, BEFORE MAKING ANY DECISION TO PURCHASE ANY REFERENCE ITEM LINKED NOTES.

Fluctuations in the value and/or volatility of the relevant Reference Item(s) may affect the value of the relevant Reference Item Linked Notes. Investors in Reference Item Linked Notes may risk losing their entire investment if the value of the relevant Reference Item(s) does not move in the anticipated direction.

There is no guaranteed minimum return on many Reference Item Linked Notes.

Other factors which may influence the market value of Reference Item Linked Notes include interest rates, potential dividend or interest payments (as applicable) in respect of the relevant Reference Item(s), changes in the method of calculating the level of the relevant Reference Item(s) from time to time and market expectations regarding the future performance of the relevant Reference Item(s), its composition and such Reference Item Linked Notes.

If any of the relevant Reference Item(s) is an index, the value of such Reference Item on any day will reflect the value of its constituents on such day. Changes in the composition of such Reference Item and factors (including those described above) which either affect or may affect the value of the constituents, will affect the value of such Reference Item and therefore may affect the return on an investment in Reference Item Linked Notes.

The Bank may issue several issues of Reference Item Linked Notes relating to particular Reference Item(s). However, no assurance can be given that the Bank will issue any Reference Item Linked Notes other than the Reference Item Linked Notes to which the relevant Final Terms relate. At any given time, the number of Reference Item Linked Notes outstanding may be substantial.

2 Certain considerations regarding hedging

Prospective purchasers intending to purchase Notes to hedge against the market risk associated with investing in any Reference Item(s), as may be specified in the relevant Final Terms, should recognise the complexities of utilising Notes in this manner. For example, the value of the Notes may not exactly correlate with the value of the relevant Reference Item(s). Due to fluctuating supply and demand for the Notes, there is no assurance that their value will correlate with movements of the relevant Reference Item(s). For these reasons, among others, it may not be possible to purchase or liquidate securities in a portfolio at the prices used to calculate the value of any relevant Reference Item(s).

In the case of Notes relating to a currency (or basket of currencies), the Bank and/or any of its Affiliates or agents may from time to time hedge the Bank's obligations under such Notes (and under other instruments and over-the-counter contracts issued by or entered into from time to time by the Bank or any of its Affiliates or agents relating to such securities) by taking positions, directly or indirectly, in such equity or currency (or basket of currencies). Although the Bank has no reason to believe that such hedging activities will have a material impact on the price of any equity or currency, there can be no assurance that such hedging activities will not adversely affect the value of the Notes.

The historical experience of the relevant Reference Item should not be viewed as an indication of the future performance of such Reference Item during the term of any Reference Item Linked Notes. Accordingly, each potential investor should consult its own financial and legal advisers about the risk entailed by an investment in any Reference Item Linked Notes and the suitability of such Notes in light of its particular circumstances.

Risk Factors

3 Disruption events and adjustment provisions

If an issue of Reference Item Linked Notes includes provisions dealing with the occurrence of disruption events and the Bank determines that, in relation to such Notes, a relevant date is a Disrupted Day, any consequential postponement or any alternative provisions for valuation provided in any Notes may have an adverse effect on the value of such Notes. If so specified in the relevant Final Terms, the postponement of a valuation date may result in the postponement of the day on which payment of interest and/or principal is made beyond the date scheduled for payment.

Where the Additional Disruption Asset Conditions are applicable, the Notes may be subject to adjustment or substitution of an affected Reference Item with an alternative Reference Item, or may be redeemed in the event of certain Additional Disruption Events occurring. Prospective investors should review the Conditions to ascertain whether and how such provisions apply to the Notes.

An investor in the Notes should ensure he fully understands the nature of the disruption events and possible consequences and fallbacks that could impact the Notes or any relevant Reference Item(s). The occurrence of any applicable disruption event may affect adversely the investors' investment schedule, timetable or plans with which the payment dates of the Notes are in connection.

4 Potential conflicts of interest

In the ordinary course of its business, including, without limitation, in connection with its market making activities, the Bank and/or any of its Affiliates may effect transactions for its own account or for the account of its customers and hold long or short positions in any Reference Item(s) or related derivatives. In addition, in connection with the offering of any Notes, the Bank and/or any of its Affiliates may enter into one or more hedging transactions with respect to any Reference Item(s) or related derivatives. In connection with such hedging or market-making activities or with respect to proprietary or other trading activities by the Bank and/or any of its Affiliates, the Bank and/or any of its Affiliates may enter into transactions in any Reference Item(s) or related derivatives which may affect the market price, liquidity or value of the relevant Notes and which could be deemed to be adverse to the interests of the relevant Noteholders.

Where the Bank acts as Calculation Agent or the Calculation Agent is an Affiliate of the Bank, potential conflicts of interest may exist between the Calculation Agent and the Noteholders, including with respect to certain determinations and judgements that the Calculation Agent may make pursuant to the Conditions that may influence the amount receivable upon settlement of the Notes.

The Bank and/or its Affiliates and/or any Dealer may at the date hereof or at any time hereafter be in possession of information in relation to one or more Reference Items that is or may be material in the context of an issue of Notes and may or may not be publicly available to Noteholders. There is no obligation on the Bank or any Dealer to disclose to Noteholders any such information, except for the Bank's obligations to disclose inside information, regulated information and significant new factors in relation to the information contained in this Prospectus under the Disclosure and Transparency Rules, Listing Rules and Prospectus Rules (as set out in the FCA Handbook).

The Bank and/or any of its Affiliates may have existing or future business relationships with any Reference Item or, if applicable, any of their subsidiaries or Affiliates or any other person or entity having obligations relating to any Reference Item (including, but not limited to, dealing, lending, depositary, risk management, advisory and banking relationships), and will pursue actions and take steps that they or it deems necessary or appropriate to protect their and/or its interests arising therefrom without regard to the consequences for a Noteholder, regardless of whether any such action might have an adverse effect (including, without limitation, any action which might constitute or give rise to any breach, event of default, credit event or termination event) on any Reference Item or any investor in Notes.

Risk Factors

5 Floating Rate Notes, Structured Rate Notes and Structured Redemption Notes referencing or linked to benchmarks

Benchmarks have, in recent years, been the subject of political and regulatory scrutiny as to how they are created and operated. This has resulted in regulatory reform and changes to existing benchmarks, with further changes anticipated. These reforms and changes may cause a benchmark to perform differently than it has done in the past or to be discontinued. Any change in the performance of a benchmark or its discontinuation could have a material adverse effect on any Notes referencing or linked to such benchmark, including possible adverse tax consequences for certain Noteholders.

Regulation (EU) 2016/1011 (the “EU Benchmarks Regulation”) applies, subject to certain transitional provisions, to the provision of benchmarks, the contribution of input data to a benchmark and the use of a benchmark within the EU. Regulation (EU) 2016/1011, as it forms part of domestic law by virtue of the EUWA (the “UK Benchmarks Regulation”), among other things, applies to the provision of benchmarks and the use of a benchmark in the UK. Similarly, it prohibits the use in the UK by UK supervised entities (such as the Bank) of benchmarks of administrators that are not authorised by the FCA or registered on the FCA register (or, if non-UK based, not deemed equivalent or recognised or endorsed). The EU Benchmarks Regulation and the UK Benchmarks Regulation, as applicable, could have a material impact on any Notes linked to or referencing a benchmark in particular, if the methodology or other terms of the benchmark are changed in order to comply with the requirements of the EU Benchmarks Regulation and/or the UK Benchmarks Regulation, as applicable. Such changes could, among other things, have the effect of reducing, increasing or otherwise affecting the volatility of the published rate or level of the relevant benchmark.

Any of the reforms, or the general increase in regulatory scrutiny of benchmarks, could increase the costs and risks of administering or participating in the setting of a benchmark and complying with any such regulations or requirements. Such factors may have the effect of discouraging market participants from continuing to administer or contribute to certain benchmarks, trigger changes in the rules or methodologies used in certain benchmarks or lead to the discontinuation or unavailability of quotes of certain benchmarks. Any changes to the administration of, or the methodology used to obtain, a benchmark or the emergence of alternatives to a benchmark as a result of these reforms may cause the relevant benchmark to perform differently than in the past or to be discontinued, or there could be other consequences which cannot be predicted. The potential discontinuation of a benchmark or changes to its administration could require changes to the way in which the Rate of Interest is calculated in respect of any Notes referencing or linked to a benchmark. The development of alternatives to a benchmark may result in Notes linked to or referencing the relevant benchmark performing differently than would otherwise have been the case if such alternatives to such benchmark had not developed. Any such consequence could have a material adverse effect on the value of, and return on, any Notes referencing or linked to a benchmark.

Furthermore, even prior to the implementation of any changes, uncertainty as to the nature of alternative reference rates and as to potential changes to such benchmark may adversely affect such benchmark during the term of the relevant Notes, the return on the relevant Notes and the trading market for securities based on the same benchmark.

In accordance with the Conditions, Notes which reference any affected benchmark may be subject to the adjustment of the interest provisions in certain circumstances. The circumstances which could trigger such adjustments are beyond the Bank’s control and the subsequent use of a replacement benchmark may result in changes to the Conditions (which could be extensive) and/or interest payments that are lower than or that do not otherwise correlate over time with the payments that could have been made on such Notes if the relevant benchmark remained available in its current form. Although pursuant to the Conditions, spread adjustments may be applied to such replacement benchmark (including with the intention of partially or wholly reducing or eliminating any economic prejudice or benefit (as applicable) to investors arising out of the replacement of the relevant benchmark), the application of such adjustments to the Notes

Risk Factors

may not achieve this objective. Any such changes may result in the Notes performing differently (which may include payment of a lower interest rate) than if the original benchmark continued to apply. There is no assurance that the characteristics of any replacement benchmark would be similar to the affected benchmark or that any replacement benchmark would produce the economic equivalent of the affected benchmark or would be a suitable replacement for the affected benchmark. The choice of replacement benchmark is uncertain and could result in the use of risk free rates (see “Risks related to the market generally – The market continues to develop in relation to risk-free rates (including overnight rates) as reference rates for Floating Rate Notes” below) and/or in the replacement benchmark being unavailable or indeterminable. In certain circumstances (including, without limitation, that mentioned in the preceding sentence), the ultimate fallback provisions may result in the effective application of a fixed rate of interest to Floating Rate Notes. Furthermore, if the Bank determines that it is not able to follow the prescribed steps set out in the Conditions, the relevant fallback provisions may not operate as intended at the relevant time. Any such consequence could have a material adverse effect on the trading markets for such Notes, the liquidity of such Notes and/or the value of and return on any such Notes. The Conditions may require the exercise of discretion by the Bank or an independent adviser, as the case may be, and the making of potentially subjective judgements (including as to the occurrence or not of any events which may trigger amendments to the Conditions) and/or the amendment of the Conditions without the consent of Holders. The interests of the Bank or the independent adviser, as applicable, in making such determinations or amendments may be adverse to the interests of the Noteholders. Moreover, any of the above matters or any other significant change to the setting or existence of any relevant reference rate could affect the ability of the Bank to meet its obligations under Notes linked to a benchmark or could have a material adverse effect on the market value or liquidity of, and the amount payable under such Notes. Investors should consider these matters when making their investment decision with respect to such Notes. Investors should also consult their own independent advisers and make their own assessment about the potential risks imposed by the possible cessation or reform of certain reference rates.

The market continues to develop in relation to risk-free rates (including overnight rates) as reference rates for Floating Rate Notes

Investors should be aware that the market continues to develop in relation to risk-free rates, such as the Sterling Overnight Index Average ("SONIA"), the Secured Overnight Financing Rate ("SOFR"), the euro short-term rate ("€STR") and the Swiss Average Rate Overnight ("SARON") as reference rates in the capital markets and their adoption as alternatives to the relevant interbank offered rates.

Furthermore, such risk-free rates have a limited performance history and the future performance of such risk-free rates is impossible to predict. As a consequence, no future performance of the relevant risk-free rate or Notes referencing such risk-free rate may be inferred from any of the hypothetical or actual historical performance data. In addition, investors should be aware that risk-free rates may behave materially differently to interbank offered rates as interest reference rates. For example, since publication of SOFR began, daily changes in SOFR have, on occasion, been more volatile than daily changes in comparable benchmarks or other market rates.

Market conventions for calculating the interest rate for bonds referencing risk-free rates continue to develop and market participants and relevant working groups are exploring alternative reference rates based on risk-free rates. For example, on 2 March 2020, the Federal Reserve Bank of New York, as administrator of SOFR, began publishing the SOFR Compounded Index and, on 3 August 2020, the Bank of England, as the administrator of SONIA, began publishing the SONIA Compounded Index. Accordingly, the specific formula for calculating the rate used in the Notes issued under this Prospectus may not be widely adopted by other market participants, if at all. The Bank may in the future also issue Notes referencing risk-free rates that differ material in terms of interest determination when compared with any previous Notes referencing risk-free rate rates issued by it. If the market adopts a different calculation method, that could adversely affect the market value of Notes issued pursuant to this Programme.

Risk Factors

In addition, the manner of adoption or application of risk-free rates in the bond markets may differ materially compared with the application and adoption of risk-free rates in other markets, such as the derivatives and loan markets. Investors should carefully consider how any mismatch between the adoption of such reference rates in the bond, loan and derivatives markets may impact any hedging or other financial arrangements which they may put in place in connection with any acquisition, holding or disposal of Notes referencing such risk-free rates.

Each risk-free rate is published and calculated by third parties based on data received from other sources and the Bank has no control over their respective determinations, calculations or publications. There can be no guarantee that the relevant risk-free rate (or the SOFR Compounded Index, SONIA Compounded Index or SARON Compounded Index) will not be discontinued or fundamentally altered in a manner that is materially adverse to the interests of investors in Notes linked to or which reference such a risk-free rate (or that any applicable benchmark fallback provisions provided for in the Base General Conditions will provide a rate which is economically equivalent for Noteholders). None of the Bank of England, the Federal Reserve, the SIX Financial Information AG or the European Central Bank has an obligation to consider the interests of Noteholders in calculating, adjusting, converting, revising or discontinuing the relevant risk-free rate (or the SOFR Compounded Index, SONIA Compounded Index or SARON Compounded Index). If the manner in which the relevant risk-free rate is calculated is changed, that change may result in a reduction of the amount of interest payable on such Notes and the trading prices of such Notes.

Interest on Notes which reference a risk-free rate is only capable of being determined immediately prior to the relevant Interest Payment Date. It may be difficult for investors in Notes which reference such risk-free rates to reliably estimate the amount of interest which will be payable on such Notes. Further, if the Notes become due and payable under Base General Condition 11 (Events of Default and Enforcement), or are otherwise redeemed early on a date which is not an Interest Payment Date, the Rate of Interest payable shall be determined on the date the Notes became due and payable and shall not be reset thereafter.

The use of risk-free rates as a reference rate for bonds is nascent, and may be subject to change and development, both in terms of the substance of the calculation and in the development and adoption of market infrastructure for the issuance and trading of bonds referencing such rates. Notes referencing risk-free rates may have no established trading market when issued, and an established trading market may never develop or may not be very liquid which, in turn, may reduce the trading price of the Notes or mean that investors in such Notes may not be able to sell such Notes at all or may not be able to sell such Notes at prices that will provide them with a yield comparable to similar investments that have a developed secondary market, and may consequently suffer from increased pricing volatility and market risk. Investors should consider these matters when making their investment decision with respect to any such Floating Rate Notes.

Additional risks associated with Notes that are linked to a particular Reference Item

1 Risks associated with Indices as Reference Items

An investment in Index Linked Notes entails significant risks in addition to those associated with investments in a conventional debt security.

(a) Factors affecting the performance of Indices may adversely affect the value of the Notes

Indices comprise a synthetic portfolio of shares or other assets and, as such, the performance of an Index is dependent upon the macroeconomic factors relating to the shares or other components that comprise such Index, which may include interest rates and price levels on the capital markets, currency developments, political factors and (in the case of shares) company-specific factors such as earnings position, market position, risk situation, shareholder structure and distribution policy.

Risk Factors

(b) Exposure to the risk that returns on the Notes do not reflect direct investment in underlying equities or other items comprising the Index

The return payable on Notes that reference Indices may not reflect the return an investor would realise if he or she actually owned the relevant items comprising the components of the Index. For example, if the components of the Indices are shares, Noteholders will not receive any dividends paid on those shares and will not participate in the return on those dividends unless the relevant Index takes such dividends into account for purposes of calculating the relevant level. Similarly, Noteholders will not have any voting rights in the underlying equities or any other assets which may comprise the components of the relevant Index. Accordingly, investors in Notes that reference Indices as Reference Items may receive a lower payment upon settlement or redemption of such Notes than such investor would have received if he or she had invested in the components of the Index directly.

The rules governing the composition and calculation of the relevant underlying Index might stipulate that dividends distributed on its components do not lead to a rise in the index level, for example, if it is a "price" index, which may lead to a decrease in the index level if all other circumstances remain the same. As a result, in such cases, the Noteholders of Notes in respect of which a Reference Item is such an Index will not participate in dividends or other distributions paid on the components comprising the Index. Even if the rules of the relevant underlying Index provide that distributed dividends or other distributions of the components are reinvested in the Index and therefore result in raising its level, in some circumstances, the dividends or other distributions may not be fully reinvested in such Index.

(d) A change in the composition or discontinuance of an Index could adversely affect the market value of the Notes

The sponsor of any Index can add, delete or substitute the components of such Index or make other methodological changes that could change the level of one or more components. The modification of components of any Index may affect the level of such Index, as a newly added component may perform significantly worse or better than the component it replaces, which in turn may affect the payments made by the Bank to the investors in the Notes. The sponsor of any such Index may also alter, discontinue or suspend calculation or dissemination of such Index. The sponsor of an Index will have no involvement in the offer and sale of the Notes and will have no obligation to any investor in such Notes. The sponsor of an Index may take any actions in respect of such Index without regard to the interests of the investor in the Notes, and any of these actions could adversely affect the market value of the Notes.

(e) Exposure to Index Modification, Index Cancellation, Index Disruption and Correction of Index Levels

The Calculation Agent or the Bank has broad discretion to make certain determinations and adjustments, to replace the original Reference Item with another and/or to cause early redemption of the Notes, any of which may be adverse to Noteholders in connection with Index Modification, Index Cancellation and Index Disruption. The Calculation Agent or the Bank may determine that the consequence of any such event is to make adjustments to the Notes, or to replace such Index with another or to cause early redemption of the Notes. The Calculation Agent may (subject to the terms and conditions of the relevant Notes) also amend the relevant Index Level due to corrections in the level reported by the Index Sponsor.

2 Risks associated with Inflation Indices as Reference Items

Risk Factors

Inflation Linked Notes may be settled or redeemed by the Bank by reference to the level of an inflation index (an “Inflation Index”). Interest payable on Inflation Linked Notes may be calculated by reference to the level of an inflation index.

Where the Notes are Inflation Linked Notes and there is a delay in publication of the level of an Inflation Index, the level of such Inflation Index ceases to be published, such Inflation Index is rebased, there is a material change to such index or there has been a manifest error in the publication of the level of such Inflation Index, the Bank may either require the Calculation Agent to determine if such event has a material effect on the Notes and, if so, to adjust the level of such Inflation Index for the affected Reference Month as further described in Asset Condition 2.1 (Inflation Index Delay and Disruption Event Provision), to substitute such Inflation Index with an alternative index or the Bank may elect to give notice to the Noteholders in accordance with Asset Condition 2.1 (Inflation Index Delay and Disruption Event Provision) and redeem all, but not some only, of the Notes, each Note being redeemed at the Early Redemption Amount, which amount shall be adjusted to account fully for any Unwind Costs if specified as applicable in the relevant Final Terms.

3 Risks associated with FX Rates as Reference Items

An investment in Currency Linked Notes entails significant risks in addition to those associated with investments in a conventional debt security.

(a) Factors affecting the performance of the relevant foreign exchange rate may adversely affect the value of the Notes

The foreign exchange rate(s) to which the Notes are linked will affect the nature and value of the investment return on the Notes. The performance of foreign exchange rates is dependent upon the supply and demand for currencies in the international foreign exchange markets, which are subject to economic factors, including inflation rates in the countries concerned, interest rate differences between the respective countries, economic forecasts, international political factors, currency convertibility and safety of making financial investments in the currency concerned, speculation and measures taken by governments and central banks. Such measures include, without limitation, imposition of regulatory controls or taxes, issuance of a new currency to replace an existing currency, alteration of the exchange rate or exchange characteristics by devaluation or revaluation of a currency or imposition of exchange controls with respect to the exchange or transfer of a specified currency that would affect exchange rates and the availability of a specified currency.

(b) Lloyds is a major foreign exchange dealer and is subject to conflicts of interest

Investors should note that certain Affiliates of the Bank are regular participants in the foreign exchange markets and in the ordinary course of their business may effect transactions for their own account or for the account of their customers and hold long and short positions in currencies and related derivatives, including in the currencies of the relevant FX Rate(s). Such transactions may affect the relevant FX Rate(s), the market price, liquidity or value of the Notes and could be adverse to the interests of Noteholders. No Affiliate of the Bank has any duty to enter into such transactions in a manner which is favourable to Noteholders. See “Additional risks associated with Notes that are liked to Reference Item(s) – Potential conflicts of interest”.

Currency Linked Notes linked to emerging market currencies may experience greater volatility and less certainty as to the future levels of such emerging market currencies or their rate of exchange as against other currencies. See “Risks relating to Notes generally – Emerging markets”.

Risk Factors

4 Risks associated with Underlying Rates as Reference Items

The performance of Rate Linked Notes is subject to the level of one or more interest rates, which will be subject to fluctuations over time. Such fluctuations could adversely affect the amount payable on, and the value of, the Notes.

Underlying Rates may be subject to fallbacks if the relevant rate is not published. Payment on the Notes may be delayed as a result.

5 Risks associated with baskets comprising various constituents as Reference Items

(a) Exposure to performance of basket and its underlying constituents

Where the Notes reference a basket of assets as Reference Items, the investors in such Notes are exposed to the performance of such basket. The investors will bear the risk of the performance of each of the basket constituents. See, as applicable, "Risks associated with Indices as Reference Items", "Risks associated with Inflation Indices as Reference Items" and "Risks associated with FX Rates as Reference Items".

(b) A high correlation of basket constituents may have a significant effect on amounts payable

Correlation of basket constituents indicates the level of interdependence among the individual basket constituents with respect to their performance. If, for example, all of the basket constituents originate from the same sector and the same country, a high positive correlation may generally be assumed. Past rates of correlation may not be determinative of future rates of correlation: investors should be aware that, though basket constituents may not appear to be correlated based on past performance, it may be that they suffer the same adverse performance following a general downturn or other economic or political event. Where the basket constituents are subject to high correlation, any move in the performance of the basket constituents will exaggerate the performance of the Notes.

(c) The negative performance of a single basket constituent may outweigh a positive performance of one or more other basket constituents

Investors in Notes must be aware that, even in the case of a positive performance of one or more basket constituents, the performance of the basket as a whole may be negative if the performance of the other basket constituents is negative to a greater extent, subject to the terms and conditions of the relevant Notes.

(d) A small basket, an unequally weighted basket or a "best of" or "worst of" basket will generally leave the basket more vulnerable to changes in the value of any particular basket constituent

The performance of a basket that includes a fewer number of basket constituents will generally, subject to the terms and conditions of the relevant Notes, be more affected by changes in the value of any particular basket constituent included therein than a basket that includes a greater number of basket constituents.

The performance of a basket that gives greater weight to some basket constituents or bases the level of the entire basket only on the value of one of the basket constituents will generally, subject to the terms and conditions of the relevant Notes, be more affected by changes in the value of any such particular basket constituent included therein than a basket that gives relatively equal weight to each basket constituent.

(e) A change in composition of a basket may have an adverse effect on basket performance

Where the Notes grant the Calculation Agent the right, in certain circumstances, to adjust the composition of the basket, investors should be aware that any replacement basket constituent may

Risk Factors

perform differently from the anticipated performance of the original basket constituent, which may have an adverse effect on the performance of the basket.

General risks relating to Notes with structured payouts

The Bank may issue Notes with principal or interest determined by reference to one or more Reference Items. In addition, the Bank may issue Notes with principal or interest payable in one or more currencies which may be different from the currency in which the Notes are denominated. Potential investors should be aware that:

(a) the market price of any such Notes may be volatile;
(b) they may receive no interest;
(c) payment of principal or interest may occur at a different time or in a different currency than expected or may be subject to withholding or deduction for or on account of any taxes or other charges imposed by relevant governmental authorities or agencies;
(d) the amount of principal payable at redemption may be less than the nominal amount of any such Notes or may be zero;
(e) a Reference Item may be subject to significant fluctuations that may not correlate with changes in interest rates, currencies or other indices;
(f) if a Reference Item is applied to Notes in conjunction with a multiplier greater than one or contains some other leverage factor, the effect of changes in the Reference Item on principal or interest payable is likely to be magnified; and
(g) the timing of changes in the performance of a Reference Item may affect the actual yield to investors, even if the average level is consistent with their expectations. In general, the earlier the change in the performance of a Reference Item, the greater the effect on yield.

Additional risks associated with particular structured payouts

Capitalised terms used below in each paragraph of this paragraph which are not otherwise defined herein shall have the meanings given to them in the relevant Payout Condition.

1 Structured Floating Rate Coupon

In calculating the Interest Amount for Notes in respect of which “Structured Floating Rate Coupon” is specified in the relevant Final Terms to be applicable, a leverage factor is applied to the Relevant Rate.

If the leverage factor is higher than 1 (or if a percentage is specified, 100 per cent.), the effect of a positive or negative Relevant Rate will be magnified. Accordingly, if the Relevant Rate is negative, the overall Interest Amount may be reduced to a greater extent than if no such leverage applied, possibly to zero.

If the leverage factor is lower than 1 (or if a percentage is specified, 100 per cent.), the investor’s exposure to any negative Relevant Rate will be scaled down, but correspondingly the investor will not benefit from the full extent of any positive Relevant Rate.

If a “Cap” applies, the extent of a positive Relevant Rate (as leveraged) will be limited by such cap. In any case, a Structured Floating Rate Coupon may be lower than market interest rates and lower than the rate of interest then payable by the Bank on other floating rate securities.

2 Inverse Floating Rate Coupon

The Bank may issue Notes which have an interest rate equal to a fixed rate minus a floating rate based upon a reference rate such as SONIA. The market values of such Notes typically are more volatile than market values of other conventional floating rate debt securities based on the same reference rate (and

Risk Factors

with otherwise comparable terms). Such Notes are more volatile because an increase in the reference rate not only decreases the interest rate of the Notes, but may also reflect an increase in prevailing interest rates, which may further adversely affect the market value of these Notes.

In the case of Inverse Floating Rate Notes, because the Relevant Rate is subtracted from the Fixed Rate of Interest, investors will likely be adversely affected if the Relevant Rate increases, and benefit if the Relevant Rate decreases. Such negative or positive effect will be magnified if the leverage factor applicable to the Relevant Rate is greater than 1 (or 100 per cent.) or reduced if the leverage factor is less than 1 (or 100 per cent.).

If a "Cap" applies, the extent of a positive Relevant Rate (as leveraged) will be limited by such cap. In any case, an Inverse Floating Rate Coupon may be lower than market interest rates and lower than the rate of interest payable by the Bank on other floating rate securities.

3 Fixed Rate Step-up/Step-down Coupon

Notes in respect of which "Fixed Rate Step-up/Step-down Coupon" is specified in the relevant Final Terms to be applicable bear interest at a fixed Rate of Interest which varies periodically during the life of the Notes. If market interest rates increase during the life of the Notes, this may adversely affect the value of the Notes. Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase (or "step-up") during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease (or "step-down") during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

4 Fixed to Floating Coupon

Notes in respect of which "Fixed to Floating Coupon" is specified in the relevant Final Terms to be applicable bear interest at a rate that switches automatically from the Fixed Rate of Interest to the Floating Rate of Interest on the Coupon Flip Date. During the period when the Fixed Rate of Interest applies to the Notes, any increases in market interest rates may adversely affect the value of the Notes. Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

In addition, when the interest rate on the Notes switches from the Fixed Rate of Interest to the Floating Rate of Interest on the Coupon Flip Date, (1) the Floating Rate of Interest may be lower than the Fixed Rate of Interest (with the result that the return on the Notes, and the value of the Notes, falls), (2) the spread on the Notes may be less favourable than the spread on other floating rate securities issued by the Bank which are linked to the same reference rate and (3) if a "Cap" applies, the extent of a positive Relevant Rate (as leveraged) will be limited by such cap. In any case, a Fixed to Floating Coupon may be lower than market interest rates and lower than the rate of interest then payable by the Bank on other floating rate securities.

Risk Factors

The positive or negative effect of the Relevant Rate from time to time will be magnified if the leverage factor applicable to the Relevant Rate is greater than 1 (or 100 per cent.) or reduced if the leverage factor is less than 1 (or 100 per cent.).

5 Floating to Fixed Coupon

Notes in respect of which “Floating to Fixed Coupon” is specified in the relevant Final Terms to be applicable bear interest at a rate that switches automatically from the Floating Rate of Interest to the Fixed Rate of Interest on the Coupon Flip Date. During the period when the Floating Rate of Interest applies to the Notes, if a “Cap” applies, the extent of a positive Relevant Rate (as leveraged) will be limited by such cap. In any case, a Floating to Fixed Coupon may be lower than market interest rates and lower than the rate of interest then payable by the Bank on other floating rate securities.

In addition, when the interest rate on the Notes switches from the Floating Rate of Interest to the Fixed Rate of Interest on the Coupon Flip Date, (1) the Fixed Rate of Interest may be lower than the Floating Rate of Interest (with the result that the return on the Notes, and the value of the Notes, falls) and (2) any increases in market interest rates may adversely affect the value of the Notes. Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

6 Fixed to Floating Switchable Coupon

The Bank may elect to switch the interest rate applicable to Notes in respect of which “Fixed to Floating Switchable Coupon” is specified in the relevant Final Terms to be applicable from the Fixed Rate of Interest to the Floating Rate of Interest. The Bank may (and is more likely to) switch the rate at a time when it is likely to produce a lower return for investors. Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

In addition, if the interest rate on the Notes switches from the Fixed Rate of Interest to the Floating Rate of Interest, (1) the Floating Rate of Interest may be lower than the Fixed Rate of Interest (with the result that the return on the Notes, and the value of the Notes, falls), (2) the spread on the Notes may be less favourable than the spread on other floating rate securities issued by the Bank which are linked to the same reference rate and (3) if a “Cap” applies, the extent of a positive Relevant Rate (as leveraged) will be limited by such cap. In any case, a Fixed to Floating Switchable Coupon may be lower than market interest rates and lower than the rate of interest then payable by the Bank on other floating rate securities.

Risk Factors

7 Floating to Fixed Switchable Coupon

The Bank may elect to switch the interest rate applicable to Notes in respect of which “Floating to Fixed Switchable Coupon” is specified in the relevant Final Terms to be applicable from the Floating Rate of Interest to the Fixed Rate of Interest. The Bank may (and is more likely to) switch the rate at a time when it is likely to produce a lower return for investors. During the period when the Floating Rate of Interest applies to the Notes, if a “Cap” applies, the extent of a positive Relevant Rate (as leveraged) will be limited by such cap. In any case, a Floating to Fixed Switchable Coupon may be lower than market interest rates and lower than the rate of interest then payable by the Bank on other floating rate securities.

In addition, if the interest rate on the Notes switches from the Floating Rate of Interest to the Fixed Rate of Interest, (1) the Fixed Rate of Interest may be lower than the Floating Rate of Interest (with the result that the return on the Notes, and the value of the Notes, falls) and (2) any increases in market interest rates may adversely affect the value of the Notes. Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

8 Fixed Rate Range Accrual Coupon

Notes in respect of which “Fixed Rate Range Accrual Coupon” is specified in the relevant Final Terms to be applicable bear interest at an Initial Fixed Rate of Interest during any Interest Accrual Period falling within the Initial Fixed Rate Period (if any). Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

Risk Factors

interest to give the Rate of Interest. If the Coupon Valuation Price does not meet the Lower Barrier Criteria with respect to the Lower Barrier (if specified as applicable in the relevant Final Terms) and the Upper Barrier Criteria with respect to the Upper Barrier (if specified as applicable in the relevant Final Terms) on the relevant observation date(s), n will be zero. Consequently, the multiplier (n/N) will be zero and the Interest Amount for that Range Accrual Fixed Rate Interest Accrual Period will be zero.

When "Snowball Interest Amount" is specified in the relevant Final Terms to be applicable, there is no assurance that the associated Coupon Barrier Event will occur. Investors may not therefore receive the Snowball Interest Amount(s) they would receive if such Coupon Barrier Event had occurred.

If "Lock-in Interest Amount" is specified in the relevant Final Terms to be applicable, if a Coupon Lock-in Event has occurred in respect of a Coupon Barrier Observation Date falling in a Range Accrual Fixed Rate Interest Accrual Period, the Rate of Interest shall be fixed at the Lock-in Rate of Interest for the Range Accrual Fixed Rate Interest Accrual Period in which the Coupon Barrier Observation Date falls and all subsequent Range Accrual Fixed Rate Interest Accrual Periods. There is no assurance, however, that the Coupon Lock-in Event will occur in respect of such a Coupon Barrier Observation Date. Investors may not therefore receive the Lock-in Rate of Interest they would receive if such Coupon Lock-in Event had occurred in respect of a Coupon Barrier Observation Date falling in a Range Accrual Fixed Rate Interest Accrual Period.

9 Floating Rate Range Accrual Coupon

Notes in respect of which "Floating Rate Range Accrual Coupon" is specified in the relevant Final Terms to be applicable bear interest at a Fixed Rate of Interest during any Interest Accrual Period falling within the Fixed Rate Period (if any). Notes that bear interest at a Fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

The Rate of Interest applicable to these Notes for any Floating Rate Interest Accrual Period is linked to the number of Range Accrual Observation Dates in the Range Accrual Observation Period relating to such Floating Rate Interest Accrual Period that the observed level of the relevant underlying Reference Item (Coupon Valuation Price) meets the Lower Barrier Criteria with respect to the Lower Barrier (if specified as applicable in the relevant Final Terms) and the Upper Barrier Criteria with respect to the Upper Barrier (if specified as applicable in the relevant Final Terms). Such number of Range Accrual Observation Dates (n) is divided by the total number of Range Accrual Observation Dates in the Range Accrual Observation Period (N) and the resultant figure is multiplied by the Floating Rate of Interest to give the Rate of Interest. If the Coupon Valuation Price does not meet the Lower Barrier Criteria with respect to the Lower Barrier (if specified as applicable in the relevant Final Terms) and the Upper Barrier Criteria with respect to the Upper Barrier (if specified as applicable in the relevant Final Terms) on the relevant observation date(s), n will be zero. Consequently, the multiplier (n/N) will be zero and the Interest Amount for that Floating Rate Interest Accrual Period will be zero.

Risk Factors

When “Snowball Interest Amount” is specified in the relevant Final Terms to be applicable, there is no assurance that the associated Coupon Barrier Event will occur. Investors may not therefore receive the Snowball Interest Amount(s) they would receive if such Coupon Barrier Event had occurred.

If “Lock-in Interest Amount” is specified in the relevant Final Terms to be applicable, if a Coupon Lock-in Event has occurred in respect of a Coupon Barrier Observation Date falling in a Floating Rate Interest Accrual Period, the Rate of Interest shall be fixed at the Lock-in Rate of Interest for the Floating Rate Interest Accrual Period in which the Coupon Barrier Observation Date falls and all subsequent Floating Rate Interest Accrual Periods. There is no assurance, however, that the Coupon Lock-in Event will occur in respect of such a Coupon Barrier Observation Date. Investors may not therefore receive the Lock-in Rate of Interest they would receive if such Coupon Lock-in Event had occurred in respect of a Coupon Barrier Observation Date falling in a Floating Rate Interest Accrual Period.

10 Fixed Rate Dual Range Accrual Coupon

Notes in respect of which “Fixed Rate Dual Range Accrual Coupon” is specified in the relevant Final Terms to be applicable bear interest at an Initial Fixed Rate of Interest during any Interest Accrual Period falling within the Initial Fixed Rate Period (if any). Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

The Rate of Interest applicable to these Notes for any Range Accrual Fixed Rate Interest Accrual Period is linked to the number of Range Accrual Observation Dates in the Range Accrual Observation Period relating to such Range Accrual Fixed Rate Interest Accrual Period that (i) Coupon Valuation Price $_1$ meets Lower Barrier Criterion $_1$ with respect to Lower Barrier $_1$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_1$ with respect to the Upper Barrier $_1$ (if specified as applicable in the relevant Final Terms) and (ii) Coupon Valuation Price $_2$ meets Lower Barrier Criterion $_2$ with respect to Lower Barrier $_2$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_2$ with respect to the Upper Barrier $_2$ (if specified as applicable in the relevant Final Terms). Such number of Range Accrual Observation Dates (n) is divided by the total number of Range Accrual Observation Dates in the Range Accrual Observation Period (N) and the resultant figure is multiplied by a fixed rate of interest to give the Rate of Interest. If either (i) Coupon Valuation Price $_1$ does not meet Lower Barrier Criterion $_1$ with respect to Lower Barrier $_1$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_1$ with respect to the Upper Barrier $_1$ (if specified as applicable in the relevant Final Terms) or (ii) Coupon Valuation Price $_2$ does not meet Lower Barrier Criterion $_2$ with respect to Lower Barrier $_2$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_2$ with respect to the Upper Barrier $_2$ (if specified as applicable in the relevant Final Terms) on the relevant observation date(s), n will be zero. Consequently, the multiplier (n/N) will be zero and the Interest Amount for that Range Accrual Fixed Rate Interest Accrual Period will be zero.

11 Floating Rate Dual Range Accrual Coupon

Notes in respect of which “Floating Rate Dual Range Accrual Coupon” is specified in the relevant Final Terms to be applicable bear interest at a Fixed Rate of Interest during any Interest Accrual Period falling

Risk Factors

within the Fixed Rate Period (if any). Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

The Rate of Interest applicable to these Notes for any Floating Rate Interest Accrual Period is linked to the number of Range Accrual Observation Dates in the Coupon Barrier Observation Period relating to such Floating Rate Interest Accrual Period that (i) Coupon Valuation Price $_1$ meets Lower Barrier Criterion $_1$ with respect to Lower Barrier $_1$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_1$ with respect to the Upper Barrier $_1$ (if specified as applicable in the relevant Final Terms) and (ii) Coupon Valuation Price $_2$ meets Lower Barrier Criterion $_2$ with respect to Lower Barrier $_2$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_2$ with respect to the Upper Barrier $_2$ (if specified as applicable in the relevant Final Terms). Such number of Range Accrual Observation Dates (n) is divided by the total number of Range Accrual Observation Dates in the Range Accrual Observation Period (N) and the resultant figure is multiplied by the relevant floating rate of interest to give the Rate of Interest. If either (i) Coupon Valuation Price $_1$ does not meet Lower Barrier Criterion $_1$ with respect to Lower Barrier $_1$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_1$ with respect to the Upper Barrier $_1$ (if specified as applicable in the relevant Final Terms) or (ii) Coupon Valuation Price $_2$ does not meet Lower Barrier Criterion $_2$ with respect to Lower Barrier $_2$ (if specified as applicable in the relevant Final Terms) and Upper Barrier Criterion $_2$ with respect to the Upper Barrier $_2$ (if specified as applicable in the relevant Final Terms) on the relevant observation date(s), n will be zero. Consequently, the multiplier (n/N) will be zero and the Interest Amount for that Floating Rate Interest Accrual Period will be zero.

12 Digital Coupon

The Rate of Interest applicable to Notes in respect of which "Digital Coupon" is specified in the relevant Final Terms to be applicable for any Interest Accrual Period is linked to the performance of the relevant Reference Item(s), and in particular, whether the Coupon Valuation Price for the relevant Reference Item(s) is higher than or lower than the Coupon Barrier. If the Coupon Valuation Price on a valuation date does not meet the relevant criteria (which may be that the Coupon Valuation Price needs to be higher than (or equal to) the Coupon Barrier or that it needs to be lower than (or equal to) the Coupon Barrier, as specified in the relevant Final Terms), a different Rate of Interest will apply (which may be lower and may be zero) than the rate that would have applied if the Coupon Valuation Price on such Valuation Date had met the relevant criteria.

If the relevant rate of interest is a floating rate, the positive or negative effect of the Relevant Rate from time to time will be magnified if the leverage factor applicable to the Relevant Rate is greater than 1 (or 100 per cent.) or reduced if the leverage factor is less than 1 (or 100 per cent.).

Risk Factors

If “Lock-in Interest Amount” is specified in the relevant Final Terms to be applicable, if a Coupon Lock-in Event has occurred in respect of any Coupon Barrier Observation Date, the Rate of Interest shall be fixed at the Lock-in Rate of Interest for the remaining maturity of the Notes. There is no assurance, however, that the Coupon Lock-in Event will occur in respect of any Coupon Barrier Observation Date. Investors may not therefore receive the Lock-in Rate of Interest they would receive if such Coupon Lock-in Event had occurred in respect of any Coupon Barrier Observation Date.

13 Inflation-Linked Coupon

The Rate of Interest applicable to Notes in respect of which “Inflation-Linked Coupon” is specified in the relevant Final Terms to be applicable for any Interest Accrual Period is linked to the performance of the Inflation Index, and in particular, whether the Relevant Level in respect of the Reference Month relating to such Interest Accrual Period (after deducting a specified target amount) is higher than or equal to, or lower than, the Relevant Level in respect of the immediately preceding Reference Month. If lower, the Rate of Interest payable on the Notes will decrease (and it is possible that no interest is payable on the Notes).

The positive or negative effect of the Inflation Performance from time to time will be magnified if the leverage factor applicable to the Inflation Performance is greater than 1 (or 100 per cent.) or reduced if the leverage factor is less than 1 (or 100 per cent.).

14 Inflation Protected Coupon

The Rate of Interest applicable to Notes in respect of which “Inflation Protected Coupon” is specified in the relevant Final Terms to be applicable for any Interest Accrual Period is linked to the performance of the Inflation Index, and in particular, whether the Relevant Level in respect of the Reference Month relating to such Interest Accrual Period is higher than Relevant Level(Initial). If the Relevant Level in respect of the Reference Month relating to an Interest Accrual Period is lower than Relevant Level(Initial), the Rate of Interest applicable to the Notes for such Interest Accrual Period will however be a minimum of the Coupon Percentage multiplied by the Floor.

15 Performance Coupon

Notes in respect of which “Performance Coupon” is specified in the relevant Final Terms to be applicable bear interest at a Fixed Rate of Interest during any Interest Accrual Period falling within the Fixed Rate Period (if any). Notes that bear interest at a fixed Rate of Interest are subject to the risk that market interest rates increase (or fall insufficiently) during the life of the Notes with the consequence that the real return on the Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during the life of the Notes, any periodic increases in the fixed Rate of Interest may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during the life of the Notes, investors are subject to the risk that the revised Rate of Interest will be below then current market interest rates and, even where market interest rates are falling, the reduction in the Rate of Interest on the Notes may be greater than any reduction in market interest rates.

The Rate of Interest applicable to these Notes for any Variable Rate Interest Accrual Period is linked to the performance of the Coupon Valuation Price, and in particular, whether the Coupon Valuation Price for such Variable Rate Interest Accrual Period is higher than or equal to, or lower than the Coupon Valuation Price(Initial). If lower, a lower Interest Amount (which may be zero) will be payable in respect of such Variable Rate Interest Accrual Period.

16 Annualised Performance Coupon

Risk Factors

The Rate of Interest applicable to Notes in respect of which “Annualised Performance Coupon” is specified in the relevant Final Terms to be applicable is linked to the performance of one or more Reference Item(s), and in particular, whether the Coupon Valuation Price₁ less a Strike Price is higher or lower than the Coupon Valuation Price₁(Initial).

The positive or negative effect of the Performance from time to time will be magnified if the leverage factor applicable to the Performance is greater than 1 (or 100 per cent.) or reduced if the leverage factor is less than 1 (or 100 per cent.) or in respect of any interest periods where “k” is greater than 1 (or 100 per cent.). The Rate of Interest shall be subject always to any applicable cap or floor.

17 Performance Redemption

The Final Redemption Amount applicable to Notes in respect of which “Performance Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Reference Item(s). In particular, the Notes will only redeem at a premium if the Redemption Valuation Price₁(Final) is higher than the Strike Price. If the Redemption Valuation Price₁(Final) is lower than or equal to the Strike Price, the holders will not be entitled to any premium on the redemption of the Notes, subject to any Floor.

In calculating the Final Redemption Amount, a leverage factor is applied to the performance of the Redemption Valuation Price.

The positive or negative effect of the performance of the Redemption Valuation Price from time to time will be magnified if the leverage factor applicable to the performance of the Redemption Valuation Price is greater than 1 (or 100 per cent.) or reduced if the leverage factor is less than 1 (or 100 per cent.).

In addition, if the Redemption Calculation Amount is less than the Calculation Amount of the Notes or if the Capital Return Percentage is less than 100 per cent. (each as specified in the relevant Final Terms), investors may receive less than the nominal amount of their investment.

18 Performance Plus Downside Redemption

The Final Redemption Amount applicable to Notes in respect of which “Performance Plus Downside Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Reference Item(s). In particular, investors will only be entitled to the return of the specified percentage of the nominal amount of their investment (plus, depending on the performance of the Reference Item(s), a premium) if the Redemption Valuation Price₁(Final) is higher than or equal to the Strike Price. If the Redemption Valuation Price₁(Final) is lower than the Strike Price, investors will lose some or possibly all of their investment.

In addition, if the Redemption Calculation Amount is less than the Calculation Amount of the Notes or if Capital Return Percentage₁ or Capital Return Percentage₂, as the case may be, is less than 100 per cent. (each as specified in the relevant Final Terms), investors may receive less than the nominal amount of their investment.

19 Performance Plus Conditional Downside Redemption

The Final Redemption Amount applicable to Notes in respect of which “Performance Plus Conditional Downside Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Reference Item(s). In particular, holders will only be entitled to the payment of the specified percentage of the nominal amount of the Notes if the Redemption Valuation Price₁(Final) is higher than or equal to the Strike Price or the Redemption Barrier. In addition, investors will only be entitled to a premium on redemption if the Redemption Valuation Price₁(Final) is higher than or equal to the Strike Price.

Risk Factors

If the Redemption Calculation Amount is less than the Calculation Amount of the Notes or if Capital Return Percentage₁, Capital Return Percentage₂ or Capital Return Percentage₃, as the case may be, is less than 100 per cent. (each as specified in the relevant Final Terms), investors may receive less than the nominal amount of their investment.

20 Absolute Performance Redemption

The Final Redemption Amount applicable to Notes in respect of which “Absolute Performance Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Reference Item(s), and in particular, whether the Redemption Valuation Price(Final) is higher than (or equal to) the Redemption Barrier. If the Redemption Valuation Price(Final) is lower than (or equal to) the Redemption Barrier, investors may lose some or all of the nominal amount of their investment.

In addition, if the Redemption Calculation Amount is less than the Calculation Amount of the Notes or if Capital Return Percentage₁, Capital Return Percentage₂ or Capital Return Percentage₃, as the case may be, is less than 100 per cent. (each as specified in the relevant Final Terms), investors may receive less than the nominal amount of their investment.

21 Reverse Convertible Redemption

The Final Redemption Amount applicable to Notes in respect of which “Reverse Convertible Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Reference Item(s), and in particular, whether the Redemption Valuation Price(Final) is higher than or equal to the Strike Price. If the Redemption Valuation Price(Final) is lower than the Strike Price, investors may lose some or all of the nominal amount of their investment.

22 Reverse Convertible Plus Conditional Downside Redemption

The Final Redemption Amount applicable to Notes in respect of which “Reverse Convertible Plus Conditional Downside Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Reference Item(s), and in particular, whether the Redemption Valuation Price(Final) is higher than or equal to the Strike Price and lower than or equal to the Redemption Barrier. If the Redemption Valuation Price(Final) is lower than the Strike Price and a Redemption Barrier Event has occurred, investors may lose some or all of the nominal amount of their investment.

Risk Factors

23 Inflation Protected Redemption

The Final Redemption Amount applicable to Notes in respect of which “Inflation Protected Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Inflation Index, and in particular, whether the Relevant Level(Final) is higher than or equal to the Strike Price. If the Relevant Level(Final) is lower than the Strike Price, the Final Redemption Amount will, subject to any applicable Floor, be limited to the Capital Return Percentage of the nominal amount of the Notes. If the Redemption Calculation Amount is less than the Calculation Amount of the Notes or the Capital Return Percentage is less than 100 per cent. (each as specified in the relevant Final Terms), investors may receive less than the nominal amount of their investment.

24 Dual Currency Redemption

The Final Redemption Amount applicable to Notes in respect of which “Dual Currency Redemption” is specified in the relevant Final Terms to be applicable is linked to the performance of the Reference Item(s), and in particular, whether the Redemption Valuation Price(Final) is higher than or equal to the Redemption Barrier. If a Redemption Barrier Event has occurred, the Final Redemption Amount will be denominated in the Secondary Currency. If “Secondary Currency Redemption Amount” or “Forward Rate” is specified to apply in the relevant Final Terms, an investor may obtain a lower Final Redemption Amount than if a spot conversion rate were used for the purposes of converting the Specified Currency into the Secondary Currency.

In addition, if the Redemption Calculation Amount is less than the Calculation Amount of the Notes (each as specified in the relevant Final Terms), investors may receive less than the nominal amount of their investment.

Risks related to Notes denominated in Renminbi (“Renminbi Notes”)

The Renminbi is not freely convertible; there are significant restrictions on remittance of Renminbi into and outside the People’s Republic of China (the “PRC”) which may adversely affect the liquidity of Renminbi Notes.

The Renminbi is not freely convertible at present. The PRC government continues to regulate conversion between the Renminbi and foreign currencies, including the Hong Kong dollar, despite the significant reduction over the years by the PRC government of control over trade transactions involving import and export of goods and services as well as other frequent routine foreign exchange transactions. This represents a current account activity. Remittance of Renminbi by foreign investors into the PRC for the purposes of capital account items, such as capital contributions, is generally only permitted upon obtaining specific approvals from, or completing specific registrations or filing with, the relevant authorities and is subject to a strict monitoring system. Regulations in the PRC on the remittance of Renminbi into the PRC for settlement of capital account items are developing gradually.

Risk Factors

Although Renminbi was added to the Special Drawing Rights basket created by the International Monetary Fund in 2016 and policies further improving accessibility to Renminbi to settle cross-border transactions in foreign currencies were implemented by the People's Bank of China ("PBOC") in 2018, there is no assurance that the PRC government will continue to liberalise the control over cross-border RMB remittances in the future, that any pilot schemes for Renminbi cross-border utilisation will not be discontinued or that new PRC regulations will not be promulgated in the future which have the effect of restricting or eliminating the remittance of Renminbi into or outside the PRC. In the event that funds cannot be repatriated outside the PRC in Renminbi, this may affect the overall availability of Renminbi outside the PRC and the ability of the Bank to source Renminbi to finance its obligations under the Renminbi Notes.

Holders of beneficial interests in Notes denominated in Renminbi may be required to provide certifications and other information (including Renminbi account information) in order to receive payments in Renminbi in accordance with the Renminbi clearing and settlement system for participating banks in Hong Kong.

2 There is only limited availability of Renminbi outside the PRC, which may affect the liquidity of the Renminbi Notes and the Bank's ability to source Renminbi outside the PRC to service such Renminbi Notes

As a result of the restrictions imposed by the PRC government on cross-border Renminbi fund flows, the availability of Renminbi outside the PRC is limited. The PBOC has also established a Renminbi clearing and settlement system with financial institutions in other major global financial centres (each an "RMB Clearing Bank") through settlement agreements (the "Settlement Agreements") with each such financial institution to act as the RMB Clearing Bank in the relevant designated financial centre.

However, the current size of Renminbi-denominated financial assets outside the PRC is limited. Renminbi business participating banks do not have direct Renminbi liquidity support from the PBOC. They are only allowed to square their open positions with the relevant RMB Clearing Bank after consolidating the Renminbi trade position of banks outside of the Renminbi business participating financial centres that are in the same bank group of the participating banks concerned with their own trade position and the relevant RMB Clearing Bank only has access to onshore liquidity support from PBOC to square open positions of participating banks for limited types of transactions, including open positions resulting from conversion services for corporations relating to cross-border trade settlement. The relevant RMB Clearing Bank is not obliged to square for participating banks any open positions resulting from other foreign exchange transactions or conversion services. In such cases, the participating banks will need to source Renminbi from outside the PRC to square such open positions.

Although it is expected that the offshore Renminbi market will continue to grow in depth and size, its growth is subject to many constraints as a result of PRC laws and regulations on foreign exchange. There is no assurance that new PRC regulations will not be promulgated or the Settlement Agreements will not be terminated or amended in the future which will have the effect of restricting availability of Renminbi outside the PRC. The limited availability of Renminbi outside the PRC may affect the liquidity of the Renminbi Notes. To the extent the Bank is required to source Renminbi outside the PRC to service the Renminbi Notes, there is no assurance that the Bank will be able to source such Renminbi on satisfactory terms, if at all.

3 Investment in the Renminbi Notes is subject to exchange rate risks and the Bank may make payments of interest and principal in U.S. dollars in certain circumstances

The value of the Renminbi against the U.S. dollar and other foreign currencies fluctuates and is affected by changes in the PRC and international political and economic conditions and by many other factors. In August 2015, the PBOC implemented changes to the way it calculates the midpoint against the U.S. dollar to take into account market-maker quotes before announcing the daily midpoint. This change, among

Risk Factors

others that may be implemented, may increase the volatility in the value of the Renminbi against other currencies. In addition, although the Bank's primary obligation is to make all payments of interest and principal or other amounts with respect to the Renminbi Notes in Renminbi, in certain circumstances, and if so specified, the terms of the Notes allow the Bank to delay any such payment and/or make payment in U.S. dollars or another specified currency at the prevailing spot rate of exchange, and/or redeem such Notes, all as provided for in more detail in the Notes (see Asset Condition 7.1 (Payment of Alternative Currency Equivalent)). As a result, the value of these Renminbi payments in U.S. dollar terms may vary with the prevailing exchange rates in the marketplace. If the value of the Renminbi depreciates against the U.S. dollar or other foreign currencies, the value of a Renminbi Noteholder's investment in U.S. dollars or other applicable foreign currency terms will decline.

In the event that access to Renminbi becomes restricted to the extent that, by reason of Inconvertibility, Non-Transferability, Illiquidity or any other FX Disruption Event, Synthetic Currency FX Disruption Event or Secondary Currency FX Disruption Event (each as defined in the Conditions), the Bank is unable, or it is impractical for it, to pay interest or principal in Renminbi, the terms and conditions allow the Bank to make payments in U.S. dollars or other foreign currency, all as provided in more detail in the Conditions. As a result, the value of these Renminbi payments may vary with the prevailing exchange rates in the marketplace. If the value of Renminbi depreciates against the U.S. dollar or other foreign currencies, the value of a holder's investment in the U.S. dollar or other foreign currency terms will decline.

4 An investment in Renminbi Notes is subject to interest rate risks

The PRC government has gradually liberalised the regulation of interest rates in recent years. Further liberalisation may increase interest rate volatility. The Renminbi Notes may carry a fixed interest rate. Consequently, the trading price of such Renminbi Notes will vary with fluctuations in interest rates. If a holder of Renminbi Notes tries to sell any Renminbi Notes before their maturity, they may receive an offer that is less than the amount invested.

5 Payments in respect of the Renminbi Notes will only be made to investors in the manner specified in the Conditions of the relevant Renminbi Notes

Investors may be required to provide certification and other information (including Renminbi account information) in order to be allowed to receive payments in Renminbi in accordance with the Renminbi clearing and settlement system for participating banks in Hong Kong. All Renminbi payments to investors in respect of the Renminbi Notes will be made solely (i) for so long as the Renminbi Notes are represented by a Global Note or a Global Note Certificate held with the common depository or common safekeeper, as the case may be, for Euroclear and Clearstream, Luxembourg or any alternative clearing system, by transfer to a Renminbi bank account maintained in Hong Kong in accordance with prevailing Euroclear and/or Clearstream, Luxembourg rules and procedures, or (ii) for so long as the Renminbi Notes are in definitive form, by transfer to a Renminbi bank account maintained in Hong Kong in accordance with prevailing rules and regulations. Other than as described in the terms and conditions, the Bank cannot be required to make payment by any other means (including in any other currency or in bank notes, by cheque or draft, or by transfer to a bank account in the PRC).

Risks related to payment of Notes in an Alternative Currency or Payment Currency

The Bank's primary obligation is to make all payments of interest, principal and other amounts with respect to Notes in the relevant Specified Currency. However, if Alternative Currency Equivalent is specified to be applicable and if access to the Specified Currency becomes restricted, the Bank may in its sole and absolute discretion (i) postpone the payment of any such amounts, (ii) make any such payment in the relevant Alternative Currency at the rates, and in the manner, set out in Asset Condition 7 (Alternative Currency Equivalent Provisions) and the relevant Final Terms, (iii) postpone the payment and make such payment in the relevant Alternative Currency or (iv) redeem the Notes.

Risk Factors

In addition, if the Synthetic Currency Asset Conditions are specified to be applicable in respect of any Notes, such Notes may be denominated in the Specified Currency but payable in another currency (the "Payment Currency").

In each case, the value of the Notes could therefore be affected by fluctuations in the value of the Specified Currency as compared to the Alternative Currency or the Payment Currency, as the case may be. There is a risk that the exchange rate (or the exchange rates) used to determine the Alternative Currency or Payment Currency amount of any payments in respect of the Notes may significantly change (including changes due to devaluation or revaluation of the Specified Currency) or that authorities with jurisdiction over such currencies could cause a decrease in (1) the Alternative Currency or Payment Currency equivalent yield on the Notes, (2) the Alternative Currency or Payment Currency equivalent value of the amount payable in respect of the relevant Final Redemption Amount of the Notes and (3) the Alternative Currency or Payment Currency equivalent market value of the Notes. Therefore, there is a possibility that the Alternative Currency or Payment Currency value of the Notes at the time of any sale or redemption of the Notes may be below the value of the investor's original investment in the Notes, depending on the exchange rate at the time of any such sale or redemption.

(a) Factors affecting the relevant foreign exchange rate

The rate at which amounts will be converted into the Alternative Currency or Payment Currency is dependent upon the supply and demand for currencies in the international foreign exchange markets, which are subject to economic factors, including inflation rates in the countries concerned, interest rate differences between the respective countries, economic forecasts, international political factors, currency convertibility and safety of making financial investments in the currency concerned, speculation and measures taken by governments and central banks. Such measures include, without limitation, imposition of regulatory controls or taxes, issuance of a new currency to replace an existing currency, alteration of the exchange rate or exchange characteristics by devaluation or revaluation of a currency or imposition of exchange controls with respect to the exchange or transfer of a specified currency that would affect exchange rates and the availability of a specified currency.

(b) Lloyds is a major foreign exchange dealer and is subject to conflicts of interest

Investors should note that certain affiliates of the Bank are regular participants in the foreign exchange markets and in the ordinary course of their business may effect transactions for their own account or for the account of their customers and hold long and short positions in currencies and related derivatives, including in the Specified Currency and/or the Alternative Currency or Payment Currency. Such transactions may affect the relevant FX rate, the market price, liquidity or value of the Notes and could be adverse to the interests of Noteholders. No Affiliate of the Bank has any duty to enter into such transactions in a manner which is favourable to Noteholders. See "Additional risks associated with Notes that are linked to Reference Item(s) – Potential conflicts of interest".

Notes denominated in emerging market currencies may experience greater volatility and less certainty as to the future levels of such emerging market currencies or their rate of exchange as against other currencies. See "Risks related to Notes generally – Emerging markets".

Overview of the Terms and Conditions of the Notes

OVERVIEW OF THE TERMS AND CONDITIONS OF THE NOTES

This section describes the components of the terms and conditions of the Notes. This introductory section does not form part of the terms and conditions.

The terms and conditions (the "Conditions") of a Series of Notes shall comprise:

(a) the terms set out under "Base General Conditions" (the "Base General Conditions"), which are applicable to all Notes;
(b) any further terms set out under "Asset Conditions" (the "Asset Conditions") specified to be applicable in the Final Terms of the relevant Notes;
(c) any further terms set out under "Payout Conditions" (the "Payout Conditions") specified to be applicable in the Final Terms of the relevant Notes; and
(d) the Final Terms of the relevant Notes.

In addition, in respect of Notes that are held in global form, certain Conditions may be superseded by the provisions of the Global Note or Global Note Certificates. See "Summary of Provisions Relating to the Notes While in Global Form".

CONTENTS

	Page
BASE GENERAL CONDITIONS	88
ASSET CONDITIONS	142
AC Chapter 1: Index Linked Asset Conditions	143
AC Chapter 2: Inflation Linked Asset Conditions	171
AC Chapter 3: Currency Linked Asset Conditions	175
AC Chapter 4: Rate Linked Asset Conditions	198
AC Chapter 5: Multi-Asset Basket Linked Asset Conditions	218
AC Chapter 6: Additional Disruption Asset Conditions	237
AC Chapter 7: Alternative Currency Asset Conditions	240
AC Chapter 8: Synthetic Currency Asset Conditions	247
PAYOUT CONDITIONS
Coupon Payout Conditions
CPC Chapter 1: Structured Floating Rate Coupon Payout Conditions	262
CPC Chapter 2: Inverse Floating Rate Coupon Payout Conditions	264
CPC Chapter 3: Fixed Rate Step-up/Step-down Coupon Payout Conditions	266
CPC Chapter 4: Fixed to Floating Coupon Payout Conditions	267
CPC Chapter 5: Floating to Fixed Coupon Payout Conditions	269
CPC Chapter 6: Fixed to Floating Switchable Coupon Payout Conditions	271
CPC Chapter 7: Floating to Fixed Switchable Coupon Payout Conditions	273
CPC Chapter 8: Fixed Rate Range Accrual Coupon Payout Conditions	275
CPC Chapter 9: Floating Rate Range Accrual Coupon Payout Conditions	282

Overview of the Terms and Conditions of the Notes

CPC Chapter 10: Fixed Rate Dual Range Accrual Coupon Payout Conditions	289
CPC Chapter 11: Floating Rate Dual Range Accrual Coupon Payout Conditions	297
CPC Chapter 12: Digital Coupon Payout Conditions	306
CPC Chapter 13: Inflation-Linked Coupon Payout Conditions	311
CPC Chapter 14: Inflation Protected Coupon Payout Conditions	313
CPC Chapter 15: Performance Coupon Payout Conditions	315
CPC Chapter 16: Annualised Performance Coupon Payout Conditions	318
Redemption Payout Conditions
RPC Chapter 1: Performance Redemption Payout Conditions	321
RPC Chapter 2: Performance Plus Downside Redemption Payout Conditions	324
RPC Chapter 3: Performance Plus Conditional Downside Redemption Payout Conditions	327
RPC Chapter 4: Absolute Performance Redemption Payout Conditions	331
RPC Chapter 5: Reverse Convertible Redemption Payout Conditions	335
RPC Chapter 6: Reverse Convertible Plus Conditional Downside Redemption Payout Conditions	338
RPC Chapter 7: Inflation Protected Redemption Payout Conditions	341
RPC Chapter 8: Dual Currency Redemption Payout Conditions	343

Base General Conditions

BASE GENERAL CONDITIONS

This section sets out the terms and conditions that apply to all Notes.

The following are the base conditions that will apply to all Notes (the "Base General Conditions") in addition to (i) any applicable Asset Conditions and (ii) any applicable Payout Conditions (together, the "Base Conditions"), as supplemented or completed in accordance with the provisions of the relevant final terms document (the "Issue Terms") (together with the Base Conditions, the "Conditions"). Where any Asset Conditions and/or Payout Conditions are specified in the relevant Issue Terms for any Notes, these Base General Conditions shall be subject to such Asset Conditions and/or Payout Conditions and will not apply to the extent they are inconsistent with the provisions of such Asset Conditions and/or Payout Conditions. All capitalised terms that are not defined in these Base General Conditions will have the meanings given to them in any applicable Asset Conditions or Payout Conditions, or the relevant Issue Terms. References in these Base General Conditions or any applicable Asset Conditions or Payout Conditions to "Notes" are to the Notes of one Series only, not to all Notes or to any other Notes that may be issued under the Global Medium Term Note Programme (the "Programme"). The relevant Issue Terms for the Notes are attached to the Global Note or Global Note Certificate.

The Notes (referred to herein as the "Notes") are issued by Lloyds Bank plc (the "Bank") pursuant to an Agency Agreement originally dated 14 June 2011, as amended and restated on 2 July 2021 (the "Agency Agreement"), in relation to the Notes between the Bank, Citibank, N.A., London Branch, as fiscal agent and, in respect of CMU Notes (as defined below), Citicorp International Limited, as CMU fiscal agent and the other agents named in it. The Notes have the benefit of a deed of covenant dated 2 July 2021 (the "Deed of Covenant"). The fiscal agent in respect of Notes other than CMU Notes, the fiscal agent in respect of CMU Notes, the CMU lodging agent, the paying agents, the registrar, the transfer agent and the calculation agent(s) for the time being (if any) are referred to below, respectively, as the "Fiscal Agent", the "CMU Fiscal Agent", together the "Fiscal Agents" (which expression shall, where the context so permits, include the Fiscal Agent and the CMU Fiscal Agent), the "CMU Lodging Agent", the "Paying Agents", the "Registrar", the "Transfer Agents" (which expression shall, where the context so permits, include the Registrar) and the "Calculation Agent(s)", provided that in respect of CMU Notes, references in these Base General Conditions to the Fiscal Agent shall be construed as references to the CMU Fiscal Agent and references to a Paying Agent shall be construed as references to the CMU Fiscal Agent in its capacity as Paying Agent.

The Noteholders, the holders of the interest coupons (the "Coupons") relating to interest bearing Notes in bearer form and, where applicable in the case of such Notes, talons for further Coupons (the "Talons") (the "Couponholders") and the holders of the receipts for the payment of instalments of principal (the "Receipts") relating to Notes in bearer form of which the principal is payable in instalments (the "Receiptholders") are entitled to the benefit of, are bound by, and are deemed to have notice of all of the provisions of the Agency Agreement applicable to them.

1 Form, Denomination and Title

The Notes are issued in bearer form ("Bearer Notes", which expression includes Notes that are specified to be Exchangeable Bearer Notes), in registered form ("Registered Notes") or in bearer form exchangeable for Registered Notes ("Exchangeable Bearer Notes"), in each case in the Specified Denomination(s) shown in the relevant Issue Terms.

All Registered Notes shall have the same Specified Denomination. Where Exchangeable Bearer Notes are issued, the Registered Notes for which they are exchangeable shall have the same Specified Denomination as the lowest denomination of Exchangeable Bearer Notes.

Bearer Notes are serially numbered and are issued with Coupons (and, where appropriate, a Talon) attached, save in the case of Zero Coupon Notes in which case references to interest (other than in relation to interest due

Base General Conditions

after the Maturity Date), Coupons and Talons in these Base General Conditions are not applicable. Instalment Notes are issued with one or more Receipts attached.

Registered Notes are represented by registered certificates (“Note Certificates”).

Title to the Bearer Notes and the Receipts, Coupons and Talons shall pass by delivery. Title to the Registered Notes shall pass by registration in the register that the Bank shall procure to be kept by the Registrar in accordance with the provisions of the Agency Agreement (the “Register”). Except as ordered by a court of competent jurisdiction or as required by law, the holder (as defined below) of any Note, Receipt, Coupon or Talon shall be deemed to be and may be treated as its absolute owner for all purposes, whether or not it is overdue and regardless of any notice of ownership, trust or an interest in it, any writing on it (or on the Note Certificate representing it) or its theft or loss (or that of the related Note Certificate) and no person shall be liable for so treating the holder.

In these Base General Conditions, “Noteholder” means the bearer of any Bearer Note and the Receipts relating to it or the person in whose name a Registered Note is registered (as the case may be), “holder” (in relation to a Note, Receipt, Coupon or Talon) means the bearer of any Bearer Note, Receipt, Coupon or Talon or the person in whose name a Registered Note is registered (as the case may be) and capitalised terms have the meanings given to them hereon, the absence of any such meaning indicating that such term is not applicable to the Notes.

2 Definitions

For the purposes of these Base General Conditions, the following general definitions will apply:

“Administrator/Benchmark Event” means, for a Series and a Benchmark Rate, any authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register in respect of the Benchmark Rate or the administrator or sponsor of the Benchmark Rate has not been, or will not be, obtained or has been, or will be, rejected, refused, suspended or withdrawn by the relevant competent authority or other relevant official body, in each case with the effect that the Bank or the Calculation Agent is not, or will not be, permitted under any applicable law or regulation to use the Benchmark Rate to perform its or their respective obligations under the Notes.

If, for a Series and a Benchmark Rate, (i) an event or circumstance which would otherwise constitute or give rise to an Administrator/Benchmark Event also constitutes a Benchmark Rate Cessation or (ii) a Benchmark Rate Cessation and an Administrator/Benchmark Event would otherwise be continuing at the same time, it will in either case constitute a Benchmark Rate Cessation and will not constitute or give rise to an Administrator/Benchmark Event provided that, if the date that would otherwise have been the Administrator/Benchmark Event Date would have occurred before the Benchmark Rate is no longer available, Base General Condition 5(o) (Interim Measures) shall apply as if an Administrator/Benchmark Event had occurred.

“Administrator/Benchmark Event Date” means, for a Series and an Administrator/Benchmark Event, the date on which the authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register is:

(i) required under any applicable law or regulation; or
(ii) rejected, refused, suspended or withdrawn, if the applicable law or regulation provides that the Benchmark Rate is not permitted to be used under the Notes following rejection, refusal, suspension or withdrawal,

or, in each case, if such date occurs before the Trade Date, the Trade Date.

“Affiliate” means, in relation to any entity (the “First Entity”), any entity controlled, directly or indirectly, by the First Entity, any entity that controls, directly or indirectly, the First Entity or any entity directly or indirectly under common control with the First Entity, where, for these purposes, “control” means ownership of a majority of the voting power of an entity.

Base General Conditions

"Agent" means the Fiscal Agent, the CMU Fiscal Agent, the CMU Lodging Agent, the Paying Agents, the Registrar, the Transfer Agents, the Calculation Agent, the Alternative Currency Adjudication Agent and the Alternative Currency Calculation Agent.

"Alternative Post-nominated Benchmark Rate" means, in respect of a Series and a Benchmark Rate, any index, benchmark or other price source which is formally designated, nominated or recommended by:

(i) any Relevant Nominating Body; or
(ii) the administrator or sponsor of the Benchmark Rate, provided that such index, benchmark or other price source is substantially the same as the Benchmark Rate,

in each case, to replace the Benchmark Rate. If a replacement is designated, nominated or recommended under both paragraphs (i) and (ii) above, then the replacement under paragraph (i) shall be the Alternative Post-nominated Benchmark Rate.

"Alternative Pre-nominated Benchmark Rate" means, in respect of a Series and a Benchmark Rate, the first of the indices, benchmarks or other price sources specified as such in the relevant Issue Terms and not subject to a Benchmark Rate Event.

"Amortisation Yield" means the yield specified in the relevant Issue Terms.

"Autocall Notes" means Notes in respect of which "Autocall" is specified to be applicable in the relevant Issue Terms.

"BBSW Page" means the "BBSW" page on the Bloomberg Monitor System (or page of a successor service) as may replace such page for the purpose of displaying BBSW.

"Benchmark Rate" means, in respect of a Series and a Rate of Interest or an Underlying Rate, the index, benchmark or price source (as applicable) originally specified for the purpose of determining the Rate of Interest or Underlying Rate. To the extent that a Replacement Benchmark Rate is determined to be used in respect of a Series, such Replacement Benchmark Rate shall be a "Benchmark Rate" for that Series during the period in which it is used.

"Benchmark Rate Cessation" means, for a Series and a Benchmark Rate, the occurrence of one or more of the following events:

(i) a public statement or publication of information by or on behalf of the administrator of the Benchmark Rate announcing that it has ceased or will cease to provide the Benchmark Rate permanently or indefinitely, provided that, at the time of the statement or publication, there is no successor administrator that will continue to provide the Benchmark Rate;
(ii) a public statement or publication of information by the regulatory supervisor for the administrator of the Benchmark Rate, the central bank for the currency of the Benchmark Rate, an insolvency official with jurisdiction over the administrator for the Benchmark Rate, a resolution authority with jurisdiction over the administrator for the Benchmark Rate or a court or an entity with similar insolvency or resolution authority over the administrator for the Benchmark Rate, which states that the administrator of the Benchmark Rate has ceased or will cease to provide the Benchmark Rate permanently or indefinitely, provided that, at the time of the statement or publication, there is no successor administrator that will continue to provide the Benchmark Rate; or
(iii) any event which otherwise constitutes an "index cessation event" (regardless of how it is actually defined or described in the definition of the Benchmark Rate) in relation to which a Priority Fallback applies,

provided that, in each case, a Benchmark Rate Cessation shall only occur if the first day on which the Benchmark Rate is no longer available is on or before the last day prior to the Maturity Date when the Benchmark Rate needs to be determined.

Base General Conditions

"Benchmark Rate Determination Agent" means, in respect of a Series, the Bank or the Calculation Agent, as specified in the relevant Issue Terms.

"Benchmark Rate Event" means, in respect of a Series and a Benchmark Rate, the determination by the Benchmark Rate Determination Agent that one or more of the following events has occurred:

(i) a Benchmark Rate Cessation;
(ii) an Administrator/Benchmark Event;
(iii) a Benchmark Rate is, with respect to over-the-counter derivatives transactions which reference such Benchmark Rate, the subject of any market-wide development (which may be in the form of a protocol by ISDA) pursuant to which such Benchmark Rate is, on a specified date (the "Risk-Free Rate Event Date"), replaced with a risk-free rate (or near risk-free rate) established in order to comply with the recommendations in the Financial Stability Board's paper titled "Reforming Major Interest Rate Benchmarks" dated 22 July 2014 (a "Risk-Free Rate Event"); or
(iv) Benchmark Rate Representativeness Event.

"Benchmark Rate Event Notice" means, in respect of a Series and a Benchmark Rate, a notice from the Bank to Noteholders in accordance with Base General Condition 16 (Notices) that the Benchmark Rate Determination Agent has determined that a Benchmark Rate Event has occurred specifying the associated Administrator/Benchmark Event Date, Risk-Free Rate Event Date, Benchmark Rate Representativeness Event Date or date on which the Benchmark Rate is or is scheduled to be no longer available following a Benchmark Rate Cessation, as relevant, for the Benchmark Rate Event.

"Benchmark Rate Representativeness Event" means, in respect of a Series and a Benchmark Rate, the making of an official announcement by the supervisor or the administrator of the Benchmark Rate, with effect from a date after 31 December 2021, that the Benchmark Rate is no longer representative of its relevant underlying market.

"Benchmark Rate Representativeness Event Date" means in respect of a Benchmark Rate Representativeness Date the later of (i) the first date on which the Benchmark Rate is or will become no longer representative of its relevant underlying market pursuant the official announcement comprising the Benchmark Rate Representativeness Event, (ii) the date on which the official announcement comprising the Benchmark Rate Representativeness Event is made and (iii) 31 December 2021.

"Broken Amount" means the amount payable per Calculation Amount on the relevant Interest Payment Date as specified in the relevant Issue Terms.

"Business Centre" means any additional financial centre relevant for the purpose of determining Business Days, as specified in the relevant Issue Terms.

"Business Day" means a day on which commercial banks and foreign exchange markets settle payments in London and each Business Centre specified in the relevant Issue Terms.

"Calculation Agent" means, in respect of a Series where the Conditions of such Series so require, the entity specified as such in the Issue Terms.

"Calculation Amount" means the amount by reference to which the Interest Amount and the Final Redemption Amount is calculated as specified in the relevant Issue Terms.

"Calculation Amount Factor" means the number equal to (i) the Specified Denomination divided by (ii) the Calculation Amount.

"Call Option Business Centre" means any additional financial centre relevant for the purpose of determining Call Option Business Days, as specified in the relevant Issue Terms.

Base General Conditions

"Call Option Business Day" means a day on which commercial banks and foreign exchange markets settle payments in London and each Call Option Business Centre specified in the relevant Issue Terms.

"Clearing System" means each clearance system specified as such in the relevant Issue Terms and such further or alternative clearance system(s) as may be approved by the Bank from time to time and notified to the Noteholders in accordance with Base General Condition 16 (Notices).

"Clearing System Cut-Off Time" means (a) in the case of Euroclear, 10:00 a.m., Brussels time, (b) in the case of Clearstream, Luxembourg, 10:00 a.m., Luxembourg time or (c) such other time as determined by the Calculation Agent.

"Clearstream, Luxembourg" means Clearstream Banking, S.A.

"CMS Business Centre" means the financial centre(s) specified as such in the Issue Terms or, if none are so specified, (i) if the CMS Currency is GBP, London; (ii) if the CMS Currency is USD, U.S. Government Securities Business Day; (iii) if the CMS Currency is EUR, any financial centre(s) in which the TARGET System is operating; or (iv) if the CMS Currency is any other currency, London.

"CMS Business Day" means a day (i) on which commercial banks and foreign exchange markets settle payments in each CMS Business Centre and (ii) if "U.S. Government Securities Business Day" is a CMS Business Centre, which is a U.S. Government Securities Business Day.

"CMS Currency" means the currency specified as such in the relevant Issue Terms.

"CMS Designated Maturity" means the maturity specified as such in the relevant Issue Terms.

"CMS Determination Date" means the date specified as such in the relevant Issue Terms or, if no such date is specified in the relevant Issue Terms, then the first day of the Interest Accrual Period.

"CMS Rate" has the meaning given to it in Base General Condition 5(b)(C)(x) (CMS Rate Determination for Floating Rate Notes).

"CMS Reference Banks" means the CMS Reference Banks Number of leading swap dealers in the CMS Relevant Interbank Market selected by the Calculation Agent.

"CMS Reference Banks Number" means the number specified as such in the relevant Issue Terms, or if no number is so specified, five.

"CMS Reference Time" means the time specified as such in the relevant Issue Terms or, if no time is so specified: (i) if the CMS Currency is GBP, 11:00 a.m. London time; (ii) if the CMS Currency is USD, 11:00 a.m. New York time; or (iii) if the CMS Currency is EUR, 11:00 a.m. Brussels time.

"CMS Relevant Interbank Market" means the interbank market in the jurisdiction specified in the relevant Issue Terms or, if no jurisdiction is so specified, (i) if the CMS Currency is euro, the Euro-zone interbank market, (ii) if the CMS Currency is U.S. dollars, New York City or (iii) otherwise, London.

"CMS Screen Page" means the screen page specified as such in the relevant Issue Terms, or any successor page as determined by the Calculation Agent.

"CMU Notes" means Notes denominated in any lawful currency which the CMU Service accepts for settlement from time to time that are, or are intended to be, cleared through the CMU Service.

"CMU Service" or "CMU" means the Central Moneymarkets Unit Service operated by the HKMA.

"Coupon Payout Conditions" means the Structured Floating Rate Coupon Payout Conditions (CPC Chapter 1), Inverse Floating Rate Coupon Payout Conditions (CPC Chapter 2), Fixed Rate Step-up/Step-down Coupon Payout Conditions (CPC Chapter 3), Fixed to Floating Coupon Payout Conditions (CPC Chapter 4), Floating to Fixed Coupon Payout Conditions (CPC Chapter 5), Fixed to Floating Switchable Coupon Payout Conditions (CPC Chapter 6), Floating to Fixed Switchable Coupon Payout Conditions (CPC Chapter 7), Fixed Rate Range

Base General Conditions

Accrual Coupon Payout Conditions (CPC Chapter 8), Floating Rate Range Accrual Coupon Payout Conditions (CPC Chapter 9), Fixed Rate Dual Range Accrual Coupon Payout Conditions (CPC Chapter 10), Floating Rate Dual Range Accrual Coupon Payout Conditions (CPC Chapter 11), Digital Coupon Payout Conditions (CPC Chapter 12), Inflation-Linked Coupon Payout Conditions (CPC Chapter 13), Inflation Protected Coupon Payout Conditions (CPC Chapter 14), Performance Coupon Payout Conditions (CPC Chapter 15) and Annualised Performance Coupon Payout Conditions (CPC Chapter 16).

"Currency Linked Autocall Notes" means Autocall Notes in respect of which "Currency Linked Autocall Provisions" is specified to be applicable in the relevant Issue Terms.

"Currency Linked Notes" means Currency Linked Interest Notes, Currency Linked Redemption Notes or Currency Linked Autocall Notes, as applicable.

"Currency Linked Interest Notes" means Notes in respect of which "Currency Linked Interest Provisions" is specified to be applicable in the relevant Issue Terms.

"Currency Linked Redemption Notes" means Notes in respect of which "Currency Linked Redemption Provisions" is specified to be applicable in the relevant Issue Terms.

"Day Count Fraction" means, in respect of the calculation of an amount of interest on any Note for any period of time (from and including the first day of such period to but excluding the last) (whether or not constituting an Interest Period or an Interest Accrual Period, the "Calculation Period"):

(i) if “Actual/Actual” or “Actual/Actual – ISDA” is specified in the relevant Issue Terms, the actual number of days in the Calculation Period divided by 365 (or, if any portion of that Calculation Period falls in a leap year, the sum of (A) the actual number of days in that portion of the Calculation Period falling in a leap year divided by 366 and (B) the actual number of days in that portion of the Calculation Period falling in a non-leap year divided by 365);

(ii) if “Actual/365 (Fixed)” is specified in the relevant Issue Terms, the actual number of days in the Calculation Period divided by 365;

(iii) if “Actual/360” is specified in the relevant Issue Terms, the actual number of days in the Calculation Period divided by 360;

(iv) if “30/360”, “360/360” or “Bond Basis” is specified in the relevant Issue Terms, the number of days in the Calculation Period divided by 360, calculated on a formula basis as follows:

$$
\text{Day Count Fraction} = \frac{[360 \times (\mathrm{Y}_2 - \mathrm{Y}_1)] + [30 \times (\mathrm{M}_2 - \mathrm{M}_1)] + (\mathrm{D}_2 - \mathrm{D}_1)}{360}
$$

where:

$\mathrm{Y}_1$ is the year, expressed as a number, in which the first day of the Calculation Period falls;

$\mathrm{Y}_2$ is the year, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls;

$\mathrm{M}_1$ is the calendar month, expressed as a number, in which the first day of the Calculation Period falls;

$\mathrm{M}_2$ is the calendar month, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls;

$\mathrm{D}_1$ is the first calendar day, expressed as a number, of the Calculation Period, unless such number would be 31, in which case D1 will be 30; and

$\mathrm{D}_2$ is the calendar day, expressed as a number, immediately following the last day included in the Calculation Period, unless such number would be 31 and $\mathrm{D}_1$ is greater than 29, in which case $\mathrm{D}_2$ will be 30;

Base General Conditions

(v) if “30E/360” or “Eurobond Basis” is specified in the relevant Issue Terms, the number of days in the Calculation Period divided by 360, calculated on a formula basis as follows:

$$
\text{Day Count Fraction} = \frac{[360 \times (\mathrm{Y}_2 - \mathrm{Y}_1)] + [30 \times (\mathrm{M}_2 - \mathrm{M}_1)] + (\mathrm{D}_2 - \mathrm{D}_1)}{360}
$$

where:

“Y₁” is the year, expressed as a number, in which the first day of the Calculation Period falls;
“Y₂” is the year, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls;
“M₁” is the calendar month, expressed as a number, in which the first day of the Calculation Period falls;
“M₂” is the calendar month, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls;
“D₁” is the first calendar day, expressed as a number, of the Calculation Period, unless such number would be 31, in which case D₁ will be 30; and
“D₂” is the calendar day, expressed as a number, immediately following the last day included in the Calculation Period, unless such number would be 31, in which case D₂ will be 30;

(vi) if “30E/360 (ISDA)” is specified in the relevant Issue Terms, the number of days in the Calculation Period divided by 360, calculated on a formula basis as follows:

$$
\text{Day Count Fraction} = \frac{[360 \times (\mathrm{Y}_2 - \mathrm{Y}_1)] + [30 \times (\mathrm{M}_2 - \mathrm{M}_1)] + (\mathrm{D}_2 - \mathrm{D}_1)}{360}
$$

where:

“Y₁” is the year, expressed as a number, in which the first day of the Calculation Period falls;
“Y₂” is the year, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls;
“M₁” is the calendar month, expressed as a number, in which the first day of the Calculation Period falls;
“M₂” is the calendar month, expressed as a number, in which the day immediately following the last day included in the Calculation Period falls;
“D₁” is the first calendar day, expressed as a number, of the Calculation Period, unless (A) that day is the last day of February or (B) such number would be 31, in which case D₁ will be 30; and
“D₂” is the calendar day, expressed as a number, immediately following the last day included in the Calculation Period, unless (x) that day is the last day of February but not the Maturity Date or (y) such number would be 31, in which case D₂ will be 30; and

(vii) if “Actual/Actual ICMA” is specified in the relevant Issue Terms:

(A) if the Calculation Period is equal to or shorter than the Determination Period during which it falls, the number of days in such Calculation Period divided by the product of:

(x) the number of days in such Determination Period; and
(y) the number of Determination Periods normally ending in any year; or

(B) if the Calculation Period is longer than one Determination Period, the sum of:

(x) the number of days in such Calculation Period falling in the Determination Period in which it begins divided by the product of (I) the number of days in such Determination Period and (II) the number of Determination Periods normally ending in any year; and

Base General Conditions

(y) the number of days in such Calculation Period falling in the next Determination Period divided by the product of (I) the number of days in such Determination Period and (II) the number of Determination Periods normally ending in any year;

where:

"Determination Date" means the date specified as such in the relevant Issue Terms or, if none is so specified, each Interest Payment Date; and

"Determination Period" means the period from and including a Determination Date (as specified in the relevant Issue Terms) in any year to but excluding the next Determination Date; and

(viii) if "Not Applicable" is specified in the relevant Issue Terms, 1.

"Early Redemption Amount" has the meaning given to it in Base General Condition 7(b) (Early Redemption).

"Early Redemption Date" has the meaning given to it in Base General Condition 7(i) (Redemption Following Benchmark Rate Event).

"Established Rate" means the rate for the conversion of the Specified Currency (taking into account rules relating to roundings in accordance with applicable European Community regulations) into Euro established by the Council of the European Union pursuant to the first sentence of Article 123 of the Treaty.

"Euro" means the currency introduced at the start of the third stage of European economic and monetary union pursuant to the Treaty on the Functioning of the European Union, as amended.

"Euroclear" means Euroclear Bank SA/NV.

"Eurozone" means the region comprising of Member States of the European Union that adopt or have adopted the single currency in accordance with the Treaty establishing the European Community, as amended.

"Final Redemption Amount" means, in respect of each Note,

(a) the product of:

(I) unless paragraph (II) below applies, the amount per Calculation Amount specified as such in the relevant Issue Terms (or if no such amount is specified, the Calculation Amount); or

(II) if a Redemption Payout Condition is specified in the relevant Issue Terms to be applicable, the amount per Calculation Amount equal to the Final Price (as defined in such Redemption Payout Condition),

and the Calculation Amount Factor less,

(b) if applicable, each Note's pro rata share of any Expenses.

"Hedging Party" means, in respect of Notes, any party hedging the price risk of such Notes through any hedge or related trading position.

"Hong Kong" means the Hong Kong Special Administrative Region of the People's Republic of China.

"HKMA" means the Hong Kong Monetary Authority appointed pursuant to Section 5A of the Exchange Fund Ordinance (Cap. 66 of the Laws of Hong Kong) or its successors.

"Independent Adviser" means an independent financial institution of international repute or an independent adviser of recognised standing with appropriate expertise appointed by the Bank at its own expense under Base General Condition 5(l)B (Benchmark Rate Event).

"Index Linked Autocall Notes" means Autocall Notes in respect of which "Index Linked Autocall Provisions" is specified to be applicable in the relevant Issue Terms.

Base General Conditions

"Index Linked Notes" means Index Linked Interest Notes, Index Linked Redemption Notes or Index Linked Autocall Notes, as applicable.

"Index Linked Interest Notes" means Notes in respect of which "Index Linked Interest Provisions" is specified to be applicable in the relevant Issue Terms.

"Index Linked Redemption Notes" means Notes in respect of which "Index Linked Redemption Provisions" is specified to be applicable in the relevant Issue Terms.

"Industry Standard Rate" means, in respect of a Benchmark Rate, the rate that is, in the determination of the Benchmark Rate Determination Agent, recognised or acknowledged as being the industry standard (or otherwise customarily widely adopted) replacement rate for over-the-counter derivative transactions which reference such Benchmark Rate, which recognition or acknowledgment may be in the form of a press release, a member announcement, a member advice, letter, protocol, publication of standard terms or otherwise by ISDA or any other industry body.

"Inflation Linked Notes" means Inflation Linked Interest Notes or Inflation Linked Redemption Notes, as applicable.

"Inflation Linked Interest Notes" means Notes in respect of which (i) which the Reference Item is an Inflation Index and (ii) a Coupon Payout Condition is specified in the relevant Issue Terms to be applicable.

"Inflation Linked Redemption Notes" means Notes in respect of which (i) which the Reference Item is an Inflation Index and (ii) a Redemption Payout Condition is specified in the relevant Issue Terms to be applicable.

"Initial Rate of Interest" means the initial rate of interest per annum specified in the Issue Terms.

"Interest Accrual Period" means the period beginning on (and including) the Interest Commencement Date and ending on (but excluding) the first Interest Period Date and each successive period beginning on (and including) an Interest Period Date and ending on (but excluding) the next succeeding Interest Period Date.

"Interest Amount" means:

(i) in respect of an Interest Accrual Period, the amount of interest payable per Calculation Amount for that Interest Accrual Period and which, in the case of Fixed Rate Notes, and unless otherwise specified in the relevant Issue Terms, shall mean the Fixed Coupon Amount or Broken Amount specified in the relevant Issue Terms as being payable on the Interest Payment Date falling at the end of the Interest Period of which such Interest Accrual Period forms part; and
(ii) in respect of any other period, the amount of interest payable per Calculation Amount for that period.

"Interest Commencement Date" means the Issue Date or such other date as may be specified in the relevant Issue Terms.

"Interest Determination Date" means, with respect to a Rate of Interest and Interest Accrual Period, the date specified as such in the relevant Issue Terms or, if none is so specified, (i) if the Reference Rate is SONIA, the fifth London Banking Day prior to the end of the relevant Interest Period, or (ii) if the Reference Rate is SOFR, five U.S. Government Securities Business Days prior to the end of the relevant Interest Period, or (iii) if the Reference Rate is EURIBOR, the second TARGET Business Day prior to the first day of such Interest Accrual Period, or (iv) if the Reference Rate is ESTR, the fifth TARGET Business Day prior to the end of the relevant Interest Period, or (v) if the Reference Rate is BBSW, the first day of such Interest Accrual Period, or (vi) if the Reference Rate is CDOR, the first day of such Interest Accrual Period, or (vii) if the Reference Rate is HIBOR, the first day of such Interest Accrual Period, or (viii) if the Reference Rate is SIBOR, the second Singapore business day prior to the first day of such Interest Accrual Period, or (ix) if the Reference Rate is STIBOR, the second Stockholm business day prior to the first day of such Interest Accrual Period, or (x) if the Reference Rate is TIBOR, the second Tokyo business day prior to the first day of such Interest Accrual Period, or (xi) if the Reference Rate is NIBOR, the second Oslo business day prior to the first day of such Interest Accrual

Base General Conditions

Period, or (xii) if the Reference Rate is SARON, the fifth Zurich Banking Day prior to the last day of such Interest Period, or (xiii) if the Reference Rate is SONIA Compounded Index, the fifth London Banking Day prior to the end of the relevant Interest Period, or (xiv) if the Reference Rate is SOFR Compounded Index, five U.S. Government Securities Business Days prior to the end of the relevant Interest Period, or (xv) if the Reference Rate is SARON Compounded Index, the fifth Zurich Banking Day prior to the last day of such Interest Period.

“Interest Payment Date” means each date specified as such in the relevant Issue Terms.

“Interest Period” means the period beginning on (and including) the Interest Commencement Date and ending on (but excluding) the first Interest Payment Date and each successive period beginning on (and including) an Interest Payment Date and ending on (but excluding) the next succeeding Interest Payment Date.

“Interest Period Date” means each Interest Payment Date unless otherwise specified in the relevant Issue Terms.

“ISDA Definitions” means (i) unless otherwise specified in the relevant Issue Terms or if “2006” is specified in the relevant Issue Terms, the 2006 ISDA Definitions, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes, as amended and supplemented up to and including the Issue Date for the first Tranche of the Notes; or (ii) if “2021” is specified in the relevant Issue Terms, the latest version of the 2021 ISDA Interest Rate Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes as at the Issue Date for the first Tranche of the Notes; or (iii) as otherwise specified in the relevant Issue Terms.

“Issue Date” means the issue date specified as such in the relevant Issue Terms.

“Issue Terms” has the meaning in the preamble hereto.

“Lock-out Period” means the period from, and including, the day following the Interest Determination Date to, but excluding, the corresponding Interest Period Date.

“Multi-Asset Basket Linked Autocall Notes” means Autocall Notes in respect of which “Multi-Asset Basket Linked Autocall Provisions” is specified to be applicable in the relevant Issue Terms.

“Multi-Asset Basket Linked Interest Notes” means Notes in respect of which “Multi-Asset Basket Linked Interest Provisions” is specified to be applicable in the relevant Issue Terms.

“Multi-Asset Basket Linked Notes” means Multi-Asset Basket Linked Interest Notes, Multi-Asset Basket Linked Redemption Notes or Multi-Asset Basket Linked Autocall Notes, as applicable.

“Multi-Asset Basket Linked Redemption Notes” means Notes in respect of which “Multi-Asset Basket Linked Redemption Provisions” is specified to be applicable in the relevant Issue Terms.

“New York Fed’s Website” means the website of the Federal Reserve Bank of New York currently at http://www.newyorkfed.org, or any successor website of the Federal Reserve Bank of New York.

“Observation Period” has the meaning given in Base General Condition 5(b)(B) (Screen Rate Determination for Floating Rate Notes).

“Optional Redemption Amount” means the amount so specified in the applicable Issue Terms (if any).

“Payout Conditions” means the Coupon Payout Conditions and the Redemption Payout Conditions.

“PRC” means the People’s Republic of China which, for the purpose of these Base General Conditions, shall exclude Hong Kong, the Macau Special Administrative Region of the People’s Republic of China and Taiwan.

“Priority Fallback” has the meaning given to it in Base General Condition 5(m) (Specific Provisions for Certain Benchmark Rates).

Base General Conditions

"Rate Linked Autocall Notes" means Autocall Notes in respect of which "Rate Linked Autocall Provisions" is specified to be applicable in the relevant Issue Terms.

"Rate Linked Interest Notes" means Notes in respect of which "Rate Linked Interest Provisions" is specified to be applicable in the relevant Issue Terms.

"Rate Linked Notes" means Rate Linked Interest Notes, Rate Linked Redemption Notes or Rate Linked Autocall Notes, as applicable.

"Rate Linked Redemption Notes" means Notes in respect of which "Rate Linked Redemption Provisions" is specified to be applicable in the relevant Issue Terms.

"Rate of Interest" means the rate of interest payable from time to time in respect of this Note and that is either specified in or calculated in accordance with the provisions of Base General Condition 5 (Interest and other Calculations) or the relevant Coupon Payout Conditions, in each case as supplemented or completed by the relevant Issue Terms.

"Recommended Adjustment Spread" means, with respect to any Recommended Replacement Rate, the spread (which may be positive, negative or zero), or formula or methodology for calculating such a spread:

(i) that the Recommending Body has recommended be applied to such Recommended Replacement Rate in the case of fixed income securities with respect to which such Recommended Replacement Rate has replaced the Swiss Average Rate Overnight as the reference rate for purposes of determining the applicable rate of interest thereon; or

(ii) if the Recommending Body has not recommended such a spread, formula or methodology as described in paragraph (i) above, to be applied to such Recommended Replacement Rate in order to reduce or eliminate, to the extent reasonably practicable under the circumstances, any economic prejudice or benefit (as applicable) to Noteholders as a result of the replacement of the Swiss Average Rate Overnight with such Recommended Replacement Rate for purposes of determining SARON, which spread will be determined by the Bank, following consultation with the Independent Adviser, and be consistent with industry-accepted practices for fixed income securities with respect to which such Recommended Replacement Rate has replaced the Swiss Average Rate Overnight as the reference rate for purposes of determining the applicable rate of interest thereon.

"Recommending Body" means any working group or committee in Switzerland organised in the same or a similar manner as the National Working Group on Swiss Franc Reference Rates that was founded in 2013 for purposes of, among other things, considering proposals to reform reference interest rates in Switzerland.

"Recommended Replacement Rate" means the rate that has been recommended as the replacement for the Swiss Average Rate Overnight by the Recommending Body.

"Redemption Payout Conditions" means the Performance Redemption Payout Conditions (RPC Chapter 1), Performance Plus Downside Redemption Payout Conditions (RPC Chapter 2), Performance Plus Conditional Downside Redemption Payout Conditions (RPC Chapter 3), Absolute Performance Redemption Payout Conditions (RPC Chapter 4), Reverse Convertible Redemption Payout Conditions (RPC Chapter 5), Reverse Convertible Plus Conditional Downside Redemption Payout Conditions (RPC Chapter 6), Inflation Protected Redemption Payout Conditions (RPC Chapter 7) and Dual Currency Redemption Payout Conditions (RPC Chapter 8).

"Redenomination Date" means the date on which the country of the Acceding Currency first participates in the third stage of European economic and monetary union.

"Reference Banks" means the entities specified as such in the Issue Terms or, if none are so specified, (i) in the case of a determination of EURIBOR, the principal Eurozone office of four major banks in the Eurozone interbank market; (ii) in the case of a determination of BBSW, the principal Sydney office of the five financial institutions authorized to quote on the BBSW Page; (iii) in the case of a determination of CDOR, the principal

Base General Conditions

Toronto office of four major Canadian Schedule 1 chartered banks; (iv) in the case of a determination of HIBOR, the principal Hong Kong office of four major banks in the Hong Kong interbank market; (v) in the case of a determination of NIBOR, the principal Oslo office of four major banks in the Oslo interbank market; (vi) in the case of a determination of SIBOR, the principal Singapore office of four major banks in the Singapore interbank market; (vii) in the case of a determination of STIBOR, the principal Stockholm office of four major banks in the Stockholm interbank market; or (viii) in the case of a determination of TIBOR, the principal Tokyo office of four major banks in the Tokyo interbank market, in each case selected by the Calculation Agent in consultation with the Bank or as specified in the relevant Issue Terms.

"Reference Day" means each Business Day in the relevant Interest Accrual Period, other than any Business Day in the Lock-out Period.

"Reference Item" means each Index (as defined in the Index Linked Asset Conditions), Inflation Index (as defined in the Inflation Linked Asset Conditions), FX Rate (as defined in the Currency Linked Asset Conditions) or Underlying Rate (as defined in the Rate Linked Asset Conditions), specified as such in the relevant Issue Terms.

"Reference Item Linked Redemption Notes" means Index Linked Redemption Notes, Inflation Linked Redemption Notes, Currency Linked Redemption Notes, Rate Linked Redemption Notes or Multi-Asset Basket Linked Redemption Notes, as applicable.

"Reference Rate" means: (i) the Eurozone interbank offered rate ("EURIBOR"); (ii) the Australian Bank Bill Swap rate ("BBSW"); (iii) the Canadian Dollar bankers acceptances rate ("CDOR"); (iv) the Hong Kong interbank offered rate ("HIBOR"); (v) the Singapore dollars interbank offered rate ("SIBOR"); (vi) the Stockholm interbank offered rate ("STIBOR"); (vii) the Tokyo interbank offered rate ("TIBOR"); (viii) the Norwegian kroner interbank offered rate ("NIBOR"), in each case, for the designated maturity as specified in the relevant Issue Terms; (ix) the Euro short-term rate ("€STR"), in respect of any Business Day, a reference rate equal to the daily euro short-term rate as provided by the European Central Bank (or any successor), as the administrator of such rate (or any successor administrator of such rate) on the website of the European Central Bank (or of any successor administrator), in each case, at the time specified by, or determined in accordance with, the applicable methodology, policies or guidelines, of the administrator of such rate on the Business Day immediately following such Business Day; (x) Sterling overnight index average ("SONIA") as provided by the administrator of SONIA to authorised distributors and as then published on the Relevant Screen Page or, if the Relevant Screen Page is unavailable, as otherwise published by such authorised distributors in each case on the Business Day immediately following the Business Day in respect of which the rate is provided; (xi) the Secured Overnight Financing Rate ("SOFR") as provided by the Federal Reserve Bank of New York, as the administrator of such rate (or any successor administrator of such rate) on the New York Fed's Website, in each case on or about 5:00 p.m. (New York City Time) on the Business Day immediately following the Business Day in respect of which the rate is provided; (xii) the daily Swiss Average Rate Overnight ("SARON") as published by the SARON Administrator on the SIX Group's Website at close of trading on the trading platform of SIX Repo AG (or any successor thereto) on such Zurich Banking Day in respect of which the rate is provided, which is expected to be on or around 6:00 p.m. (Zurich time); (xiii) the index known as the SONIA Compounded Index ("SONIA Compounded Index") as published by authorised distributors on the Relevant Screen Page on such London Business Day or, if the value of the SONIA Compounded Index cannot be obtained from such authorised distributors, as published on the Bank of England's Website at www.bankofengland.co.uk/boeapps/database/ (or such other page or website as may replace such page for the purposes of publishing the SONIA Compounded Index) on such London Business Day in respect of which the rate is provided; (xiv) the index known as the SOFR Compounded Index ("SOFR Compounded Index") administered by the Federal Reserve Bank of New York (or any successor administrator thereof), as published on the SOFR Administrator's Website at 3:00 p.m. (New York City time) on such U.S. Government Securities Business Day in respect of which the rate is provided; or (xv) the index known as the SARON Compounded Index ("SARON Compounded Index") as published by the SARON Administrator on the SIX Group's Website at close of trading on the trading platform of SIX Repo AG (or any successor thereto) on such Zurich

Base General Conditions

Banking Day in respect of which the rate is provided, which is expected to be on or around 6:00 p.m. (Zurich time).

"Relevant Interbank Market" means the market specified as such in the Issue Terms or, if none are so specified, (i) if the Reference Rate is SONIA, the London interbank market; (ii) if the Reference Rate is EURIBOR, the Eurozone interbank market; (iii) if the Reference Rate is BBSW, the Sydney interbank market; (iv) if the Reference Rate is CDOR, the Toronto interbank market; (v) if the Reference Rate is HIBOR, the Hong Kong interbank market; (vi) if the Reference Rate is NIBOR, the Oslo interbank market; (vii) if the Reference Rate is SIBOR, the Singapore interbank market; (viii) if the Reference Rate is STIBOR, the Stockholm interbank market; or (ix) if the Reference Rate is TIBOR, the Tokyo interbank market.

"Relevant Market Data" means, in relation to any determination, any relevant information including, without limitation, one or more of the following types of information:

(i) information consisting of relevant market data in the relevant market supplied by one or more third parties including, without limitation, alternative benchmarks, relevant rates, prices, yields, yield curves, volatilities, spreads, correlations or other relevant market data in the relevant market; or
(ii) information of the type described in sub-paragraph (i) above from the Reference Rate Determination Agent's internal sources if that information is of the same type used by the Reference Rate Determination Agent for adjustments to, or valuations of, similar transactions.

Relevant Market Data will include information pursuant to sub-paragraph (i) above unless that information is not readily available or, if used to make a determination, would produce a result that is not commercially reasonable. Third parties supplying market data pursuant to sub-paragraph (i) above may include, without limitation, central counterparties, exchanges, dealers in the relevant markets, end-users of the relevant product, information vendors, brokers and other recognised sources of market information.

"Relevant Nominating Body" means, in respect of a Benchmark Rate:

(i) the central bank for the currency to which the Benchmark Rate relates, or any central bank or other supervisory authority which is responsible for supervising the administrator of the Benchmark Rate; or
(ii) any working group or committee sponsored by, chaired or co-chaired by or constituted at the request of (a) the central bank for the currency to which the Benchmark Rate relates, (b) any central bank or other supervisory authority which is responsible for supervising the Benchmark Rate or the administrator of the Benchmark Rate, (c) a group of the aforementioned central banks or other supervisory authorities or (d) the Financial Stability Board or any part thereof.

"Relevant Screen Page" means such page, section, caption, column or other part of a particular information service on which the Reference Rate may be published (if Screen Rate Determination applies) as may be specified in the relevant Issue Terms and any successor thereto as determined by the Calculation Agent in consultation with the Bank.

"Relevant Time" means the time specified as such in the Issue Terms or, if none are so specified, (i) if the Reference Rate is SONIA, approximately 11:00 a.m. (London time); (ii) if the Reference Rate is EURIBOR or €STR, approximately 11:00 a.m. (Brussels time); (iii) if the Reference Rate is BBSW, approximately 10:00 a.m. (Sydney time); (iv) if the Reference Rate is CDOR, approximately 10:00 a.m. (Toronto time); (v) if the Reference Rate is HIBOR, approximately 11:00 a.m. (Hong Kong time); (vi) if the Reference Rate is NIBOR, approximately 12:00 noon (Oslo time); (vii) if the Reference Rate is SIBOR, approximately 11:00 a.m. (Singapore time); (viii) if the Reference Rate is STIBOR, approximately 11:00 a.m. (Stockholm time); (ix) if the Reference Rate is TIBOR, approximately 11:00 a.m. (Tokyo time); (x) if the Reference Rate is SARON, close of trading on the trading platform of SIX Repo AG (or any successor thereto), which is expected to be on or around 6:00 p.m. (Zurich time); (xi) if the Reference Rate is SONIA Compounded Index, approximately 10:00 a.m. (London time); (xii) if the Reference Rate is SOFR Compounded Index, approximately 8:00 a.m. (New York City Time); or (xiii) if the Reference Rate is SARON Compounded Index, close of trading on the

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Base General Conditions

trading platform of SIX Repo AG (or any successor thereto), which is expected to be on or around 6:00 p.m. (Zurich time).

"Renminbi" means the lawful currency of the People's Republic of China.

"Replacement Benchmark Rate" means, in respect of a Series and a Benchmark Rate:

(i) the Alternative Pre-nominated Benchmark Rate (if any); or
(ii) if paragraph (i) above does not apply or if the Benchmark Rate Determination Agent determines that (a) it is or would be unlawful at any time under any applicable law or regulation or (b) would contravene any applicable licensing requirements for the Bank or the Calculation Agent to perform the calculations prescribed in Base General Conditions 5(l) (Benchmark Rate Event) (or it would be unlawful or would contravene those licensing requirements were a calculation to be made at such time) using the Alternative Pre-nominated Benchmark Rate, (a) an Alternative Post-nominated Benchmark Rate which the Benchmark Rate Determination Agent determines is an Industry Standard Rate or (b) if the Benchmark Rate Determination Agent determines that there is no Alternative Post-nominated Benchmark Rate or that no Alternative Post-nominated Benchmark Rate is an Industry Standard Rate, any other index, benchmark or other price source selected by the Benchmark Rate Determination Agent.

If the Replacement Benchmark Rate is determined to be an Alternative Post-nominated Benchmark Rate, the Benchmark Rate Determination Agent shall specify a date on which the index, benchmark or other price source was recognised or acknowledged as being the relevant industry standard (which may be before such index, benchmark or other price source commences) in the notice to the Noteholders specifying the Replacement Benchmark Rate.

"Replacement Benchmark Rate Adjustment Spread" means, in respect of any Series and any Replacement Benchmark Rate, the adjustment, if any, to a Replacement Benchmark Rate that the Benchmark Rate Determination Agent determines, acting in good faith and in a commercially reasonable manner, which is required as a result of the replacement of the Benchmark Rate with the Replacement Benchmark Rate. Any such adjustment may take account of, without limitation, any transfer of economic value as a result of any difference in the term structure or tenor of the Replacement Benchmark Rate by comparison to the Benchmark Rate. The Replacement Benchmark Rate Adjustment Spread may be positive, negative or zero or determined pursuant to a formula or methodology. If the Benchmark Rate Determination Agent is required to determine the Replacement Benchmark Rate Adjustment Spread, it shall consider Relevant Market Data. If a spread or methodology for calculating a spread has been formally designated, nominated or recommended by any Relevant Nominating Body in relation to the replacement of the Benchmark Rate with the relevant Replacement Benchmark Rate, the Replacement Benchmark Rate Adjustment Spread shall be determined on the basis of such recommendation (adjusted as necessary to reflect the fact that the spread or methodology is used in the context of the Notes).

"Replacement Benchmark Rate Amendments" has the meaning given to it in Base General Condition 5(l) (Benchmark Rate Event).

"Risk-Free Rate Event" has the meaning given to it in the definition of "Benchmark Rate Event".

"Risk-Free Rate Event Date" has the meaning given to it in the definition of "Benchmark Rate Event".

"RNS" means the Regulatory News Services, a news service provided by the London Stock Exchange.

"SARON" means, in respect of any Business Day, a reference rate equal to the daily Swiss Average Rate Overnight as published by the SARON Administrator on the SIX Group's Website at the Specified Time on such Business Day.

"SARON Administrator" means SIX Financial Information AG (including any successor thereto) or any successor administrator of the Swiss Average Rate Overnight. "SARON Index Cessation Effective Date" means the earliest of:

101

Base General Conditions

(i) in the case of the occurrence of a SARON Index Cessation Event described in paragraph (i) of the definition thereof, the date on which the SARON Administrator ceases to provide the Swiss Average Rate Overnight;

(ii) in the case of the occurrence of a SARON Index Cessation Event described in paragraph (ii)(x) of the definition thereof, the latest of:

a. the date of such statement or publication;

b. the date, if any, specified in such statement or publication as the date on which the Swiss Average Rate Overnight will no longer be representative; and

c. if a SARON Index Cessation Event described in paragraph (ii)(y) of the definition thereof has occurred on or prior to either or both dates specified in paragraphs a. and b. of this paragraph (ii), the date as of which the Swiss Average Rate Overnight may no longer be used; and

(iii) in the case of the occurrence of a SARON Index Cessation Event described in paragraph (ii)(y) of the definition thereof, the date as of which the Swiss Average Rate Overnight may no longer be used.

"SARON Index Cessation Event" means the occurrence of one or more of the following events:

(i) a public statement or publication of information by or on behalf of the SARON Administrator, or by any competent authority, announcing or confirming that the SARON Administrator has ceased or will cease to provide the Swiss Average Rate Overnight permanently or indefinitely, provided that, at the time of such statement or publication, there is no successor administrator that will continue to provide the Swiss Average Rate Overnight; or

(ii) a public statement or publication of information by the SARON Administrator or any competent authority announcing that (x) the Swiss Average Rate Overnight is no longer representative or will as of a certain date no longer be representative, or (y) the Swiss Average Rate Overnight may no longer be used after a certain date, which statement, in the case of sub-clause (y), is applicable to (but not necessarily limited to) fixed income securities and derivatives.

"SIX Group's Website" means the website of the SIX Group, or any successor website or other source on which the Swiss Average Rate Overnight or as the case may be, the SARON Index is published.

"SNB Adjustment Spread" means, with respect to the SNB Policy Rate, the spread (which may be positive, negative or zero) to be applied to the SNB Policy Rate in order to reduce or eliminate, to the extent reasonably practicable under the circumstances, any economic prejudice or benefit (as applicable) to Noteholders as a result of the replacement of the Swiss Average Rate Overnight with the SNB Policy Rate for purposes of determining SARON, which spread will be determined by the Bank, following consultation with the Independent Adviser, taking into account the historical median between the Swiss Average Rate Overnight and the SNB Policy Rate during the two year period ending on the date on which the SARON Index Cessation Event occurred (or, if more than one SARON Index Cessation Event has occurred, the date on which the first of such events occurred).

"Specified Currency" means the currency specified in the relevant Issue Terms or, if none is specified, the currency of the Notes.

"Specified Time" means, in respect of any Business Day, close of trading on the trading platform of SIX Repo AG (or any successor thereto) on such Business Day, which is expected to be on or around 6:00 p.m. (Zurich time).

"Sterling" means pounds sterling.

"TARGET Business Day" means a day on which the TARGET System is operating.

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Base General Conditions

"TARGET System" means the Trans-European Automated Real-Time Gross Settlement Express Transfer (known as TARGET2) System or any successor thereto.

"Trade Date" means the trade date (if any) specified as such in the relevant Issue Terms.

"Tranche" means, in respect of a Series, those Notes of that Series issued on the same date at the same issue price and in respect of which the first payment of interest is identical.

"Treaty" means the Treaty establishing the European Community, as amended.

"U.S. dollars" means United States dollars.

"U.S. Government Securities Business Day" means any day except for a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association (or any successor organisation) recommends that the fixed income departments of its members be closed for the entire day for the purposes of trading in U.S. government securities.

"Zero Coupon Note" means a Note the Interest Basis of which is specified to be Zero Coupon.

3 Exchanges of Exchangeable Bearer Notes and Transfers of Registered Notes

(a) Exchange of Exchangeable Bearer Notes

Subject as provided in Base General Condition 3(f) (Closed Periods), Exchangeable Bearer Notes may be exchanged for the same aggregate nominal amount of Registered Notes at the request in writing of the relevant Noteholder and upon surrender of each Exchangeable Bearer Note to be exchanged, together with all unmatured Receipts, Coupons and Talons relating to it, at the specified office of any Transfer Agent; provided, however, that where an Exchangeable Bearer Note is surrendered for exchange after the Record Date (as defined in Base General Condition 8(b) (Registered Notes)) for any payment of interest, the Coupon in respect of that payment of interest need not be surrendered with it. Registered Notes may not be exchanged for Bearer Notes. Bearer Notes of one Specified Denomination may not be exchanged for Bearer Notes of another Specified Denomination. Bearer Notes that are not Exchangeable Bearer Notes may not be exchanged for Registered Notes.

(b) Transfer of Registered Notes

One or more Registered Notes may be transferred upon the surrender (at the specified office of the Registrar or any Transfer Agent) of the Note Certificate representing such Registered Notes to be transferred, together with the form of transfer endorsed on such Note Certificate duly completed and executed and such other evidence as the Registrar or Transfer Agent may reasonably require to prove the title of the transferor. In the case of a transfer of part only of a holding of Registered Notes represented by one Note Certificate, a new Note Certificate shall be issued to the transferee in respect of the part transferred and a further new Note Certificate in respect of the balance of the holding not transferred shall be issued to the transferor. All transfers of Notes and entries on the Register will be made subject to the detailed regulations concerning transfers of Notes scheduled to the Agency Agreement. The regulations may be changed by the Bank, with the prior written approval of the Registrar and the Noteholders. A copy of the current regulations will be made available by the Registrar to any Noteholder upon request.

(c) Exercise of Options or Partial Redemption in Respect of Registered Notes

In the case of an exercise of the Bank's or a Noteholder's option in respect of, or a partial redemption of, a holding of Registered Notes represented by a single Note Certificate, a new Note Certificate shall be issued to the holder to reflect the exercise of such option or in respect of the balance of the holding not redeemed. In the case of a partial exercise of an option resulting in Registered Notes of the same holding having different terms, separate Note Certificates shall be issued in respect of those Notes of that holding that have the same terms. New Note Certificates shall only be issued against surrender of

103

Base General Conditions

the existing Note Certificates to the Registrar or any Transfer Agent. In the case of a transfer of Registered Notes to a person who is already a holder of Registered Notes, a new Note Certificate representing the enlarged holding shall only be issued against surrender of the Note Certificate representing the existing holding.

(d) Delivery of New Note Certificates

Each new Note Certificate to be issued pursuant to Base General Condition 3(a) (Exchange of Exchangeable Bearer Notes), 3(b) (Transfer of Registered Notes) or 3(c) (Exercise of Options or Partial Redemption in Respect of Registered Notes) shall be available for delivery within three business days of receipt of the request for exchange, form of transfer or Note Exercise Notice (as defined in Base General Condition 7(f) (Redemption at the Option of Noteholders)) or surrender of the Note Certificate for exchange. Delivery of the new Note Certificate(s) shall be made at the specified office of the Transfer Agent or of the Registrar (as the case may be) to whom delivery or surrender of such request for exchange, form of transfer, Note Exercise Notice or Note Certificate shall have been made or, at the option of the holder making such delivery or surrender as aforesaid and as specified in the relevant request for exchange, form of transfer, Note Exercise Notice or otherwise in writing, be mailed by uninsured post at the risk of the holder entitled to the new Note Certificate to such address as may be so specified, unless such holder requests otherwise and pays in advance to the relevant Fiscal Agent the costs of such other method of delivery and/or such insurance as it may specify. In this Base General Condition 3(d) (Delivery of New Note Certificates), "business day" means a day, other than a Saturday or Sunday, on which banks are open for business in the place of the specified office of the relevant Transfer Agent or the Registrar (as the case may be).

(e) Exchange Free of Charge

Exchange and transfer of Notes and Note Certificates on registration, transfer, exercise of an option or partial redemption shall be effected without charge by or on behalf of the Bank, the Registrar or the Transfer Agents, but upon payment of any tax or other governmental charges that may be imposed in relation to it (or the giving of such indemnity as the Registrar or the relevant Transfer Agent may reasonably require).

(f) Closed Periods

No Noteholder may require the transfer of a Registered Note to be registered or an Exchangeable Bearer Note to be exchanged for one or more Registered Note(s) (i) during the period of 15 days ending on the due date for redemption of, or payment of any Instalment Amount in respect of, that Note, (ii) during the period of 15 days prior to any date on which Notes may be called for redemption by the Bank at its option pursuant to Base General Condition 7(e) (Redemption at the Option of the Bank), (iii) after any such Note has been called for redemption or (iv) during the period of seven days ending on (and including) any Record Date. An Exchangeable Bearer Note called for redemption may, however, be exchanged for one or more Registered Note(s) in respect of which the Note Certificate is simultaneously surrendered not later than the relevant Record Date.

4 Status of the Notes

Subject to such exceptions as may be provided by mandatory provisions of applicable law, the Notes and the Receipts and Coupons relating to them constitute unsecured, unguaranteed and unsubordinated obligations of the Bank and rank pari passu without any preference among themselves and at least pari passu with all other present and future unsecured and unsubordinated obligations of the Bank.

5 Interest and other Calculations

The Notes may bear interest by reference to:

(a) one or more fixed rates ("Fixed Rate Notes");

Base General Conditions

(b) one or more floating rates (“Floating Rate Notes”); or
(c) a rate determined in accordance with a Coupon Payout Condition, as specified in the relevant Issue Terms (“Structured Rate Notes”).

Structured Rate Notes may bear interest by reference to one or more Reference Items, as specified in the relevant Issue Terms.

(a) Interest on Fixed Rate Notes

Each Fixed Rate Note bears interest on its outstanding nominal amount from (and including) the Interest Commencement Date at the rate(s) per annum (expressed as a percentage) equal to the Rate(s) of Interest, and such interest shall be payable, subject as provided herein, in arrear on each Interest Payment Date. The amount of interest payable shall be determined in accordance with this Base General Condition 5 (Interest and other Calculations).

(b) Interest on Floating Rate Notes

(a) Interest Payment Dates

Each Floating Rate Note bears interest on its outstanding nominal amount from (and including) the Interest Commencement Date at the rate per annum (expressed as a percentage) equal to the Rate of Interest, such interest being payable in arrear on each Interest Payment Date. The Interest Amount shall be determined in accordance with Base General Condition 5(g) (Calculations).

(b) Rate of Interest for Floating Rate Notes

The Rate of Interest in respect of Floating Rate Notes for each Interest Accrual Period shall be determined in accordance with the provisions below relating to either ISDA Determination, Screen Rate Determination or CMS Rate Determination, depending upon which is specified in the relevant Issue Terms to be applicable. Unless otherwise stated in the relevant Issue Terms, the Minimum Rate of Interest shall be deemed to be zero.

(A) ISDA Determination for Floating Rate Notes

Where ISDA Determination is specified in the relevant Issue Terms as the manner in which the Rate of Interest is to be determined, the Rate of Interest for each Interest Accrual Period shall be determined by the Calculation Agent as a rate equal to the relevant ISDA Rate (subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding), if applicable). For the purposes of this paragraph (A), “ISDA Rate” for an Interest Accrual Period means a rate equal to the Floating Rate that would be determined by the Calculation Agent under a Swap Transaction that is governed by an ISDA Master Agreement which incorporates the ISDA Definitions and under which:

(w) the Floating Rate Option is as specified in the relevant Issue Terms;
(x) the Designated Maturity is a period specified in the relevant Issue Terms;
(y) the relevant Reset Date is the first day of that Interest Accrual Period (unless otherwise specified in the relevant Issue Terms); and
(z) if the Floating Rate Option is an Overnight Floating Rate Option:

(1) Compounding with Lookback is applicable if specified in the relevant Issue Terms;
(2) Compounding with Observation Period Shift is applicable if specified in the relevant Issue Terms and, if so, Set-in-Advance is applicable if specified as such in the relevant Issue Terms;

Base General Conditions

(3) Compounding with Lockout is applicable if specified in the relevant Issue Terms; or
(4) OIS Compounding is applicable if specified in the relevant Issue Terms; and
(5) in connection with the Overnight Rate Compounding Method, references in the ISDA Definitions to numbers, financial centers or other items specified in the Confirmation shall be deemed to be references to the numbers, financial centers or other items specified for such purpose in the relevant Issue Terms and references in the ISDA Definitions to "Calculation Period", "Floating Rate Day Count Fraction", "Period End Date", "Termination Date" and "Effective Date" shall be deemed to be references to Business Day, the relevant Interest Accrual Period, the Day Count Fraction, the relevant Interest Period Date, the final Interest Period Date and the Interest Commencement Date respectively;

provided that, if no Benchmark Rate Event has occurred and the Rate of Interest cannot be determined in accordance with the foregoing provisions of this paragraph, the Rate of Interest shall be determined by the Calculation Agent, in consultation with the Bank, in a commercially reasonable manner (though applying the Margin, Maximum Rate of Interest and/or Minimum Rate of Interest, if any, relating to the Interest Accrual Period).

For the purposes of this paragraph (A), "Calculation Agent", "Compounding with Lockout", "Compounding with Lookback", "Compounding with Observation Period Shift", "Confirmation", "Designated Maturity", "Floating Rate", "Floating Rate Option", "OIS Compounding", "Overnight Floating Rate Option", "Overnight Rate Compounding Method", "Reset Date" and "Swap Transaction" have the meanings given to them in the ISDA Definitions.

(B) Screen Rate Determination for Floating Rate Notes

(I) If "Applicable – Term Rate" is specified as the method of Screen Rate Determination in the applicable Issue Terms:

(x) Where Screen Rate Determination is specified in the relevant Issue Terms as the manner in which the Rate of Interest is to be determined, the Rate of Interest for each Interest Accrual Period will, subject as provided below and subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding) and Base General Condition 5(l) (Benchmark Rate Event), be either:

(I) the offered quotation; or
(II) the arithmetic mean of the offered quotations,

(expressed as a percentage rate per annum) for the Reference Rate which appears or appear, as the case may be, on the Relevant Screen Page as at the Relevant Time on the Interest Determination Date in question as determined by the Calculation Agent plus or minus (as indicated in the Issue Terms) the applicable Margin (if any). If five or more of such offered quotations are available on the Relevant Screen Page, the highest (or, if there is more than one such highest quotation, one only of such quotations) and the lowest (or, if there is more than one such lowest quotation, one only of such quotations) shall be disregarded by the Calculation Agent for the purpose of determining the arithmetic mean of such offered quotations.

(y) If no Benchmark Rate Event has occurred and if the Relevant Screen Page is not available or if paragraph (x)(I) above applies and no such offered quotation appears on the Relevant Screen Page or if paragraph (x)(II) above applies and fewer than three such offered

Base General Conditions

quotations appear on the Relevant Screen Page, in each case, as at the time specified above, subject as provided below, the Calculation Agent shall request each of the Reference Banks to provide the Calculation Agent with its offered quotation (expressed as a percentage rate per annum) for the Reference Rate at the Relevant Time on the Interest Determination Date in question. If two or more of the Reference Banks provide the Calculation Agent with such offered quotations, the Rate of Interest for such Interest Accrual Period shall be the arithmetic mean of such offered quotations, plus or minus (as indicated in the applicable Issue Terms) the applicable Margin (if any), all as determined by the Calculation Agent.

(z) If paragraph (y) above applies and the Calculation Agent determines that fewer than two Reference Banks are providing offered quotations, subject as provided below, the Rate of Interest shall be the sum of (A) the applicable Margin (if any) (which may be positive or negative, as indicated in the applicable Issue Terms) and (B) the arithmetic mean of the rates per annum (expressed as a percentage) as communicated to (and at the request of) the Calculation Agent by the Reference Banks or any two or more of them, at which such banks were offered, at the Relevant Time on the relevant Interest Determination Date, deposits in the Specified Currency (as defined in Base General Condition 2 (Definitions)) for a period equal to that which would have been used for the Reference Rate by leading banks in the Relevant Interbank Market, or, if fewer than two of the Reference Banks provide the Calculation Agent with such offered rates, the offered rate for deposits in the Specified Currency for a period equal to that which would have been used for the Reference Rate, or the arithmetic mean of the offered rates for deposits in the Specified Currency for a period equal to that which would have been used for the Reference Rate at which, at the Relevant Time on the relevant Interest Determination Date, any one or more banks (which bank or banks is or are in the opinion of the Bank suitable for such purpose) informs the Calculation Agent it is quoting to leading banks in the Relevant Interbank Market, provided that, if the Rate of Interest cannot be determined in accordance with the foregoing provisions of this paragraph (z), the Rate of Interest shall be determined by the Calculation Agent, in consultation with the Bank, in a commercially reasonable manner though applying the Margin, Maximum Rate of Interest and/or Minimum Rate of Interest, if any, relating to the Interest Accrual Period to which such Rate of Interest applies.

(II) If “Applicable – Overnight Rate” is specified as the method of Screen Rate Determination in the applicable Issue Terms:

(i) where the Calculation Method in respect of the relevant Series of Floating Rate Notes is specified in the applicable Issue Terms as being “Compounded Daily”, the Rate of Interest for each Interest Accrual Period will, subject as provided below and subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding) and Base General Condition 5(l) (Benchmark Rate Event), be the Compounded Daily Reference Rate plus or minus (as indicated in the applicable Issue Terms) the Margin (if any), where:

“Compounded Daily Reference Rate” means, with respect to an Interest Accrual Period, the rate of return of a daily compound interest investment in the Specified Currency (with the applicable Reference Rate (as indicated in the applicable Issue Terms and further provided for below) as the reference rate for the calculation of interest) and will be calculated by the Calculation Agent (or such other party responsible for the calculation of the Rate of Interest, as specified in the applicable Issue Terms) on the relevant Interest Determination Date:

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Base General Conditions

(i) as further specified in the applicable Issue Terms; or
(ii) (if “Index Determination” is specified as being applicable in the applicable Issue Terms) in accordance with the following formula, and the resulting percentage will be rounded if necessary to the Relevant Decimal Place:

$$
\left(\frac {\text {Compounded Index}}{\text {Compounded Index}} \frac {\text {END}}{\text {START}} - 1\right) X \frac {\text {Numerator}}{d}
$$

where:

“Compounded Index END” means the Compounded Index Value on the last day of the relevant Index Observation Period;

“Compounded Index START” means the Compounded Index Value on the first day of the relevant Index Observation Period;

“Compounded Index Value” shall mean any of (i) SONIA Compounded Index Value (if “SONIA Compounded Index” is specified as applicable in the applicable Issue Terms); (ii) SOFR Compounded Index Value (if “SOFR Compounded Index” is specified as applicable in the applicable Issue Terms); or (iii) SARON Compounded Index Value (if “SARON Compounded Index” is specified as applicable in the applicable Issue Terms);

“d” is the number of calendar days in the relevant Index Observation Period;

“Index Business Days” means, in the case of the SONIA Compounded Index, London Banking Days, in the case of the SOFR Compounded Index, U.S. Government Securities Business Days, and, in the case of SARON Compounded Index, Zurich Banking Days;

“Index Observation Period” means, in respect of an Interest Accrual Period, the period from and including the date falling the Relevant Number of Index Business Days prior to the first day of the relevant Interest Accrual Period and ending on, but excluding, the date which is the Relevant Number of Index Business Days prior to (i) the Interest Period Date for such Interest Accrual Period, or (ii) (if applicable) the date falling the Relevant Number of Index Business Days prior to such earlier date, if any, on which the Notes become due and payable;

“London Banking Day” means any day on which commercial banks are open for general business (including dealing in foreign exchange and foreign currency deposits) in London;

“Numerator” shall, unless otherwise specified in the applicable Issue Terms, be 365 in the case of the SONIA Compounded Index and 360 in the case of the SOFR Compounded Index and the SARON Compounded Index;

“Relevant Decimal Place” shall, unless otherwise specified in the applicable Issue Terms, be the fifth decimal place in the case of the SONIA Compounded Index, the sixth decimal place in the case of SARON Compounded Index and the seventh decimal place in the case of the SOFR Compounded Index, in each case rounded up or down, if

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necessary (with 0.000005 or, as the case may be, 0.00000005 being rounded upwards);

“Relevant Number” shall, unless otherwise specified in the applicable Issue Terms, be five in the case of the SONIA Compounded Index and the SARON Compounded Index and two in the case of the SOFR Compounded Index;

“SARON Compounded Index” means the index known as the SARON Index administered by the SARON Administrator (or any successor administrator thereof);

“SARON Compounded Index Value” means, in relation to any Zurich Banking Day and subject as provided below, the value of the SARON Compounded Index as published on the SIX Group’s Website at 6:00 p.m. (Zurich time) on such Zurich Banking Day;

“SOFR Administrator’s Website” means the website of the Federal Reserve Bank of New York, or any successor source;

“SOFR Compounded Index” means the index known as the SOFR Index administered by the Federal Reserve Bank of New York (or any successor administrator thereof);

“SOFR Compounded Index Value” means, in relation to any U.S. Government Securities Business Day and subject as provided below, the value of the SOFR Compounded Index as published on the SOFR Administrator’s Website at 3:00 p.m. (New York City time) on such U.S. Government Securities Business Day;

“SONIA Compounded Index” means the index known as the SONIA Compounded Index administered by the Bank of England (or any successor administrator thereof);

“SONIA Compounded Index Value” means, in relation to any London Banking Day and subject as provided below, the value of the SONIA Compounded Index as published by authorised distributors on the Relevant Screen Page on such London Banking Day or, if the value of the SONIA Compounded Index cannot be obtained from the Relevant Screen Page, as published on the Bank of England’s website at www.bankofengland.co.uk/boeapps/database/ (or such other page or website as may replace such page for the purposes of publishing the SONIA Compounded Index) in respect of such London Banking Day; and

“Zurich Banking Day” means a day on which banks are open in the City of Zurich for the settlement of payments and of foreign exchange transactions.

Notwithstanding the definitions of SOFR Compounded Index, SONIA Compounded Index and SARON Compounded Index above, if:

(where SONIA Compounded Index applies to the Notes) an Administrator/Benchmark Event has not occurred in respect of SONIA;

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(where SOFR Compounded Index applies to the Notes) a Benchmark Transition Event and its related Benchmark Replacement Date has not occurred in respect of SOFR; or
(where SARON Compounded Index applies to the Notes) a SARON Benchmark Event has not occurred in respect of SARON,

with respect to any Interest Accrual Period, the relevant Compounded Index START and/or Compounded Index END is not published as contemplated above, the Calculation Agent shall calculate the Rate of Interest for that Interest Accrual Period in accordance with Base General Condition 5(b)(B)(II)(iii) as if Index Determination was not specified in the applicable Issue Terms as being applicable. For these purposes, (i) the Reference Rate shall be deemed to be SONIA (in the case of SONIA Compounded Index), SOFR (in the case of SOFR Compounded Index) and SARON (in the case of SARON Compounded Index), (ii) the Calculation Method shall be deemed to be Compounded Daily, (iii) the Observation Method shall be deemed to be Observation Shift, (iv) 'D' shall be deemed to be the Numerator, (v) the Observation Shift Period (and thus, 'p') shall be deemed to be the Relevant Number and (vi) in the case of SONIA, the Relevant Screen Page will be determined by the Bank in consultation with the Calculation Agent.

If, where SONIA Compounded Index applies to the Notes, an Administrator/Benchmark Event has occurred in respect of SONIA, the provisions of Base General Condition 5(l)(A) (Benchmark Rate Event) shall apply mutatis mutandis in respect of this Base General Condition 5(b)(B)(II)(ii).

If, where SOFR Compounded Index applies to the Notes, a Benchmark Transition Event and its related Benchmark Replacement Date have occurred in respect of SOFR, the provisions of Base General Condition 5(l)(B) (Benchmark Rate Event) shall apply mutatis mutandis in respect of this Base General Condition 5(b)(B)(II)(ii).

If, where SARON Compounded Index applies to the Notes, and a SARON Benchmark Event has occurred in respect of SARON, the provisions of Base General Condition 5(n) (Additional provisions relating to SARON) shall apply mutatis mutandis in respect of this Base General Condition 5(b)(B)(II)(ii); or

(iii) (if "Index Determination" is specified as being not applicable in the applicable Issue Terms or "Index Determination" is specified as being applicable in the applicable Issue Terms but such screen rate or index is not available at the relevant time on the Interest Determination Date), as follows, and the resulting percentage will be rounded if necessary to the fifth decimal place, with 0.000005 being rounded upwards:

$$
\left[ \prod_{i=1}^{d_o} \left(1 + \frac{r_i \times n_i}{D}\right) - 1 \right] \times \frac{D}{d}
$$

Base General Conditions

where:

"D" is the number specified in the applicable Issue Terms;

"d" is the number of calendar days in:

a. where "Lag" or "Lock-out" is specified as the Observation Method in the applicable Issue Terms, the relevant Interest Accrual Period; or
b. where "Observation Shift" is specified as the Observation Method in the relevant Issue Terms, the relevant Observation Period;

"d₀" means:

a. where "Lag" or "Lock-out" is specified as the Observation Method in the relevant Issue Terms, the number of Business Days in the relevant Interest Accrual Period; or
b. where "Observation Shift" is specified as the Observation Method in the relevant Issue Terms, the number of Business Days in the relevant Observation Period;

"i" is a series of whole numbers from one to d₀, each representing the relevant Business Day in chronological order from, and including, the first Business Day in:

a. where "Lag" or "Lock-out" is specified as the Observation Method in the relevant Issue Terms, the relevant Interest Accrual Period; or
b. where "Observation Shift" is specified as the Observation Method in the relevant Issue Terms, the relevant Observation Period;

"Business Day" or "BD", in this Base General Condition 5(b)(B)(II) has the meaning set out in Base General Condition 2, save that where "SOFR" is specified as the Reference Rate, it means a U.S. Government Securities Business Day;

"n_i", for any Business Day "i", means the number of calendar days from and including such Business Day "i" up to but excluding the following Business Day;

"Observation Period" means, in respect of an Interest Accrual Period, the period from and including the date falling "p" Business Days prior to the first day of the relevant Interest Accrual Period and ending on, but excluding, the date which is "p" Business Days prior to the Interest Period Date for such Interest Accrual Period (or the date falling "p" Business Days prior to such earlier date, if any, on which the Notes become due and payable);

"p" means:

a. where "Lag" is specified as the Observation Method in the applicable Issue Terms, the number of Business Days included in the Lag Look-Back Period specified in the applicable Issue Terms (or, if no such number is specified five Business Days); or
b. where "Observation Shift" is specified as the Observation Method in the applicable Issue Terms, the number of Business Days specified as the Observation Look-back Period in the relevant Issue Terms (or, if no such number is specified, five Business Days);

Base General Conditions

"r" means in respect of the relevant Reference Rate:

a. where in the applicable Issue Terms "Lag" or "Observation Shift" is specified as the Observation Method, in respect of any Business Day, the relevant Reference Rate in respect of such Business Day; or
b. where in the applicable Issue Terms "Lock-out" is specified as the Observation Method:

in respect of any Business Day "i" that is a Reference Day, the relevant Reference Rate in respect of the Business Day immediately preceding such Reference Day; and
in respect of any Business Day "i" that is not a Reference Day (being a Business Day in the Lock-out Period), the relevant Reference Rate in respect of the Business Day immediately preceding the last Reference Day of the relevant Interest Accrual Period (such last Reference Day coinciding with the Interest Determination Date); and

"r_i" means the applicable Reference Rate as set out in the definition of "r" above for:

a. where "Lag" is specified as the Observation Method in the applicable Issue Terms, the Business Day falling "p" Business Days prior to the relevant Business Day "i"; or
b. where "Lock-out" or "Observation Shift" is specified as the Observation Method in the applicable Issue Terms, the relevant Business Day "i";

(ii) where the Calculation Method in respect of the relevant Series of Floating Rate Notes is specified in the applicable Issue Terms as being "Weighted Average", the Rate of Interest for each Interest Accrual Period will, subject as provided below and subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding) and Base General Condition 5(1) (Benchmark Rate Event), be the Weighted Average Reference Rate (as defined below) plus or minus (as indicated in the applicable Issue Terms) the Margin and will be calculated by the Calculation Agent (or such other party responsible for the calculation of the Rate of Interest, as specified in the applicable Issue Terms) on the Interest Determination Date and the resulting percentage will be rounded if necessary to the fifth decimal place, with 0.000005 being rounded upwards, where:

"Weighted Average Reference Rate" means:

a. where "Lag" is specified as the Observation Method in the applicable Issue Terms, the arithmetic mean of the Reference Rate in effect for each calendar day during the relevant Observation Period, calculated by multiplying each relevant Reference Rate by the number of calendar days such rate is in effect, determining the sum of such products and dividing such sum by the number of calendar days in the relevant Observation Period. For these purposes the Reference Rate in effect for any calendar day which is not a Business Day shall be deemed to be the Reference Rate in effect for the Business Day immediately preceding such calendar day; and

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b. where "Lock-out" is specified as the Observation Method in the applicable Issue Terms, the arithmetic mean of the Reference Rate in effect for each calendar day during the relevant Interest Accrual Period, calculated by multiplying each relevant Reference Rate by the number of days such rate is in effect, determining the sum of such products and dividing such sum by the number of calendar days in the relevant Interest Accrual Period, provided however that for any calendar day of such Interest Accrual Period falling in the Lock-out Period, the relevant Reference Rate for each day during that Lock-out Period will be deemed to be the Reference Rate in effect for the Reference Day immediately preceding the first day of such Lock-out Period. For these purposes the Reference Rate in effect for any calendar day which is not a Business Day shall, subject to the proviso above, be deemed to be the Reference Rate in effect for the Business Day immediately preceding such calendar day.

(iii) subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding) and Base General Condition 5(l) (Benchmark Rate Event), where "SONIA" is specified as the relevant Reference Rate in the applicable Issue Terms, if, in respect of any Business Day, SONIA is not available on the Relevant Screen Page or has not otherwise been published by the relevant authorised distributors, such Reference Rate shall be:

(i) the Bank of England's Bank Rate (the "Bank Rate") prevailing at close of business on the relevant Business Day; plus (ii) the mean of the spread of SONIA to the Bank Rate over the previous five days on which SONIA has been published, excluding the highest spread (or, if there is more than one highest spread, one only of those highest spreads) and lowest spread (or, if there is more than one lowest spread, one only of those lowest spreads) to the Bank Rate; or
if such Bank Rate is not available, the SONIA rate published on the Relevant Screen Page (or otherwise published by the relevant authorised distributors) for the first preceding Business Day on which the SONIA rate was published on the Relevant Screen Page (or otherwise published by the relevant authorised distributors); and

in each case, "r" shall be interpreted accordingly.

(iv) subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding) and Base General Condition 5(l) (Benchmark Rate Event), where "SOFR" is specified as the relevant Reference Rate in the applicable Issue Terms, if, in respect of any Business Day, the Reference Rate is not available, such Reference Rate shall be the SOFR for the first preceding Business Day on which the SOFR was published on the New York Fed's Website, and "r" shall be interpreted accordingly.

(v) subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding) and Base General Condition 5(l) (Benchmark Rate Event), where “€STR” is specified as the relevant Reference Rate in the applicable Issue Terms, if, in respect of any Business Day, the Reference Rate is not available, such Reference Rate shall be the €STR for the first preceding Business Day on which

Base General Conditions

€STR was published by the European Central Bank (or of any successor administrator’s) on its website, and “r” shall be interpreted accordingly.

(vi) subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding) and Base General Condition 5(l) (Benchmark Rate Event), where “SARON” is specified as the relevant Reference Rate in the applicable Issue Terms, if, in respect of any Business Day, the Reference Rate is not available on the SIX Group’s Website at the Specified Time and a SARON Index Cessation Event and a SARON Index Cessation Effective Date have not both occurred at or prior to the Specified Time on such Business Day, such Reference Rate shall be the SARON for the last preceding Business Day on which SARON was published by the SARON Administrator on the SIX Group’s Website, and “r” shall be interpreted accordingly.

(vii) In the event that the Rate of Interest cannot be determined in accordance with the foregoing provisions, but without prejudice to Base General Condition 5(l) (Benchmark Rate Event), the Rate of Interest shall be (i) that determined as at the last preceding Interest Determination Date (though substituting, where a different Margin or Maximum Rate of Interest or Minimum Rate of Interest is to be applied to the relevant Interest Accrual Period from that which applied to the last preceding Interest Accrual Period, the Margin or Maximum Rate of Interest or Minimum Rate of Interest relating to the relevant Interest Accrual Period, in place of the Margin or Maximum Rate of Interest or Minimum Rate of Interest relating to that last preceding Interest Accrual Period) or (ii) if there is no such preceding Interest Determination Date, the Initial Rate of Interest which would have been applicable to such Series of Notes for the first Interest Accrual Period had the Notes been in issue for a period equal in duration to the scheduled first Interest Accrual Period but ending on (and excluding) the Interest Commencement Date (but applying the Margin and any Maximum Rate of Interest or Minimum Rate of Interest applicable to the first Interest Accrual Period).

If the relevant Series of Notes become due and payable in accordance with Base General Condition 11 (Events of Default and Enforcement), the final Interest Determination Date shall, notwithstanding any Interest Determination Date specified in the applicable Issue Terms, be deemed to be the date on which such Notes became due and payable and the Rate of Interest on such Notes shall, for so long as any such Note remains outstanding, be that determined on such date and as if (solely for the purpose of such interest determination) the relevant Interest Period had been shortened accordingly.

(x) Where CMS Rate Determination is specified in the relevant Issue Terms as the manner in which the Rate of Interest is to be determined, the Rate of Interest for each Interest Accrual Period will, subject as provided below and subject to Base General Condition 5(f) (Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding), be the annual swap rate or semi-annual swap rate, as the case may be (the “CMS Rate”), for swap transactions in the CMS Currency with a maturity of the CMS Designated Maturity, expressed as a percentage, which appears on the CMS Screen Page as of the CMS Reference Time on the CMS Determination Date.

(y) If no Benchmark Rate Event has occurred and if the CMS Screen Page is not available or if the relevant swap rate does not appear on the CMS Screen Page as at the CMS Reference

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Base General Conditions

Time on the CMS Determination Date, the Calculation Agent shall request each of the CMS Reference Banks to provide the Calculation Agent with its mid-market swap rate quotation (expressed as a percentage) at approximately the CMS Reference Time on the CMS Determination Date in question. For this purpose, the mid-market swap rate means the arithmetic mean of the bid and offered rates for the annual or, as the case may be, semi-annual fixed leg, calculated on a 30/360 day count fraction basis, of a fixed-for-floating CMS Currency interest rate swap with a term equal to the CMS Designated Maturity commencing on the first day of the Interest Accrual Period with an acknowledged dealer of good credit in the swap market for an amount that is representative of transactions in the relevant market at the relevant time, where the floating leg is equivalent to the floating rate on the basis of which the relevant CMS Rate is determined. If at least three quotations are received, the Rate of Interest for such Interest Accrual Period shall be the arithmetic mean of such offered quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest), as determined by the Calculation Agent.

(z) If the Rate of Interest cannot be determined in accordance with the foregoing provisions of paragraph (y) above, the Rate of Interest shall be determined by the Calculation Agent, in consultation with the Bank, in a commercially reasonable manner (though applying the Margin, Maximum Rate of Interest and/or Minimum Rate of Interest, if any, relating to the Interest Accrual Period to which such Rate of Interest applies).

(D) Linear Interpolation

Where Linear Interpolation is specified in the relevant Final Terms as applicable in respect of an Interest Accrual Period, the Rate of Interest for such Interest Accrual Period shall be calculated by the Calculation Agent by straight line linear interpolation by reference to two rates based on the relevant Reference Rate (where Screen Rate Determination is specified in the relevant Final Terms as applicable), the relevant Floating Rate Option (where ISDA Determination is specified in the relevant Final Terms as applicable) or the relevant CMS Rate (where CMS Rate Determination is specified hereon as applicable), one of which shall be determined as if the Applicable Maturity were the period of time for which rates are available next shorter than the length of the relevant Interest Accrual Period and the other of which shall be determined as if the Applicable Maturity were the period of time for which rates are available next longer than the length of the relevant Interest Accrual Period provided however that if there is no rate available for the period of time next shorter or, as the case may be, next longer, then the Calculation Agent shall determine such rate at such time and by reference to such sources as it determines appropriate.

"Applicable Maturity" means (a) in relation to Screen Rate Determination, the period of time designated in the Reference Rate, (b) in relation to ISDA Determination, the Designated Maturity and (c) in relation to CMS Rate Determination, the CMS Designated Maturity.

Each Structured Rate Note bears interest on its outstanding nominal amount from (and including) the Interest Commencement Date at the rate per annum (expressed as a percentage) equal to the Rate of Interest, such interest being payable in arrear on each Interest Payment Date. The Rate of Interest in respect of Structured Rate Notes for each Interest Accrual Period shall be determined in accordance with the relevant Coupon Payout Condition as supplemented or completed by the relevant Issue Terms. The Interest Amount shall be determined in accordance with Base General Condition 5(g) (Calculations).

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(d) Zero Coupon Notes

Where a Zero Coupon Note is repayable prior to the Maturity Date and is not paid when due, the amount due and payable prior to the Maturity Date shall be the Early Redemption Amount of such Note. As from the due date for redemption, the Rate of Interest for any overdue principal of such a Note shall be a rate per annum (expressed as a percentage) equal to the Amortisation Yield (as defined in Base General Condition 7(b)(a)(B) (Zero Coupon Notes)).

(e) Accrual of Interest

Interest (if any) shall cease to accrue on each Note (or, in the case of the redemption of part only of a Note, that part only of such Note) on the due date for redemption thereof, unless (upon due presentation thereof where presentation is required) payment of principal is improperly withheld or refused or unless default is otherwise made in respect of payment, in which event interest shall continue to accrue or, in the case of Zero Coupon Notes, shall accrue (in each case, both before and after judgment) at the Rate of Interest in the manner provided in this Base General Condition 5 (Interest and other Calculations) to (but excluding) the Relevant Date (as defined in Base General Condition 9(a) (Taxation)).

(f) Margin, Maximum Rates of Interest, Minimum Rates of Interest, Instalment Amounts and Redemption Amounts and Rounding

(a) In respect of any Floating Rate Notes, if any Margin is specified in the relevant Issue Terms (either (A) generally or (B) in relation to one or more Interest Accrual Periods), an adjustment shall be made to all Rates of Interest in the case of (A), or the Rates of Interest for the specified Interest Accrual Periods in the case of (B), calculated in accordance with Base General Condition 5(b) (Interest on Floating Rate Notes) above by adding (if a positive number) or subtracting (if a negative number) the absolute value of such Margin, subject always to the next paragraph.

(b) In respect of any Floating Rate Notes, if any Maximum Rate of Interest and/or Minimum Rate of Interest, Instalment Amount or Redemption Amount is specified in the relevant Issue Terms, then any Rate of Interest, Instalment Amount or Redemption Amount shall be subject to such maximum and/or minimum, as the case may be.

(c) For the purposes of any calculations required pursuant to these Base General Conditions (unless otherwise specified in the relevant Issue Terms), (A) all percentages resulting from such calculations shall be rounded, if necessary, to the nearest one hundred-thousandth of a percentage point (with halves being rounded up), (B) all figures shall be rounded to seven significant figures (with halves being rounded up) and (C) all currency amounts that fall due and payable shall be rounded to the nearest unit of such currency (with halves being rounded up).

(g) Calculations

Unless the Interest Amount is specified in the Issue Terms, the Interest Amount in respect of any Calculation Amount for any Interest Accrual Period shall be equal to the product of the Rate of Interest for such Interest Accrual Period, the Calculation Amount specified in the relevant Issue Terms and the Day Count Fraction for such Interest Accrual Period. Where any Interest Period comprises two or more Interest Accrual Periods, the amount of interest payable per Calculation Amount in respect of such Interest Period shall be the sum of the Interest Amounts payable in respect of each of those Interest Accrual Periods. In respect of any other period for which interest is required to be calculated, the provisions above shall apply, save that the Day Count Fraction shall be applied to the period for which interest is required to be calculated.

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Base General Conditions

(h) Determination and Publication of Rates of Interest, Interest Amounts, Final Redemption Amounts, Early Redemption Amounts, Optional Redemption Amounts and Instalment Amounts

The Calculation Agent shall, as soon as practicable on such date as the Calculation Agent may be required to calculate any rate or amount, obtain any quotation or make any determination or calculation, determine such rate and calculate the Interest Amounts for the relevant Interest Accrual Period or Interest Payment Date, calculate the Final Redemption Amount(s), Early Redemption Amount, Optional Redemption Amount or any Instalment Amount, obtain such quotation or make such determination or calculation, as the case may be, and cause the Rate of Interest and the Interest Amounts for each Interest Accrual Period and/or the relevant Interest Payment Date and, if required to be calculated, the Final Redemption Amount(s), Early Redemption Amount, Optional Redemption Amount or any Instalment Amount to be notified to the Fiscal Agent, the Bank, each of the Paying Agents, the Registrar, the Noteholders, any other Calculation Agent appointed in respect of the Notes that is to make a further calculation upon receipt of such information and, if the rules of any applicable stock exchange or other relevant authority so require, such exchange or other relevant authority as soon as possible after their determination but in no event later than (i) the commencement of the relevant Interest Period, if determined prior to such time, in the case of notification to such exchange of a Rate of Interest and Interest Amount, or (ii) in all other cases, the fourth Business Day after such determination. Where any Interest Payment Date or Interest Period Date is subject to adjustment pursuant to Base General Condition 5(k)(a) (Business Day Convention), the Interest Amounts and the Interest Payment Date so published may subsequently be amended (or appropriate alternative arrangements made by way of adjustment) without notice in the event of an extension or shortening of the Interest Period.

If the Notes become due and repayable under Base General Condition 11 (Events of Default and Enforcement), the accrued interest and the Rate of Interest payable in respect of the Notes shall, subject in the case of the Compounded Daily Reference Rate and Weighted Average Reference Rate to Condition 5(b)(B)(II)(v) nevertheless continue to be calculated as previously in accordance with this Base General Condition 5 (Interest and other Calculations) but no publication of the Rate of Interest or the Interest Amount so calculated need be made.

The determination of any rate or amount, the obtaining of each quotation and the making of each determination or calculation by the Calculation Agent(s) shall (in the absence of manifest error) be final and binding on all parties.

(i) Nature of the Return

Any interest paid to Noteholders shall constitute consideration paid for the use of the principal and for the assumption of the risk that the Noteholder may not recover its original investment or that its return may be variable.

(j) Calculation Agent

(a) The Bank shall procure that there shall at all times be one or more Calculation Agents if provision is made for them in the relevant Issue Terms and for so long as any Note is outstanding. Where more than one Calculation Agent is appointed in respect of the Notes, references in the Conditions to the Calculation Agent shall be construed as each Calculation Agent performing its respective duties under the Conditions. If the Calculation Agent is unable or unwilling to act as such or if the Calculation Agent fails duly to establish, calculate or determine any rate or amount to be established, determined or calculated by it pursuant to any of the Conditions, or to comply with any other requirement, it shall forthwith notify the Bank and the relevant Agent and the Bank shall appoint a leading bank or financial institution engaged in the interbank market (or, if appropriate, money, swap or over-the-counter index options market) that is most closely connected with the calculation or determination to be made by the Calculation Agent (acting through its principal London office or any other office actively involved in such market) to act as

117

Base General Conditions

such in its place. The Calculation Agent may not resign its duties without a successor having been appointed as aforesaid.

(b) If the Calculation Agent does not at any time for any reason determine or calculate the Rate of Interest for an Interest Accrual Period or any Interest Amount, the Bank shall do so (or shall appoint an agent on its behalf to do so) and such determination or calculation shall be deemed to have been made by the Calculation Agent. In doing so, the Bank shall apply the provisions of this Base General Condition 5 (Interest and other Calculations) to the extent that, in its opinion, it can do so, and, in all other respects, it shall do so in such manner as it shall deem fair and reasonable in all the circumstances.

(c) The Bank reserves the right at any time to vary or terminate the appointment of the Calculation Agent, provided that there will at all times be a Calculation Agent. Notice of any termination of appointment of the Calculation Agent will be given to Noteholders in accordance with Base General Condition 16 (Notices).

(d) In relation to each Series of Notes, the Calculation Agent (whether it be the Bank or another entity) acts solely as agent of the Bank and does not assume any obligation or duty to, or any relationship of agency or trust for or with, the Noteholders.

(e) The Calculation Agent may, with the consent of the Bank, delegate any of its obligations and functions to a third party as it deems appropriate and any determination or calculation by any such delegate shall be deemed to be a determination or calculation by the Calculation Agent.

(k) Business Days

(a) Business Day Convention

If any date that is specified to be subject to adjustment in accordance with a Business Day Convention would otherwise fall on a day that is not a Business Day, then, if the Business Day Convention specified is:

(A) the “Floating Rate Business Day Convention”, for all purposes (including interest accrual purposes), such date shall be postponed to the next day that is a Business Day unless it would thereby fall into the next calendar month, in which event (x) such date shall be brought forward to the immediately preceding Business Day and (y) each subsequent such date shall be the last Business Day of the month in which such date would have fallen;

(B) the “Following Business Day Convention (Adjusted)”, for all purposes (including interest accrual purposes), such date shall be postponed to the next day that is a Business Day;

(C) the “Following Business Day Convention (Unadjusted)”, (a) for the purposes of calculating any amount of interest payable under the Notes, such date shall not be adjusted and (b) for any other purpose, such date shall be postponed to the next day that is a Business Day;

(D) the “Modified Following Business Day Convention (Adjusted)”, for all purposes (including interest accrual purposes), such date shall be postponed to the next day that is a Business Day unless it would thereby fall into the next calendar month, in which event such date shall be brought forward to the immediately preceding Business Day; or

(E) the “Modified Following Business Day Convention (Unadjusted)”, (a) for the purposes of calculating any amount of interest payable under the Notes, such date shall not be adjusted and (b) for any other purpose, such date shall be postponed to the next day that is a Business Day unless it would thereby fall into the next calendar month, in which event such date shall be brought forward to the immediately preceding Business Day;

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(F) the “Preceding Business Day Convention (Adjusted)”, for all purposes (including interest accrual purposes), such date shall be brought forward to the immediately preceding Business Day; and

(G) the “Preceding Business Day Convention (Unadjusted)”, (a) for the purposes of calculating any amount of interest payable under the Notes, such date shall not be adjusted and (b) for any other purpose, such date shall be brought forward to the immediately preceding Business Day.

(b) Non-Business Days

If any date for payment in respect of any Note is not a business day, the holder shall not be entitled to payment until the next following business day nor to any interest or other sum in respect of such postponed payment. In this Base General Condition 5(k)(b) (Non-Business Days), “business day” means a day (other than a Saturday or a Sunday) which is a Business Day and which is a day on which commercial banks and foreign exchange markets are open for business in London and the relevant place of presentation (if applicable) and is a day:

(A) in the case of a payment in a currency other than Euro or Renminbi, where payment is to be made by transfer to an account maintained with a bank in the relevant currency, on which foreign exchange transactions may be carried on in the relevant currency in the principal financial centre of the country of such currency; or

(B) in the case of a payment in Renminbi, on which commercial banks and foreign exchange markets in Hong Kong are open for business and settlement of Renminbi payments; or

(l) Benchmark Rate Event

This Condition 5(l) does not apply in the case of Notes where “Applicable – Overnight Rate” is specified in the relevant Final Terms as the method of Screen Rate Determination and the Reference Rate is SARON.

(A) Subject to Base General Condition 5(m) (Specific Provisions for Certain Benchmark Rates) and Base General Condition 5(l)B below, if the Benchmark Rate Determination Agent determines that a Benchmark Rate Event has occurred in respect of a Series and a Benchmark Rate, the Bank shall give a Benchmark Rate Event Notice to the Noteholders as soon as practicable in accordance with Base General Condition 16 (Notices) and then:

(a) the Benchmark Rate Determination Agent shall attempt to identify a Replacement Benchmark Rate;

(b) the Benchmark Rate Determination Agent shall attempt to determine the Replacement Benchmark Rate Adjustment Spread;

(c) if the Benchmark Rate Determination Agent identifies a Replacement Benchmark Rate pursuant to paragraph (a) above and determines a Replacement Benchmark Rate Adjustment Spread pursuant to paragraph (b) above:

(a) the terms of the Notes shall, without the consent of the Noteholders or the Couponholders, be amended so that references in the Floating Rate Option to the Benchmark Rate are replaced by references to the Replacement Benchmark Rate plus the Replacement Benchmark Rate Adjustment Spread (provided that the Replacement Benchmark Rate plus the Replacement Benchmark Rate Adjustment Spread plus or minus (as indicated in the relevant Issue Terms) the Margin, may not be less than zero);

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(b) the Benchmark Rate Determination Agent shall, without the consent of the Noteholders or the Couponholders, make such other adjustments ("Replacement Benchmark Rate Amendments") to the Conditions (including, but not limited to, any Business Day, Business Day Convention, Day Count Fraction, Determination Date, Interest Amount, Interest Payment Date, Interest Period, Interest Period Date, Rate of Interest and Underlying Rate) as it determines necessary or appropriate in order to account for the effect of the replacement of the Benchmark Rate with the Replacement Benchmark Rate plus the Replacement Benchmark Rate Adjustment Spread; and

(c) the Bank shall deliver a notice to the Noteholders as soon as practicable in accordance with Base General Condition 16 (Notices) which specifies any Replacement Benchmark Rate, Replacement Benchmark Rate Adjustment Spread, the specific terms of any Replacement Benchmark Rate Amendments and the time from which any Replacement Benchmark Rate, Replacement Benchmark Rate Adjustment Spread and the specific terms of any Replacement Benchmark Rate Amendments will become effective and such notice shall be irrevocable. Any Replacement Benchmark Rate, Replacement Benchmark Rate Adjustment Spread and Replacement Benchmark Rate Amendments will be binding on the Bank, the Agents, the Noteholders and the Couponholders.

(d) If, in respect of a Series, there is more than one Benchmark Rate, then the foregoing provisions of this Base General Condition 5(l) shall apply separately to each such Benchmark Rate.

(e) If the Benchmark Rate Determination Agent cannot identify a Replacement Benchmark Rate pursuant to paragraph (i) above or cannot determine a Replacement Benchmark Rate Adjustment Spread pursuant to paragraph (ii) above, the Bank shall, in its sole and absolute discretion, decide whether (x) to give notice in accordance with Base General Condition 16 (Notices) and redeem the Notes in accordance with Base General Condition 7(i) (Redemption Following Benchmark Rate Event) or (y) to continue to apply the interim measures provided for in Base General Condition 5(o) (Interim Measures) and the relevant Asset Conditions (as applicable), which will continue to apply unless and until the Calculation Agent has been notified of the Replacement Benchmark Rate and any Replacement Benchmark Rate Adjustment Spread and Replacement Benchmark Rate Amendments.

The Benchmark Rate Determination Agent shall not have any duty to monitor, enquire or satisfy itself as to whether any Benchmark Rate Event has occurred. If the Noteholders provide the Benchmark Rate Determination Agent with details of the circumstances which could constitute a Benchmark Rate Event, the Benchmark Rate Determination Agent will consider such notice, but will not be obliged to determine that a Benchmark Rate Event has occurred solely as a result of receipt of such notice.

If, in respect of a Series, the definition, methodology or formula for a Benchmark Rate, or other means of calculating such Benchmark Rate, is changed or modified (irrespective of the materiality of any such change or changes), then, unless otherwise specified in the relevant Issue Terms, references to that Benchmark Rate shall be to the Benchmark Rate as changed and modified and Noteholders or Couponholders will not be entitled to any form of compensation as a result of such change or modification.

(B) If the Benchmark Rate Determination Agent determines that a relevant Benchmark Rate is SOFR and unless "Benchmark Transition Event" is specified as being not applicable in the Issue Terms, when any required Rate of Interest (or any component part thereof), remains to be determined by reference to such relevant Benchmark Rate, then the following provisions of this Base General Condition 5(l)B shall apply instead of the application of Base General Condition 5(l)A above. If the Benchmark Rate Determination Agent determines on or prior to the Relevant Time on the relevant Interest Determination Date that a Benchmark Transition Event and its related Benchmark

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Replacement Date have occurred with respect to the relevant Reference Rate, the Benchmark Replacement will replace such relevant Reference Rate for all purposes relating to the Notes in respect of all determinations on such date and for all determinations on all subsequent dates (subject to any subsequent application of this Base General Condition 5(1)(B) with respect to such Benchmark Replacement).

Where this Base General Condition 5(1)(B) applies, if the Bank considers it may be necessary to make Benchmark Replacement Conforming Changes, the Bank shall use its reasonable endeavours to appoint and consult with an Independent Adviser, as soon as reasonably practicable, to advise the Bank in determining (A) whether such Benchmark Replacement Conforming Changes are necessary and (B) the terms of the Benchmark Replacement Conforming Changes and the Bank shall, subject to giving notice thereof in accordance with Base General Condition 16 (Notices), without any requirement for the consent or approval of Noteholders, vary these Conditions to give effect to such Benchmark Replacement Conforming Changes with effect from the date specified in such notice and such notice shall be irrevocable. Any Benchmark Replacement Conforming Changes will be binding on the Bank, the Agents, the Noteholders and Couponholders.

An Independent Adviser appointed pursuant to this Base General Condition 5(1)(B) shall act in good faith as an expert and (in the absence of bad faith or fraud) shall have no liability whatsoever to the Calculation Agent, the Paying Agents, the Noteholders or Couponholders for any advice given to the Bank in connection with any determination made by the Bank, pursuant to this Base General Condition 5(1)(B).

For the purposes of this Base General Condition 5(1)(B):

"Benchmark Replacement" means the first alternative set forth in the order below that can be determined by the Benchmark Rate Determination Agent as of the Benchmark Replacement Date:

(A) the sum of: (a) the alternate rate of interest that has been selected or recommended by the Relevant Governmental Body as the replacement for the relevant Reference Rate for the applicable Corresponding Tenor and (b) the Benchmark Replacement Adjustment;

(B) the sum of: (a) the ISDA Fallback Rate and (b) the Benchmark Replacement Adjustment; or

(C) the sum of: (a) the alternate rate of interest that has been selected by the Benchmark Rate Determination Agent as the replacement for the relevant Reference Rate for the applicable Corresponding Tenor giving due consideration to any industry-accepted rate of interest as a replacement for the then-current benchmark for U.S. dollar-denominated floating rate notes at such time and (b) the Benchmark Replacement Adjustment.

"Benchmark Replacement Adjustment" means the first alternative set forth in the order below that can be determined by the Benchmark Rate Determination Agent as of the Benchmark Replacement Date:

(A) the spread adjustment, or method for calculating or determining such spread adjustment, (which may be a positive or negative value or zero) that has been selected or recommended by the Relevant Governmental Body for the applicable Unadjusted Benchmark Replacement;

(B) if the applicable Unadjusted Benchmark Replacement is equivalent to the ISDA Fallback Rate, the ISDA Fallback Adjustment; or

(C) the spread adjustment (which may be a positive or negative value or zero) that has been selected by the Benchmark Rate Determination Agent giving due consideration to any industry-accepted spread adjustment, or method for calculating or determining such

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spread adjustment, for the replacement of the then-current benchmark with the applicable Unadjusted Benchmark Replacement for U.S. dollar-denominated floating rate notes at such time.

"Benchmark Replacement Conforming Changes" means, with respect to any Benchmark Replacement, any technical, administrative or operational changes (including changes to any interest period, interest accrual period, the timing and frequency of determining rates and making payments of interest, rounding of amounts or tenors, and other administrative matters) that the Bank (in consultation with the Independent Adviser) decides may be appropriate to reflect the adoption of such Benchmark Replacement in a manner substantially consistent with market practice (or, if the Bank decides that adoption of any portion of such market practice is not administratively feasible or if the Bank determines that no market practice for use of the Benchmark Replacement exists, in such other manner as the Bank (in consultation with the Independent Adviser) determines is reasonably necessary).

"Benchmark Replacement Date" means the earliest to occur of the following events with respect to the relevant Reference Rate (including the daily published component used in the calculation thereof):

(A) in the case of clause (A) or (B) of the definition of "Benchmark Transition Event", the later of (a) the date of the public statement or publication of information referenced therein and (b) the date on which the administrator of the relevant Reference Rate permanently or indefinitely ceases to provide the relevant Reference Rate (or such component); or
(B) in the case of clause (C) of the definition of "Benchmark Transition Event," the date of the public statement or publication of information referenced therein.

For the avoidance of doubt, if the event that gives rise to the Benchmark Replacement Date occurs on the same day as, but earlier than, the Relevant Time on the relevant Interest Determination Date, the Benchmark Replacement Date will be deemed to have occurred prior to the Relevant Time for such determination.

"Benchmark Transition Event" means the occurrence of one or more of the following events with respect to the relevant Reference Rate (including the daily published component used in the calculation thereof):

(A) a public statement or publication of information by or on behalf of the administrator of the relevant Reference Rate (or such component) announcing that such administrator has ceased or will cease to provide the relevant Reference Rate (or such component), permanently or indefinitely, provided that, at the time of such statement or publication, there is no successor administrator that will continue to provide the relevant Reference Rate (or such component); or
(B) a public statement or publication of information by the regulatory supervisor for the administrator of the relevant Reference Rate (or such component), the central bank for the currency of the relevant Reference Rate (or such component), an insolvency official with jurisdiction over the administrator for the relevant Reference Rate (or such component), a resolution authority with jurisdiction over the administrator for the relevant Reference Rate (or such component) or a court or an entity with similar insolvency or resolution authority over the administrator for the relevant Reference Rate, which states that the administrator of the relevant Reference Rate (or such component) has ceased or will cease to provide the relevant Reference Rate (or such component) permanently or indefinitely, provided that, at the time of such statement or publication, there is no successor administrator that will continue to provide the relevant Reference Rate (or such component); or

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(C) a public statement or publication of information by the regulatory supervisor for the administrator of the relevant Reference Rate announcing that the relevant Reference Rate is no longer representative.

“Corresponding Tenor” means with respect to a Benchmark Replacement, a tenor (including overnight) having approximately the same length (disregarding business day adjustment) as the applicable tenor for the relevant Reference Rate.

“ISDA Fallback Adjustment” means the spread adjustment (which may be a positive or negative value or zero) that would apply for derivatives transactions referencing the ISDA Definitions to be determined upon the occurrence of an index cessation event with respect to the relevant Reference Rate.

“ISDA Fallback Rate” means the rate that would apply for derivatives transactions referencing the ISDA Definitions to be effective upon the occurrence of an index cessation date with respect to the relevant Reference Rate for the applicable tenor excluding the applicable ISDA Fallback Adjustment.

“Relevant Governmental Body” means the Federal Reserve Board and/or the Federal Reserve Bank of New York, or a committee officially endorsed or convened by the Federal Reserve Board and/or the Federal Reserve Bank of New York or any successor thereto.

“Unadjusted Benchmark Replacement” means the Benchmark Replacement excluding the Benchmark Replacement Adjustment.

(m) Specific Provisions for Certain Benchmark Rates

If the definition of the Floating Rate Option in the ISDA Definitions includes a reference to a concept defined or otherwise described as an “index cessation event” (regardless of the contents of that definition or description) then, notwithstanding anything to the contrary in these Base General Conditions, upon the occurrence of such an event, any fallback specified in that definition or description to apply following such an event (the “Priority Fallback”) shall apply. If the Priority Fallback fails to provide a means of determining the benchmark level, then Base General Condition 5(l) (Benchmark Rate Event) shall apply.

(n) Additional provisions relating to SARON

(i) If SARON is not published on the SIX Group’s Website at the Specified Time on a relevant Business Day and a SARON Index Cessation Event and a SARON Index Cessation Effective Date have both occurred at or prior to the Specified Time on such Business Day (such event, the “SARON Benchmark Event”), then, in respect of such Business Day and (subject to the further operation of this Base General Condition 5(n), if applicable) each Business Day thereafter, SARON will be replaced with:

(x) if there is a Recommended Replacement Rate within one Business Day of the SARON Index Cessation Effective Date, the Recommended Replacement Rate for such Business Day, giving effect to the Recommended Adjustment Spread, if any, published on such Business Day; or

(y) if there is no Recommended Replacement Rate within one Business Day of the SARON Index Cessation Effective Date, the policy rate of the Swiss National Bank (the “SNB Policy Rate”) for such Business Day, giving effect to the SNB Adjustment Spread, if any.

Notwithstanding the above, if the SNB Policy Rate for any Business Day with respect to which SARON is to be determined pursuant to paragraph (i)(y) above has not been published on such

Base General Conditions

Business Day, then in respect of such Business Day (the “Affected Business Day”) and each Business Day thereafter, SARON will be replaced by the Replacement Rate, if any, determined in accordance with Base General Condition 5(n)(iii) for purposes of determining the Rate of Interest.

(ii) If the Calculation Agent (A) is required to use a Recommended Replacement Rate or the SNB Policy Rate pursuant to paragraphs (i)(x) or (i)(y) above for purposes of determining SARON for any Business Day, and (B) determines that any changes to the definitions of Business Day Convention, Day Count Fraction, Interest Determination Date, Interest Payment Date, Interest Accrual Period, Observation Period, SARON, SARON Administrator, SIX Group’s Website or Specified Time are necessary in order to use such Recommended Replacement Rate (and any Recommended Adjustment Spread) or the SNB Policy Rate (and any SNB Adjustment Spread), as the case may be, for such purposes, such definitions will be amended to reflect such changes, and the Bank shall give notice as soon as practicable to the Trustee, the Calculation Agent, the Issuing and Paying Agent, the other Paying Agents and, in accordance with Base General Condition 16 (Notices), the Noteholders, specifying the Recommended Replacement Rate and any Recommended Adjustment Spread or, as the case may be, indicating that the SNB Policy Rate will be used and specifying any SNB Adjustment Spread, as applicable, and any amendments implemented in connection therewith.

(iii) Unless the Bank has elected to redeem the Notes in accordance with Base General Condition 7 (Redemption, Purchase and Options), the Bank will appoint a “Replacement Rate Agent” on or prior to the first relevant Business Day (a) with respect to which SARON is to be determined pursuant to paragraph (i)(y) above and (b) for which the SNB Policy Rate has not been published thereon. The Bank may appoint an affiliate of the Bank or any other person as Replacement Rate Agent, so long as such affiliate or other person is a leading financial institution that is experienced in the calculations or determinations to be made by the Replacement Rate Agent. The Bank will notify the Noteholders of any such appointment in accordance with Base General Condition 16 (Notices).

(iv) If the conditions set out in the last paragraph of Base General Condition 5(n)(i) have been satisfied, then the Replacement Rate Agent will determine whether to use an alternative rate to SARON for the Affected Business Day and for all subsequent Business Days in the Observation Period in which the Affected Business Day falls (the “Affected SARON Observation Period”) and all Observation Periods thereafter. If the Replacement Rate Agent determines to use an alternative rate pursuant to the immediately preceding sentence, it shall select such rate that it has determined is most comparable to the Swiss Average Rate Overnight (the “Existing Rate”), provided that if it determines that there is an appropriate industry-accepted successor rate to the Existing Rate, it shall use such industry-accepted successor rate. If the Replacement Rate Agent has determined an alternative rate in accordance with the foregoing (such rate, the “Replacement Rate”), for the purposes of determining the Rate of Interest, (a) the Replacement Rate Agent shall determine (A) the method for obtaining the Replacement Rate (including any alternative method for determining the Replacement Rate if such alternative rate is unavailable on the relevant Interest Determination Date), which method shall be consistent with industry-accepted practices for the Replacement Rate, and (B) any adjustment factor as may be necessary to make the Replacement Rate comparable to the Existing Rate consistent with industry-accepted practices for the Replacement Rate, (b) for the Affected Business Day and all subsequent Business Days in the Affected SARON Observation Period and all Observation Periods thereafter, references to SARON in these Base General Conditions shall be deemed to be references to the Replacement Rate, including any alternative method for determining such rate and any adjustment factor as described in

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paragraph (a) above, (c) if the Replacement Rate Agent determines that changes to the definitions of Business Day Convention, Day Count Fraction, Interest Determination Date, Interest Payment Date, Interest Accrual Period, SARON, Observation Period or Specified Time are necessary in order to implement the Replacement Rate as SARON, such definitions will be amended to reflect such changes, and (d) the Bank shall give notice as soon as practicable to the Trustee, the Calculation Agent, the Issuing and Paying Agent, the other Paying Agents and, in accordance with Base General Condition 16 (Notices), the Noteholders, specifying the Replacement Rate, as well as the details described in paragraph (a) above, and any amendments implemented in connection therewith. Any determination to be made by the Replacement Rate Agent pursuant to this Base General Condition 5(n)(iv), including any determination with respect to a rate or adjustment or of the occurrence or non-occurrence of an event, circumstance or date and any decision to take or refrain from taking any action or any selection, will be made in the sole discretion of the Replacement Rate Agent acting in good faith and in a commercially reasonable manner.

(o) Interim Measures

If, following a Benchmark Rate Event, the relevant Benchmark Rate is required for any determination in respect of the Notes and, at that time:

(a) no amendments have occurred in accordance with Base General Condition 5(1)(A)(c) (Benchmark Rate Event) or Base General Condition 5(1)(B) (Benchmark Rate Event); and
(b) an Early Redemption Date has not occurred pursuant to Condition 7(i) (Redemption Following Benchmark Rate Event),

(a) then, for the purposes of that determination: if the Benchmark Rate is still available (in relation to a Benchmark Rate Cessation), the Administrator/Benchmark Event Date has not yet occurred (in relation to an Administrator/Benchmark Event), the Risk-Free Rate Event Date has not yet occurred (in relation to a Risk-Free Rate Event) or the Benchmark Rate Representativeness Event Date has not yet occurred (in relation to a Benchmark Rate Representativeness Event), the level of the Benchmark Rate shall be determined pursuant to the terms that would apply to the determination of the Benchmark Rate as if no Benchmark Rate Event had occurred; or
(b) if the Benchmark Rate is no longer available or the Administrator/Benchmark Event Date, the Risk-Free Rate Event Date or the Benchmark Rate Representativeness Event Date has occurred, the level of the Benchmark Rate shall be determined pursuant to the fallbacks provided for in Base General Conditions 5(b)(ii)(A) (ISDA Determination for Floating Rate Notes), 5(b)(ii)(B) (Screen Rate Determination for Floating Rate Notes) and 5(b)(ii)(C) (CMS Rate Determination for Floating Rate Notes), as relevant, assuming for the purposes of such determination that no Benchmark Rate Event has occurred; or
(c) if the level for the Benchmark Rate cannot be determined under paragraph (a) or (b) above, the level of the Benchmark Rate shall be determined by reference to the rate published in respect of the Benchmark Rate at the time at which the Benchmark Rate is ordinarily determined on (I) the day on which the Benchmark Rate ceased to be available (in relation to a Benchmark Rate Cessation), (II) the Administrator/Benchmark Event Date (in relation to an Administrator/Benchmark Event), (III) the Risk-Free Rate Event Date (in relation to a Risk-Free Rate Event) or (IV) the Benchmark Rate Representativeness Event Date (in relation to a Benchmark Rate Representativeness Event) or, if no rate is published at that time or that rate cannot be used in accordance with applicable law or regulation, by reference to the rate published at that time on the last day on which the rate was published or can be used in accordance with applicable law or regulation, as applicable.

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6 Determinations

Any determination, judgement or adjustment made by the Bank and/or the Calculation Agent pursuant to the Conditions shall (save in the case of manifest error) be final, conclusive and binding on the Bank, the relevant Agents and the Noteholders. In particular, all certificates, communications, opinions, determinations, calculations, quotations and decisions given, expressed, made or obtained for the purposes of the provisions of Base General Condition 5 (Interest and other Calculations) whether by the Fiscal Agent, the Calculation Agent or the Bank shall (in the absence of wilful default, bad faith or manifest error) be binding on the Bank, the relevant Agents and all Noteholders and (in the absence as aforesaid) no liability shall attach to the Bank or any relevant Agent, as the case may be, in connection with the exercise or non-exercise by it of its powers, duties and discretions pursuant to such provisions.

In making any determination, judgement or adjustment pursuant to the Conditions, the Bank and/or Calculation Agent shall not have regard to any interests arising from circumstances particular to individual Noteholders (whatever their number) and, in particular but without limitation, shall not have regard to the consequences of any such determination for individual Noteholders (whatever their number) resulting from their being for any purpose domiciled or resident in, or otherwise connected with, or subject to the jurisdiction of, any particular territory or any political sub-division thereof and no Noteholders shall be entitled to claim, from the Bank, the Calculation Agent or any other person any indemnification or payment in respect of any tax consequences of any such determination upon individual Noteholders.

Unless stated otherwise, the Bank or the Calculation Agent is entitled to act in its sole and absolute discretion, but it must act in good faith.

7 Redemption, Purchase and Options

(a) Redemption by Installments and Final Redemption

(a) Unless previously redeemed, purchased and cancelled as provided in this Base General Condition 7 (Redemption, Purchase and Options), each Note that provides for Instalment Dates and Instalment Amounts ("Instalment Notes") shall be partially redeemed on a number of dates (each such date being an "Instalment Date") in instalments (the amount of each instalment, an "Instalment Amount") at the related Instalment Amount specified in the relevant Issue Terms. The outstanding nominal amount of each such Note shall be reduced by the Instalment Amount (or, if such Instalment Amount is calculated by reference to a proportion of the nominal amount of such Note, such proportion) for all purposes with effect from the related Instalment Date, unless payment of the Instalment Amount is improperly withheld or refused, in which case such amount shall remain outstanding until the Relevant Date relating to such Instalment Amount.

(b) Unless previously redeemed or purchased and cancelled as provided below, each Note shall be finally redeemed on the date on which the Notes mature (the "Maturity Date") specified in the relevant Issue Terms at its Final Redemption Amount or, in the case of a Note falling within paragraph (a) above, its final Instalment Amount.

(b) Early Redemption

(a) Zero Coupon Notes

(A) The Early Redemption Amount payable in respect of any Zero Coupon Note (other than a Zero Coupon Note in respect of which a Redemption Payout Condition applies), upon redemption of such Note pursuant to Base General Condition 7(c) (Redemption for Taxation Reasons), Base General Condition 7(d) (Redemption for Illegality or Change in Law) or upon it becoming due and repayable as provided in Base General Condition 11 (Events of Default and Enforcement), shall be the Amortised Face Amount (as defined and calculated below) of such Note.

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(B) Subject to the provisions of paragraph (C) below, the “Amortised Face Amount” of any such Note on the relevant date of early redemption shall be the scheduled Final Redemption Amount(s) of such Note on the Maturity Date discounted back to the due date for payment at a rate per annum (expressed as a percentage) equal to the Amortisation Yield applied on a compounded or non-compounded basis as specified in the relevant Issue Terms (which, if none is shown in the relevant Issue Terms, shall be such rate as would produce an Amortised Face Amount equal to the issue price of the Notes if they were discounted back to their issue price on the Issue Date).

(C) If the Early Redemption Amount payable in respect of any such Note upon its redemption pursuant to Base General Condition 7(c) (Redemption for Taxation Reasons), Base General Condition 7(d) (Redemption for Illegality or Change in Law) or upon it becoming due and repayable as provided in Base General Condition 11 (Events of Default and Enforcement) is not paid when due, the Early Redemption Amount due and payable in respect of such Note shall be the Amortised Face Amount of such Note as calculated in accordance with paragraph (B) above, except that such paragraph shall have effect as though the reference therein to the “due date for payment” was replaced by a reference to the date on which the relevant amount is actually paid. The calculation of the Amortised Face Amount in accordance with this paragraph shall continue to be made (both before and after judgment) until the date such amount is paid, unless such date falls on or after the Maturity Date, in which case the amount due and payable shall be the scheduled Final Redemption Amount(s) of such Note on the Maturity Date together with any interest that may accrue in accordance with Base General Condition 5(d) (Zero Coupon Notes).

Where such calculation is to be made for a period of less than one year, it shall be made on the basis of the Day Count Fraction shown in the relevant Issue Terms.

(D) The Early Redemption Amount payable in respect of any such Note upon its redemption pursuant to Base General Condition 7(c) (Redemption for Taxation Reasons), Base General Condition 7(d) (Redemption for Illegality or Change in Law) or upon it becoming due and repayable as provided in Base General Condition 11 (Events of Default and Enforcement), shall be adjusted to take account fully of Unwind Costs, if Unwind Costs are specified as applicable in the relevant Issue Terms.

(b) Other Notes

The Early Redemption Amount payable in respect of any Note (other than Notes described in paragraph (a) above), upon redemption of such Note pursuant to Base General Condition 7(c) (Redemption for Taxation Reasons), Base General Condition 7(d) (Redemption for Illegality or Change in Law), Base General Condition 7(i) (Redemption Following Benchmark Rate Event), Asset Condition 1.4(b)(e) (Adjustments to an Index), Asset Condition 2.1(b)(e) (Cessation of Publication), Asset Condition 3.4(c) (Rebasing of Notes), Asset Condition 6.1 (Occurrence of Additional Disruption Events), Asset Condition 7.1 (Payment of Alternative Currency Equivalent), upon it becoming due and repayable as provided in Base General Condition 11 (Events of Default and Enforcement) or otherwise, shall mean, an amount in respect of each Note, which amount shall be, if Fair Market Value is specified to be applicable in the relevant Issue Terms, the fair market value of a Note determined by the Bank on a day selected by the Bank in its sole and absolute discretion (but which fair market value in the case of an Event of Default, shall be determined immediately prior to the date of early redemption), or if Par is specified to be applicable in the relevant Issue Terms, the product of the Calculation Amount and the Calculation Amount Factor, and in each case, if Unwind Costs are specified as applicable in the relevant Issue Terms, adjusted to take account fully of Unwind Costs.

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(a) If at any time a payment of principal or interest in respect of the Notes was to be due (whether or not the same is in fact then due) on or before the next Interest Payment Date (if applicable) or the Maturity Date, and the Bank would, for reasons outside its control, be unable, after making reasonable endeavours, to make such payment of principal or interest without having to pay additional amounts as provided or referred to in Base General Condition 9(a) (Taxation), the Bank may, at its option, having given not less than 30 nor more than 60 days' notice in accordance with Base General Condition 16 (Notices), redeem on such Interest Payment Date (if the Note is an interest bearing Note other than a Fixed Rate Note) or at any time (if the Note is a Fixed Rate Note or a Zero Coupon Note) all, but not some only, of the Notes then outstanding at the Early Redemption Amount (as described in Base General Condition 7(b) (Early Redemption)) (together with interest accrued to (but excluding) the date fixed for redemption without double counting, if applicable).

(b) Subject only to the obligation of the Bank to use such endeavours as aforesaid, it shall be sufficient to establish the existence of the circumstances required to be established pursuant to this Base General Condition 7(c) (Redemption for Taxation Reasons) if the Bank shall deliver to the Fiscal Agent a certificate of an independent lawyer or accountant satisfactory to the Fiscal Agent, in a form satisfactory to the Fiscal Agent, to the effect either that such circumstances exist or that, upon a change in, or amendment to, the laws (or regulations made thereunder) of the United Kingdom or any authority thereof or therein having power to tax or any change in the application or official interpretation of such laws or regulations, which at the date of such certificate is proposed and which in the opinion of such lawyer or accountant can reasonably be expected to become effective on or prior to such Interest Payment Date or time as is referred to in paragraph (c)(a) above, becoming so effective, such circumstances would exist.

(d) Redemption for Illegality or Change in Law

If at any time, the Bank determines in good faith that either (i) it has become or will become unlawful, illegal, or otherwise prohibited in whole or in part or (ii) the Bank will incur a materially increased cost (including, without limitation, due to any increase in tax liability, decrease in tax benefit or other adverse effect on the tax position of the Bank and/or any of its Affiliates) in performing its obligations (including any calculations or determinations to be made by the Bank) under the Notes, after application of all relevant provisions in the Conditions relating to replacement of the Benchmark Rate, Reference Index, FX Benchmark, Synthetic Currency FX Benchmark, Secondary Currency FX Benchmark and adjustment to the Conditions of the Notes or in holding, acquiring or disposing of any arrangement made to hedge its positions under the Notes, whether under any applicable present or future law, rule, regulation, judgment, order, licensing agreement or directive of any governmental, administrative, legislative or judicial authority or power (but, if not having the force of law, only if compliance with it is in accordance with the general practice of persons to whom it is intended to apply), or in the interpretation thereof (an "Illegality"), then the Bank may, at its option, having given not less than 30 nor more than 60 days' notice in accordance with Base General Condition 16 (Notices), redeem on an Interest Payment Date (if the Note is an interest bearing Note other than a Fixed Rate Note) or at any time (if the Note is a Fixed Rate Note or a Zero Coupon Note) all, but not some only, of the Notes then outstanding at the Early Redemption Amount (as described in Base General Condition 7(b) (Early Redemption)) (together with interest accrued to (but excluding) the date fixed for redemption without double counting, if applicable).

(e) Redemption at the Option of the Bank

If "Call Option" is specified in the relevant Issue Terms to be applicable, the Bank may, on giving not less than five Call Option Business Days' irrevocable notice to the Noteholders (or such other notice period as may be specified in the relevant Issue Terms), redeem all or, if so provided, some only of the

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Notes on any Optional Redemption Date. Any such redemption of Notes shall be at their Optional Redemption Amount together with interest accrued to the date fixed for redemption, if applicable. Any such redemption or exercise must relate to Notes of a nominal amount at least equal to the Minimum Redemption Amount to be redeemed specified in the relevant Issue Terms and no greater than the Maximum Redemption Amount to be redeemed specified in the relevant Issue Terms.

All Notes in respect of which any such notice is given shall be redeemed on the date specified in such notice in accordance with this Base General Condition 7(e).

In the case of a partial redemption, the notice to Noteholders shall also contain the certificate numbers of the Notes to be redeemed, which shall have been drawn in such place and in such manner as may be fair and reasonable in the circumstances, taking account of prevailing market practices, subject to compliance with any applicable laws, stock exchange requirements or the requirements of any other relevant authority.

(f) Redemption at the Option of Noteholders

If “Put Option” is specified in the relevant Issue Terms to be applicable, the Bank shall, at the option of the holder of any Note, upon the holder of such Note giving not less than 15 nor more than 30 days’ notice to the Bank (or such other notice period as may be specified in the relevant Issue Terms), redeem such Note on the Optional Redemption Date(s) at its Optional Redemption Amount together with interest accrued to the date fixed for redemption, if applicable.

To exercise such option, the holder must deposit (in the case of Bearer Notes) such Note (together with all unmatured Receipts and Coupons and unexchanged Talons) with any Paying Agent or (in the case of Registered Notes) the Note Certificate representing such Note(s) with the Registrar or any Transfer Agent at its specified office, together with a duly completed option exercise notice (a “Note Exercise Notice”) in the form obtainable from any Paying Agent, the Registrar or any Transfer Agent (as applicable) within the notice period. No Note or Note Certificate so deposited and option exercised may be withdrawn without the prior consent of the Bank.

(g) Target Auto Redemption

If “Target Auto Redemption” is specified in the relevant Issue Terms to be applicable, if on any Target Auto Redemption Date the Aggregate Interest Amount is equal to or greater than the Target Aggregate Interest Amount, each Note shall be redeemed on such Target Auto Redemption Date. Any such redemption of Notes shall be at an amount per Calculation Amount equal to such Calculation Amount, together with the Final Interest Amount. For the avoidance of doubt, no further amounts of interest will be payable.

“Aggregate Interest Amount” means, in respect of any Interest Payment Date, the sum of the Interest Amount payable on such Interest Payment Date and the Interest Amounts paid in respect of all previous Interest Payment Dates.

“Final Interest Amount” means the Interest Amount payable on the relevant Target Auto Redemption Date, provided that if “Capped Final Interest Amount” is specified in relevant Issue Terms to be applicable, an amount equal to the Target Aggregate Interest Amount minus the Interest Amounts paid prior to the relevant Target Auto Redemption Date, subject to a minimum Final Interest Amount of zero.

“Target Aggregate Interest Amount” means the amount specified, or an amount equal to the percentage of the Calculation Amount specified, in the relevant Issue Terms.

“Target Auto Redemption Date” means each Interest Payment Date specified as such in the relevant Issue Terms.

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(h) Autocall

If "Autocall" is specified in the relevant Issue Terms to be applicable, and if on any Autocall Barrier Observation Date, an Autocall Redemption Event has occurred, each Note shall be redeemed on the immediately following Interest Payment Date. Any such redemption of Notes shall be at an amount per Calculation Amount equal to such Calculation Amount, together with the interest accrued to the date fixed for redemption.

"Autocall Barrier Event" has the meaning given to it in the relevant Asset Conditions.

"Autocall Barrier Observation Date" has the meaning given to it in the relevant Asset Conditions.

"Autocall Redemption Event" means that an Autocall Barrier Event has occurred in respect of the Reference Item(s) or Basket(s) (or the specified number thereof) specified in the relevant Issue Terms.

(i) Redemption Following Benchmark Rate Event

If following the occurrence of a Benchmark Rate Event:

(a) the Benchmark Rate Determination Agent determines that it cannot identify a Replacement Benchmark Rate or determine a Replacement Benchmark Rate Adjustment Spread in accordance with Base General Condition 5(l) (Benchmark Rate Event);

(b) it (a) is or would be unlawful at any time under any applicable law or regulation or (b) would contravene any applicable licensing requirements, for the Benchmark Rate Determination Agent to perform the actions prescribed in Base General Condition 5(l) (Benchmark Rate Event) (or it would be unlawful or would contravene those licensing requirements were a determination to be made at such time);

(c) the Benchmark Rate Determination Agent determines that a Replacement Benchmark Rate Adjustment Spread is or would be a benchmark, index or other price source whose production, publication, methodology or governance would subject the Bank or the Calculation Agent to material additional regulatory obligations (such as the obligations for administrators under the UK Benchmark Regulation); or

(d) the Benchmark Rate Determination Agent determines that having identified a Replacement Benchmark Rate and determined a Replacement Benchmark Rate Adjustment Spread in accordance with 5(l) (Benchmark Rate Event), the adjustments provided for in Base General Condition 5(l) (Benchmark Rate Event) would not achieve a commercially reasonable result for either the Bank or the Noteholders,

then the Bank may give notice to the Noteholders as soon as practicable in accordance with Base General Condition 16 (Notices) and the Bank shall redeem all, but not some only, of the Notes then outstanding on the Interest Payment Date (the "Early Redemption Date") immediately succeeding the date it provides such notice to Noteholders at the Early Redemption Amount (as described in Base General Condition 7(b) (Early Redemption) above) (together with interest accrued to (but excluding) the date fixed for redemption (without double counting) which, for the avoidance of doubt, shall be calculated in accordance with 5(o) (Interim Measures)).

(j) Unwind Costs

"Unwind Costs" shall mean, in respect of each Note, an amount equal to such Note's pro rata portion of the value (determined in the currency in which the Notes are denominated) of any losses, expenses and costs to the Bank, any Hedging Party and/or any of its Affiliates and any loss of tax relief or other tax consequences of unwinding or adjusting any underlying or related swap agreement or other hedging arrangements (including but not limited to any options or selling or otherwise realising instruments of

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any type whatsoever which the Bank, any Hedging Party and/or any of its Affiliates may hold as part of such hedging arrangement and without duplication), all as calculated by the Bank in its sole discretion.

(k) Purchases

The Bank or any of its subsidiaries, any Affiliate or any holding company of the Bank or any other subsidiary of any such holding company may at any time, but is not obliged to, purchase Notes (provided that, in the case of Bearer Notes, all unmatured Receipts and Coupons and unexchanged Talons relating thereto are attached thereto or surrendered therewith) in the open market or otherwise at any price.

Any Notes so purchased or otherwise acquired may, at the Bank's discretion, be held or resold or surrendered for cancellation.

(l) Cancellation

All Notes purchased by or on behalf of the Bank or any of its subsidiaries or any holding company of the Bank or any other subsidiary of any such holding company may be surrendered for cancellation, in the case of Bearer Notes, by surrendering each such Note together with all unmatured Receipts and Coupons and all unexchanged Talons to the Fiscal Agent and, in the case of Registered Notes, by surrendering the Note Certificate representing such Notes to the Registrar and, in each case, if so surrendered, shall, together with all Notes redeemed by the Bank, be cancelled forthwith (together with all unmatured Receipts and Coupons and unexchanged Talons attached thereto or surrendered therewith).

Any Notes so cancelled may not be reissued or resold and the obligations of the Bank in respect of any such Notes shall be discharged.

8 Payments and Talons

(a) Bearer Notes

Payments of principal and interest in respect of Bearer Notes shall, subject as mentioned below, be made against presentation and surrender of the relevant Receipts (in the case of payments of Instalment Amounts other than on the due date for redemption and provided that the Receipt is presented for payment together with its relative Note), Notes (in the case of all other payments of principal and, in the case of interest, as specified in Base General Condition 8(e)(f) (Unmatured Coupons and Receipts and unexchanged Talons)) or Coupons (in the case of interest, save as specified in Base General Condition 8(e)(b)) (Unmatured Coupons and Receipts and unexchanged Talons), as the case may be:

(a) in the case of a currency other than Euro or Renminbi, at the specified office of any Paying Agent outside the United States by a cheque payable in the relevant currency drawn on, or, at the option of the holder, by transfer to an account denominated in such currency with, a bank in the principal financial centre for such currency;

(b) in the case of Euro, at the specified office of any Paying Agent outside the United States by a cheque payable in Euro drawn on, or, at the option of the holder, by transfer to an account denominated in Euro with, a bank in a city in which banks have access to the TARGET System; and

(c) in the case of Renminbi, by transfer to a Renminbi account maintained by or on behalf of the Noteholder with a bank in Hong Kong.

(b) Registered Notes

(a) Payments of principal (which for the purposes of this Base General Condition 8(b) (Registered Notes) shall include final Instalment Amounts but not other Instalment Amounts) in respect of Registered Notes shall be made against presentation and surrender of the relevant Note

131

Base General Conditions

Certificates at the specified office of any of the Transfer Agents or of the Registrar and in the manner provided in paragraph (b) below.

(b) Interest (which for the purpose of this Base General Condition 8(b) (Registered Notes) shall include all Instalment Amounts other than final Instalment Amounts) on Registered Notes shall be paid to the person shown on the Register at the close of business on the 15th day before the due date for payment thereof (the "Record Date"). Payments of interest on each Registered Note shall be made:

(A) in the case of a currency other than Renminbi, in the relevant currency by a cheque drawn on a bank in the principal financial centre of such currency, subject as provided in Base General Condition 8(a) (Bearer Notes), and mailed to the holder (or to the first named of joint holders) of such Note at its address appearing in the Register. Upon application by the holder to the specified office of the Registrar or any Transfer Agent before the Record Date and subject as provided in Base General Condition 8(a) (Bearer Notes), such payment of interest may be made by transfer to an account in the relevant currency maintained by the payee with a bank; and

(B) in the case of Renminbi, by transfer to the registered account of the Noteholder.

In this Base General Condition 8(b)(b) (Registered Notes), "registered account" means the Renminbi account maintained by or on behalf of the Noteholder with a bank in Hong Kong, details of which appear on the Register at the close of business on the fifth Business Day before the due date for payment.

(c) In respect of CMU Notes, payments of principal and interest in respect of such Notes shall be made by transfer to the registered account of the Noteholder(s). A Noteholder's "registered account" means the account in the Specified Currency maintained by or on behalf of the Noteholder with a bank (whether or not the Specified Currency is Renminbi) in Hong Kong or in such other jurisdiction as may be specified by the Registrar from time to time, details of which appear on the Register at the close of business on the Record Date.

(c) Payments in the United States

Notwithstanding the foregoing, if any Bearer Notes are denominated in U.S. dollars, payments in respect thereof may be made at the specified office of any Paying Agent in New York City in the same manner as aforesaid if (i) the Bank shall have appointed Paying Agents with specified offices outside the United States with the reasonable expectation that such Paying Agents would be able to make payment of the amounts on the Notes in the manner provided above when due, (ii) payment in full of such amounts at all such offices is illegal or effectively precluded by exchange controls or other similar restrictions on payment or receipt of such amounts and (iii) such payment is then permitted by United States law, without involving, in the opinion of the Bank, any adverse tax consequence to the Bank.

(d) Appointment of Agents

(a) The Fiscal Agent, the other Paying Agents, the Registrar and the Transfer Agents initially appointed by the Bank and their respective specified offices are listed below. Subject as provided in the Agency Agreement, the Fiscal Agent, the other Paying Agents, the Registrar and the Transfer Agents and the Calculation Agent act solely as agents of the Bank and do not assume any obligation or relationship of agency or trust for or with any Noteholder or Couponholder. The Bank reserves the right at any time to vary or terminate the appointment of the Fiscal Agent, any other Paying Agent, the Registrar and any Transfer Agent or the Calculation Agent(s) and to appoint additional or other Paying Agents or Transfer Agents, provided that the Bank shall at all times maintain (i) a Fiscal Agent, (ii) a Registrar in relation to Registered Notes, (iii) a Transfer Agent in relation to Registered Notes which may be the Registrar, (iv) one or more Calculation

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Agent(s) where these Base General Conditions so require, (v) a Paying Agent having a specified office in Europe, which, so long as the Notes are listed on the official list (the "Official List") of the Financial Conduct Authority under the Financial Services and Markets Act 2000 (the "FSMA") and are admitted to trading on the London Stock Exchange plc's Regulated Market, shall be in London and (vi) such other agents as may be required by any other stock exchange on which the Notes may be listed.

(b) In addition, the Bank shall forthwith appoint a Paying Agent in New York City in respect of any Bearer Notes denominated in U.S. dollars in the circumstances described in Base General Condition 8(c) (Payments in the United States).

(c) Notice of any such change or any change of any specified office shall promptly be given to the Noteholders by the Bank in accordance with Base General Condition 16 (Notices).

(e) Unmatured Coupons and Receipts and unexchanged Talons

(a) Upon the due date for redemption of Bearer Notes which comprise Fixed Rate Notes (other than any Fixed Rate Notes where the total value of the unmatured coupons appertaining thereto exceeds the nominal amount of such Note), such Notes should be surrendered for payment together with all unmatured Coupons (if any) relating thereto, failing which an amount equal to the face value of each missing unmatured Coupon (or, in the case of payment not being made in full, that proportion of the amount of such missing unmatured Coupon that the sum of principal so paid bears to the total principal due) shall be deducted from the Final Redemption Amount(s), Early Redemption Amount or Optional Redemption Amount, as the case may be, due for payment. Any amount so deducted shall be paid in the manner mentioned above against surrender of such missing Coupon within a period of 10 years of the Relevant Date for the payment of such principal (whether or not such Coupon has become void pursuant to Base General Condition 10 (Prescription)).

(b) Upon the due date for redemption of any Bearer Note comprising a Floating Rate Note or a Structured Rate Note, unmatured Coupons relating to such Note (whether or not attached) shall become void and no payment shall be made in respect of them.

(c) Upon the due date for redemption of any Bearer Note, any unexchanged Talon relating to such Note (whether or not attached) shall become void and no Coupon shall be delivered in respect of such Talon.

(d) Upon the due date for redemption of any Bearer Note that is redeemable in instalments, all Receipts relating to such Note having an Instalment Date falling on or after such due date (whether or not attached) shall become void and no payment shall be made in respect of them.

(e) Where any Bearer Note that provides that the relative unmatured Coupons are to become void upon the due date for redemption of those Notes is presented for redemption without all unmatured Coupons and any unexchanged Talon relating to it, and where any Bearer Note is presented for redemption without any unexchanged Talon relating to it, redemption shall be made only against the provision of such indemnity as the Bank may require.

(f) If the due date for redemption of any Note is not a due date for payment of interest, interest accrued from the preceding due date for payment of interest or the Interest Commencement Date, as the case may be, shall only be payable against presentation (and surrender if appropriate) of the relevant Bearer Note or Note Certificate representing it, as the case may be. Interest accrued on a Note that only bears interest after its Maturity Date shall be payable on redemption of such Note against presentation of the relevant Note or Note Certificate representing it, as the case may be.

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(f) Talons

On or after the Interest Payment Date for the final Coupon forming part of a Coupon sheet issued in respect of any Bearer Note, the Talon (if any) forming part of such Coupon sheet may be surrendered at the specified office of the Fiscal Agent in exchange for a further Coupon sheet (and, if necessary, another Talon for a further Coupon sheet) (but excluding any Coupons that may have become void pursuant to Base General Condition 10 (Prescription)).

(g) Payments subject to Fiscal Laws

Save as provided in Base General Condition 9(a) (Taxation), payments in respect of the Notes will be subject in all cases to any other applicable fiscal or other laws and regulations in the place of payment or other laws and regulations to which the Bank or its respective Agents agree to be subject and the Bank will not be liable for any taxes or duties of whatever nature imposed or levied by such laws, regulations or agreements.

No commission or expenses shall be charged to Noteholders or Couponholders in respect of such payments. The Bank reserves the right to require a Noteholder to provide a Paying Agent, the Registrar or a Transfer Agent with such certification or information as may be required to enable the Bank to comply with the requirements of the United States federal income tax laws or any agreement between the Bank and any taxing authority.

9 Taxation and Expenses

(a) Taxation

All payments of principal and/or interest by or on behalf of the Bank in respect of the Notes, the Receipts and the Coupons shall be made without withholding or deduction for or on account of any present or future tax, duty, assessment or governmental charge of whatsoever nature imposed, levied, collected, withheld or assessed by or on behalf of the United Kingdom or any authority thereof or therein having power to tax, unless such withholding or deduction is required by law. In that event, the Bank shall pay such additional amounts of principal and/or interest as will result (after such withholding or deduction) in receipt by the Noteholders, the Receiptholders and the Couponholders of the sums which would have been receivable (in the absence of such withholding or deduction) from it in respect of their Notes and/or Receipts and/or Coupons, as the case may be, except that no such additional amounts shall be payable with respect to any Note, Receipt or Coupon:

(a) presented for payment by or on behalf of any holder who is liable to such tax, duty, assessment or governmental charge in respect of such Note, Receipt or Coupon by reason of such holder having some connection with the United Kingdom other than the mere holding of such Note, Receipt or Coupon; or

(b) to, or to a third party on behalf of, a holder if such withholding or deduction may be avoided by complying with any statutory requirement or by making a declaration of non-residence or other similar claim for exemption to any authority of or in the United Kingdom, unless such holder proves that he is not entitled so to comply or to make such declaration or claim; or

(c) to, or to a third party on behalf of, a holder that is a partnership, or a holder that is not the sole beneficial owner of the Note, Receipt or Coupon, or which holds the Note, Receipt or Coupon in a fiduciary capacity, to the extent that any of the members of the partnership, the beneficial owner or the settlor or beneficiary with respect to the fiduciary would not have been entitled to the payment of an additional amount had each of the members of the partnership, the beneficial owner, settlor or beneficiary (as the case may be) received directly his beneficial or distributive share of the payment; or

Base General Conditions

(d) presented for payment more than 30 days after the Relevant Date except to the extent that the holder thereof would have been entitled to such additional amounts on presenting the same for payment at the expiry of such period of 30 days.

Notwithstanding any other provision of these Base General Conditions, any amounts to be paid on the Notes by or on behalf of the Bank, will be paid net of any deduction or withholding 1) imposed or required pursuant to an agreement described in Section 1471(b) of the U.S. Internal Revenue Code of 1986, as amended (the "Code"), or otherwise imposed pursuant to Sections 1471 to 1474 of the Code (or any regulations thereunder or official interpretations thereof) or an intergovernmental agreement between the United States and another jurisdiction facilitating the implementation thereof (or any fiscal or regulatory legislation, rules or practices implementing such an intergovernmental agreement) (any such withholding or deduction, a "FATCA Withholding") or 2) imposed as a result of the application of the provisions of Section 871(m) of the Code or any U.S. Treasury Regulations or other administrative guidance published thereunder, or any successor or substitute legislation or provision of law ("871(m) Withholding"). In addition, in determining the amount of 871(m) Withholding imposed with respect to any amounts to be paid on the Notes, the Bank shall be entitled to withhold on any "dividend equivalent" (as defined for purposes of Section 871(m) of the Code) at the highest rate applicable to such payments regardless of any exemption from, or reduction in, such withholding otherwise available under applicable law. Neither the Bank nor any other person will be required to pay any additional amounts in respect of FATCA Withholding or 871(m) Withholding.

As used herein:

The "Relevant Date" in respect of any payment means the date on which such payment first becomes due or (if the full amount of the moneys payable has not been duly received by the Fiscal Agent on or prior to such date) the date on which notice is given to the Noteholders that such moneys have been so received.

References in these Base General Conditions to (i) "principal" shall be deemed to include any premium payable in respect of the Notes, all Instalment Amounts, Final Redemption Amounts, Early Redemption Amounts, Optional Redemption Amounts, Amortised Face Amounts and all other amounts in the nature of principal payable pursuant to Base General Condition 7 (Redemption, Purchase and Options) or any amendment or supplement to it, (ii) "interest" shall be deemed to include all Interest Amounts and all other amounts payable pursuant to Base General Condition 5 (Interest and other Calculations) or any amendment or supplement to them and (iii) "principal" and/or "interest" (other than such interest as is referred to in Base General Condition 11 (Events of Default and Enforcement)) shall be deemed to include any additional amounts that may be payable under this Base General Condition 9(a) (Taxation).

(b) Expenses

(a) If Expenses are specified as applicable in the relevant Issue Terms, a Noteholder must pay or discharge all Expenses relating to such Note as provided in these Conditions and, in relation to any Note, no payment of any Instalment Amount or Final Redemption Amount in respect of such Note will be made until all Expenses in relation to such Note have been paid or discharged to the satisfaction of the Bank.

"Expenses" means, in relation to a Note, all taxes, duties and/or expenses, including any applicable depositary charges, transaction, exercise or redemption charges, trading costs, stamp duty, stamp duty reserve tax, issue, registration, transfer and/or taxes or duties arising in connection with the exercise or redemption, as the case may be, of such Note borne by the Bank or an Affiliate thereof, as determined by the Calculation Agent, provided that Expenses shall not include any taxes or duties described above to the extent that the Early Redemption Amount already takes into account such amounts.

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(b) Except as required by Base General Condition 9(a) (Taxation), the Bank shall not be liable for or otherwise obliged to pay any tax, duty or other payment which may arise as a result of the ownership, transfer, exercise, redemption or enforcement of any Note by any person and all payments and/or deliveries made by the Bank shall be made subject to any such tax, duty, withholding or other payment which may be required to be made, paid, withheld or deducted (whether by operation of law or agreement of the Bank or its agents).

10 Prescription

Claims for payment of principal (excluding principal comprised in a withheld amount) will become void 12 years, and claims for payment of interest (other than interest comprised in, or accrued on, a withheld amount) will become void six years, after the Relevant Date (as defined in Base General Condition 9(a) (Taxation) relating thereto. Claims in respect of principal comprised in a withheld amount and claims in respect of interest comprised in, or accrued on, a withheld amount will, in the case of such principal, become void 12 years, and will, in the case of such interest, become void six years, after the due date for payment thereof as specified in Base General Condition 11 (Events of Default and Enforcement) or, if the full amount of the moneys payable has not been duly received by the Fiscal Agent, another Paying Agent, the Registrar or a Transfer Agent, as the case may be, on or prior to such date, the date of which notice is given in accordance with Base General Condition 16 (Notices) that the relevant part of such moneys has been so received.

The prescription period in respect of Talons shall be:

(a) as to any Talon, the original due date for exchange of which falls within the 12 years immediately prior to the due date for redemption (pursuant to Base General Condition 7(a) (Redemption by Instalments and Final Redemption), 7(c) (Redemption for Taxation Reasons), 7(d) (Redemption for Illegality or Change in Law), 7(e) (Redemption at the Option of the Bank) or 7(f) (Redemption at the Option of Noteholders)) of the Note to which it pertains, six years from the Relevant Date for the redemption of such Note, but so that the Coupon sheet for which it is exchangeable shall be issued without any Coupon itself prescribed in accordance with this Base General Condition 10 (Prescription) or the Relevant Date for payment of which would fall after the Relevant Date for the redemption of the relevant Note and without a Talon; and

(b) as to any other Talon, 12 years from the Relevant Date for payment of the last Coupon of the Coupon sheet of which it formed part.

11 Events of Default and Enforcement

The occurrence of any of the following events shall be an event of default (each an "Event of Default") and following any such Event of Default the holder of any Note may give written notice to the Fiscal Agent at its specified office that the Notes are, and they shall accordingly immediately become, due and repayable at their Early Redemption Amount, together with accrued interest (if any):

(a) if the Bank shall not make payment in respect of any principal or any interest in respect of the Notes for a period of 14 days or more after the due date for the same (other than where the Bank withholds or refuses any such payment (A) in order to comply with any fiscal or other law or regulation or with the order of any court of competent jurisdiction or with any agreement between the Bank (or the Fiscal Agent, the relevant Paying Agent, Transfer Agent or Registrar or the holder of the Note, Receipt or Coupon) and any taxing authority, in each case applicable to such payment, or (B) in case of doubt as to the validity or applicability of any such law, regulation or order, in accordance with advice as to such validity or applicability given at any time during the said period of 14 days by independent legal advisers); or

(b) if, otherwise than for the purposes of reconstruction or amalgamation, an order is made or an effective resolution is passed for winding-up the Bank.

Base General Conditions

12 Meetings of Noteholders, Modification and Substitution of the Bank

(a) Meetings of Noteholders

The Agency Agreement contains provisions for convening meetings of Noteholders (including by way of conference call or by use of a videoconference platform) to consider any matter affecting their interests, including the sanctioning by Extraordinary Resolution (as defined in the Agency Agreement) of a modification of any of the Conditions or any of the provisions of the Notes (including Receipts or Coupons) or the Agency Agreement, except that certain provisions of the Agency Agreement may only be modified subject to approval by Extraordinary Resolution passed at a meeting of Noteholders to which special quorum provisions shall have applied.

An Extraordinary Resolution duly passed at any meeting of the Noteholders shall be binding on all the Noteholders and all Couponholders, whether or not they are present at the meeting.

Resolutions can be passed in writing if passed by holders of 66 per cent. by nominal amount of all relevant outstanding Notes.

The Conditions may be amended, modified or varied in relation to any Series of Notes.

(b) Modifications

The Bank may modify the Conditions and/or the Agency Agreement without the consent of the Noteholders in any manner which the Bank may deem necessary or desirable, provided that either:

such modification is not materially prejudicial to the interests of the Noteholders in the sole and absolute discretion of the Bank (without considering the individual circumstances of any holders of Notes or the tax or other consequences of such adjustment in any particular jurisdiction);
such modification is of a formal, minor or technical nature or to correct a manifest or proven error or to cure, correct or supplement any defective provision contained herein and/or therein or to comply with any mandatory provision of law of the jurisdiction in which the Bank is incorporated; or
in respect of Notes which the Bank determines (whether before or after issue) to list on a stock exchange, market or quotation system, such modification is made to enable such Notes to be listed on such stock exchange, market or quotation system.

Notice of any such modification, which will be binding on the Noteholders, will be given to the Noteholders in accordance with Base General Condition 16 (Notices) but failure to give, or non-receipt of, such notice will not affect the validity of any such modification.

(c) Substitution of the Bank

The Bank (or any previously substituted company from time to time) shall, without the consent of the Noteholders, be entitled at any time to substitute for the Bank (or any such previously substituted company) any other company (the "Substitute") as principal obligor in respect of all obligations arising from or in connection with the Notes, provided that: (a) all action, conditions and things required to be taken, fulfilled and done (including the obtaining of any necessary consents) to ensure that the Notes represent valid, legally binding and enforceable obligations of the Substitute have been taken, fulfilled and done and are in full force and effect; (b) the Substitute shall have assumed all obligations arising from or in connection with the Notes and shall have become a party to the Agency Agreement, with any consequential amendments; (c) either (i) the Substitute shall be the holding company of the Bank or (ii) the obligations of the Substitute in respect of the Notes shall be unconditionally and irrevocably guaranteed by the Bank; (d) each stock exchange or listing authority on which the Notes are listed shall have confirmed that, following the proposed substitution of the Substitute, the Notes would continue to

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Base General Conditions

be listed on such stock exchange; and (e) the Bank shall have given at least 30 days' prior notice of the date of such substitution to the Noteholders in accordance with Base General Condition 16 (Notices).

In the case of a substitution pursuant to this Base General Condition 12(c) (Substitution of the Bank), the Fiscal Agent may in its absolute discretion agree, without the consent of the relevant Noteholders, to a change of the law governing the Notes and/or the Agency Agreement provided that such change would not in the opinion of the Fiscal Agent be materially prejudicial to the interests of the Noteholders.

13 Replacement of Notes, Note Certificates, Receipts, Coupons and Talons

(a) If a Note, Note Certificate, Receipt, Coupon or Talon is lost, stolen, mutilated, defaced or destroyed, it may be replaced, subject to applicable laws, regulations and stock exchange or other relevant authority regulations, at the specified office of the Fiscal Agent (in the case of Bearer Notes, Receipts, Coupons or Talons) and of the Registrar (in the case of Note Certificates) or such other place of which notice shall be given in accordance with Base General Condition 16 (Notices), in each case, on payment by the claimant of the expenses incurred in connection therewith and on such terms as to evidence, security and indemnity (which may provide, inter alia, that if the allegedly lost, stolen or destroyed Note, Note Certificate, Receipt, Coupon or Talon is subsequently presented for payment or, as the case may be, for exchange for further Coupons, there shall be paid to the Bank on demand the amount payable by the Bank in respect of such Note, Note Certificate, Receipt, Coupon or further Coupons) and otherwise as the Bank may require. Mutilated or defaced Notes, Note Certificates, Receipts, Coupons or Talons must be surrendered before replacements will be issued. In addition, the Bank may require the person requesting delivery of a replacement Note, Note Certificate, Receipt, Coupon or Talon to pay, prior to delivery of such replacement Note, Note Certificate, Receipt, Coupon or Talon, any stamp or other tax or governmental charges required to be paid in connection with such replacement. No replacement Note shall be issued having attached thereto any Receipt, Coupon or Talon, claims in respect of which shall have become void pursuant to Base General Condition 10 (Prescription).

(b) Where:

(a) a Talon (the "relevant Talon") has become prescribed in accordance with Base General Condition 10 (Prescription);
(b) the Note to which the relevant Talon pertains has not become void through prescription;
(c) no Coupon sheet (or part thereof, being Coupon(s) and/or a Talon, hereinafter called a "part Coupon sheet"), which Coupon sheet would have been exchangeable for the relevant Talon or for any subsequent Talon bearing the same serial number pertaining to such Note, has been issued; and
(d) either no replacement Coupon sheet or part Coupon sheet has been issued in respect of any Coupon sheet or part Coupon sheet referred to in paragraph (c) above or, in the reasonable opinion of the Bank, there is no reasonable likelihood that any such replacement has been issued,

then, upon payment by the claimant of the expenses incurred in connection therewith and on such terms as to evidence and indemnity or security as the Bank may reasonably require, there may be obtained at the specified office of the Fiscal Agent (or such other place of which notice shall be given in accordance with Base General Condition 16 (Notices)) a Coupon sheet or Coupon sheets or part Coupon sheet(s), as the circumstances may require, issued:

(A) in the case of a Note that has become due for redemption (x) without any Coupon itself prescribed in accordance with Base General Condition 10 (Prescription) or the Relevant Date for payment of which would fall after the Relevant Date for the redemption of the relevant Note, and (y) without any Talon or Talons, as the case may be; or

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Base General Conditions

(B) in any other case, without any Coupon or Talon itself prescribed in accordance with Base General Condition 10 (Prescription) and without any Talon pertaining to a Coupon sheet the Relevant Date of the final Coupon of which falls on or prior to the date when the Coupon sheet(s) or part Coupon sheet(s) is (are) delivered to or to the order of the claimant, but in no event shall any Coupon sheet be issued the original due date for exchange of which falls after the date of delivery of such Coupon sheet(s) as aforesaid.

For the avoidance of doubt, the provisions of this Base General Condition 13 (Replacement of Notes, Note Certificates, Receipts, Coupons and Talons) shall not give, or revive, any rights in respect of any Talon that has become prescribed in accordance with Base General Condition 10 (Prescription).

14 Redenomination

Notes denominated in a currency of a country that subsequently participates in the third stage of European Economic and Monetary Union will, with effect from the Redenomination Date, be redenominated in Euro.

The redenomination will have effect as follows:

(a) the Notes and the Receipts shall be deemed to be redenominated in Euro in the denomination of €0.01 with a nominal amount for each Note and Receipt equal to the nominal amount of that Note or Receipt in the Specified Currency, converted into Euro at the Established Rate, provided that, if the Bank determines, with the agreement of the Fiscal Agent or Registrar, as applicable, that the then market practice in respect of the redenomination in Euro of internationally offered securities is different from the provisions specified above, such provisions shall be deemed to be amended so as to comply with such market practice and the Bank shall promptly notify the Noteholders, the stock exchange on which the Notes may be listed, the Registrar and the Fiscal Agent of such deemed amendments;

(b) save to the extent that an Exchange Notice has been given in accordance with paragraph (d) below, the amount of interest due in respect of the Notes will be calculated by reference to the aggregate nominal amount of Notes presented (or, as the case may be, in respect of which Coupons are presented) for payment by the relevant holder and the amount of such payment shall be rounded down to the nearest €0.01;

(c) if Notes in definitive form are required to be issued after the Redenomination Date, they shall be issued at the expense of the Bank in the denomination of €100,000 and/or such higher amounts as the Fiscal Agent or Registrar, as applicable, may determine and notify to the Noteholders and any remaining amounts less than €100,000 shall be redeemed by the Bank as soon as reasonably practicable and paid to the Noteholders in Euro in accordance with Base General Condition 8 (Payments and Talons);

(d) if issued prior to the Redenomination Date, all unmatured Coupons denominated in the Specified Currency (whether or not attached to the Notes) will become void with effect from the date on which the Bank gives notice (the "Exchange Notice") that replacement Euro-denominated Notes, Receipts and Coupons are available for exchange (provided that such securities are so available) and no payments will be made in respect of them. The payment obligations contained in any Notes and Receipts so issued will also become void on that date although those Notes and Receipts will continue to constitute valid exchange obligations of the Bank. New Euro-denominated Notes, Receipts and Coupons will be issued in exchange for Notes, Receipts and Coupons denominated in the Specified Currency in such manner as the Fiscal Agent or Registrar, as applicable, may specify and as shall be notified to the Noteholders in the Exchange Notice. No Exchange Notice may be given less than 15 calendar days prior to any date for payment of principal or interest on the Notes;

(e) after the Redenomination Date, all payments in respect of the Notes, the Receipts and the Coupons, other than payments of interest in respect of periods commencing before the Redenomination Date, will be made solely in Euro as though references in the Notes to the Specified Currency were to Euro; and

Base General Conditions

(f) such other changes shall be made to this Base General Condition 14 (Redenomination) as the Bank may decide after consultation with the Fiscal Agent(s) and, in the case of Registered Notes, the Registrar and as may be specified in the notice, to conform it to conventions applicable to instruments denominated in Euro.

Notwithstanding the foregoing, none of the Bank, any of its Affiliates or agents, the Fiscal Agent or Registrar shall be liable to any Noteholder or other person for any commissions, costs, losses or expenses in relation to or resulting from the transfer of Euro or any currency conversion or rounding effected in connection therewith.

15 Further Issues

The Bank shall be at liberty from time to time without the consent of Noteholders to create and issue further Notes which (i) are expressed to be consolidated and form a single Series with the outstanding Notes and (ii) are identical in all respects with such Notes except for their respective issue dates and/or issue prices.

16 Notices

Notices to the holders of Bearer Notes shall be valid if published in a daily newspaper of general circulation in the United Kingdom (which is expected to be the Financial Times). If any such publication is not practicable, notice shall be validly given if published in another leading daily English language newspaper with general circulation in the United Kingdom. Any such notice shall be deemed to have been given on the date of such publication or, if published more than once or on different dates, on the first date on which such publication is made.

Couponholders shall be deemed for all purposes to have notice of the contents of any notice given to the holders of Bearer Notes in accordance with this Base General Condition 16 (Notices).

Notices to the holders of Registered Notes shall be mailed to them at their respective addresses in the Register and shall be deemed to have been given on the weekday (being a day other than a Saturday or a Sunday) after the date of mailing, provided that, if at any time by reason of the suspension or curtailment (or expected suspension or curtailment) of postal services within the United Kingdom or elsewhere the Bank is unable effectively to give notice to holders of Registered Notes through the post, notices to holders of Registered Notes will be valid if given in the same manner as other notices as set out above.

17 Documents Available for Inspection

Copies of the Prospectus, the Deed of Covenant, the Agency Agreement (which contains the forms of the Issue Terms) and the applicable Issue Terms may be obtained during normal office hours from the registered office of the Bank and from the specified offices of each Fiscal Agent and Transfer Agents, save that if the Notes are neither admitted to trading on a regulated market in the European Economic Area or the United Kingdom nor offered in the European Economic Area or the United Kingdom in circumstances where a prospectus is required to be published under Regulation (EU) 2017/1129 as it forms part of domestic law by virtue of the European Union (Withdrawal) Act 2018, the relevant Issue Terms will only be obtainable by a Noteholder and such Noteholder must first produce evidence satisfactory to the Bank or the Fiscal Agent as to its holding of Notes and its identity.

18 Severability

Should any one or more of the provisions contained in the Conditions be or become invalid, the validity of the remaining provisions shall not in any way be affected thereby.

19 Governing Law

The Notes, the Receipts, the Coupons and the Talons and any non-contractual obligations arising out of or in connection with them are governed by, and construed in accordance with, English law.

Base General Conditions

20 Jurisdiction

The courts of England are to have jurisdiction to settle any disputes that may arise out of or in connection with the Notes and accordingly any legal action or proceedings arising out of or in connection with the Notes ("Proceedings") may be brought in such courts.

21 Third Party Rights

No person shall have any right to enforce any term or condition of the Notes under the Contracts (Rights of Third Parties) Act 1999 but this does not affect any right or remedy of any person that exists or is available apart from that Act.

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Asset Conditions

ASSET CONDITIONS

The chapters of this section each set out additional terms and conditions for Notes linked to a particular asset class (if any) as specified in the relevant Final Terms.

The following are the terms and conditions (the “Asset Conditions”) that apply to Notes as may be specified in the relevant Issue Terms.

The Asset Conditions are set out as follows:

Index Linked Asset Conditions AC Chapter 1
Inflation Linked Asset Conditions AC Chapter 2
Currency Linked Asset Conditions AC Chapter 3
Rate Linked Asset Conditions AC Chapter 4
Multi-Asset Basket Linked Asset Conditions AC Chapter 5
Additional Disruption Asset Conditions AC Chapter 6
Alternative Currency Asset Conditions AC Chapter 7
Synthetic Currency Asset Conditions AC Chapter 8

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AC Chapter 1: Index Linked Asset Conditions

This chapter sets out additional terms and conditions that are only applicable to Index Linked Notes.

The following are the conditions (the “Index Linked Asset Conditions”) that will apply to Index Linked Notes. These Index Linked Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms and any applicable Payout Conditions. In the case of any inconsistency between these Index Linked Asset Conditions and the Base General Conditions, these Index Linked Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Index Linked Asset Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Index Linked Asset Conditions or elsewhere in the Base Conditions applicable to the Index Linked Notes will have the meanings given to them in the relevant Issue Terms. References in these Index Linked Asset Conditions to “Index Linked Notes” or “Notes” are to the Index Linked Notes or Notes of one Series only, not to all Index Linked Notes or Notes that may be issued under the Programme.

1 Index Linked Notes

1.1 Maturity Date Extension

If the Notes are Index Linked Redemption Notes and if “Maturity Date Extension” is specified in the relevant Issue Terms as being applicable, the Maturity Date shall be the later of:

(a) the date specified as the Maturity Date in the relevant Issue Terms (the “Scheduled Maturity Date”); and
(b) the day falling the Number of Extension Business Days after the Reference Date, Basket Reference Date, final Averaging Reference Date or final Basket Averaging Reference Date, as the case may be, in respect of which the Final Redemption Amount is determined.

If the relevant Maturity Date is postponed pursuant to this Asset Condition 1.1: (i) the Final Redemption Amount will be due on the relevant date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such Final Redemption Amount; (ii) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the Scheduled Maturity Date and of the postponed Maturity Date not less than three Business Days prior to such postponed Maturity Date; and (iii) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the Scheduled Maturity Date and not less than two Business Days prior to such postponed Maturity Date.

1.2 Payment Date Extension

If the Notes are (a) Index Linked Interest Notes and “Payment Date Extension” is specified in the relevant Issue Terms as being applicable and/or (b) Index Linked Autocall Notes and “Autocall Payment Date Extension” is specified in the relevant Issue Terms as being applicable, each Interest Payment Date shall be the later of:

(a) the date specified as such Interest Payment Date in the relevant Issue Terms (the “Scheduled Payment Date”);
(b) if the Notes are Index Linked Interest Notes and “Payment Date Extension” is specified in the relevant Issue Terms as being applicable, the day falling the Number of Extension Business Days after the Reference Date, Basket Reference Date, final Averaging Reference Date or final Basket Averaging Reference Date, as the case may be, in respect of which the Rate of Interest is determined for such Interest Payment Date; and

AC Chapter 1: Index Linked Asset Conditions

(c) if the Notes are Index Linked Autocall Notes and “Autocall Payment Date Extension” is specified in the relevant Issue Terms as being applicable, the day falling five Business Days after the last Autocall Barrier Observation Date in respect of the relevant Interest Period.

If any amount is payable on an Interest Payment Date in respect of an Index Linked Interest Note or Index Linked Autocall Note and such Interest Payment Date is postponed pursuant to this Asset Condition 1.2, (A) such amount will be due on the Interest Payment Date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such amount; (B) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the relevant Interest Payment Date and of the relevant postponed Interest Payment Date not less than three Business Days prior to such postponed Interest Payment Date; and (C) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the relevant Interest Payment Date and not less than two Business Days prior to such postponed Interest Payment Date.

1.3 Index Basket Level

Where the Index Linked Notes relate to a Basket of Indices, the Calculation Agent shall calculate the level of the Basket of Indices (the “Index Basket Level”) in respect of each Basket Reference Date as follows:

(a) if “Weighted Average” is specified as applicable in the relevant Issue Terms, and:

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the Aggregate Weighted Index Level in respect of such Basket Reference Date; or
(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the Aggregate Weighted Index Levels in respect of each such Basket Averaging Reference Date; or

(b) if “Best-Of” is specified as applicable in the relevant Issue Terms, and:

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the Index Level of the Best Performing Basket Component as at the Reference Time on the relevant Reference Date; or
(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the Index Levels of the Best Performing Basket Component as at the Reference Time on each of the relevant Averaging Reference Dates; or

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the Index Level of the Worst Performing Basket Component as at the Reference Time on the relevant Reference Date; or
(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the Index Levels of the Worst Performing Basket Component as at the Reference Time on each of the relevant Averaging Reference Dates.

1.4 Index Adjustment Provisions

(a) Successor Index Sponsor Calculates and Reports an Index

If a relevant Index or Reference Index is (A) not calculated and announced by the Index Sponsor but is calculated and announced by a successor sponsor (a “Successor Index Sponsor”) acceptable to the Calculation Agent in consultation with the Bank or (B) replaced by a successor index using, in the determination of the Calculation Agent in consultation with the Bank, the same or a substantially similar

AC Chapter 1: Index Linked Asset Conditions

formula for and method of calculation as used in the calculation of that Index, then, in each case, that index (the “Successor Index”) will be deemed to be the Index.

(b) Adjustments to an Index

If (A) on or prior to the Reference Date or an Averaging Reference Date the relevant Index Sponsor makes or announces that it will make a material change in the formula for or the method of calculating a relevant Index or Reference Index or in any other way materially modifies that Index (other than a modification prescribed in that formula or method to maintain that Index in the event of changes in constituent stock and capitalisation, contracts and other routine events) (an “Index Modification”) or (B) permanently cancels the Index or a Reference Index and no Successor Index exists (an “Index Cancellation”) or (C) on the Reference Date or an Averaging Reference Date the Index Sponsor or (if relevant) the Successor Index Sponsor fails to calculate and announce a relevant Index or Reference Index, provided that no Index Cancellation or Index Administrator/Benchmark Event Date has occurred and further provided that, in respect of an Index which is specified in the relevant Issue Terms as being a Multi-Exchange Index, the Calculation Agent may, in consultation with the Bank, determine that such event instead results in the occurrence of a Disrupted Day (an “Index Disruption”) or (D) an Index Administrator/Benchmark Event occurs (an Index Administrator/Benchmark Event, together with an Index Modification, an Index Cancellation and an Index Disruption, each an “Index Adjustment Event”), then the following provisions of this Asset Condition 1.4(b) shall apply:

(a) If the Benchmark Rate Determination Agent determines in respect of a Series and a Reference Index that, on or prior to any Reference Date, Averaging Reference Date or other relevant date, an Index Cancellation or an Index Administrator/Benchmark Event Date has occurred in respect of such Reference Index, it shall notify the Bank or Calculation Agent, as applicable, and:

(A) If the Issue Terms specify an Alternative Pre-nominated Index in respect of such Reference Index then:

(1) the Benchmark Rate Determination Agent shall attempt to determine an Adjustment Payment;

(2) if the Benchmark Rate Determination Agent determines an Adjustment Payment:

(a) the terms of the Notes shall, without the consent of the Noteholders or Couponholders, be amended so that references to the Reference Index are replaced by references to the Alternative Pre-nominated Index; and

(b) the Bank shall, without the consent of the Noteholders or Couponholders, adjust the Conditions to take into account the Adjustment Payment as follows:

(i) if the Adjustment Payment is an amount that the Bank is required to pay in respect of each Note, adjust the Conditions to provide for the payment of the Adjustment Payment on the immediately succeeding Interest Payment Date or if there is no such immediately succeeding Interest Payment Date, on the Maturity Date or any date on which any amount may be due and payable, as relevant;

(ii) if the Adjustment Payment is an amount that the Noteholder would (but for this Asset Condition 1.4(b)(a)(A)(2)(b)(ii)) be required to pay to the Bank in respect of each Note, adjust the Conditions to provide for the reduction of the amounts due by the Bank in respect of each Note until the aggregate amount of such reductions is equal to the Adjustment Payment; and

AC Chapter 1: Index Linked Asset Conditions

(iii) shall make such other adjustments (“Replacement Index Amendments”) to the Conditions as it determines necessary or appropriate in order to account for the effect of the replacement of the Reference Index with the Alternative Pre-nominated Index.

(c) the Bank shall deliver a notice to the Noteholders as soon as practicable in accordance with Base General Condition 16 (Notices) specifying the Adjustment Payment and the specific terms of any Replacement Index Amendments and such notice shall be irrevocable. Any Adjustment Payment and Replacement Index Amendments will be binding on the Bank, the Agents and the Noteholders and Couponholders.

(3) If the Benchmark Rate Determination Agent is unable to determine an Adjustment Payment, then Asset Condition 1.4(b)(ii) shall apply.

(4) If the Benchmark Rate Determination Agent determines that (a) it is or would be unlawful at any time under any applicable law or regulation or (b) it would contravene any applicable licensing requirements for the Benchmark Rate Determination Agent to perform the calculations prescribed in this Asset Condition 1.4(b)(a)(A) (or it would be unlawful or would contravene those licensing requirements were a calculation to be made at such time), then Asset Condition 1.4(b)(b) shall apply.

(B) If the Issue Terms do not specify an Alternative Pre-nominated Index in respect of such Reference Index, then then Asset Condition 1.4(b)(b) shall apply.

(C) If, in respect of a Series, there is more than one Reference Index, then the foregoing provisions of this Asset Condition 1.4(b)(a) shall apply separately to each such Reference Index.

(b) The Benchmark Rate Determination Agent may determine if such Index Adjustment Event has a material effect on the Notes and, if so, to calculate the Index Level as at the Reference Time on the Reference Date or that Averaging Reference Date, as the case may be, as determined by the Benchmark Rate Determination Agent in accordance with the formula for and method of calculating such Index Level last in effect prior to the Index Adjustment Event but using only those securities that comprised that Reference Index immediately prior to that Index Adjustment Event (but in the case of an Index Adjustment Event that is an Index Cancellation or an Index Administrator/Benchmark Event only in circumstances where Asset Condition 1.4(b)(a) specifies that this Asset Condition 1.4(b)(b) shall apply).

(c) The Benchmark Rate Determination Agent may substitute such Reference Index with a different index (the “Alternative Index”) and, following such substitution, the Benchmark Rate Determination Agent shall make such adjustment (if any) as it considers appropriate to the Index Level.

(d) The Bank may, where the Notes are specified in the relevant Issue Terms as relating to a Basket of Indices, remove such Reference Index from the Basket of Indices and, following such removal, the Calculation Agent shall make such adjustment (if any) as it considers appropriate to the Index Basket Level.

(e) The Bank may, and, if the Benchmark Rate Determination Agent determines that (a) it is or would be unlawful at any time under any applicable law or regulation or (b) would contravene any applicable licensing requirements for the Bank or the Calculation Agent to perform the calculations prescribed in Asset Conditions 1.4(b)(b), (c) or (d) (or it would be unlawful or would contravene those licensing requirements were a calculation to be made at such time), the Bank

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shall give notice to the Noteholders in accordance with Base General Condition 16 (Notices) and redeem all, but not some only, of the Notes on a date selected by the Bank, by payment of the Early Redemption Amount to each Noteholder in respect of each Note held by such Noteholder. Payment will be made in such manner as shall be notified to the Noteholders in accordance with Base General Condition 16 (Notices).

(f) The Benchmark Rate Determination Agent shall not have any duty to monitor, enquire or satisfy itself as to whether any Index Adjustment Event has occurred. If the Noteholders provide the Benchmark Rate Determination Agent with details of the circumstances which could constitute an Index Adjustment Event, the Benchmark Rate Determination Agent will consider such notice, but will not be obliged to determine that an Index Adjustment Event has occurred solely as a result of receipt of such notice.

Upon the occurrence of an Index Adjustment Event, the Bank shall give notice as soon as practicable to Noteholders in accordance with Base General Condition 16 (Notices) giving details of the action proposed to be taken in relation thereto.

(d) Correction of an Index

If “Correction of an Index Level” is specified in the relevant Issue Terms as applying and the level of an Index published on the Reference Date or an Averaging Reference Date is subsequently corrected and the correction (the “Corrected Index Level”) is published by the Index Sponsor or (if relevant) the Successor Index Sponsor prior to the relevant Correction Cut-Off Date specified in the relevant Issue Terms, then the Calculation Agent in its sole and absolute discretion shall determine what, if any, adjustment to make to the Index Level for the Reference Date or such Averaging Reference Date, as the case may be, and the Calculation Agent shall use such amended Index Level to determine the relevant Rate of Interest (in accordance with the Coupon Payout Condition specified to be applicable in the relevant Issue Terms) or Final Price (in accordance with the Redemption Payout Condition specified to be applicable in the relevant Issue Terms) or if an Autocall Barrier Event has occurred, as the case may be.

For the avoidance of doubt, any Corrected Index Level published on or after the relevant Correction Cut-Off Date shall be disregarded.

1.5 Consequences of Disrupted Days: Reference Dates

(a) Where the Index Linked Notes relate to a single Index, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day, then the Reference Date shall be the earlier of (i) the first Scheduled Trading Day following the Scheduled Reference Date that is not a Disrupted Day and (ii) the Reference Cut-Off Date.

(b) Where the Index Linked Notes relate to a Basket of Indices and “Common Scheduled Trading Days” is specified not to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day in respect of any Basket Component, then:

(a) the Reference Date for each Basket Component in respect of which the Scheduled Reference Date is not a Disrupted Day shall be the Scheduled Reference Date for such Basket Component; and

(b) the Reference Date for each Basket Component in respect of which the Scheduled Reference Date is a Disrupted Day (each an “Affected Basket Component”) shall be the earlier of (A) the first Scheduled Trading Day following the relevant Scheduled Reference Date that is not a Disrupted Day in respect of such Affected Basket Component and (B) the Reference Cut-Off Date for such Affected Basket Component.

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(c) Where the Index Linked Notes relate to a Basket of Indices and “Common Scheduled Trading Days” and “Individual Disrupted Days” are both specified to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day in respect of any Basket Component, then:

(a) the Reference Date for each Basket Component in respect of which the Scheduled Reference Date is not a Disrupted Day shall be the Scheduled Reference Date for such Basket Component; and

(d) Where the Index Linked Notes relate to a Basket of Indices and “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day in respect of any Basket Component, then the Reference Date for each Basket Component shall be the earlier of (i) the first Common Scheduled Trading Day following the Scheduled Reference Date that is not a Disrupted Day for any Basket Component and (ii) the Reference Cut-Off Date (notwithstanding that such day may not be a Common Scheduled Trading Day).

(e) If, in respect of any Index, a Reference Date falls on the relevant Reference Cut-Off Date pursuant to Asset Conditions 1.5(a) to (d):

(a) if such Reference Cut-Off Date is not a Disrupted Day for such Index, the Calculation Agent shall determine the Index Level of such Index as at the Reference Time on such Reference Cut-Off Date; and/or

(b) if such Reference Cut-Off Date is a Disrupted Day for such Index, the Calculation Agent shall determine the Index Level for such Index as at the Reference Time on the Reference Cut-Off Date in accordance with the formula for and method of calculating the Index Level of such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Reference Time on the Reference Cut-Off Date of each Component Share comprised in such Index (or, if the relevant Component Share Exchange is closed or the traded or quoted price of the Component Share is otherwise unavailable, its good faith estimate of the value for the Component Share as of the Reference Time on the Reference Cut-Off Date).

(f) The Calculation Agent shall give notice as soon as practicable to the Noteholders in accordance with Base General Condition 16 (Notices) of the occurrence of a Disrupted Day on any day that, but for the occurrence of a Disrupted Day, would have been a Reference Date. Without limiting the obligation of the Calculation Agent to give notice to the Noteholders as set forth in the preceding sentence, failure by the Calculation Agent to notify the Noteholders of the occurrence of a Disrupted Day shall not affect the validity of the occurrence and effect of such Disrupted Day.

1.6 Consequences of Disrupted Days: Averaging Reference Dates

(a) Where the Index Linked Notes relate to a single Index, if the Calculation Agent determines that any Scheduled Averaging Reference Date in respect of a Reference Date is a Disrupted Day in respect of such Index, then:

(a) if “Omission” is specified to be applicable in the relevant Issue Terms, such date shall be deemed not to be an Averaging Reference Date in respect of such Reference Date, provided that, if through the operation of this provision there would not be any Averaging Reference Date in respect of

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such Reference Date, then the sole Averaging Reference Date shall be the earlier of (A) the first Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day and (B) the Averaging Reference Cut-Off Date;

(b) if “Postponement” is specified to be applicable in the relevant Issue Terms, the Averaging Reference Date shall be the earlier of (A) the first Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day and (B) the Averaging Reference Cut-Off Date. Any day (including, for the avoidance of doubt, the Averaging Reference Cut-Off Date) determined to be an Averaging Reference Date as a result of the operation of this Asset Condition 1.6(a)(b) shall be an Averaging Reference Date, irrespective of whether it falls on a day that already is or is deemed to be an Averaging Reference Date; or

(c) if “Modified Postponement” is specified to be applicable in the relevant Issue Terms, the Averaging Reference Date shall be the earlier of (A) the first Valid Date following the Scheduled Averaging Reference Date and (B) the Averaging Reference Cut-Off Date, irrespective of whether the Averaging Reference Cut-Off Date falls on a day that already is or is deemed to be an Averaging Reference Date.

(b) Where the Index Linked Notes relate to a Basket of Indices and “Common Scheduled Trading Days” is specified not to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Averaging Reference Date in respect of a Reference Date is a Disrupted Day in respect of any Basket Component, then:

(A) the sole Averaging Reference Date for each Basket Component in respect of which the final Scheduled Averaging Reference Date is not a Disrupted Day shall be the final Scheduled Averaging Reference Date; and

(B) the sole Averaging Reference Date for each Basket Component in respect of which the final Scheduled Averaging Reference Date is a Disrupted Day (each such Basket Component, an “Affected Basket Component”) shall be the earlier of (I) the first Scheduled Trading Day following the final Scheduled Averaging Reference Date that is not a Disrupted Day in respect of such Affected Basket Component and (II) the Averaging Reference Cut-Off Date for such Affected Basket Component;

(b) if “Postponement” is specified to be applicable in the relevant Issue Terms, then:

(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(B) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Reference Date is a Disrupted Day (each such Basket Component, an “Affected Basket Component”) shall be the earlier of (I) the first Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day in respect of such Affected Basket Component and (II) the Averaging Reference Cut-Off Date for such Affected Basket Component. Any day (including, for the avoidance of doubt, the Averaging Reference Cut-Off Date) determined to be an Averaging Reference Date as a result of the operation of this Asset Condition 1.6(b)(b) shall be an Averaging Reference Date, irrespective of whether it falls on a day that already is or is deemed to be an Averaging Reference Date; or

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(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(c) Where the Index Linked Notes relate to a Basket of Indices and “Common Scheduled Trading Days” and “Individual Disrupted Days” are both specified to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Averaging Reference Date in respect of a Reference Date is a Disrupted Day in respect of any Basket Component, then:

(b) if “Postponement” is specified to be applicable in the relevant Issue Terms, then:

(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(B) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Reference Date is a Disrupted Day (each such Basket Component, an “Affected Basket Component”) shall be the earlier of (I) the first Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day in respect of such Affected Basket Component and (II) the Averaging Reference Cut-Off Date for such Affected Basket Component (notwithstanding the fact that such day may not be a Common Scheduled Trading Day). Any day (including, for the avoidance of doubt, the Averaging Reference Cut-Off Date) determined to be an Averaging Reference Date as a result of the operation of this Asset Condition 1.6(c)(b) shall be an Averaging Reference Date, irrespective of whether it falls on a day that already is or is deemed to be an Averaging Reference Date; or

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(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(a) if “Omission” is specified to be applicable in the relevant Issue Terms, such date shall be deemed not to be an Averaging Reference Date in respect of any Basket Component in respect of such Reference Date, provided that, if through the operation of this provision there would be no Averaging Reference Date in respect of such Reference Date, then the sole Averaging Reference Date for each Basket Component shall be the earlier of (A) the first Common Scheduled Trading Day following the final Scheduled Averaging Reference Date that is not a Disrupted Day for any Basket Component and (B) the Averaging Reference Cut-Off Date (notwithstanding the fact that such Averaging Reference Cut-Off Date may not a Common Scheduled Trading Day);

(b) if “Postponement” is specified to be applicable in the relevant Issue Terms, then the Averaging Reference Date shall be the earlier of (A) the first Common Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day in respect of any Basket Component and (B) the Averaging Reference Cut-Off Date (notwithstanding the fact that such Averaging Reference Cut-Off Date may not be a Common Scheduled Trading Day). Any day (including, for the avoidance of doubt, the Averaging Reference Cut-Off Date) determined to be an Averaging Reference Date as a result of the operation of this Asset Condition 1.6(d)(b) shall be an Averaging Reference Date, irrespective of whether it falls on a day that already is or is deemed to be an Averaging Reference Date; or

(c) if “Modified Postponement” is specified to be applicable in the relevant Issue Terms, then the Averaging Reference Date for each Basket Component shall be the earlier of (A) the first Common Valid Date following the Scheduled Averaging Reference Date and (B) the Averaging Reference Cut-Off Date (notwithstanding the fact that such Averaging Reference Cut-Off Date may not be a Common Scheduled Trading Day), irrespective of whether the Averaging Reference Cut-Off Date falls on a day that already is or is deemed to be an Averaging Reference Date.

(e) If, in respect of any Index, an Averaging Reference Date falls on the relevant Averaging Reference Cut-Off Date pursuant to Asset Conditions 1.6(a) to (d) above:

(a) if such Averaging Reference Cut-Off Date is not a Disrupted Day for such Index, the Calculation Agent shall determine the Index Level of such Index as at the Reference Time on such Averaging Reference Cut-Off Date; and/or

(b) if such Averaging Reference Cut-Off Date is a Disrupted Day for such Index, the Calculation Agent shall determine the Index Level for such Index as at the Reference Time on the Averaging Reference Cut-Off Date in accordance with the formula for and method of calculating the Index Level of such Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Reference Time on the Averaging Reference Cut-Off

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Date of each Component Share comprised in such Index (or, if the relevant Component Share Exchange is closed or the traded or quoted price of the Component Share is otherwise unavailable, its good faith estimate of the value for the relevant Component Share as of the Reference Time on the Averaging Reference Cut-Off Date).

(f) The Calculation Agent shall give notice as soon as practicable to the Noteholders in accordance with Base General Condition 16 (Notices) of the occurrence of a Disrupted Day on any day that, but for the occurrence of a Disrupted Day, would have been an Averaging Reference Date. Without limiting the obligation of the Calculation Agent to give notice to the Noteholders as set forth in the preceding sentence, failure by the Calculation Agent to notify the Noteholders of the occurrence of a Disrupted Day shall not affect the validity of the occurrence and effect of such Disrupted Day.

If the Issue Terms for any Index Linked Notes specify both “Initial Averaging Dates” and “Averaging Dates”, then the provisions of this Asset Condition 1.6 (Consequences of Disrupted Days: Averaging Reference Dates) shall apply separately to the Initial Averaging Dates and the Averaging Dates (so that references to “Averaging Reference Dates” shall be read and construed as references to “Initial Averaging Dates or “Averaging Dates”, as the case may be).

1.7 Barrier Events

(a) Coupon Barrier Event

A “Coupon Barrier Event” shall be deemed to occur if the Calculation Agent determines that the Index Level or the Index Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Barrier on such Coupon Barrier Observation Date.

(b) Redemption Barrier Event

A “Redemption Barrier Event” shall be deemed to occur if the Calculation Agent determines that the Index Level or Index Basket Level as of any Redemption Barrier Observation Time on any Redemption Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Redemption Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than or equal to”), as the case may be, the Redemption Barrier on such Redemption Barrier Observation Date.

(c) Coupon Lock-in Event

A “Coupon Lock-in Event” shall be deemed to occur if the Calculation Agent determines that the Index Level or the Index Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Lock-in Barrier on such Coupon Barrier Observation Date.

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(d) Autocall Barrier Event

An “Autocall Barrier Event” shall be deemed to occur in respect of an Index or Basket of Indices if the Calculation Agent determines that the Index Level or the Index Basket Level, as the case may be, as of any Autocall Barrier Observation Time on any Autocall Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Autocall Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than or equal to”), as the case may be, the corresponding Autocall Barrier on such Autocall Barrier Observation Date.

1.8 Look-Back

If “Look-Back Provisions” is specified to be applicable in the relevant Issue Terms, the Calculation Agent shall determine the Index Level or Index Basket Level (as the case may be) as at the Look-Back Observation Time on each Look-Back Observation Date, and the Initial Index Level or Initial Index Basket Level (as the case may be) shall be:

(a) if “Look-Back – Lowest” is specified to be applicable in the relevant Issue Terms, the lowest Index Level or Index Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap; or
(b) if “Look-Back – Highest” is specified to be applicable in the relevant Issue Terms, the highest Index Level or Index Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap.

1.9 Definitions

"Adjustment Payment" means, in respect of each Note, the payment, if any, that the Benchmark Rate Determination Agent determines, acting in good faith and in a commercially reasonable manner, is required as a result of the replacement of the Reference Index with the Alternative Pre-nominated Index.

"Aggregate Weighted Index Level" means, in respect of a Basket Reference Date or Basket Averaging Reference Date, the sum of the Weighted Index Levels of all the Basket Components in respect of such Basket Reference Date or Basket Averaging Reference Date, where the Weighted Index Level of each Basket Component is determined as at the Reference Time on the relevant Reference Date or Averaging Reference Date (as the case may be) in respect of such Basket Component.

"Alternative Index" has the meaning given to it in Asset Condition 1.4(c) (Adjustments to an Index).

"Alternative Pre-nominated Index" means, in respect of a Reference Index, the first of the indices, benchmarks or other price sources specified as such in the relevant Issue Terms and not subject to an Index Cancellation, Index Modification or Index Administrator/Benchmark Event.

"Autocall Barrier" means, in respect of each Index or the Basket of Indices (as the case may be) and any Autocall Barrier Period specified under the heading “Autocall Barrier Period” in the table in the relevant Issue Terms, the level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Index Level or Initial Index Basket Level) specified under the heading “Autocall Barrier” in such table adjacent to the relevant Autocall Barrier Period.

"Autocall Barrier Observation Date" means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Autocall Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of “Observation Date” in this Asset Condition 1.9 (Definitions).

"Autocall Barrier Observation Period" means the period specified as such in the relevant Issue Terms.

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"Autocall Barrier Observation Time" means the time(s) specified as such in the relevant Issue Terms, provided that:

(a) in respect of each Index specified in the relevant Issue Terms as not being a Multi-Exchange Index, if no time is specified or the time specified is after the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date, or if the time is specified as "Closing", the Autocall Barrier Observation Time shall be the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date in relation to such Index. If the relevant Exchange closes prior to its Scheduled Closing Time, then the Autocall Barrier Observation Time shall be the actual closing time for its regular trading session;

(b) in respect of each Index specified in the relevant Issue Terms as being a Multi-Exchange Index, if no time is specified or if the time is specified as "Closing", the Autocall Barrier Observation Time shall be:

(a) for the purposes of determining whether an Index Market Disruption Event has occurred: (I) in respect of a Component Security, the Scheduled Closing Time on the relevant Exchange (or if the relevant Exchange closes prior to its Scheduled Closing Time, the actual closing time for its regular trading session); and (II) in respect of any options contracts or futures contracts on the relevant Index, the close of trading on the relevant Related Exchange; and

(b) for any other purpose, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; or

(c) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an Index, all times in each Autocall Barrier Observation Date at which the Index Level of such Index can be observed.

"Autocall Barrier Period" means each period specified as such in the relevant Issue Terms.

"Averaging Cut-Off Date" means:

(a) in respect of any Scheduled Averaging Date relating to an Interest Payment Date, and:

(a) where "Payment Date Extension" is specified to be applicable in the relevant Issue Terms:

(I) in the case where the Notes relate to a Basket of Indices and "Common Scheduled Trading Days" and "Common Disrupted Days" are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Averaging Date; or

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Averaging Date; or

(b) where "Payment Date Extension" is specified to be not applicable in the relevant Issue Terms, the earlier of (I) the date that would be determined in accordance with paragraph (a)(a) above, and (II) the last Scheduled Trading Day that falls no later than the second (or such other number specified in the relevant Issue Terms) Business Day immediately preceding such Interest Payment Date; and

(b) in respect of any Scheduled Averaging Date relating to the Maturity Date, and:

(a) where "Maturity Date Extension" is specified to be applicable in the relevant Issue Terms:

(I) in the case where the Notes relate to a Basket of Indices and "Common Scheduled Trading Days" and "Common Disrupted Days" are both specified to be applicable

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in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Averaging Date; or

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Averaging Date; or

(b) where “Maturity Date Extension” is specified to be not applicable in the relevant Issue Terms, the earlier of (I) the date that would be determined in accordance with paragraph (b)(a) above, and (II) the last Scheduled Trading Day that falls no later than the second (or such other number specified in the relevant Issue Terms) Business Day immediately preceding the Maturity Date.

“Averaging Date” means, in respect of each Index, either:

(a) in the case where the Index Linked Notes relate to either (a) a single Index; or (b) a Basket of Indices and the relevant Issue Terms provides that “Common Scheduled Trading Days” shall be not applicable, each date specified as such in the relevant Issue Terms, or, if any such date is not a Scheduled Trading Day, the immediately following Scheduled Trading Day for such Index; or

(b) in the case where the Index Linked Notes relate to a Basket of Indices and the relevant Issue Terms provides that “Common Scheduled Trading Days” shall be applicable, each date specified as such in the relevant Issue Terms, or if any such date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day,

provided that if any such date (following adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Averaging Date shall be determined in accordance with the provisions of Asset Condition 1.6 (Consequences of Disrupted Days: Averaging Reference Dates).

“Averaging Reference Cut-Off Date” means:

(a) in respect of any Averaging Reference Date which is an Initial Averaging Date, the Initial Averaging Cut-Off Date in respect of such Initial Averaging Date; and

(b) in respect of any Averaging Reference Date which is an Averaging Date, the Averaging Cut-Off Date in respect of such Averaging Date.

“Averaging Reference Date” means each Initial Averaging Date and Averaging Date.

“Basket” means a basket comprising the Basket Components specified in the relevant Issue Terms in the Weights specified for each Basket Component in the relevant Issue Terms.

“Basket Averaging Date” means, in respect of each Scheduled Averaging Date relating to a Basket of Indices:

(a) if such Scheduled Averaging Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Averaging Date; or

(b) if such Scheduled Averaging Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Averaging Dates determined in accordance with the provisions of Asset Condition 1.6 (Consequences of Disrupted Days: Averaging Reference Dates) in respect of such Scheduled Averaging Date.

“Basket Averaging Reference Date” means each Basket Averaging Date and Basket Initial Averaging Date.

“Basket Component” means, in respect of a Basket of Indices, each Index comprising such Basket.

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"Basket Initial Averaging Date" means, in respect of the Scheduled Initial Averaging Date relating to a Basket of Indices:

(a) if the Scheduled Initial Averaging Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Initial Averaging Date; or
(b) if the Scheduled Initial Averaging Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Initial Averaging Dates determined in accordance with the provisions of Asset Condition 1.6 (Consequences of Disrupted Days: Averaging Reference Dates) in respect of the Scheduled Initial Averaging Date.

"Basket Initial Setting Date" means, in respect of the Scheduled Initial Setting Date relating to a Basket of Indices:

(a) if the Scheduled Initial Setting Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Initial Setting Date; or
(b) if the Scheduled Initial Setting Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Initial Setting Dates determined in accordance with the provisions of Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) in respect of the Scheduled Initial Setting Date.

"Basket Observation Date" means, in respect of each Scheduled Observation Date relating to a Basket of Indices:

(a) if such Scheduled Observation Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Observation Date; or
(b) if such Scheduled Observation Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Observation Dates determined in accordance with the provisions of Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) in respect of such Scheduled Observation Date.

"Basket Reference Date" means each Basket Initial Setting Date, Basket Observation Date and Basket Valuation Date.

"Basket Valuation Date" means, in respect of each Scheduled Valuation Date relating to a Basket of Indices:

(a) if such Scheduled Valuation Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Valuation Date; or
(b) if such Scheduled Valuation Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Valuation Dates determined in accordance with the provisions of Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) in respect of such Scheduled Valuation Date.

"Best Performing Basket Component" means, in respect of a Basket of Indices and any Basket Reference Date, the Basket Component with the highest Index Performance in respect of the Reference Date relating to such Basket Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same highest Index Performance, the Calculation Agent shall determine which Basket Component shall be the Best Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Best Performing Basket Component).

"Common Scheduled Trading Day" means, in respect of a Basket of Indices, each day which is a Scheduled Trading Day for all the Basket Components.

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"Common Valid Date" means, in respect of a Basket, a Common Scheduled Trading Day that is not a Disrupted Day for any Basket Component and on which another Averaging Reference Date does not or is deemed not to occur.

"Component Security" means, in respect of an Index, any share or other component security included in such Index as determined by the Calculation Agent and related expressions shall be construed accordingly.

"Component Share" means, in respect of an Index, any share included in such Index, as determined by the Calculation Agent.

"Component Share Exchange" means, in respect of a Component Share, the primary exchange or quotation system (as determined by the Calculation Agent) on which the Component Share is traded, any successor to such exchange or quotation system or any substitute exchange or quotation system to which trading in the Component Share has temporarily relocated (provided that the Calculation Agent has determined that there is comparable liquidity relative to such Component Share on such temporary substitute exchange or quotation system as on the original Component Share Exchange).

"Correction Cut-Off Date" means the date specified as the Correction Cut-Off Date in the relevant Issue Terms.

"Coupon Barrier" means, in respect of each Index or the Basket of Indices (as the case may be) and any Coupon Barrier Period specified under the heading "Coupon Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Index Level or Initial Index Basket Level) specified under the heading "Coupon Barrier" in such table adjacent to the relevant Coupon Barrier Period.

"Coupon Barrier Observation Date" means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Coupon Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of "Observation Date" in this Asset Condition 1.9 (Definitions).

"Coupon Barrier Observation Period" means the period specified as such in the relevant Issue Terms.

"Coupon Barrier Observation Time" means the time(s) specified as such in the relevant Issue Terms, provided that:

(a) in respect of each Index specified in the relevant Issue Terms as not being a Multi-Exchange Index, if no time is specified or the time specified is after the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date or Averaging Reference Date, or if the time is specified as "Closing", the Coupon Barrier Observation Time shall be the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date or Averaging Reference Date, as the case may be, in relation to such Index. If the relevant Exchange closes prior to its Scheduled Closing Time, then the Coupon Barrier Observation Time shall be the actual closing time for its regular trading session;

(b) in respect of each Index specified in the relevant Issue Terms as being a Multi-Exchange Index, if no time is specified or if the time is specified as "Closing", the Coupon Barrier Observation Time shall be:

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contracts or futures contracts on the relevant Index, the close of trading on the relevant Related Exchange, and

(b) for any other purpose, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; or

(c) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an Index, all times in each Coupon Barrier Observation Date at which the Index Level of such Index can be observed.

"Coupon Barrier Period" means each period specified as such in the relevant Issue Terms.

"Coupon Lock-in Barrier" means, in respect of each Index or the Basket of Indices (as the case may be) and any Coupon Barrier Period specified under the heading "Coupon Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Index Level or Initial Index Basket Level) specified under the heading "Coupon Lock-in Barrier" in such table adjacent to the relevant Coupon Barrier Period.

"Disrupted Day" means: (i) where the relevant Index is specified in the relevant Issue Terms as not being a Multi-Exchange Index, any Scheduled Trading Day on which a relevant Exchange or any Related Exchange fails to open for trading during its regular trading session or on which an Index Market Disruption Event has occurred or (ii) where the relevant Index is specified in the relevant Issue Terms as being a Multi-Exchange Index, any Scheduled Trading Day on which (A) the Index Sponsor fails to publish the level of the Index and an Index Cancellation or Index Administrator/Benchmark Event Date has not occurred (provided that the Calculation Agent may, in its sole and absolute discretion, determine that such event instead results in the occurrence of an Index Disruption), (B) any Related Exchange fails to open for trading during its regular trading session or (C) an Index Market Disruption Event has occurred.

"Early Closure" means the closure on any Exchange Business Day of the Exchange in respect of any Component Security or any Related Exchange prior to its Scheduled Closing Time unless such earlier closing is announced by such Exchange or Related Exchange, as the case may be, at least one hour prior to the earlier of: (i) the actual closing time for the regular trading session on such Exchange or Related Exchange, as the case may be, on such Exchange Business Day; and (ii) the submission deadline for orders to be entered into the relevant Exchange or Related Exchange system for execution at the relevant Reference Time on such Exchange Business Day.

"Exchange" means:

(a) where the relevant Index is not specified in the relevant Issue Terms as being a Multi-Exchange Index, each exchange or quotation system specified in the relevant Issue Terms as such for such Index, any successor to such exchange or quotation system or any substitute exchange or quotation system to which trading in the securities comprising such Index has temporarily relocated (provided that the Calculation Agent has determined that there is comparable liquidity relative to the securities comprising such Index on such temporary substitute exchange or quotation system as on the original Exchange); and

(b) where the relevant Index is specified in the relevant Issue Terms as being a Multi-Exchange Index, in relation to each Component Security, the principal stock exchange on which such Component Security is principally traded, as determined by the Calculation Agent.

"Exchange Business Day" means either (i) where the relevant Index is not specified in the relevant Issue Terms as being a Multi-Exchange Index, any Scheduled Trading Day on which each Exchange and each Related Exchange are open for trading during their respective regular trading sessions, notwithstanding any such Exchange or Related Exchange closing prior to its Scheduled Closing Time or (ii) where the relevant Index is specified in the relevant Issue Terms as being a Multi-Exchange Index, any Scheduled Trading Day on which (A) the Index Sponsor publishes the level of the Index and (B) each

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Related Exchange is open for trading during its regular trading session, notwithstanding the Related Exchange closing prior to its Scheduled Closing Time.

"Exchange Disruption" means any event (other than an Early Closure) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general to effect transactions in, or obtain market values for: (i) any Component Security on the Exchange in respect of such Component Security; or (ii) futures or options contracts relating to the Index on any Related Exchange.

"Index" and "Indices" mean, subject to adjustment in accordance with Asset Condition 1.4 (Index Adjustment Provisions), the index or indices specified in the relevant Issue Terms and related expressions shall be construed accordingly.

"Index Administrator/Benchmark Event" means, for a Series of Notes and a Reference Index, any authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register in respect of a Reference Index or the administrator or sponsor of such Index has not been, or will not be, obtained or has been, or will be, rejected, refused, suspended or withdrawn by the relevant competent authority or other relevant official body, in each case with the effect that either the Bank or the Calculation Agent is not, or will not be, permitted under any applicable law or regulation to use the Reference Index to perform its or their respective obligations in relation to the relevant Index Linked Notes.

"Index Administrator/Benchmark Event Date" means, for a Series of Notes and an Index Administrator/Benchmark Event, the date on which the authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register is:

(a) required under any applicable law or regulation; or
(b) rejected, refused, suspended or withdrawn, if the applicable law or regulation provides that the Reference Index is not permitted to be used under the Notes following rejection, refusal, suspension or withdrawal,

or, in each case, if such date occurs before the Trade Date, the Trade Date.

"Index Basket Level" has the meaning given to it in Asset Condition 1.3 (Index Basket Level).

"Index Cancellation" has the meaning given to it in Asset Condition 1.4(b) (Adjustments to an Index).

"Index Disruption" has the meaning given to it in Asset Condition 1.4(b) (Adjustments to an Index).

"Index Level" means, subject to these Index Linked Asset Conditions, in respect of an Index or a Reference Index, as relevant and any Reference Time on a Reference Date or Averaging Reference Date, the level of such Index or Reference Index, as relevant as at such Reference Time on such Reference Date or Averaging Reference Date, as determined by the Calculation Agent, provided that if such Reference Time is the Scheduled Closing Time, then the Index Level shall be the official closing level of such Index as determined by the Calculation Agent and, in any case, if "Correction of Index Levels" is specified to be not applicable in the relevant Issue Terms, without regard to any subsequently published correction.

"Index Market Disruption Event" means, in respect of an Index:

(a) where such Index is specified in the relevant Issue Terms as not being a Multi-Exchange Index:

(A) the occurrence or existence at any time during the one hour period that ends at the relevant Reference Time:

(x) of any suspension of or limitation imposed on trading by the relevant Exchange or Related Exchange or otherwise and whether by reason of movements in price

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exceeding limits permitted by the relevant Exchange or Related Exchange or otherwise:

(1) on any relevant Exchange(s) relating to securities that comprise 20 per cent. or more of the level of the relevant Index; or

(2) in futures or options contracts relating to the relevant Index on any relevant Related Exchange; or

(y) of any event (other than an event described in paragraph (B) below) that disrupts or impairs (as determined by the Calculation Agent) the ability of market participants in general (1) to effect transactions in, or obtain market values for, on any relevant Exchange(s), securities that comprise 20 per cent. or more of the level of the relevant Index, or (2) to effect transactions in, or obtain market values for, futures or options contracts relating to the relevant Index on any relevant Related Exchange; or

(B) the closure on any Exchange Business Day of any relevant Exchange(s) relating to securities that comprise 20 per cent. or more of the level of the relevant Index or any Related Exchange(s) prior to its Scheduled Closing Time unless such earlier closing time is announced by such Exchange(s) or such Related Exchange(s), as the case may be, at least one hour prior to (x) the actual closing time for the regular trading session on such Exchange(s) or such Related Exchange(s) on such Exchange Business Day or, if earlier, (y) the submission deadline for orders to be entered into the Exchange or Related Exchange system for execution at the Reference Time on such Exchange Business Day,

which in any such case the Calculation Agent determines is material; or

(b) where such Index is specified in the relevant Issue Terms as being a Multi-Exchange Index, in respect of a Component Security included in such Index, either:

(A) the occurrence or existence, in respect of any Component Security, of:

(x) a Trading Disruption in respect of such Component Security, which the Calculation Agent determines is material, at any time during the one-hour period that ends at the relevant Reference Time in respect of the Exchange in respect of such Component Security;

(y) an Exchange Disruption in respect of such Component Security, which the Calculation Agent determines is material, at any time during the one-hour period that ends at the relevant Reference Time in respect of the Exchange in respect of such Component Security; or

(z) an Early Closure in respect of such Component Security, which the Calculation Agent determines is material; and

either:

(1) where the Threshold Percentage is specified in the relevant Issue Terms to be not applicable, the aggregate of all Component Securities in respect of which a Trading Disruption, an Exchange Disruption or an Early Closure occurs or exists comprises 20 per cent. or more of the level of the Index; or

(2) where the Threshold Percentage is specified in the relevant Issue Terms to be applicable, the sum of (a) the aggregate of all Component Securities in respect of which a Trading Disruption, an Exchange Disruption or an Early

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Closure occurs or exists and (b) the Threshold Percentage comprises 20 per cent. or more of the level of the Index;

(B) the occurrence or existence, in respect of futures or options contracts relating to the Index, of:

(x) a Trading Disruption at any time during the one hour period that ends at the Reference Time in respect of any Related Exchange;

(y) an Exchange Disruption at any time during the one hour period that ends at the Reference Time in respect of any Related Exchange; or

(z) an Early Closure,

in each case in respect of such futures or options contracts and which the Calculation Agent determines is material.

For the purpose of determining whether an Index Market Disruption Event exists in relation to an Index or in respect of a Component Security at any time, if an event giving rise to an Index Market Disruption Event occurs in respect of a security included in the Index or such Component Security at that time, then the relevant percentage contribution of that security or Component Security, as the case may be, to the level of that Index shall be based on a comparison of (i) the portion of the level of that Index attributable to that security or Component Security, as the case may be, and (ii) the overall level of that Index, in each case either (x) except where the relevant Index is specified in the relevant Issue Terms as being a Multi-Exchange Index, immediately before the occurrence of such Index Market Disruption Event or (y) where the relevant Index is specified in the relevant Issue Terms as being a Multi-Exchange Index, using the official opening weightings as published by the Index Sponsor as part of the market "opening data".

"Index Modification" has the meaning given to it in Asset Condition 1.4(b) (Adjustments to an Index).

"Index Performance" means, in respect of an Index and any Reference Date:

(a) if there are no Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) the Index Level of such Index at the Reference Time on such Reference Date, divided by (b) the Initial Index Level; or

(b) if there are Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) the arithmetic mean of the Index Levels of such Index at the Reference Time on each such Averaging Reference Date, divided by (b) the Initial Index Level.

"Index Sponsor" means, in relation to an Index or a Reference Index, the corporation or other entity that (i) is responsible for setting and reviewing the rules and procedures and the methods of calculation and adjustments, if any, related to such Index or Reference Index and (ii) announces (directly or through an agent) the level of such Index on a regular basis during each Scheduled Trading Day, which as of the Issue Date is the index sponsor specified for such Index or Reference Index in the relevant Issue Terms.

"Initial Averaging Cut-Off Date" means, in respect of any Scheduled Initial Averaging Date:

(a) in the case where the Index Linked Notes relate to a Basket of Indices and "Common Scheduled Trading Days" and "Common Disrupted Days" are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Initial Averaging Date; or

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(b) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Initial Averaging Date.

“Initial Averaging Date” means, in respect of each Index, as the case may be, either:

provided that if any such date (following adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Initial Averaging Date shall be determined in accordance with the provisions of Asset Condition 1.6 (Consequences of Disrupted Days: Averaging Reference Dates).

“Initial Index Basket Level” means:

(a) where “Look-Back” is not specified to apply, the Index Basket Level in respect of the Basket Initial Setting Date determined in accordance with Asset Condition 1.3 (Index Basket Level); or

(b) where “Look-Back” is specified to apply, the Index Basket Level determined in accordance with the provisions of Asset Condition 1.8 (Look-Back).

“Initial Index Level” means:

(a) where “Look-Back” is not specified to apply:

(a) where the relevant Issue Terms specify that there are no Initial Averaging Dates in respect of the Initial Setting Date, the Index Level at the Valuation Time on the Initial Setting Date; or

(b) where the relevant Issue Terms specify that there are Initial Averaging Dates in respect of the Initial Setting Date, the arithmetic mean of the Index Levels at the Valuation Time on each such Initial Averaging Date; or

(b) where “Look-Back” is specified to apply, the Index Level determined in accordance with the provisions of Asset Condition 1.8 (Look-Back).

“Initial Setting Cut-Off Date” means, in respect of any Scheduled Initial Setting Date:

(a) in the case where the Index Linked Notes relate to a Basket of Indices and “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Initial Setting Date; or

(b) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Initial Setting Date.

“Initial Setting Date” means, in respect of each Index, as the case may be, either:

(a) in the case where the Index Linked Notes relate to either (a) a single Index; or (b) a Basket of Indices and the relevant Issue Terms provides that “Common Scheduled Trading Days” shall be not applicable, the date specified as such in the relevant Issue Terms, or, if such date is not a Scheduled Trading Day, the immediately following Scheduled Trading Day for such Index; or

AC Chapter 1: Index Linked Asset Conditions

(b) in the case where the Index Linked Notes relate to a Basket of Indices and the relevant Issue Terms provides that “Common Scheduled Trading Days” shall be applicable, the date specified as such in the relevant Issue Terms, or if such date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day,

provided that if any such date (following any adjustment (if applicable) pursuant to paragraphs (a) and (b) above) is a Disrupted Day, the Initial Setting Date shall be determined in accordance with the provisions of Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates).

“Look-Back Cap” means the price, rate, level, percentage or other value (if any) specified as such in the relevant Issue Terms.

“Look-Back Floor” means the price, rate, level, percentage or other value (if any) specified as such in the relevant Issue Terms.

“Look-Back Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Look-Back Observation Period, subject in each case to any adjustment pursuant to Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of “Observation Date” in this Asset Condition 1.9 (Definitions).

“Look-Back Observation Period” means each period specified as such in the relevant Issue Terms.

“Look-Back Observation Time” means the time(s) specified as such in the relevant Issue Terms, provided that:

(a) in respect of each Index specified in the relevant Issue Terms as not being a Multi-Exchange Index, if no time is specified or the time specified is after the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date or Averaging Reference Date, or if the time is specified as “Closing”, the Look-Back Observation Time shall be the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date or Averaging Reference Date, as the case may be, in relation to such Index. If the relevant Exchange closes prior to its Scheduled Closing Time, then the Look-Back Observation Time shall be the actual closing time for its regular trading session;

(b) in respect of each Index specified in the relevant Issue Terms as being a Multi-Exchange Index, if no time is specified or if the time is specified as “Closing”, the Look-Back Observation Time shall be:

(b) for any other purpose, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; or

(c) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of an Index, all times in each Look-Back Observation Date at which the Index Level of such Index can be observed.

“Multi-Exchange Index” means an Index identified or specified as such in the relevant Issue Terms.

“Number of Extension Business Days” means, if “Maturity Date Extension” or “Payment Date Extension” is specified to be applicable in the relevant Issue Terms, the number of Business Days specified in the relevant Issue Terms, or, if none is specified:

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(b) in respect of a Payment Date Extension, the number of Business Days that the Scheduled Payment Date falls after the Scheduled Reference Date or the Scheduled Averaging Reference Date, as the case may be, falling immediately prior to the Scheduled Payment Date.

“Observation Cut-Off Date” means:

(a) in respect of any Scheduled Observation Date relating to an Interest Payment Date, and:

(a) where “Payment Date Extension” is specified to be applicable in the relevant Issue Terms:

(I) in the case where the Notes relate to a Basket of Indices and “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Observation Date; or

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Observation Date; or

(b) where “Payment Date Extension” is specified to be not applicable in the relevant Issue Terms, the earlier of (I) the date that would be determined in accordance with paragraph (a)(a) above, and (II) the last Scheduled Trading Day that falls no later than the second (or such other number specified in the relevant Issue Terms) Business Day immediately preceding such Interest Payment Date;

(b) in respect of any Scheduled Observation Date relating to the Maturity Date, and:

(a) where “Maturity Date Extension” is specified to be applicable in the relevant Issue Terms:

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Observation Date; or

(a) where “Autocall Payment Date Extension” is specified to be applicable in the relevant Issue Terms:

(I) in the case where the Index Linked Autocall Provisions relate to a Basket of Indices and “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Observation Date; or

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(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Observation Date; or

(b) where “Autocall Payment Date Extension” is specified to be not applicable in the relevant Issue Terms, the earlier of (I) the date that would be determined in accordance with paragraph (c)(a) above, and (II) the last Scheduled Trading Day that falls no later than the second (or such other number specified in the relevant Issue Terms) Business Day immediately preceding the Interest Payment Date following the Scheduled Observation Date.

“Observation Date” means, in respect of each Index, either:

(a) in the case where the Index Linked Notes relate to either (a) a single Index; or (b) a Basket of Indices and “Common Scheduled Trading Days” is specified to be not applicable in the relevant Issue Terms:

(a) each Coupon Barrier Observation Date;
(b) each Redemption Barrier Observation Date;
(c) each Look-Back Observation Date;
(d) each Autocall Barrier Observation Date; and
(e) any other date specified as such in the relevant Issue Terms,

provided that, if any such date is not a Scheduled Trading Day, the Observation Date shall be the immediately following Scheduled Trading Day in respect of such Index; and

(b) in the case where “Common Scheduled Trading Days” is specified to be applicable in the relevant Issue Terms:

provided that, if any such date is not a Common Scheduled Trading Day, the Observation Date shall be the immediately following Common Scheduled Trading Day,

in each case, provided further that, if any such date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Observation Date shall be determined in accordance with the provisions of Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates).

“Redemption Barrier” means, in respect of each Index or the Basket of Indices (as the case may be) and any Redemption Barrier Period specified under the heading “Redemption Barrier Period” in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Index Level or Initial Index Basket Level) specified under the heading “Redemption Barrier” in such table adjacent to the relevant Redemption Barrier Period.

“Redemption Barrier Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Redemption Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of “Observation Date” in this Asset Condition 1.9 (Definitions).

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"Redemption Barrier Observation Period" means each period specified as such in the relevant Issue Terms.

"Redemption Barrier Observation Time" means the time(s) specified as such in the relevant Issue Terms, provided that:

(a) in respect of each Index specified in the relevant Issue Terms as not being a Multi-Exchange Index, if no time is specified or the time specified is after the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date or Averaging Reference Date, or if the time is specified as "Closing", the Redemption Barrier Observation Time shall be the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date or Averaging Reference Date, as the case may be, in relation to such Index. If the relevant Exchange closes prior to its Scheduled Closing Time, then the Redemption Barrier Observation Time shall be the actual closing time for its regular trading session;

(b) in respect of each Index specified in the relevant Issue Terms as being a Multi-Exchange Index, if no time is specified or if the time is specified as "Closing", the Redemption Barrier Observation Time shall be:

(b) for any other purpose, the time at which the official closing level of the Index is calculated and published by the Index Sponsor; or

(c) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an Index, all times in each Redemption Barrier Observation Date at which the Index Level of such Index can be observed.

"Redemption Barrier Period" means each period specified as such in the relevant Issue Terms.

"Reference Cut-Off Date" means:

(a) in respect of any Reference Date which is an Initial Setting Date, the Initial Setting Cut-Off Date in respect of such Initial Setting Date;

(b) in respect of any Reference Date which is an Observation Date, the Observation Cut-Off Date in respect of such Observation Date; and

(c) in respect of any Reference Date which is a Valuation Date, the Valuation Cut-Off Date in respect of such Valuation Date.

"Reference Date" means each Initial Setting Date, Observation Date or Valuation Date, in each case, subject to adjustment in accordance with Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates).

"Reference Index" means, in respect of a Series of Notes, to the extent applicable, any Index, Autocall Barrier, Coupon Barrier, Coupon Lock-in Barrier, Index Level, Look-Back Cap, Look-Back Floor, Redemption Barrier, Lower Barrier, Lower Barrier $_1$ , Lower Barrier $_2$ , Upper Barrier, Upper Barrier $_1$ , Upper Barrier $_2$ or the index, benchmark or price source (as applicable) originally specified for determining the Index, Autocall Barrier, Coupon Barrier, Index Level, Look-Back Cap, Look-Back Floor, Redemption Barrier, Lower Barrier, Lower Barrier $_1$ , Lower Barrier $_2$ , Upper Barrier, Upper

AC Chapter 1: Index Linked Asset Conditions

Barrier₁ or Upper Barrier₂. To the extent that an Alternative Pre-nominated Index or Alternative Index is used, it shall be a “Reference Index” from the day on which it is used.

“Reference Time” means:

(a) in respect of any Valuation Date, Initial Setting Date, Averaging Date or Initial Averaging Date, the Valuation Time;

(b) in respect of any Coupon Barrier Observation Date, the Coupon Barrier Observation Time;

(d) in respect of any Autocall Barrier Observation Date, the Autocall Barrier Observation Time; and

(e) in respect of any Look-Back Observation Date, the Look-Back Observation Time.

“Related Exchange” means, in relation to an Index, each exchange or quotation system specified in the relevant Issue Terms as such for such Index, any successor to such exchange or quotation system or any substitute exchange or quotation system to which trading in futures or options contracts relating to such Index has temporarily relocated (provided that the Calculation Agent has determined that there is comparable liquidity relative to the futures or options contracts relating to such Index on such temporary substitute exchange or quotation system as on the original Related Exchange), provided that where “All Exchanges” is specified in the relevant Issue Terms as the Related Exchange, “Related Exchange” shall mean each exchange or quotation system where trading has a material effect (as determined by the Calculation Agent) on the overall market for futures or option contracts relating to such Index.

“Related Component Share Exchange” means, in relation to a Component Share, the primary exchange or quotation system where trading has a material effect (as determined by the Calculation Agent) on the overall market for futures or options contracts relating to such Component Share.

“Replacement Index Amendments” has the meaning given to it in Asset Condition 1.4(b) (Adjustments to an Index).

“Scheduled Averaging Date” means an original date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) in the definition of “Averaging Date”) that, but for such day being a Disrupted Day, would have been an Averaging Date.

“Scheduled Averaging Reference Date” means each Scheduled Averaging Date or Scheduled Initial Averaging Date.

“Scheduled Closing Time” means, in respect of an Exchange or Related Exchange and a Scheduled Trading Day, the scheduled weekday closing time of such Exchange or Related Exchange on such Scheduled Trading Day, without regard to after hours or any other trading outside of the regular trading session hours.

“Scheduled Initial Averaging Date” means an original date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) in the definition of “Initial Averaging Date”) that, but for such day being a Disrupted Day, would have been an Initial Averaging Date.

“Scheduled Initial Setting Date” means an original date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) in the definition of “Initial Setting Date”) that, but for such day being a Disrupted Day, would have been an Initial Setting Date.

“Scheduled Observation Date” means an original date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) in the definition of “Observation Date”) that, but for such day being a Disrupted Day, would have been an Observation Date.

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"Scheduled Reference Date" means each Scheduled Initial Setting Date, Scheduled Observation Date or Scheduled Valuation Date.

"Scheduled Trading Day" means (i) where the relevant Index is specified in the relevant Issue Terms as not being a Multi-Exchange Index, any day on which each Exchange and each Related Exchange are scheduled to be open for trading for their respective regular trading sessions or (ii) where the relevant Index is specified in the relevant Issue Terms as being a Multi-Exchange Index, any day on which (A) the Index Sponsor is scheduled to publish the level of that Index, (B) each Related Exchange is scheduled to be open for trading for its regular trading session and (C) where it is specified in the relevant Issue Terms that the Threshold Percentage applies in relation to such Index, the Threshold Percentage is equal to or less than 20 per cent.

"Scheduled Valuation Date" means an original date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) in the definition of "Valuation Date") that, but for such day being a Disrupted Day, would have been a Valuation Date.

"Threshold Percentage" means, in relation to an Index and on any day, the percentage of the Component Securities that comprise the level of such Index that are scheduled to be unavailable for trading on the relevant Exchange(s) by virtue of such day not being a day upon which any such relevant Exchange is scheduled to be open for trading for its regular trading sessions.

For the purposes of determining the Threshold Percentage, the relevant percentage contribution of each Component Security unavailable for trading shall be based on a comparison of (i) the portion of the level of that Index to that Component Security relative to (ii) the overall level of that Index, in each case using the official opening weightings as published by the relevant Index Sponsor as part of the market "opening data".

"Trading Disruption" means any suspension of or limitation imposed on trading by the relevant Exchange or Related Exchange, as the case may be, or otherwise and whether by reason of movements in price exceeding limits permitted by the relevant Exchange or Related Exchange or otherwise: (i) relating to any Component Security on the Exchange in respect of such Component Security; or (ii) in futures or options contracts relating to the Index on any Related Exchange.

"Valid Date" means a Scheduled Trading Day that is not a Disrupted Day and on which another Averaging Reference Date does not or is not deemed to occur.

"Valuation Cut-Off Date" means:

(a) in respect of any Scheduled Valuation Date relating to an Interest Payment Date, and:

(a) where "Payment Date Extension" is specified to be applicable in the relevant Issue Terms:

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Valuation Date; or

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(b) in respect of any Scheduled Valuation Date relating to the Maturity Date, and:

(a) where “Maturity Date Extension” is specified to be applicable in the relevant Issue Terms:

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Valuation Date; or

“Valuation Date” means, in respect of each Index, as the case may be, either:

(a) in the case where the Index Linked Notes relate to either (a) a single Index; or (b) a Basket of Indices and the relevant Issue Terms provides that “Common Scheduled Trading Days” shall be not applicable, each date specified as such in the relevant Issue Terms or, if such date is not a Scheduled Trading Day, the immediately following Scheduled Trading Day for such Index; and

provided that if any such date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Valuation Date shall be determined in accordance with the provisions of Asset Condition 1.5 (Consequences of Disrupted Days: Reference Dates) shall apply.

“Valuation Time” means:

(a) in respect of each Index specified in the relevant Issue Terms as not being a Multi-Exchange Index, the time(s) specified as such in the relevant Issue Terms or, if no time is specified or the time specified is after the Scheduled Closing Time on the relevant Exchange on the relevant Reference Date or Averaging Reference Date, as the case may be, in relation to such Index, such Scheduled Closing Time. If the relevant Exchange closes prior to its Scheduled Closing Time and the specified Valuation Time is after the actual closing time for its regular trading session, then the Valuation Time shall be such actual closing time; or

(b) in respect of each Index specified in the relevant Issue Terms as being a Multi-Exchange Index, (A) for the purposes of determining whether an Index Market Disruption Event has occurred: (x) in respect of a Component Security, the Scheduled Closing Time on the relevant Exchange; and (y) in respect of any options contracts or futures contracts on the relevant Index, the close of trading on the relevant Related Exchange, and (B) in all other circumstances, the time(s) specified as such in the relevant Issue Terms, or if no time is specified, the time at which the official closing level of the Index is calculated and published by the Index Sponsor. If, for the purposes of (A) above, the relevant Exchange closes prior to its Scheduled Closing Time, then the Valuation Time shall be such actual closing time.

“Weight” means, in respect of each Basket Component, the percentage specified as the Weight of such Basket Component in the relevant Issue Terms, provided that if “Equal Weight” is specified, the Weight

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in respect of each Basket Component shall be a percentage equal to 1 divided by the total number of Basket Components.

“Weighted Index Level” means, in respect of each Basket Component, the Index Level of such Basket Component multiplied by its Weight.

“Worst Performing Basket Component” means, in respect of a Basket of Indices and any Basket Reference Date, the Basket Component with the lowest Index Performance in respect of the Reference Date relating to such Basket Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same lowest Index Performance, the Calculation Agent shall determine which Basket Component shall be the Worst Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Worst Performing Basket Component).

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AC Chapter 2: Inflation Linked Asset Conditions

This chapter sets out additional terms and conditions that are only applicable to Inflation Linked Notes.

The following are the conditions (the “Inflation Linked Asset Conditions”) that will apply to Inflation Linked Notes. These Inflation Linked Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms and any applicable Payout Conditions. In the case of any inconsistency between these Inflation Linked Asset Conditions and the Base General Conditions, these Inflation Linked Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Inflation Linked Asset Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Inflation Linked Asset Conditions or elsewhere in the Base Conditions applicable to the Inflation Linked Notes will have the meanings given to them in the relevant Issue Terms. References in these Inflation Linked Asset Conditions to “Inflation Linked Notes” are to the Inflation Linked Notes of one Series only, not to all Inflation Linked Notes that may be issued under the Programme.

2 Inflation Linked Notes

2.1 Inflation Index Delay and Disruption Event Provision

(a) Delay of Publication of an Inflation Index

If the Relevant Level of an Inflation Index for a Reference Month which is relevant to the calculation of a payment under the Inflation Linked Notes has not been published or announced by the day that is five Business Days prior to an Interest Payment Date (in the case of Inflation Linked Interest Notes) or the Maturity Date (in the case of Inflation Linked Redemption Notes) (each such date an “Affected Payment Date”), the Calculation Agent in consultation with the Bank shall determine a “Substitute Inflation Index Level” by using the following methodology:

(a) if applicable, the Calculation Agent will take the same action to determine the Substitute Inflation Index Level for the Affected Payment Date as that taken by the calculation agent pursuant to the terms and conditions of the Related Bond; or
(b) if (i) does not result in a Substitute Inflation Index Level for the Affected Payment Date for any reason, then the Calculation Agent in consultation with the Bank shall determine the Substitute Inflation Index Level as follows:

Substitute Inflation Index Level = Base Level x (Latest Level/Reference Level)

Where:

“Base Level” means the level of the Inflation Index (excluding “flash estimates”) published or announced by the Inflation Index Sponsor in respect of the month which is 12 calendar months prior to the month for which the Substitute Inflation Index Level is being determined.

“Latest Level” means the latest level of the Inflation Index (excluding “flash estimates”) published or announced by the Inflation Index Sponsor prior to the month in respect of which the Substitute Inflation Index Level is being calculated.

“Reference Level” means the level of the Inflation Index (excluding “flash estimates”) published or announced by the Inflation Index Sponsor in respect of the month that is 12 calendar months prior to the month referred to in “Latest Level” above.

If a Relevant Level is published or announced at any time after the day that is five Business Days prior to the next Interest Payment Date (in the case of Inflation Linked Interest Notes) or the Maturity Date (in the case of Inflation Linked Redemption Notes), such Relevant Level will not

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be used in any calculations. The Substitute Inflation Index Level so determined pursuant to this section (a) will be the definitive level for the relevant Reference Month.

(b) Cessation of Publication

If a level for an Inflation Index has not been published or announced for two consecutive months or the Inflation Index Sponsor announces that it will no longer continue to publish or announce the Inflation Index, then the Calculation Agent shall determine a “Successor Inflation Index” (in lieu of any previously applicable Inflation Index) for the purposes of the Inflation Linked Notes by using the following methodology:

(a) if at any time (other than after the designation by the Calculation Agent of a date for the early redemption of the Inflation Linked Notes pursuant to sub-section (e) below) a successor index has been designated by the calculation agent pursuant to the terms and conditions of the Related Bond, such successor Inflation Index shall be designated a “Successor Inflation Index” for the purposes of all subsequent Interest Payment Dates (in the case of Inflation Linked Interest Notes) or the Maturity Date (in the case of Inflation Linked Redemption Notes) in relation to the Inflation Linked Notes notwithstanding that any other Successor Index may previously have been determined under the other sub-sections of this section (b);

(b) if: (1) a Successor Inflation Index has not been determined under sub-section (a) above; (2) there has been no designation of a date for the early redemption of the Inflation Linked Notes by the Calculation Agent pursuant to sub-section (e) below; (3) a notice has been given or an announcement has been made by the Inflation Index Sponsor, specifying that the Inflation Index will be superseded by a replacement Inflation Index specified by the Inflation Index Sponsor; and (4) the Calculation Agent determines that such replacement index is calculated using the same or substantially similar formula or method of calculation as used in the calculation of the previously applicable Inflation Index, then such replacement index shall be deemed to be the “Successor Inflation Index” for purposes of the Inflation Linked Notes from the date that such replacement Inflation Index comes into effect;

(c) if a Successor Inflation Index has not been designated by the Calculation Agent under sub-section (a) or (b) above (and there has been no designation of a date for the early redemption of the Inflation Linked Notes by the Calculation Agent pursuant to sub-section (e) below), the Calculation Agent shall ask five leading independent dealers to state what the replacement index for the Inflation Index should be. If at least four responses are received and, of those responses, three or more leading independent dealers state the same index, such index will be deemed the “Successor Inflation Index” for the purposes of the Inflation Linked Notes. If three responses are received, and two or more leading independent dealers state the same index, such index will be deemed the “Successor Inflation Index” for the purposes of the Inflation Linked Notes. If fewer than three responses are received, sub-section (d) below shall apply;

(d) if no Successor Inflation Index has been determined under sub-section (a), (b) or (c) above by the fifth Business Day prior to the Affected Payment Date, the Calculation Agent in consultation with the Bank will determine an appropriate alternative index for the Interest Payment Date (in the case of Inflation Linked Interest Notes) or the Maturity Date (in the case of Inflation Linked Redemption Notes) related to such Affected Payment Date, and such index will be deemed a “Successor Inflation Index”; or

(e) if the Calculation Agent determines that there is no appropriate alternative index, the Bank may, by notice to the Noteholders (copied to the Fiscal Agent), in accordance with Base General Condition 16 (Notices), redeem all but not some only of the Inflation Linked Notes at the Early Redemption Amount.

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If the Calculation Agent determines that the Inflation Index has been or will be rebased at any time, the Inflation Index as so rebased (the “Rebased Inflation Index”) will be used for purposes of determining the level of an Inflation Index from the date of such rebasing; provided, however, that the Calculation Agent shall make such adjustments as are made by the calculation agent pursuant to the terms and conditions of the Related Bond, if any, to the levels of the Rebased Inflation Index so that the Rebased Inflation Index levels reflect the same rate of inflation as the Inflation Index before it was rebased. If there is no Related Bond, the Calculation Agent shall make adjustments to the past levels of the Rebased Inflation Index so that the Rebased Inflation Index levels reflect the same rate of inflation as the Inflation Index before it was rebased. Any such rebasing shall not affect any prior payments made under the Inflation Linked Notes.

(d) Material Modification Prior to an Interest Payment Date or Maturity Date

If, on or prior to the day that is five Business Days before the next Interest Payment Date (in the case of Inflation Linked Interest Notes) or the Maturity Date (in the case of Inflation Linked Redemption Notes), the Inflation Index Sponsor announces that it will make a material change to the Inflation Index, the Calculation Agent shall make any such adjustments to the Inflation Index consistent with adjustments made to the Related Bond, or, if there is no Related Bond, only those adjustments necessary for the modified Inflation Index to continue as the Inflation Index.

(e) Manifest Error in Publication

If, within 30 days of publication but no later than the day that is five Business Days prior to the next Interest Payment Date (in the case of Inflation Linked Interest Notes) or the Maturity Date (in the case of Inflation Linked Redemption Notes), the Calculation Agent determines that the Inflation Index Sponsor has corrected the level of the Inflation Index to remedy a material error in its original publication, the Calculation Agent will notify the Bank and the Noteholders, in accordance with Base General Condition 16 (Notices), of (i) that correction and (ii) any amount that may be payable as a result of that correction, and take such other action as it may deem necessary to give effect to such correction.

2.2 Definitions

“2008 ISDA Inflation Derivatives Definitions” means the 2008 ISDA Inflation Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes, as amended and supplemented up to and including the Issue Date of the first Tranche of the Notes.

“Fallback Bond” means a bond selected by the Calculation Agent and issued by the government of the country to whose level of inflation the Inflation Index relates and which pays a coupon or redemption amount which is calculated by reference to the Inflation Index, with a maturity date (i) which falls on the same day as the Maturity Date, (ii) which is after but falling closest to the Maturity Date if there is no such bond maturing on the Maturity Date or (iii) which is before but falling closest to the Maturity Date if no bond defined in (i) or (ii) is selected by the Calculation Agent. If the Inflation Index relates to the level of inflation across the European Monetary Union, the Calculation Agent will select an inflation-linked bond that is a debt obligation of one of the governments (but not any government agency) of France, Italy, Germany or Spain and which pays a coupon or redemption amount which is calculated by reference to the level of inflation in the European Monetary Union. In each case, the Calculation Agent will select the Fallback Bond from those inflation-linked bonds issued on or before the Issue Date of the Inflation Linked Notes. If there is more than one bond maturing on the same date, the Fallback Bond shall be selected by the Calculation Agent from those bonds. If the Fallback Bond redeems, the Calculation Agent will select a new Fallback Bond on the same basis, but selected from all eligible bonds in issue at the time the original Fallback Bond redeems (including any bond for which the redeemed bond is exchanged).

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"Index Descriptions" has the meaning given to it in the 2008 ISDA Inflation Derivatives Definitions.

"Inflation Index" means, subject to adjustment in accordance with this Asset Condition 2 (Inflation Linked Asset Conditions), the index specified as such in the relevant Issue Terms (whether using the Index Descriptions or otherwise) and related expressions shall be construed accordingly.

"Inflation Index Sponsor" means the Inflation Index sponsor specified for such Inflation Index in the relevant Issue Terms and any successor Inflation Index sponsor of such Inflation Index.

"Reference Month" means each month specified in the relevant Issue Terms, or, if none, the calendar month for which the level of the Inflation Index was reported, regardless of when this information is published or announced. If the period for which the Inflation Index level was reported is a period other than a month, the Reference Month is the period for which the Inflation Index level was reported.

"Related Bond" means the bond specified as such in the relevant Issue Terms or, if Related Bond is specified in the relevant Issue Terms to be not applicable, the Fallback Bond shall be deemed to be the Related Bond. If a bond is specified to be the Related Bond in the relevant Issue Terms and such bond redeems or matures during the term of the Inflation Linked Notes, the Fallback Bond shall be deemed to be the Related Bond.

"Relevant Level" means, in respect of an Inflation Index and a Reference Month, the level of such Inflation Index in respect of such Reference Month as published by the Inflation Index Sponsor.

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This chapter sets out additional terms and conditions that are only applicable to Currency Linked Notes.

The following are the conditions (the “Currency Linked Asset Conditions”) that will apply to Currency Linked Notes. These Currency Linked Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms and any applicable Payout Conditions. In the case of any inconsistency between these Currency Linked Asset Conditions and the Base General Conditions, these Currency Linked Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Currency Linked Asset Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Currency Linked Asset Conditions or elsewhere in the Base Conditions applicable to the Notes will have the meanings given to them in the relevant Issue Terms. References in these Currency Linked Asset Conditions to “Currency Linked Notes” or “Notes” are to the Currency Linked Notes or Notes of one Series only, not to all Currency Linked Notes or Notes that may be issued under the Programme.

3 Currency Linked Notes

3.1 Maturity Date Extension

If the Notes are Currency Linked Redemption Notes and if “Maturity Date Extension” is specified in the relevant Issue Terms as being applicable, the Maturity Date shall be the later of:

(a) the date specified as the Maturity Date in the relevant Issue Terms (the “Scheduled Maturity Date”); and
(b) the day falling the Number of Extension Business Days after the Reference Date, Basket Reference Date, final Averaging Reference Date or final Basket Averaging Reference Date, as the case may be, in respect of which the Final Redemption Amount is determined.

If the relevant Maturity Date is postponed pursuant to this Asset Condition 3.1: (i) the Final Redemption Amount will be due on the relevant date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such Final Redemption Amount; (ii) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the Scheduled Maturity Date and of the postponed Maturity Date not less than three Business Days prior to such postponed Maturity Date; and (iii) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the Scheduled Maturity Date and not less than two Business Days prior to such postponed Maturity Date.

3.2 Payment Date Extension

If the Notes are (a) Currency Linked Interest Notes and “Payment Date Extension” is specified in the relevant Issue Terms as being applicable and/or (b) Currency Linked Autocall Notes and “Autocall Payment Date Extension” is specified in the relevant Issue Terms as being applicable, each Interest Payment Date shall be the later of:

(a) the date specified as such Interest Payment Date in the relevant Issue Terms (the “Scheduled Payment Date”);
(b) if the Notes are Currency Linked Interest Notes and “Payment Date Extension” is specified in the relevant Issue Terms as being applicable, the day falling the Number of Extension Business Days after the Reference Date, Basket Reference Date, final Averaging Reference Date or final

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Basket Averaging Reference Date, as the case may be, in respect of which the Rate of Interest is determined for such Interest Payment Date; and

(c) if the Notes are Currency Linked Autocall Notes and “Autocall Payment Date Extension” is specified in the relevant Issue Terms as being applicable, the day falling five Business Days after the last Autocall Barrier Observation Date in respect of the relevant Interest Period.

If any amount is payable on an Interest Payment Date in respect of a Currency Linked Interest Note or Currency Linked Autocall Note and such Interest Payment Date is postponed pursuant to this Asset Condition 3.2, (A) such amount will be due on the Interest Payment Date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such amount; (B) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the relevant Interest Payment Date and of the relevant postponed Interest Payment Date not less than three Business Days prior to such postponed Interest Payment Date; and (C) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the relevant Interest Payment Date and not less than two Business Days prior to such postponed Interest Payment Date.

3.3 FX Basket Level

Where the Currency Linked Notes relate to a Basket of FX Rates, the Calculation Agent shall calculate the level of the Basket of FX Rates (the “FX Basket Level”) in respect of each Basket Reference Date as follows:

(a) if “Weighted Average” is specified as applicable in the relevant Issue Terms, and:

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the Aggregate Weighted FX Rate in respect of such Basket Reference Date; or
(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the Aggregate Weighted FX Rates in respect of each such Basket Averaging Reference Date; or

(b) if “Best-Of” is specified as applicable in the relevant Issue Terms, and:

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the FX Rate of the Best Performing Basket Component as at the Reference Time on the relevant Reference Date; or
(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the FX Rates of the Best Performing Basket Component as at the Reference Time on each of the relevant Averaging Reference Dates; or

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the FX Rate of the Worst Performing Basket Component as at the Reference Time on the relevant Reference Date; or
(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the FX Rates of the Worst Performing Basket Component as at the Reference Time on each of the relevant Averaging Reference Dates.

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3.4 Currency Adjustment Provisions

(a) Corrections to Published and Displayed Rates

For purposes of determining an FX Rate for any Reference Date or Averaging Reference Date, as the case may be:

(a) In any case where an FX Rate is based on information obtained from the Reuter Monitor Money Rates Service, or any other financial information service, such FX Rate will be subject to the corrections, if any, to that information subsequently displayed by that source within one hour of the time when such rate is first displayed by such source, unless the Calculation Agent determines in its sole and absolute discretion that it is not practicable to take into account such correction.

(b) Notwithstanding paragraph (a) above, in any case where an FX Rate is based on information published or announced by any Governmental Authority in a relevant country, such FX Rate will be subject to the corrections, if any, to that information subsequently published or announced by that source, unless the Calculation Agent determines in its sole and absolute discretion that it is not practicable to take into account such correction, including, but not limited to, in relation to any calculations or determinations connected with the redemption of or interest payable in relation to any Notes.

In the event that the Calculation Agent identifies any correction referred to in paragraph (a) or (b) above (and in the case of a correction in respect of an FX Rate published as set out in paragraph (b) above, within five days of such correction), if applicable, the Bank may (but shall not be obliged to) take such action as it considers necessary or appropriate to pay to Noteholders or to recover from Noteholders (in either case, if an amount has already been paid based on a subsequently corrected price) as a result of such correction. Notwithstanding the foregoing, under no circumstances shall the Bank be obliged to recover any moneys from any relevant Clearing System. The Calculation Agent will only identify that a correction to an FX Rate has been made under this Asset Condition 3.4(a) (Corrections to Published and Displayed Rates) and shall have no liability to any person for so doing or for any action that the bank determines necessary or appropriate as a result of such correction.

(b) Successor Currency

Where the relevant Issue Terms specify that "Successor Currency" is applicable in respect of an FX Rate, then:

(a) the Reference Currency and Base Currency in respect of such FX Rate will be deemed to include any lawful successor currency to such Reference Currency or Base Currency, as the case may be (the "Successor Currency");

(b) if the Calculation Agent determines that, on or after the Issue Date but on or before any relevant date under the Notes on which an amount may be payable, a country has lawfully eliminated, converted, redenominated or exchanged its currency in effect on the Issue Date which is the Reference Currency or Base Currency of an FX Rate, as the case may be (the "Original Currency") for a Successor Currency, then, for the purposes of calculating any amounts of the Original Currency or effecting settlement thereof, any Original Currency amounts will be converted to the Successor Currency by multiplying the amount of Original Currency by a ratio of Successor Currency to Original Currency, which ratio will be calculated on the basis of the exchange rate set forth by the relevant country of the Original Currency for converting the Original Currency into the Successor Currency on the date on which the elimination, conversion, redenomination or exchange took place, as determined by the Calculation Agent. If there is more than one such date, the date closest to such relevant date will be selected (or such other date as may be selected by the Calculation Agent in its sole and absolute discretion);

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(c) notwithstanding paragraph (b) above but subject to paragraph (d) below, the Calculation Agent may (to the extent permitted by the applicable law), in its sole and absolute discretion, select such other exchange rate or other basis for the conversion of an amount of the Original Currency to the Successor Currency and will make such adjustment(s) that it determines to be appropriate, if any, to any variable, calculation methodology, valuation, settlement, payment terms or any other terms in respect of the Notes to account for such elimination, conversion, redenomination or exchange of the Reference Currency or Base Currency, as the case may be; and

(d) notwithstanding the foregoing provisions, with respect to any Reference Currency or Base Currency that is substituted or replaced by the Euro, the consequences of such substitution or replacement will be determined in accordance with applicable law.

(c) Rebasing of Notes

If the relevant Issue Terms specify that “Rebasing” is applicable in respect of an FX Rate, then, if on or prior to any Reference Date or Averaging Reference Date, the Calculation Agent is unable to obtain a value for an FX Rate (because the Reference Currency and/or Base Currency ceases to exist, or for any other reason other than a temporary disruption, as determined by the Calculation Agent in consultation with the Bank), the Calculation Agent may rebase the Notes against another foreign exchange rate determined by the Calculation Agent, in its sole and absolute discretion, to be a comparable foreign exchange rate. If the Calculation Agent determines in consultation with the Bank that there is not such a comparable foreign exchange rate, the Bank may elect to redeem the Notes by notice to Noteholders on the date specified in the notice at the Early Redemption Amount.

3.5 Averaging

In the case where it becomes impossible to obtain any FX Rate on an Averaging Reference Date (or, if different, the day on which rates for that Averaging Reference Date would, in the ordinary course, be published or announced by the relevant price source), such Averaging Reference Date will be deemed not to be a relevant Averaging Reference Date for the purposes of determining the relevant Final Redemption Amount. If, through operation of this provision, there would not be any Averaging Reference Date with respect to the relevant Final Redemption Amount, the provisions of Asset Conditions 3.6(a) to (b) (FX Disruption Provisions) will apply for the purposes of determining the relevant FX Rate on the last date that would have been an Averaging Reference Date but for this provision, as if such date was an Averaging Reference Date on which an FX Disruption Event had occurred.

3.6 FX Disruption Provisions

(a) Consequences of Disrupted Days

(a) Single FX Rate

Subject to Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) and Asset Condition 3.5 (Averaging), where the Notes relate to a single FX Rate, and if the Calculation Agent determines that any Reference Date or Averaging Reference Date, as the case may be, in respect of such FX Rate is a Disrupted Day, the Calculation Agent shall determine the FX Rate in respect of such Reference Date or Averaging Reference Date, as the case may be, in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate. If “Unscheduled Holiday” is specified in the relevant Issue Terms to be applicable, the references to “Reference Date” and “Averaging Reference Date” in the foregoing sentence shall be deemed to mean the Reference Date or Averaging Reference Date as postponed in accordance with Asset Condition 3.7(a) (Unscheduled Holiday) below.

(b) Basket of FX Rates

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Subject to Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) and Asset Condition 3.5 (Averaging), where the Notes relate to a Basket of FX Rates, and if the Calculation Agent determines that any Reference Date or Averaging Reference Date, as the case may be, in respect of one or more of such FX Rates is a Disrupted Day, then:

(A) for each FX Rate for which the Calculation Agent determines that such Reference Date or Averaging Reference Date, as the case may be, is not a Disrupted Day, the FX Rate will be determined on such Reference Date or Averaging Reference Date, as the case may be; and

(B) for each FX Rate for which the Calculation Agent determines that such Reference Date or Averaging Reference Date, as the case may be, is a Disrupted Day, the Calculation Agent shall determine such FX Rate in respect of such Reference Date or Averaging Reference Date, as the case may be, in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate. If “Unscheduled Holiday” is specified in the relevant Issue Terms to be applicable, the references to “Reference Date” and “Averaging Reference Date” in the foregoing sentence shall be deemed to mean the Reference Date or Averaging Reference Date as postponed in accordance with Asset Condition 3.7(a) (Unscheduled Holiday).

The relevant Issue Terms may provide that one or more FX Disruption Fallbacks may apply to any FX Rate and that such applicable FX Disruption Fallbacks may apply concurrently or sequentially, in such manner as specified in the relevant Issue Terms.

(b) FX Disruption Fallbacks

(a) Calculation Agent Determination

“Calculation Agent Determination” means, in respect of an FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will determine such FX Rate (or a method for determining such FX Rate) in respect of such Disrupted Day, taking into consideration all available information that in good faith it deems relevant.

(b) Fallback Reference Price

“Fallback Reference Price” means, in respect of an FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will determine such FX Rate in respect of such Disrupted Day pursuant to the first of the alternate Settlement Rate Options or FX Price Sources, if any, specified as a Fallback Reference Price in the relevant Issue Terms.

“Currency-Reference Dealers” means, in respect of an FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will request each of at least four leading dealers, banks or banking corporations which deal in the relevant exchange market (as selected by the Calculation Agent) to provide a quotation of its rate at which it will buy one unit of the Base Currency in units of the Reference Currency at the applicable Reference Time on such Disrupted Day. If, for any such rate, at least two quotations are provided, the relevant rate will be the arithmetic mean of the quotations. If fewer than two quotations are provided for any such rate, the relevant rate will be the arithmetic mean of the relevant rates quoted by major banks in the relevant market, selected by the Calculation Agent at or around the applicable Reference Time on such Disrupted Day.

(d) Other Published Sources

“Other Published Sources” means, in respect of an FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will determine such FX Rate in respect of such

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Disrupted Day on the basis of the exchange rate for one unit of the Base Currency in terms of the Reference Currency published by available recognised financial information vendors (as selected by the Calculation Agent) other than the applicable FX Price Source, at or around the applicable Reference Time on such Disrupted Day.

(e) Postponement

“Postponement” means, in respect of an FX Rate, that if the Calculation Agent determines that any Scheduled Reference Date or Scheduled Averaging Reference Date is a Disrupted Day for such FX Rate, then, the Reference Date or Averaging Reference Date, as the case may be, shall be the first succeeding FX Business Day that is not a Disrupted Day, unless the Calculation Agent determines that each of the consecutive FX Business Days equal in number to the Maximum Days of Postponement (as specified in the relevant Issue Terms) immediately following such Scheduled Reference Date or Scheduled Averaging Reference Date, as the case may be, is a Disrupted Day. In that case:

(A) that last consecutive FX Business Day shall be deemed to be the Reference Date or the Averaging Reference Date, as the case may be (notwithstanding the fact that such day may be a Disrupted Day); and

(B) the next FX Disruption Fallback specified in the relevant Issue Terms in respect of such FX Rate shall apply.

(f) Yen Calculation Agent Determination

“Yen Calculation Agent Determination” means, where the Reference Currency is Yen, the Calculation Agent shall determine the FX Rate by requesting each of the FX Reference Banks, to provide a quotation for the FX Rate. If five or four such quotations are provided as requested, after disregarding the highest of such quotations and the lowest of such quotations (provided that, if two or more such quotations are the highest such quotations, then only one of such quotations shall be disregarded, and if two or more such quotations are the lowest quotations then only one of such lowest quotations shall be disregarded), the applicable rate shall be determined by the Calculation Agent as the arithmetic mean (rounded to the nearest five decimal places, with 0.000005 being rounded upwards) of the remaining such quotations for such rate. If only three or two quotations are so provided, then the FX Rate shall be the arithmetic mean (rounded to the nearest five decimal places, with 0.000005 being rounded upwards) of such quotations. If only one quotation is available, in that event, the Calculation Agent may determine that such quotation shall be the FX Rate, alternatively, the Calculation Agent can determine that the single quotation is not suitable. If the single quotation is not suitable or no such quotation is available or if the Calculation Agent determines in its sole discretion that no suitable FX Reference Bank which is prepared to quote is available, the Calculation Agent will determine the FX Rate in its sole discretion, acting in good faith and in a commercially reasonable manner.

(g) Cross Rate Fallback

“Cross Rate Fallback” means, in respect of an FX Rate in respect of which FX Price Source Determination is specified to be applicable but Cross Rate is not specified to be applicable, that the Calculation Agent will determine such FX Rate as if Cross Rate had been specified to be applicable and the Crossing Currency were the Fallback Crossing Currency.

If an FX Administrator/Benchmark Event Date occurs:

(1) the FX Disruption Fallbacks specified in the relevant Issue Terms with respect to FX Administrator/Benchmark Event will apply, or if none are specified, the “FX Disruption

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Fallbacks in respect of FX Rate” specified in the relevant Issue Terms shall be deemed to apply in accordance with Asset Condition 3.6(a) (Consequences of Disrupted Days) and the definition of FX Disruption Fallback, provided that if the FX Benchmark is not the FX Rate then:

(i) references to the “FX Rate” in the applicable FX Disruption Fallbacks and related definitions and provisions of these Asset Conditions shall be deemed to be references to the “FX Benchmark”;

(ii) references to “alternate Settlement Rate Options” or “FX Price Sources” shall be deemed to be references to the “Alternative FX Benchmark”; and

(iii) references to “Disrupted Day” shall be deemed to be references to “FX Administrator/Benchmark Event Date”,

(2) if it (i) is or would be unlawful at any time under any applicable law or regulation or (ii) would contravene any applicable licensing requirements, for the Bank or the Calculation Agent to perform the actions prescribed in Asset Condition 3.6(a) (Consequences of Disrupted Days) and an applicable FX Disruption Fallback (or it would be unlawful or would contravene those licensing requirements were a determination to be made at such time), the next applicable FX Disruption Fallback will apply;

(3) if the Benchmark Rate Determination Agent determines that the last applicable FX Disruption Fallback does not or would not provide an FX Benchmark (including due to the applicability of paragraph (2) above in relation to the last applicable FX Disruption Fallback), then the Bank shall give notice to Noteholders as soon as practicable in accordance with Base General Condition 16 (Notices) and the Bank shall redeem all, but not some only, of the Notes on the date specified in such notice at the Early Redemption Amount (as described in Base General Condition 7(b) (Early Redemption)).

(4) if, in respect of a Series, there is more than one FX Benchmark, then the foregoing provisions of this Asset Condition 3.6(c) shall apply separately to each such FX Benchmark and

(5) the Benchmark Rate Determination Agent shall not have any duty to monitor, enquire or satisfy itself as to whether any FX Administrator/Benchmark Event has occurred. If the Noteholders provide the Benchmark Rate Determination Agent with details of the circumstances which could constitute an FX Administrator/Benchmark Event, the Benchmark Rate Determination Agent will consider such notice, but will not be obliged to determine that an FX Administrator/Benchmark Event has occurred solely as a result of receipt of such notice.

(d) Change to an FX Benchmark

If the definition, methodology or formula for an FX Benchmark, or other means of calculating the FX Benchmark, is changed or modified (irrespective of the materiality of any such change or changes), then, unless otherwise specified in the relevant Issue Terms, references to that FX Benchmark shall be to the FX Benchmark as changed and modified and Noteholders or Couponholders will not be entitled to any form of compensation as a result of such change or modification.

3.7 EM Currency Provisions

(a) Unscheduled Holiday

If “Unscheduled Holiday” is specified to be applicable in the relevant Issue Terms in respect of an FX Rate, if the Calculation Agent determines that a Scheduled Reference Date or Scheduled Averaging Reference Date, as the case may be, is an Unscheduled Holiday in respect of an FX Rate, then the Reference Date or Averaging Reference Date, as the case may be, in respect of such FX Rate shall be the first succeeding FX Business Day which is not an Unscheduled Holiday, unless the Calculation Agent determines that such first FX Business Day has not occurred on or before the Maximum Days of

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Unscheduled Holiday Postponement immediately following such Scheduled Reference Date or Scheduled Averaging Reference Date. In that case:

(a) the next day after that period that would be an FX Business Day but for an Unscheduled Holiday shall be deemed to be the Reference Date or the Averaging Reference Date, as the case may be (such day, the “Adjusted Scheduled Reference Date” or the “Adjusted Scheduled Averaging Reference Date”, as applicable); and

(b) the Calculation Agent shall determine the FX Rate in respect of such Adjusted Scheduled Reference Date or Adjusted Scheduled Averaging Reference Date, as the case may be, in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate.

(b) Additional FX Disruption Fallbacks

In addition to the FX Disruption Fallbacks set out in Asset Condition 3.6(b) (FX Disruption Fallbacks), the relevant Issue Terms may also specify any of the following additional FX Disruption Fallbacks to apply in respect of an FX Rate:

(a) EM Valuation Postponement

“EM Valuation Postponement” means, in respect of an FX Rate (which term shall include, where the relevant Issue Terms provide that the prior applicable FX Disruption Fallback is “Fallback Reference Price”, the FX Rate determined using the applicable Fallback Reference Price), that if the Calculation Agent determines that any Scheduled Reference Date, Scheduled Averaging Reference Date, Adjusted Scheduled Reference Date or Adjusted Scheduled Averaging Reference Date, as the case may be, is a Disrupted Day in respect of such FX Rate, then the Reference Date or Averaging Reference Date, as the case may be, shall be the first succeeding FX Business Day which is not a Disrupted Day, unless the Calculation Agent determines that no such FX Business Day has occurred on or before the Maximum Days of EM Valuation Postponement immediately following such Scheduled Reference Date, Scheduled Averaging Reference Date, Adjusted Scheduled Reference Date or Adjusted Scheduled Averaging Reference Date, as the case may be. In that case:

(A) the next FX Business Day after the EM Valuation Longstop Date shall be deemed to be the Reference Date or the Averaging Reference Date, as the case may be (notwithstanding the fact that such day may be a Disrupted Day); and

(B) the next FX Disruption Fallback specified in the relevant Issue Terms in respect of such FX Rate shall apply.

(b) EM Valuation Fallback Postponement

“EM Valuation Fallback Postponement” means, in respect of an FX Rate (which term shall include, where the relevant Issue Terms provide that the prior applicable FX Disruption Fallback is “Fallback Reference Price”, the FX Rate determined using the applicable Fallback Reference Price), that if the Calculation Agent determines that the FX Rate (as determined by reference to the applicable Fallback Reference Price) is not available (a) on the first FX Business Day following the end of the Maximum Days of EM Valuation Postponement (where an FX Disruption Event has occurred or exists in respect of the FX Rate throughout the Maximum Days of EM Valuation Postponement) or (b) on the Adjusted Scheduled Reference Date or Adjusted Scheduled Averaging Reference Date, as the case may be, then the Reference Date or Averaging Reference Date, as the case may be, shall be the first succeeding FX Business Day which is not a Disrupted Day, unless the Calculation Agent determines that no such FX Business Day has occurred on or before the Maximum Days of EM Valuation Fallback Postponement immediately following such first FX Business Day following the end of the Maximum Days of EM Valuation

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Postponement or the Adjusted Scheduled Reference Date or the Adjusted Scheduled Averaging Reference Date, as the case may be. In that case:

(A) the next FX Business Day after the EM Valuation Fallback Longstop Date shall be deemed to be the Reference Date or the Averaging Reference Date, as the case may be (notwithstanding the fact that such day may be a Disrupted Day); and

(B) the next FX Disruption Fallback specified in the relevant Issue Terms in respect of such FX Rate shall apply.

If “Cumulative Events” is specified to be applicable in the relevant Issue Terms in respect of an FX Rate (which term shall include, where the relevant Issue Terms provide that the prior applicable FX Disruption Fallback is “Fallback Reference Price”, the FX Rate determined using the applicable Fallback Reference Price), then the total number of consecutive calendar days during which such Reference Date or Averaging Reference Date, as the case may be, is deferred due to (i) an Unscheduled Holiday, (ii) an EM Valuation Postponement or (iii) an EM Valuation Fallback Postponement (or any combination of (i), (ii) and (iii)), shall not exceed the Maximum Days of Cumulative Postponement in the aggregate.

Accordingly, if by the operation of the above paragraph, a Reference Date or Averaging Reference Date, as the case may be, is postponed by the number of calendar days equal to the Maximum Days of Cumulative Postponement, then such Reference Date or Averaging Reference Date, as the case may be, shall be the Cumulative Longstop Date. If such Cumulative Postponement Longstop Date is a Disrupted Day or an Unscheduled Holiday, then the Calculation Agent shall determine the FX Rate in respect of such Cumulative Postponement Longstop Date in accordance with the next applicable FX Disruption Fallback.

3.8 Barrier Events

(a) Coupon Barrier Event

A “Coupon Barrier Event” shall be deemed to occur if the Calculation Agent determines that the FX Rate or the FX Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Barrier on such Coupon Barrier Observation Date.

(b) Redemption Barrier Event

A “Redemption Barrier Event” shall be deemed to occur if the Calculation Agent determines that the FX Rate or FX Basket Level as of any Redemption Barrier Observation Time on any Redemption Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Redemption Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than or equal to”), as the case may be, the Redemption Barrier on such Redemption Barrier Observation Date.

A “Coupon Lock-in Event” shall be deemed to occur if the Calculation Agent determines that the FX Rate or FX Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less

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than"); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Lock-in Barrier on such Coupon Barrier Observation Date.

(d) Autocall Barrier Event

An “Autocall Barrier Event” shall be deemed to occur in respect of a FX Rate or Basket of FX Rates if the Calculation Agent determines that the FX Rate or FX Basket Level, as the case may be, as of any Autocall Barrier Observation Time on any Autocall Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Autocall Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than or equal to”), as the case may be, the corresponding Autocall Barrier on such Autocall Barrier Observation Date.

3.9 Look-Back

If “Look-Back Provisions” is specified to be applicable in the relevant Issue Terms, the Calculation Agent shall determine the FX Rate or FX Basket Level (as the case may be) as at the Look-Back Observation Time on each Look-Back Observation Date, and the Initial FX Rate or Initial FX Basket Level (as the case may be) shall be:

(a) if “Look-Back – Lowest” is specified to be applicable in the relevant Issue Terms, the lowest FX Rate or FX Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap; or
(b) if “Look-Back – Highest” is specified to be applicable in the relevant Issue Terms, the highest FX Rate or FX Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap.

3.10 Definitions

“1998 ISDA FX Definitions” means the 1998 ISDA FX and Currency Option Definitions, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes, as amended and supplemented up to and including the Issue Date of the first Tranche of the Notes.

“Alternative FX Benchmark” in respect of an FX Benchmark, the first of the indices, benchmarks, rates or other price sources specified as such in the relevant Issue Terms as (a) a Fallback Reference Price for the purposes of an FX Administrator/Benchmark Event or (b) otherwise, a Fallback Reference Price for the purposes of a Price Source Disruption, in each case, that is not subject to an FX Disruption Event and an FX Administrator/Benchmark Event.

“Autocall Barrier” means, in respect of each FX Rate or Basket of FX Rates (as the case may be) and any Autocall Barrier Period specified under the heading “Autocall Barrier Period” in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial FX Rate or Initial FX Basket Level) specified under the heading “Autocall Barrier” in such table adjacent to the relevant Autocall Barrier Period.

“Autocall Barrier Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Autocall Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 3.6 (FX Disruption Provisions) or pursuant to the definition of “Observation Date” in this Asset Condition 3.10 (Definitions).

“Autocall Barrier Observation Period” means the period specified as such in the relevant Issue Terms.

“Autocall Barrier Observation Time” means:

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(a) the time(s) specified as such in the relevant Issue Terms; or
(b) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an FX Rate, all times in each Autocall Barrier Observation Date at which such FX Rate can be observed.

"Autocall Barrier Period" means each period specified as such in the relevant Issue Terms.

"Adjusted Scheduled Averaging Reference Date" has the meaning given to it in Asset Condition 3.7(a) (EM Currency Provisions).

"Adjusted Scheduled Reference Date" has the meaning given to it in Asset Condition 3.7(a) (EM Currency Provisions).

"Aggregate Weighted FX Rate" means, in respect of a Basket Reference Date or Basket Averaging Reference Date, the sum of the Weighted FX Rates of all the Basket Components in respect of such Basket Reference Date or Basket Averaging Reference Date, where the Weighted FX Rate of each Basket Component is determined as at the Reference Time on the relevant Reference Date or Averaging Reference Date (as the case may be) in respect of such Basket Component.

"Averaging Date" means, in respect of each FX Rate, each date specified as such in the relevant Issue Terms, or, if such day is not an FX Business Day, the immediately following FX Business Day in respect of such FX Rate, provided that, if any such date (following any adjustment (if applicable) pursuant to the paragraph above) is a Disrupted Day, the Averaging Date shall be determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions).

"Averaging Reference Date" means each Initial Averaging Date and Averaging Date.

"Base Currency" means, in respect of an FX Rate, the Currency (if any) specified as such in the relevant Issue Terms.

"Base-Crossing Currency FX Rate" means either:

(a) if "ISDA Determination" is specified to be applicable in the relevant Issue Terms in respect of the Base-Crossing Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(a) the Settlement Rate Option is as specified in the relevant Issue Terms; and
(b) the Rate Calculation Date is the applicable Reference Date or Averaging Reference Date; or

(b) if "FX Price Source Determination" is specified to be applicable in the relevant Issue Terms in respect of the Base-Crossing Currency FX Rate, the exchange rate of the Base Currency into the Crossing Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Base-Crossing Currency Valuation Time on the relevant Reference Date or Averaging Reference Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Crossing Currency into the Base Currency, the Base-Crossing Currency FX Rate shall be the reciprocal number (rounded, if "Reciprocal Rounding" is specified in the relevant Issue Terms to be applicable in respect of the Base-Crossing Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate.

"Base-Crossing Currency Valuation Time" means in respect of a Base-Crossing Currency FX Rate, the time specified as such in the relevant Issue Terms or, if no time is specified as such, the Reference Time.

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"Basket" means a basket comprising the Basket Components specified in the relevant Issue Terms in the Weights specified for each Basket Component in the relevant Issue Terms.

"Basket Averaging Date" means, in respect of each Scheduled Averaging Date relating to a Basket of FX Rates:

(a) if such Scheduled Averaging Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Averaging Date; or
(b) if such Scheduled Averaging Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Averaging Dates determined in accordance with the provisions of Asset Condition 3.4 (Currency Adjustment Provisions) in respect of such Scheduled Averaging Date.

"Basket Averaging Reference Date" means each Basket Averaging Date and Basket Initial Averaging Date.

"Basket Component" means, in respect of a Basket, each of the FX Rates comprising such Basket.

"Basket Initial Averaging Date" means, in respect of the Scheduled Initial Averaging Date relating to a Basket of FX Rates:

(a) if the Scheduled Initial Averaging Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Initial Averaging Date; or
(b) if the Scheduled Initial Averaging Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Initial Averaging Dates determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions) in respect of the Scheduled Initial Averaging Date.

"Basket Initial Setting Date" means, in respect of the Scheduled Initial Setting Date relating to a Basket of FX Rates:

(a) if the Scheduled Initial Setting Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Initial Setting Date; or
(b) if the Scheduled Initial Setting Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Initial Setting Dates determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions) in respect of the Scheduled Initial Setting Date.

"Basket Observation Date" means, in respect of each Scheduled Observation Date relating to a Basket of FX Rates:

(a) if such Scheduled Observation Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Observation Date; or
(b) if such Scheduled Observation Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Observation Dates determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions) in respect of such Scheduled Observation Date.

"Basket Reference Date" means each Basket Initial Setting Date, Basket Observation Date and Basket Valuation Date.

"Basket Valuation Date" means, in respect of each Scheduled Valuation Date relating to a Basket of FX Rates:

(a) if such Scheduled Valuation Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Valuation Date; or

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(b) if such Scheduled Valuation Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Valuation Dates determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions) in respect of such Scheduled Valuation Date.

"Benchmark Obligation" means the benchmark obligation (if any) specified in the relevant Issue Terms in respect of a Reference Currency.

"Best Performing Basket Component" means, in respect of a Basket of FX Rates and any Basket Reference Date, the Basket Component with the highest FX Rate Performance in respect of the Reference Date relating to such Basket Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same highest FX Rate Performance, the Calculation Agent shall determine which Basket Component shall be the Best Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Best Performing Basket Component).

"Calculation Agent Determination" has the meaning given to it in Asset Condition 3.6(b) (FX Disruption Fallbacks).

"Coupon Barrier" means, in respect of each FX Rate or the Basket of FX Rates (as the case may be) and any Coupon Barrier Period specified under the heading "Coupon Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial FX Rate or Initial FX Basket Level) specified under the heading "Coupon Barrier" in such table adjacent to the relevant Coupon Barrier Period.

"Coupon Barrier Observation Date" means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Coupon Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 3.6 (FX Disruption Provisions) or pursuant to the definition of "Observation Date" in this Asset Condition 3.10 (Definitions).

"Coupon Barrier Observation Period" means the period specified as such in the relevant Issue Terms.

"Coupon Barrier Observation Time" means:

(a) the time(s) specified as such in the relevant Issue Terms; or
(b) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an FX Rate, all times in each Coupon Barrier Observation Date at which such FX Rate can be observed.

"Coupon Barrier Period" means each period specified as such in the relevant Issue Terms.

"Coupon Lock-in Barrier" means, in respect of each FX Rate or Basket of FX Rates (as the case may be) and any Coupon Barrier Period specified under the heading "Coupon Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial FX Rate or Initial FX Basket Level) specified under the heading "Coupon Lock-in Barrier" in such table adjacent to the relevant Coupon Barrier Period.

"Crossing-Reference Currency FX Rate" means either:

(a) if "ISDA Determination" is specified to be applicable in the relevant Issue Terms in respect of the Crossing-Reference Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(a) the Settlement Rate Option is as specified in the relevant Issue Terms; and
(b) the Rate Calculation Date is the applicable Reference Date or Averaging Reference Date; or

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(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the Crossing-Reference Currency FX Rate, the exchange rate of the Crossing Currency into the Reference Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Crossing-Reference Currency Valuation Time on the relevant Reference Date or Averaging Reference Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Reference Currency into the Crossing Currency, the Crossing-Reference Currency FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the Crossing-Reference Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate.

“Crossing-Reference Currency Valuation Time” means in respect of a Crossing-Reference Currency FX Rate, the time specified as such in the relevant Issue Terms or, if no time is specified as such, the Reference Time.

“Crossing Currency” means the currency specified as such in the relevant Issue Terms or, if no currency is so specified, U.S. Dollars.

“Cumulative Events” has the meaning given to it in Asset Condition (c) (EM Currency Provisions).

“Cumulative Longstop Date” means, in respect of any postponement by a number of days equal to the Maximum Days of Cumulative Postponement, the last day of such postponement.

“Currency” has the meaning given to it in the 1998 ISDA FX Definitions.

“Currency-Reference Dealers” has the meaning given to it in Asset Condition 3.6 (FX Disruption Provisions).

“Disrupted Day” means any day on which an FX Disruption Event occurs.

“EM Valuation Fallback Longstop Date” means, in respect of any postponement by a number of days equal to the Maximum Days of EM Valuation Fallback Postponement, the last day of such postponement.

“EM Valuation Fallback Postponement” has the meaning given to it in Asset Condition (c)(b)(b) (EM Currency Provisions).

“EM Valuation Longstop Date” means, in respect of any postponement by a number of days equal to the Maximum Days of EM Valuation Postponement, the last day of such postponement.

“EM Valuation Postponement” means the event described in Asset Condition (c)(b)(a) (EM Currency Provisions: EM Valuation Postponement) above.

“Fallback Crossing Currency” means the currency specified as such in the relevant Issue Terms or, if no currency is so specified, U.S. Dollars.

“Fallback Reference Price” has the meaning given to it in Asset Condition 3.6 (FX Disruption Provisions).

“FX Administrator/Benchmark Event” means, for a Series of Notes and an FX Benchmark, any authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register in respect of the FX Benchmark or the administrator or sponsor of the FX Benchmark has not been, or will not be, obtained or has been, or will be, rejected, refused, suspended or withdrawn by the relevant competent authority or other relevant official body, in each case with the effect that the Bank or the Calculation Agent is not, or will not be, permitted under any applicable law or regulation to use the FX Benchmark to perform its or their respective obligations under the Notes.

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"FX Administrator/Benchmark Event Date" means, for a Series of Notes and an FX Administrator/Benchmark Event, the date on which the authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register is:

(a) required under any applicable law or regulation; or
(b) rejected, refused, suspended or withdrawn, if the applicable law or regulation provides that the FX Benchmark is not permitted to be used under the Notes following rejection, refusal, suspension or withdrawal,

or, in each case, if such date occurs before the Trade Date, the Trade Date.

"FX Basket Level" has the meaning given to it in Asset Condition 3.3 (FX Basket Level).

"FX Benchmark" means in respect of a Series of Currency Linked Notes, to the extent applicable, any FX Rate, FX Price Source, Spot Rate, Settlement Rate, Settlement Rate Option, Allocation Barrier, Initial FX Rate, Coupon Barrier, Coupon Lock-in Barrier, Look-Back Cap, Look-Back Floor, Redemption Barrier, Lower Barrier, Upper Barrier, Alternative Currency FX Rate, Crossing-Alternative Currency FX Rate, Scheduled-Crossing Currency FX Rate (or, if applicable, the index, benchmark or other price source that is referred to in the FX Rate, FX Price Source, Spot Rate, Settlement Rate, Settlement Rate Option, Allocation Barrier, Initial FX Rate, Coupon Barrier, Coupon Lock-in Barrier, Look-Back Cap, Look-Back Floor, Redemption Barrier, Lower Barrier, Upper Barrier, Alternative Currency FX Rate, Crossing-Alternative Currency FX Rate, Scheduled-Crossing Currency FX Rate) and which is a measure constituting an index (or a combination of indices) under any law or regulation applicable to the Currency Linked Notes. To the extent that a Fallback Reference Price or an Alternative FX Benchmark is used, it shall be an "FX Benchmark" from the day on which it is used.

"FX Business Day" means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits in accordance with the market practice of the foreign exchange market), or but for the occurrence of an FX Disruption Event would have settled payments and been open for general business, in each of the Principal Financial Centres in respect of each FX Rate.

"FX Disruption Event" means the occurrence or existence, as determined by the Calculation Agent, of any of the following events, if specified as applicable in the relevant Issue Terms:

(a) "Benchmark Obligation Default", which means, with respect to any Benchmark Obligation, the occurrence of an event of default or other similar condition or event (however described), including, but not limited to:

(a) the failure of timely payment in full of any principal, interest or other amounts due (without giving effect to any applicable grace periods) in respect of such Benchmark Obligation;
(b) a declared moratorium, standstill, waiver, deferral, repudiation or rescheduling of any principal, interest or other amounts due in respect of such Benchmark Obligation; or
(c) the amendment or modification of the terms and conditions of payment of any principal, interest or other amounts due in respect of such Benchmark Obligation without the consent of all holders of such Benchmark Obligation.

The determination of the existence or occurrence of any default, event of default or other similar condition or event shall be made without regard to any lack or alleged lack of authority or capacity of the relevant entity to issue or enter into such Benchmark Obligation;

(b) "Price Materiality", which means the Primary Rate differs from the Secondary Rate by at least the Price Materiality Percentage;

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(c) “Currency Replacement”, which means a relevant currency ceases to exist and is replaced by a new currency in a relevant jurisdiction;

(d) “Dual Exchange Rate”, which means a relevant FX Rate splits into dual or multiple currency exchange rates;

(e) “Governmental Authority Event”, which means a Governmental Authority of a relevant jurisdiction has given public notice of its intention to impose any controls which are likely to materially affect the Bank’s ability to hedge its obligations with respect to the Currency Linked Notes or to unwind any such hedge;

(f) “Illiquidity”, which means it is or becomes or is likely to become impossible or impracticable for the Bank to obtain any currency or obtain or use an FX Rate in an appropriate amount;

(g) “Inconvertibility”, which means the occurrence of any event that makes it or is likely to make it impossible and/or impracticable for the Bank to convert one relevant currency into another through customary legal channels (including, without limitation, any event that has the direct or indirect effect of hindering, limiting or restricting convertibility by way of any delays, increased costs or discriminatory rates of exchange or any current or future restrictions on repatriation of one currency into another currency);

(h) “Non-Transferability”, which means the occurrence of any event in or affecting any relevant jurisdiction that makes it or is likely to make it impossible and/or impracticable for the Bank to deliver any relevant currency into a relevant account; and/or

(i) “Price Source Disruption”, which means it becomes impossible or impracticable to obtain an FX Rate on or in respect of a Reference Date (or, if different, the day on which rates for that Reference Date would, in the ordinary course, be published or announced by the relevant price source).

“FX Disruption Fallback” means, in respect of an FX Rate, Calculation Agent Determination, Fallback Reference Price, Currency-Reference Dealers, Other Published Sources, Postponement, Yen Calculation Agent Determination, Cross Rate Fallback, EM Valuation Postponement and EM Valuation Fallback Postponement. The applicable FX Disruption Fallback in respect of an FX Rate shall be as specified in the relevant Issue Terms, and if two or more FX Disruption Fallbacks are specified, unless otherwise provided in the relevant Issue Terms, such FX Disruption Fallbacks shall apply in the order in which they are specified, such that if the Calculation Agent determines that the FX Rate cannot be determined by applying one FX Disruption Fallback, then the next FX Disruption Fallback specified shall apply.

“FX Price Source” means, in respect of an FX Rate or a Base-Crossing Currency FX Rate or a Crossing-Reference Currency FX Rate, the price source(s) (if any) specified as such in the relevant Issue Terms for such FX Rate or, if no FX Administrator/Benchmark Event Date has occurred and the relevant rate is not published or announced by such FX Price Source at the relevant time, the successor or alternative price source or page/publication for the relevant rate as determined by the Calculation Agent in its sole and absolute discretion.

“FX Rate” means subject to Asset Condition 3.6 (FX Disruption Provisions), either:

(a) if “Cross Rate” is not specified to be applicable in the relevant Issue Terms in respect of such FX Rate:

(a) if “ISDA Determination” is specified to be applicable in the relevant Issue Terms in respect of such FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(I) the Settlement Rate Option is as specified in the relevant Issue Terms; and

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(II) the Rate Calculation Date is the applicable Reference Date or Averaging Reference Date; or

(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the FX Rate, the exchange rate of the Base Currency into the Reference Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Reference Time on the relevant Reference Date or Averaging Reference Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Reference Currency into the Base Currency, the FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate; or

(b) if “Cross Rate” is specified in the relevant Issue Terms to be applicable, in respect of such FX Rate, the rate (rounded, if “Cross Rate Rounding” is specified in the relevant Issue Terms to be applicable in respect of the FX Rate, to the Number of Cross Rate Rounding Places, with half of the relevant unit being rounded upwards) that would be achieved by converting an amount in the Base Currency into the Crossing Currency using the Base-Crossing Currency FX Rate and then converting the resultant amount from the Crossing Currency into the Reference Currency using the Crossing-Reference Currency FX Rate.

For the purposes of these Currency Linked Asset Conditions, “FX Transaction”, “Rate Calculation Date”, “Settlement Rate”, “Settlement Rate Option” and “Spot Rate” have the meanings given to them in the 1998 ISDA FX Definitions.

“FX Rate Performance” means in respect of an FX Rate and any Reference Date:

(a) if there are no Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) such FX Rate at the Reference Time on such Reference Date, divided by (b) the Initial FX Rate; or

(b) if there are Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) the arithmetic mean of such FX Rates at the Reference Time on each such Averaging Reference Date, divided by (b) the Initial FX Rate.

“FX Reference Banks” means (i) the institutions specified as such in the relevant Issue Terms; or (ii) if any of the institutions specified as such in the relevant Issue Terms have ceased to exist or quote relevant rates or prices, whether because of merger or otherwise, those institutions specified that continue to exist and quote relevant rates and prices together with such additional number of institutions selected by the Calculation Agent, as is required to increase the number of existing and quoting institutions to the number of institutions originally specified; (iii) if institutions are not specified in the relevant Issue Terms, five leading institutions in the relevant currency and foreign exchange markets selected by the Calculation Agent.

“FX Settlement Business Centre” means any additional financial centre relevant for the purposes of determining FX Settlement Days, as specified in the relevant Issue Terms.

“FX Settlement Days” means a day on which commercial banks and foreign exchange markets settle payments in London and each FX Settlement Business Centre specified in the relevant Issue Terms.

“Governmental Authority” means any de facto or de jure government (or any agency or instrumentality thereof), court, tribunal, administrative or other governmental authority or any other entity (private or

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public) charged with the regulation of the financial markets (including the central bank) of a relevant jurisdiction.

"Initial Averaging Date" means each date specified as such in the relevant Issue Terms or, if any such date is not an FX Business Day, the immediately following FX Business Day, provided that, if any such date (following any adjustment (if applicable) pursuant to the paragraph above) is a Disrupted Day, the Initial Averaging Date shall be determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions).

"Initial FX Basket Level" means:

(a) where "Look-Back" is not specified to apply, the FX Basket Level in respect of the Basket Initial Setting Date determined in accordance with Asset Condition 3.3 (FX Basket Level); or
(b) where "Look-Back" is specified to apply, the FX Basket Level determined in accordance with the provisions of Asset Condition 3.9 (Look-Back).

"Initial FX Rate" means:

(a) where "Look-Back" is not specified to apply:

(a) where the relevant Issue Terms specify that there are no Initial Averaging Dates in respect of the Initial Setting Date, the FX Rate at the Valuation Time on the Initial Setting Date; or
(b) where the relevant Issue Terms specify that there are Initial Averaging Dates in respect of the Initial Setting Date, the arithmetic mean of the FX Rates at the Valuation Time on each such Initial Averaging Date; or

(b) where "Look-Back" is specified to apply, the FX Rate determined in accordance with the provisions of Asset Condition 3.9 (Look-Back).

"Initial Setting Date" means the date specified as such in the relevant Issue Terms or, if any such date is not an FX Business Day, the immediately following FX Business Day, provided that, if any such date (following any adjustment (if applicable) pursuant to the paragraph above) is a Disrupted Day, the Initial Setting Date shall be determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions).

"Look-Back Cap" means the price, rate, level, percentage or other value (if any) specified as such in the relevant Issue Terms.

"Look-Back Floor" means the price, rate, level, percentage or other value (if any) specified as such in the relevant Issue Terms.

"Look-Back Observation Date" means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Look-Back Observation Period, subject in each case to any adjustment pursuant to Asset Condition 3.6 (FX Disruption Provisions) or pursuant to the definition of "Observation Date" in this Asset Condition 3.10 (Definitions).

"Look-Back Observation Period" means each period specified as such in the relevant Issue Terms.

"Look-Back Observation Time" means:

(a) the time(s) specified as such in the relevant Issue Terms; or
(b) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an FX Rate, all times in each Look-Back Observation Date at which such FX Rate can be observed.

"Maximum Days of Cumulative Postponement" means the number of days specified as such in the relevant Issue Terms.

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"Maximum Days of EM Valuation Fallback Postponement" means the number of days specified as such in the relevant Issue Terms.

"Maximum Days of EM Valuation Postponement" means the number of days specified as such in the relevant Issue Terms.

"Maximum Days of Unscheduled Holiday Postponement" means the number of calendar days specified as such in the relevant Issue Terms.

"Number of Extension Business Days" means, if "Maturity Date Extension" or "Payment Date Extension" is specified to be applicable in the relevant Issue Terms, the number of Business Days specified in the relevant Issue Terms, or, if none is specified:

"Number of Cross Rate Rounding Places" means the number specified as such in the relevant Issue Terms.

"Number of FX Settlement Days" means, in respect of each Reference Currency, such number or amount as is specified in the relevant Issue Terms.

"Number of Reciprocal Rounding Places" means the number specified as such in the relevant Issue Terms.

"Observation Date" means, in respect of each FX Rate:

(a) each Coupon Barrier Observation Date;

(b) each Redemption Barrier Observation Date;

(d) each Autocall Barrier Observation Date; and

(e) any other date specified as such in the relevant Issue Terms,

provided that, if any such date is not an FX Business Day, the Observation Date shall be the immediately following FX Business Day in respect of such FX Rate,

provided further that, if any such date (following any adjustment (if applicable) pursuant to the paragraph above) is a Disrupted Day, the Observation Date shall be determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions).

"Other Published Sources" has the meaning given to it in Asset Condition 3.6 (FX Disruption Provisions).

"Postponement" has the meaning given to it in Asset Condition 3.6 (FX Disruption Provisions).

"Price Materiality Percentage" means the percentage specified as such in the relevant Issue Terms.

"Primary Rate" means, in respect of each Reference Currency, the FX Rate specified as such in the relevant Issue Terms.

"Principal Financial Centre" has the meaning given to it in Asset Condition 3.11 (Principal Financial Centres).

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"Redemption Barrier" means, in respect of each FX Rate or the Basket of FX Rates (as the case may be) and any Redemption Barrier Period specified under the heading "Redemption Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial FX Rate or Initial FX Basket Level) specified under the heading "Redemption Barrier" in such table adjacent to the relevant Redemption Barrier Period.

"Redemption Barrier Observation Date" means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Redemption Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 3.6 (FX Disruption Provisions) or pursuant to the definition of "Observation Date" in this Asset Condition 3.10 (Definitions).

"Redemption Barrier Observation Period" means each period specified as such in the relevant Issue Terms.

"Redemption Barrier Observation Time" means:

(a) the time(s) specified as such in the relevant Issue Terms; or
(b) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an FX Rate, all times in each Redemption Barrier Observation Date at which such FX Rate can be observed.

"Redemption Barrier Period" means each period specified as such in the relevant Issue Terms.

"Reference Currency" means, in respect of an FX Rate, the Currency specified as such in the relevant Issue Terms.

"Reference Date" means, in respect of an FX Rate, each Initial Setting Date, Observation Date or Valuation Date, subject to adjustment in accordance with this Asset Condition 3 (Currency Linked Notes).

"Reference Time" means:

(a) in respect of any Valuation Date, Initial Setting Date, Averaging Date or Initial Averaging Date, the Valuation Time;
(b) in respect of any Coupon Barrier Observation Date, the Coupon Barrier Observation Time;
(c) in respect of any Redemption Barrier Observation Date, the Redemption Barrier Observation Time;
(d) in respect of any Autocall Barrier Observation Date, the Autocall Barrier Observation Time; and
(e) in respect of any Look-Back Observation Date, the Look-Back Observation Time.

"Scheduled Averaging Date" means an original date (following any adjustment (if applicable) pursuant to the definition of "Averaging Date") that, but for such day being a Disrupted Day, would have been an Averaging Date.

"Scheduled Averaging Reference Date" means each Scheduled Averaging Date or Scheduled Initial Averaging Date.

"Scheduled Initial Averaging Date" means an original date (following any adjustment (if applicable) pursuant to the definition of "Initial Averaging Date") that, but for such day being a Disrupted Day, would have been an Initial Averaging Date.

"Scheduled Initial Setting Date" means an original date (following any adjustment (if applicable) pursuant to the definition of "Initial Setting Date") that, but for such day being a Disrupted Day, would have been an Initial Setting Date.

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"Scheduled Observation Date" means an original date (following any adjustment (if applicable) pursuant to the definition of "Observation Date") that, but for such day being a Disrupted Day, would have been an Observation Date.

"Scheduled Reference Date" means each Scheduled Initial Setting Date, Scheduled Observation Date or Scheduled Valuation Date.

"Scheduled Valuation Date" means an original date (following any adjustment (if applicable) pursuant to the definition of "Valuation Date") that, but for such day being a Disrupted Day, would have been a Valuation Date.

"Secondary Rate" means, in respect of each Reference Currency, the FX Rate specified as such in the relevant Issue Terms.

"Unscheduled Holiday" means, in respect of a day, that such day is not an FX Business Day and the market was not aware of such fact (by means of a public announcement or reference to other publicly available information) until a time later than 9:00 a.m. local time in the relevant Principal Financial Centre two FX Business Days prior to such day.

"Unscheduled Holiday Longstop Date" means, in respect of any postponement by a number of calendar days equal to the Maximum Days of Unscheduled Holiday Postponement, the last day of such postponement.

"Valuation Date" means, in respect of each FX Rate, each date specified as such or otherwise determined as provided in the relevant Issue Terms, or, if such date is not an FX Business Day, the immediately following FX Business Day in respect of such FX Rate, provided that, if any such date (following any adjustment (if applicable) pursuant to the paragraph above) is a Disrupted Day, the Valuation Date shall be determined in accordance with the provisions of Asset Condition 3.6 (FX Disruption Provisions).

"Valuation Time" means, in respect of an FX Rate, the time specified as such in the relevant Issue Terms or, if no time is specified as such, the time selected by the Calculation Agent.

"Weight" means, in respect of each Basket Component comprising a Basket, the percentage specified as the Weight of such Basket Component in the relevant Issue Terms, provided that if "Equal Weight" is specified, the Weight in respect of each Basket Component shall be a percentage equal to 1 divided by the total number of Basket Components.

"Weighted FX Rate" means, in respect of each FX Rate, such FX Rate multiplied by its Weight.

"Worst Performing Basket Component" means, in respect of a Basket of FX Rates and any Basket Reference Date, the Basket Component with the lowest FX Rate Performance in respect of the Reference Date relating to such Basket Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same lowest FX Rate Performance on such day, the Calculation Agent shall determine which Basket Component shall be the Worst Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Worst Performing Basket Component).

"Yen Calculation Agent Determination" has the meaning given to it in Asset Condition 3.6 (FX Disruption Provisions).

3.11 Principal Financial Centres

The "Principal Financial Centre" in respect of each Currency is the financial centre or centres specified as such in the relevant Issue Terms, or if none is specified, the financial centre or centres indicated below with respect to such Currency:

AC Chapter 3: Currency Linked Asset Conditions

Currency	Principal Financial Centre(s)
Algerian Dinar	Algiers
Angolan Kwanza	Luanda
Argentine Peso	Buenos Aires
Australian Dollar	Sydney and Melbourne
Brazilian Real	Brasilia, Rio de Janeiro or São Paulo
Bulgarian Lev	Sofia
Canadian Dollar	Toronto
Chilean Peso	Santiago
Chinese Renminbi	Beijing
Colombian Peso	Bogota
Croatian Kuna	Zagreb
Czech Koruna	Prague
Danish Krone	Copenhagen
Ecuadorian Sucre	Guayaquil
Egyptian Pound	Cairo
Ghanaian Cedi	Accra
Hong Kong Dollar	Hong Kong
Hungarian Forint	Budapest
Indian Rupee	Mumbai
Indonesian Rupiah	Jakarta and Singapore
Israeli Shekel	Tel Aviv
Kazakhstan Tenge	Almaty
Kenyan Shilling	Nairobi
Korean Won	Seoul
Kuwaiti Dinar	Kuwait City
Latvian Lats	Riga
Lebanese Pound	Beirut
Lithuanian Litas	Vilnius
Malaysian Ringgit	Kuala Lumpur and Singapore
Mexican Peso	Mexico City
Moroccan Dirham	Rabat
New Zealand Dollar	Wellington and Auckland
Nigerian Naira	Lagos
Norwegian Krone	Oslo
Pakistani Rupee	Karachi
Peruvian Sol	Lima
Philippine Peso	Manila
Polish Zloty	Warsaw

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Currency	Principal Financial Centre(s)
Romanian Leu	Bucharest
Russian Ruble	Moscow
Saudi Arabian Riyal	Riyadh
Singapore Dollar	Singapore
South African Rand	Johannesburg
Sri Lankan Rupee	Colombo
Sterling	London
Swedish Krona	Stockholm
Swiss Franc	Zurich
Taiwanese Dollar	Taipei
Thai Baht	Bangkok and Singapore
Tunisian Dinar	Tunis
Turkish Lira	Ankara
Ukrainian Hryvnia	Kiev
U.S. Dollar	New York
Venezuelan Bolivar	Caracas
Vietnamese Dong	Hanoi and Singapore
Yen	Tokyo
Zambian Kwacha	Lusaka

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AC Chapter 4: Rate Linked Asset Conditions

This chapter sets out additional terms and conditions that are only applicable to Rate Linked Notes.

The following are the conditions (the “Rate Linked Asset Conditions”) that will apply to Rate Linked Notes. These Rate Linked Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms and any applicable Payout Conditions. In the case of any inconsistency between these Rate Linked Asset Conditions and the Base General Conditions, these Rate Linked Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Rate Linked Asset Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Rate Linked Asset Conditions or elsewhere in the Base Conditions applicable to the Rate Linked Notes will have the meanings given to them in the relevant Issue Terms. References in these Rate Linked Asset Conditions to “Rate Linked Notes” are to the Rate Linked Notes of one Series only, not to all Rate Linked Notes that may be issued under the Programme.

4 Rate Linked Notes

4.1 Maturity Date Extension

If the Notes are Rate Linked Redemption Notes and if “Maturity Date Extension” is specified in the relevant Issue Terms as being applicable, the Maturity Date shall be the later of:

If the relevant Maturity Date is postponed pursuant to this Asset Condition 4.1: (i) the Final Redemption Amount will be due on the relevant date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such Final Redemption Amount; (ii) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the Scheduled Maturity Date and of the postponed Maturity Date not less than three Business Days prior to such postponed Maturity Date; and (iii) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the Scheduled Maturity Date and not less than two Business Days prior to such postponed Maturity Date.

4.2 Payment Date Extension

If the Notes are (a) Rate Linked Interest Notes and “Payment Date Extension” is specified in the relevant Issue Terms as being applicable and/or (b) Rate Linked Autocall Notes and “Autocall Payment Date Extension” is specified in the relevant Issue Terms as being applicable, each Interest Payment Date shall be the later of:

(a) the date specified as such Interest Payment Date in the relevant Issue Terms (the “Scheduled Payment Date”);
(b) if the Notes are Rate Linked Interest Notes and “Payment Date Extension” is specified in the relevant Issue Terms as being applicable, the day falling the Number of Extension Business Days after the Reference Date, Basket Reference Date, final Averaging Reference Date or final Basket Averaging Reference Date, as the case may be, in respect of which the Rate of Interest is determined for such Interest Payment Date; and

AC Chapter 4: Rate Linked Asset Conditions

(c) if the Notes are Rate Linked Autocall Notes and “Autocall Payment Date Extension” is specified in the relevant Issue Terms as being applicable, the day falling five Business Days after the last Autocall Barrier Observation Date in respect of the relevant Interest Period.

If any amount is payable on an Interest Payment Date in respect of a Rate Linked Interest Note or Rate Linked Autocall Note and such Interest Payment Date is postponed pursuant to this Asset Condition 4.2, (A) such amount will be due on the Interest Payment Date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such amount; (B) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the relevant Interest Payment Date and of the relevant postponed Interest Payment Date not less than three Business Days prior to such postponed Interest Payment Date; and (C) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the relevant Interest Payment Date and not less than two Business Days prior to such postponed Interest Payment Date.

4.3 Determination of the Underlying Rate

Each Underlying Rate shall be determined in accordance with the provisions below relating to ISDA Determination, Screen Rate Determination, CMS Rate Determination or Rates Variance Determination, depending upon which is specified to be applicable the relevant Issue Terms.

(a) ISDA Determination

Where “ISDA Determination” is specified in the relevant Issue Terms as the manner in which an Underlying Rate is to be determined, such Underlying Rate in respect of any Reference Date or Averaging Reference Date shall be determined by the Calculation Agent as a rate equal to the relevant ISDA Rate. For the purposes of this Asset Condition 4.3, “ISDA Rate” for a Reference Date or Averaging Reference Date means a rate equal to the Floating Rate that would be determined by the Calculation Agent under a Swap Transaction that is governed by an ISDA Master Agreement which incorporates the ISDA Definitions and under which:

(w) the Floating Rate Option is as specified in the relevant Issue Terms;
(x) the Designated Maturity is the period specified as such in the relevant Issue Terms;
(y) the relevant Reset Date is each date specified as such in the relevant Issue Terms; and
(z) if the Floating Rate Option is an Overnight Floating Rate Option:
Compounding with Lookback is applicable if specified in the relevant Issue Terms;
Compounding with Observation Period Shift is applicable if specified in the relevant Issue Terms and, if so, Set-in-Advance is applicable if specified as such in the relevant Issue Terms;
Compounding with Lockout is applicable if specified in the relevant Issue Terms; or
OIS Compounding is applicable if specified in the relevant Issue Terms; and
in connection with the Overnight Rate Compounding Method, references in the ISDA Definitions to numbers, financial centers or other items specified in the Confirmation shall be deemed to be references to the numbers, financial centers or other items specified for such purpose in the relevant Issue Terms and references in the ISDA Definitions to “Calculation Period”, “Floating Rate Day Count Fraction”, “Period End Date”, “Termination Date” and “Effective Date” shall be deemed to be references to Business Day, the relevant Interest Accrual Period, the Day Count Fraction, the relevant

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Interest Period Date, the final Interest Period Date and the Interest Commencement Date respectively;

provided that, if no Benchmark Rate Event has occurred and the Underlying Rate cannot be determined in accordance with the foregoing provisions of this paragraph (a), the Underlying Rate shall be determined by the Calculation Agent, in consultation with the Bank, in a commercially reasonable manner. If a Benchmark Rate Event has occurred, Base General Conditions 5(1) (Benchmark Rate Event), 5(m) (Specific Provisions for Certain Benchmark Rates), 5(o) (Interim Measures) and 7(i) (Redemption Following Benchmark Rate Event) shall apply.

For the purposes of this paragraph (a), “Calculation Agent”, “Compounding with Lockout”, “Compounding with Lookback”, “Compounding with Observation Period Shift”, “Confirmation”, “Designated Maturity”, “Floating Rate”, “Floating Rate Option”, “OIS Compounding”, “Overnight Floating Rate Option”, “Overnight Rate Compounding Method”, “Reset Date” and “Swap Transaction” have the meanings given to them in the ISDA Definitions.

(b) Screen Rate Determination

(I) If “Applicable – Term Rate” is specified as the method of Screen Rate Determination in the applicable Issue Terms:

(i) the Underlying Rate in respect of any Reference Date or Averaging Reference Date shall be determined by the Calculation Agent as a rate equal to the relevant Screen Rate. For the purposes of this Asset Condition 4.3(b)(I), “Screen Rate” means, subject as provided below, either:

(A) the offered quotation; or
(B) the arithmetic mean of the offered quotations,

(expressed as a percentage rate per annum) for the Underlying Rate which appears or appear, as the case may be, on the Relevant Screen Page as at the Relevant Time on the Reference Date or Averaging Reference Date in question as determined by the Calculation Agent plus or minus (as indicated in the Final Terms) the applicable Margin (if any). If five or more of such offered quotations are available on the Relevant Screen Page, the highest (or, if there is more than one such highest quotation, one only of such quotations) and the lowest (or, if there is more than one such lowest quotation, one only of such quotations) shall be disregarded by the Calculation Agent for the purpose of determining the arithmetic mean of such offered quotations.

(ii) If no Benchmark Rate Event has occurred and if the Relevant Screen Page is not available or if paragraph (w)(A) above applies and no such offered quotation appears on the Relevant Screen Page or if paragraph (w)(B) above applies and fewer than three such offered quotations appear on the Relevant Screen Page, in each case, as at the time specified above, subject as provided below, the Calculation Agent shall request each of the Reference Banks to provide the Calculation Agent with its offered quotation (expressed as a percentage rate per annum) for the Underlying Rate as at the Relevant Time on the Reference Date or Averaging Reference Date in question. If two or more of the Reference Banks provide the Calculation Agent with such offered quotations, the Underlying Rate for such Reference Date or Averaging Reference Date shall be the arithmetic mean of such offered quotations plus or minus (as indicated in the Issue Terms) the applicable Margin (if any) as determined by the Calculation Agent. If a Benchmark Rate Event has occurred, Base General Conditions 5(1) (Benchmark Rate Event) (in which, for the purposes of this Asset Condition 4.3(b)(I), references to “Rate of Interest” shall be construed as references to “Underlying Rate”), 5(m) (Specific Provisions for Certain

AC Chapter 4: Rate Linked Asset Conditions

Benchmark Rates), 5(o) (Interim Measures) and 7(i) (Redemption Following Benchmark Rate Event) shall apply.

(ii) If paragraph (ii) above applies and the Calculation Agent determines that fewer than two Reference Banks are providing offered quotations, subject as provided below, the Underlying Rate shall be the sum of (A) the applicable Margin (if any) (which may be positive or negative, as indicated in the applicable Issue Terms) and (B) the arithmetic mean of the rates per annum (expressed as a percentage) as communicated to (and at the request of) the Calculation Agent by the Reference Banks or any two or more of them, at which such banks were offered, at the Relevant Time on the relevant Reference Date or Averaging Reference Date, deposits in the Underlying Rate Currency for a period equal to that which would have been used for the relevant Underlying Rate by leading banks in the Relevant Interbank Market or, if fewer than two of the Reference Banks provide the Calculation Agent with such offered rates, the offered rate for deposits in the Underlying Rate Currency for a period equal to that which would have been used for the Underlying Rate, or the arithmetic mean of the offered rates for deposits in the Underlying Rate Currency for a period equal to that which would have been used for the Underlying Rate at which, at the Relevant Time on the relevant Reference Date or Averaging Reference Date, any one or more banks (which bank or banks is or are in the opinion of the Bank suitable for such purpose) informs the Calculation Agent it is quoting to leading banks in the Relevant Interbank Market, provided that, if the Underlying Rate cannot be determined in accordance with the foregoing provisions of this paragraph (iii), the Underlying Rate shall be determined by the Calculation Agent, in consultation with the Bank, in a commercially reasonable manner.

(II) If “Applicable – Overnight Rate” is specified as the method of Screen Rate Determination in the applicable Issue Terms:

(i) where the Calculation Method in respect of the relevant Series of Rate Linked Notes is specified in the applicable Issue Terms as being “Compounded Daily”, the Underlying Rate in respect of any Reference Date or Averaging Reference Date will be the Compounded Daily Reference Rate where:

“Compounded Daily Reference Rate” means, with respect to the Reference Period in relation to such Reference Date or Averaging Reference Date, the rate of return of a daily compound interest investment in the Specified Currency (with the applicable Reference Rate (as indicated in the applicable Issue Terms and further provided for below) as the reference rate for the calculation of rate of return) and will be calculated by the Calculation Agent (or such other party responsible for the calculation of the Underlying Rate, as specified in the applicable Issue Terms) on the Underlying Rate Determination Date:

(i) as specified in the applicable Issue Terms; or
(ii) (if “Index Determination” is specified as being applicable in the applicable Issue Terms) in accordance with the following formula, and the resulting percentage will be rounded if necessary to the Relevant Decimal Place:

$$
\left(\frac{\text{Compounded Index}}{\text{Compounded Index}} - \frac{\text{END}}{\text{START}} - 1\right) X \frac{\text{Numerator}}{d}
$$

where:

“Compounded Index END” means the Compounded Index Value on the last day of the relevant Index Observation Period;

AC Chapter 4: Rate Linked Asset Conditions

"Compounded Index START" means the Compounded Index Value on the first day of the relevant Index Observation Period;

"Compounded Index Value" shall mean any of (i) SONIA Compounded Index Value (if "SONIA Compounded Index" is specified as applicable in the applicable Issue Terms); (ii) SOFR Compounded Index Value (if "SOFR Compounded Index" is specified as applicable in the applicable Issue Terms); or (iii) SARON Compounded Index Value (if "SARON Compounded Index" is specified in as applicable in the applicable Issue Terms);

"d" is the number of calendar days in the relevant Index Observation Period;

"Index Business Days" means, in the case of the SONIA Compounded Index, London Banking Days, in the case of the SOFR Compounded Index, U.S. Government Securities Business Days, and in the case of SARON Compounded Index, Zurich Banking Days;

"Index Observation Period" means, in respect of an Interest Accrual Period, the period from and including the date falling the Relevant Number of Index Business Days prior to the first day of the relevant Interest Accrual Period and ending on, but excluding, the date which is the Relevant Number of Index Business Days prior to (i) the Interest Period Date for such Interest Accrual Period, or (ii) (if applicable) the date falling the Relevant Number of Index Business Days prior to such earlier date, if any, on which the Notes become due and payable;

"London Banking Day" means any day on which commercial banks are open for general business (including dealing in foreign exchange and foreign currency deposits) in London;

"Numerator" shall, unless otherwise specified in the applicable Issue Terms, be 365 in the case of the SONIA Compounded Index and 360 in the case of the SOFR Compounded Index and SARON Compounded Index;

"Relevant Decimal Place" shall, unless otherwise specified in the applicable Issue Terms, be the fifth decimal place in the case of the SONIA Compounded Index, the sixth decimal place in the case of SARON Compounded Index and the seventh decimal place in the case of the SOFR Compounded Index, in each case rounded up or down, if necessary (with 0.000005 or, as the case may be, 0.00000005 being rounded upwards);

"Relevant Number" shall, unless otherwise specified in the applicable Issue Terms, be five in the case of the SONIA Compounded Index and SARON Compounded Index and two in the case of the SOFR Compounded Index;

"SARON Compounded Index" means the index known as the SARON Index administered by the SARON Administrator (or any successor administrator thereof);

"SARON Compounded Index Value" means, in relation to any Zurich Banking Day and subject as provided below, the value of SARON Compounded Index as published on the SIX Group's Website at 6:00 p.m. (Zurich time) on such Zurich Banking Day;

"SOFR Administrator's Website" means the website of the Federal Reserve Bank of New York, or any successor source;

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"SOFR Compounded Index" means the index known as the SOFR Index administered by the Federal Reserve Bank of New York (or any successor administrator thereof);

"SOFR Compounded Index Value" means, in relation to any U.S. Government Securities Business Day and subject as provided below, the value of the SOFR Compounded Index as published on the SOFR Administrator's Website at 3:00 p.m. (New York City time) on such U.S. Government Securities Business Day;

"SONIA Compounded Index" means the index known as the SONIA Compounded Index administered by the Bank of England (or any successor administrator thereof);

"SONIA Compounded Index Value" means, in relation to any London Banking Day and subject as provided below, the value of the SONIA Compounded Index as published by authorised distributors on the Relevant Screen Page on such London Banking Day or, if the value of the SONIA Compounded Index cannot be obtained from the Relevant Screen Page, as published on the Bank of England's website at www.bankofengland.co.uk/boeapps/database/ (or such other page or website as may replace such page for the purposes of publishing the SONIA Compounded Index) in respect of such London Banking Day; and

"Zurich Banking Day" means a day on which banks are open in the City of Zurich for the settlement of payments and of foreign exchange transactions.

Notwithstanding the definitions of SOFR Compounded Index, SONIA Compounded Index and SARON Compounded Index above, if:

(where SONIA Compounded Index applies to the Notes) an Administrator/Benchmark Event has not occurred in respect of SONIA;
(where SOFR Compounded Index applies to the Notes) a Benchmark Transition Event and its related Benchmark Replacement Date has not occurred in respect of SOFR; or
(where SARON Compounded Index applies to the Notes) a SARON Benchmark Event has not occurred in respect of SARON,

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shall be deemed to be the Numerator, (v) the Observation Shift Period (and thus, 'p') shall be deemed to be the Relevant Number and (vi) in the case of SONIA, the Relevant Screen Page will be determined by the Bank in consultation with the Calculation Agent.

If, where SONIA Compounded Index applies to the Notes, an Administrator/Benchmark Event has occurred in respect of SONIA, the provisions of Base General Condition 5(1)(A) (Benchmark Rate Event) shall apply mutatis mutandis in respect of this Asset Condition 4.3(b)(II).

If, where SOFR Compounded Index applies to the Notes, a Benchmark Transition Event and its related Benchmark Replacement Date have occurred in respect of SOFR, the provisions of Base General Condition 5(1)(B) (Benchmark Rate Event) shall apply mutatis mutandis in respect of this Asset Condition 4.3(b)(II).

If, where SARON Compounded Index applies to the Notes, and a SARON Benchmark Event has occurred in respect of SARON, the provisions of Base General Condition 5(1)(B) (Benchmark Rate Event) shall apply mutatis mutandis in respect of this Asset Condition 4.3(b)(II); or

(iii) (if "Index Determination" is specified as being not applicable in the applicable Issue Terms or "Index Determination" is specified as being applicable in the applicable Issue Terms but such screen rate or index is not available at the relevant time on the Underlying Rate Determination Date), as follows, and the resulting percentage will be rounded if necessary to the fifth decimal place, with 0.000005 being rounded upwards:

$$
\left[ \prod_{i=1}^{d_{o}} \left(1 + \frac{r_{i} \times n_{i}}{D}\right) - 1 \right] \times \frac{D}{d}
$$

where:

"D" is the number specified in the applicable Issue Terms;

"d" is the number of calendar days in:

a. where "Lag" or "Lock-out" is specified as the Observation Method in the applicable Issue Terms, the relevant Reference Period; or
b. where "Observation Shift" is specified as the Observation Method in the relevant Issue Terms, the relevant Reference Observation Period;

"d" means:

a. where "Lag" or "Lock-out" is specified as the Observation Method in the relevant Issue Terms, the number of Business Days in the relevant Reference Period; or
b. where "Observation Shift" is specified as the Observation Method in the relevant Final Terms, the number of Business Days in the relevant Reference Observation Period;

"I" is a series of whole numbers from one to $d_{o}$, each representing the relevant Business Day in chronological order from, and including, the first Business Day in:

AC Chapter 4: Rate Linked Asset Conditions

a. where “Lag” or “Lock-out” is specified as the Observation Method in the relevant Issue Terms, the relevant Reference Period; or
b. where “Observation Shift” is specified as the Observation Method in the relevant Final Terms, the relevant Reference Observation Period;

“Business Day” or “BD”, in this Asset Condition 4.3(b)(II) has the meaning set out in Base General Condition 2, save that where “SOFR” is specified as the Reference Rate, it means a U.S. Government Securities Business Day;

“n”, for any Business Day “i”, means the number of calendar days from and including such Business Day “i” up to but excluding the following Business Day;

“Reference Observation Period” means, in respect of the relevant Reference Period, the period from and including the date falling “p” Business Days prior to the first day of the relevant Reference Period and ending on, but excluding, the date which is “p” Business Days prior to the last day of such Reference Period (or the date falling “p” Business Days prior to such earlier date, if any, on which the Notes become due and payable);

“p” means:

a. where “Lag” is specified as the Observation Method in the applicable Issue Terms, the number of Business Days included in the Lag Look-Back Period specified in the applicable Issue Terms (or, if no such number is specified five Business Days); or
b. where “Observation Shift” is specified as the Observation Method in the applicable Issue Terms, the number of Business Days specified as the Observation Look-back Period in the relevant Issue Terms (or, if no such number is specified, five Business Days);

“r” means in respect of the relevant Reference Rate:

a. where in the applicable Issue Terms “Lag” or “Observation Shift” is specified as the Observation Method, in respect of any Business Day, the relevant Reference Rate in respect of such Business Day;
b. where in the applicable Issue Terms “Lock-out” is specified as the Observation Method:

in respect of any Business Day “i” that is an Underlying Rate Reference Day, the relevant Reference Rate in respect of the Business Day immediately preceding such Underlying Rate Reference Day, and
in respect of any Business Day “i” that is not an Underlying Rate Reference Day (being a Business Day in the Lock-out Period), the relevant Reference Rate in respect of the Business Day immediately preceding the last Underlying Rate Reference Day of the relevant Reference Period (such last Underlying Rate Reference Day coinciding with the Underlying Rate Determination Date); and

“r” means the applicable Reference Rate as set out in the definition of “r” above for:

a. where “Lag” is specified as the Observation Method in the applicable Issue Terms, the Business Day falling “p” Business Days prior to the relevant Business Day “i”; or
b. where “Lock-out” or “Observation Shift” is specified as the Observation Method in the applicable Issue Terms, the relevant Business Day “i”.

AC Chapter 4: Rate Linked Asset Conditions

(ii) where the Calculation Method in respect of the relevant Series of Rate Linked Notes is specified in the applicable Issue Terms as being “Weighted Average”, the Underlying Rate in respect of any Reference Date or Averaging Reference Date will be the Weighted Average Reference Rate (as defined below) and will be calculated by the Calculation Agent (or such other party responsible for the calculation of the Underlying Rate, as specified in the applicable Issue Terms) on the Underlying Rate Determination Date and the resulting percentage will be rounded if necessary to the fifth decimal place, with 0.000005 being rounded upwards, where:

“Weighted Average Reference Rate” means:

a. where “Lag” is specified as the Observation Method in the applicable Issue Terms, the arithmetic mean of the Reference Rate in effect for each calendar day during the relevant Reference Observation Period, calculated by multiplying each relevant Reference Rate by the number of calendar days such rate is in effect, determining the sum of such products and dividing such sum by the number of calendar days in the relevant Reference Observation Period. For these purposes the Reference Rate in effect for any calendar day which is not a Business Day shall be deemed to be the Reference Rate in effect for the Business Day immediately preceding such calendar day; and

b. where “Lock-out” is specified as the Observation Method in the applicable Issue Terms, the arithmetic mean of the Reference Rate in effect for each calendar day during the relevant Reference Period, calculated by multiplying each relevant Reference Rate by the number of days such rate is in effect, determining the sum of such products and dividing such sum by the number of calendar days in the relevant Reference Period, provided however that for any calendar day of such Reference Period falling in the Reference Lock-out Period, the relevant Reference Rate for each day during that Reference Lock-out Period will be deemed to be the Reference Rate in effect for the Underlying Rate Reference Day immediately preceding the first day of such Reference Lock-out Period. For these purposes the Reference Rate in effect for any calendar day which is not a Business Day shall, subject to the proviso above, be deemed to be the Reference Rate in effect for the Business Day immediately preceding such calendar day.

(iii) subject to Base General Condition 5(l) (Benchmark Rate Event) (in which, for the purposes of this Asset Condition 4.3(b)(II), references to “Rate of Interest” shall be construed as references to “Underlying Rate”), where “SONIA” is specified as the relevant Reference Rate in the applicable Issue Terms, if, in respect of any Business Day, SONIA is not available on the Relevant Screen Page or has not otherwise been published by the relevant authorised distributors, such Reference Rate shall be:

(i) the Bank of England’s Bank Rate (the “Bank Rate”) prevailing at close of business on the relevant Business Day; plus (ii) the mean of the spread of SONIA to the Bank Rate over the previous five days on which SONIA has been published, excluding the highest spread (or, if there is more than one highest spread, one only of those highest spreads) and lowest spread (or, if there is more than one lowest spread, one only of those lowest spreads) to the Bank Rate, or
if such Bank Rate is not available, the SONIA rate published on the Relevant Screen Page (or otherwise published by the relevant authorised distributors) for the first preceding Business Day on which the SONIA rate was published on the Relevant Screen Page (or otherwise published by the relevant authorised distributors), and

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in each case, “r” shall be interpreted accordingly.

(iv) subject to Base General Condition 5(l) (Benchmark Rate Event) (in which, for the purposes of this Asset Condition 4.3(b)(II), references to “Rate of Interest” shall be construed as references to “Underlying Rate”), where “SOFR” is specified as the relevant Reference Rate in the applicable Issue Terms, if, in respect of any Business Day, the Reference Rate is not available, such Reference Rate shall be the SOFR for the first preceding Business Day on which the SOFR was published on the New York Fed’s Website, and “r” shall be interpreted accordingly.

(vii) In the event that the Underlying Rate cannot be determined in accordance with the foregoing provisions, but without prejudice to Base General Condition 5(l) (Benchmark Rate Event) (in which, for the purposes of this Asset Condition 4.3(b)(II), references to “Rate of Interest” shall be construed as references to “Underlying Rate”), the Underlying Rate shall be (i) that determined as at the last preceding Underlying Rate Determination Date or (ii) if there is no such preceding Underlying Rate Determination Date, the Specified Underlying Rate.

If the relevant Series of Notes become due and payable in accordance with Base General Condition 11 (Events of Default and Enforcement), the final Underlying Rate Determination Date shall, notwithstanding any Underlying Rate Determination Date specified in the applicable Issue Terms, be deemed to be the date on which such Notes became due and payable and the Underlying Rate on such Notes shall, for so long as any such Note remains outstanding, be that determined on such date and as if (solely for the purpose of such interest determination) the relevant Interest Period had been shortened accordingly.

(x) Where “CMS Rate Determination” is specified in the relevant Issue Terms as the manner in which an Underlying Rate is to be determined, such Underlying Rate in respect of any Reference Date or Averaging Reference Date will, subject as provided below, be the annual swap rate or semi-annual swap rate, as the case may be (the “CMS Rate”), for swap transactions in the CMS Currency with a maturity of the CMS Designated Maturity, expressed as a percentage, which

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appears on the CMS Screen Page as of the CMS Reference Time on the CMS Determination Date.

(y) If no Benchmark Rate Event has occurred and if the CMS Screen Page is not available or if the relevant swap rate does not appear on the CMS Screen Page as at the CMS Reference Time on the CMS Determination Date, the Calculation Agent shall request each of the CMS Reference Banks to provide the Calculation Agent with its mid-market swap rate quotation (expressed as a percentage) at approximately the CMS Reference Time on the CMS Determination Date in question. For this purpose, the mid-market swap rate means the arithmetic mean of the bid and offered rates for the annual or, as the case may be, semi-annual fixed leg, calculated on a 30/360 day count fraction basis, of a fixed-for-floating CMS Currency interest rate swap with a term equal to the CMS Designated Maturity commencing on the Reference Date or Averaging Reference Date in question with an acknowledged dealer of good credit in the swap market for an amount that is representative of transactions in the relevant market at the relevant time, where the floating leg is equivalent to the floating rate on the basis of which the relevant CMS Rate is determined. If at least three quotations are received, the Underlying Rate for such Reference Date or Averaging Reference Date shall be the arithmetic mean of such offered quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest), as determined by the Calculation Agent. If a Benchmark Rate Event has occurred, Base General Conditions 5(l) (Benchmark Rate Event), 5(m) (Specific Provisions for Certain Benchmark Rates), 5(o) (Interim Measures) and 7(i) (Redemption Following Benchmark Rate Event) shall apply.

(z) If an Underlying Rate cannot be determined in accordance with the foregoing provisions of paragraph (y) above, such Underlying Rate shall be determined by the Calculation Agent, in consultation with the Bank, in a commercially reasonable manner.

(d) Rates Variance Determination

Where "Rates Variance Determination" is specified in the relevant Issue Terms as the manner in which an Underlying Rate is to be determined, the Underlying Rate in respect of any Reference Date or Averaging Reference Date shall be determined by the Calculation Agent as a rate equal to the Variable Rate. For the purposes of this Asset Condition 4.3, "Variable Rate" means the rate equal to:

$$
Underlying\ Rate_1 - Underlying\ Rate_2,
$$

provided that, if no Benchmark Rate Event has occurred and the Underlying Rate cannot be determined in accordance with the foregoing provisions of this Asset Condition 4.3 (Determination of the Underlying Rate), the Underlying Rate shall be determined by the Calculation Agent in consultation with the Bank. If a Benchmark Rate Event has occurred, Base General Conditions 5(l) (Benchmark Rate Event), 5(m) (Specific Provisions for Certain Benchmark Rates), 5(o) (Interim Measures) and 7(i) (Redemption Following Benchmark Rate Event) shall apply.

4.4 Underlying Rate Basket Level

Where the Rate Linked Notes relate to a Basket of Underlying Rates, the Calculation Agent shall calculate the level of the Basket of Underlying Rates (the "Underlying Rate Basket Level") in respect of each Reference Date as follows:

(a) if "Weighted Average" is specified as applicable in the relevant Issue Terms, and:

(i) there are no Averaging Reference Dates in respect of such Reference Date, the Aggregate Weighted Underlying Rate in respect of such Reference Date; or
(ii) there are Averaging Reference Dates in respect of such Reference Date, the arithmetic mean of the Aggregate Weighted Underlying Rates in respect of each such Averaging Reference Date; or

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(b) if “Best-Of” is specified as applicable in the relevant Issue Terms, and:

(i) there are no Averaging Reference Dates in respect of such Reference Date, the Underlying Rate of the Best Performing Basket Component as at the Reference Time on such Reference Date; or

(ii) there are Averaging Reference Dates in respect of such Reference Date, the arithmetic mean of the Underlying Rates of the Best Performing Basket Component as at the Reference Time on each of such Averaging Reference Dates; or

(i) there are no Averaging Reference Dates in respect of such Reference Date, the Underlying Rate of the Worst Performing Basket Component as at the Reference Time on such Reference Date; or

(ii) there are Averaging Reference Dates in respect of such Reference Date, the arithmetic mean of the Underlying Rates of the Worst Performing Basket Component as at the Reference Time on each of the relevant Averaging Reference Dates.

4.5 Barrier Events

(a) Coupon Barrier Event

A “Coupon Barrier Event” shall be deemed to occur if the Calculation Agent determines that the Underlying Rate or the Underlying Rate Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Barrier on such Coupon Barrier Observation Date.

(b) Redemption Barrier Event

A “Redemption Barrier Event” shall be deemed to occur if the Calculation Agent determines that the Underlying Rate or Underlying Rate Basket Level as of any Redemption Barrier Observation Time on any Redemption Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Redemption Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than or equal to”), as the case may be, the Redemption Barrier on such Redemption Barrier Observation Date.

(c) Coupon Lock-in Event

A “Coupon Lock-in Event” shall be deemed to occur if the Calculation Agent determines that the Underlying Rate or Underlying Rate Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Lock-in Barrier on such Coupon Barrier Observation Date.

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(d) Autocall Barrier Event

An “Autocall Barrier Event” shall be deemed to occur in respect of an Underlying Rate or Basket of Underlying Rates if the Calculation Agent determines that the Underlying Rate or the Underlying Rate Basket Level, as the case may be, as of any Autocall Barrier Observation Time on any Autocall Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Autocall Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than or equal to”), as the case may be, the corresponding Autocall Barrier on such Autocall Barrier Observation Date.

4.6 Look-Back

If “Look-Back Provisions” is specified to be applicable in the relevant Issue Terms, the Calculation Agent shall determine the Underlying Rate or Underlying Rate Basket Level (as the case may be) as at the Look-Back Observation Time on each Look-Back Observation Date, and the Initial Underlying Rate or Initial Underlying Rate Basket Level (as the case may be) shall be:

(a) if “Look-Back – Lowest” is specified to be applicable in the relevant Issue Terms, the lowest Underlying Rate or Underlying Rate Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap; or
(b) if “Look-Back – Highest” is specified to be applicable in the relevant Issue Terms, the highest Underlying Rate or Underlying Rate Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap.

4.7 Definitions

“Aggregate Weighted Underlying Rate” means, in respect of a Reference Date or Averaging Reference Date, the sum of the Weighted Underlying Rates of all the Basket Components in respect of such Reference Date or Averaging Reference Date.

“Autocall Barrier” means, in respect of each Underlying Rate or Basket of Underlying Rates (as the case may be) and any Autocall Barrier Period specified under the heading “Autocall Barrier Period” in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Underlying Rate or Initial Underlying Rate Basket Level) specified under the heading “Autocall Barrier” in such table adjacent to the relevant Autocall Barrier Period.

“Autocall Barrier Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Autocall Barrier Observation Period, subject in each case to any adjustment pursuant to the definition of “Observation Date” in this Asset Condition 4.7 (Definitions).

“Autocall Barrier Observation Period” means the period specified as such in the relevant Issue Terms.

“Autocall Barrier Observation Time” means:

(a) the time specified as such in the relevant Issue Terms, or if no time is specified:

(a) in respect of an Underlying Rate for which “ISDA Determination” is specified to be applicable in the relevant Issue Terms, the time determined in accordance with the relevant definition of the Floating Rate Option in the ISDA Definitions;
(b) in respect of an Underlying Rate for which “Screen Rate Determination” is specified to be applicable in the relevant Issue Terms, the Relevant Time; or

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(c) in respect of an Underlying Rate for which “CMS Rate Determination” is specified to be applicable in the relevant Issue Terms, the CMS Reference Time.

(b) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of an Underlying Rate, all times in each Autocall Barrier Observation Date at which such Underlying Rate can be observed.

“Autocall Barrier Period” means each period specified as such in the relevant Issue Terms.

“Averaging Date” means, in respect of each Underlying Rate, each date specified as such in the relevant Issue Terms, or if such day is not an Underlying Rate Business Day, the immediately following Underlying Rate Business Day for such Underlying Rate.

“Averaging Reference Date” means each Initial Averaging Date and Averaging Date.

“Basket” means a basket comprising the Basket Components specified in the relevant Issue Terms in the Weights specified for each Basket Component in the relevant Issue Terms.

“Basket Component” means, in respect of a Basket, each Underlying Rate comprising such Basket.

“Best Performing Basket Component” means, in respect of a Basket of Underlying Rates and any Reference Date, the Basket Component with the highest Underlying Rate Performance in respect of such Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same highest Underlying Rate Performance, the Calculation Agent shall determine which Basket Component shall be the Best Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Best Performing Basket Component).

“CMS Business Centre” means the financial centre(s) specified as such in the relevant Issue Terms or, if none are so specified, (i) if the CMS Currency is GBP, London; (ii) if the CMS Currency is USD, U.S. Government Securities Business Day; (iii) if the CMS Currency is EUR, any financial centre(s) in which the TARGET System is operating; or (iv) if the CMS Currency is any other currency, London.

“CMS Business Day” means a day (i) on which commercial banks and foreign exchange markets settle payments in each CMS Business Centre, and (ii) if “U.S. Government Securities Business Day” is a CMS Business Centre, which is a U.S. Government Securities Business Day.

“CMS Currency” means the currency specified as such in the relevant Issue Terms.

“CMS Designated Maturity” means the maturity specified as such in the relevant Issue Terms.

“CMS Determination Date” means, in respect of a Reference Date or Averaging Reference Date, the date specified as such in the relevant Issue Terms.

“CMS Rate” has the meaning given to it in Asset Condition 4.3(c) (CMS Rate Determination).

“CMS Reference Banks” means the CMS Reference Banks Number of leading swap dealers in the CMS Relevant Interbank Market selected by the Calculation Agent.

“CMS Reference Banks Number” means the number specified as such in the relevant Issue Terms, or if no number is so specified, five.

“CMS Reference Time” means the time specified as such in the relevant Issue Terms or, if no time is so specified: (i) if the CMS Currency is GBP, 11:00 a.m. London time; (ii) if the CMS Currency is USD, 11:00 a.m. New York time; or (iii) if the CMS Currency is EUR, 11:00 a.m. Brussels time.

“CMS Relevant Interbank Market” means the interbank market in the jurisdiction specified in the relevant Issue Terms or, if no jurisdiction is so specified, (i) if the CMS Currency is euro, the Euro-zone interbank market, (ii) if the CMS Currency is U.S. dollars, New York City or (iii) otherwise, London.

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"CMS Screen Page" means the screen page specified as such in the relevant Issue Terms, or any successor page as determined by the Calculation Agent.

"Coupon Barrier" means, in respect of each Underlying Rate or the Basket of Underlying Rates (as the case may be) and any Coupon Barrier Period specified under the heading "Coupon Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Underlying Rate or Initial Underlying Rate Basket Level) specified under the heading "Coupon Barrier" in such table adjacent to the relevant Coupon Barrier Period.

"Coupon Barrier Observation Date" means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Coupon Barrier Observation Period, subject in each case to any adjustment pursuant to the definition of "Observation Date" in this Asset Condition 4.7 (Definitions).

"Coupon Barrier Observation Period" means the period specified as such in the relevant Issue Terms.

"Coupon Barrier Observation Time" means:

(a) the time specified as such in the relevant Issue Terms, or if no time is specified:

(b) in respect of an Underlying Rate for which "Screen Rate Determination" is specified to be applicable in the relevant Issue Terms, the Relevant Time; or

(c) in respect of an Underlying Rate for which "CMS Rate Determination" is specified to be applicable in the relevant Issue Terms, the CMS Reference Time.

(b) if the time is specified as "Intraday" in the relevant Issue Terms, in respect of an Underlying Rate, all times in each Coupon Barrier Observation Date at which such Underlying Rate can be observed.

"Coupon Lock-in Barrier" means, in respect of each Underlying Rate or Basket of Underlying Rates (as the case may be) and any Coupon Barrier Period specified under the heading "Coupon Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Underlying Rate or Initial Underlying Rate Basket Level) specified under the heading "Coupon Lock-in Barrier" in such table adjacent to the relevant Coupon Barrier Period.

"Initial Averaging Date" means, in respect of each Underlying Rate, each date specified as such in the relevant Issue Terms, or if such day is not an Underlying Rate Business Day, the immediately following Underlying Rate Business Day for such Underlying Rate.

"Initial Setting Date" means, in respect of each Underlying Rate, the date specified as such in the relevant Issue Terms, or if such day is not an Underlying Rate Business Day, the immediately following Underlying Rate Business Day for such Underlying Rate.

"Initial Underlying Rate Basket Level" means:

(a) where "Look-Back" is not specified to apply, the Underlying Rate Basket Level in respect of the Basket Initial Setting Date determined in accordance with Asset Condition 4.4 (Underlying Rate Basket Level); or

(b) where "Look-Back" is specified to apply, the Underlying Rate Basket Level determined in accordance with the provisions of Asset Condition 4.6 (Look-Back).

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"Initial Underlying Rate" means:

(a) where "Look-Back" is not specified to apply:

(a) where the relevant Issue Terms specify that there are no Initial Averaging Dates in respect of the Initial Setting Date, the Underlying Rate at the Valuation Time on the Initial Setting Date; or
(b) where the relevant Issue Terms specify that there are Initial Averaging Dates in respect of the Initial Setting Date, the arithmetic mean of the Underlying Rate at the Valuation Time on each such Initial Averaging Date; or

(b) where "Look-Back" is specified to apply, the Underlying Rate determined in accordance with the provisions of Asset Condition 4.6 (Look-Back).

"ISDA Definitions" means (i) unless otherwise specified in the relevant Issue Terms or if "2006" is specified in the relevant Issue Terms, the 2006 ISDA Definitions, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes, as amended and supplemented up to and including the Issue Date for the first Tranche of the Notes; or (ii) if "2021" is specified in the relevant Issue Terms, the latest version of the 2021 ISDA Interest Rate Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes as at the Issue Date for the first Tranche of the Notes; or (iii) as otherwise specified in the relevant Issue Terms.

"ISDA Master Agreement" means the 1992 ISDA Master Agreement or the 2002 ISDA Master Agreement, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes, as amended and supplemented up to and including the Issue Date for the first Tranche of the Notes.

"ISDA Rate" has the meaning given to it in Asset Condition 4.3(a) (ISDA Determination).

"Look-Back Cap" means the price, rate, level, percentage or other value (if any) specified as such in the relevant Issue Terms.

"Look-Back Floor" means the price, rate, level, percentage or other value (if any) specified as such in the relevant Issue Terms.

"Look-Back Observation Date" means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Look-Back Observation Period, subject in each case to any adjustment pursuant to the definition of "Observation Date" in this Asset Condition 4.7 (Definitions).

"Look-Back Observation Period" means each period specified as such in the relevant Issue Terms.

"Look-Back Observation Time" means:

(a) the time specified as such in the relevant Issue Terms, or if no time is specified:

(a) in respect of an Underlying Rate for which "ISDA Determination" is specified to be applicable in the relevant Issue Terms, the time determined in accordance with the relevant definition of the Floating Rate Option in the ISDA Definitions;
(b) in respect of an Underlying Rate for which "Screen Rate Determination" is specified to be applicable in the relevant Issue Terms, the Relevant Time; or
(c) in respect of an Underlying Rate for which "CMS Rate Determination" is specified to be applicable in the relevant Issue Terms, the CMS Reference Time.

AC Chapter 4: Rate Linked Asset Conditions

(b) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of an Underlying Rate, all times in each Look-Back Observation Date at which such Underlying Rate can be observed.

“Observation Date” means, in respect of each Underlying Rate:

(a) each Coupon Barrier Observation Date;

(b) each Redemption Barrier Observation Date;

(d) each Autocall Barrier Observation Date; and

(e) any other date specified as such in the relevant Issue Terms,

provided that, if any such date is not an Underlying Rate Business Day, the Observation Date shall be the immediately following Underlying Rate Business Day in respect of such Underlying Rate.

“Redemption Barrier” means, in respect of each Underlying Rate or the Basket of Underlying Rates (as the case may be) and any Redemption Barrier Period specified under the heading “Redemption Barrier Period” in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Underlying Rate or Initial Underlying Rate Basket Level) specified under the heading “Redemption Barrier” in such table adjacent to the relevant Redemption Barrier Period.

“Redemption Barrier Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Redemption Barrier Observation Period, subject in each case to any adjustment pursuant to the definition of “Observation Date” in this Asset Condition 4.7 (Definitions).

“Redemption Barrier Observation Period” means the period specified as such in the relevant Issue Terms.

“Redemption Barrier Observation Time” means:

(a) the time specified as such in the relevant Issue Terms, or if no time is specified:

(b) in respect of an Underlying Rate for which “Screen Rate Determination” is specified to be applicable in the relevant Issue Terms, the Relevant Time; or

(c) in respect of an Underlying Rate for which “CMS Rate Determination” is specified to be applicable in the relevant Issue Terms, the CMS Reference Time.

(b) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of an Underlying Rate, all times in each Redemption Barrier Observation Date at which such Underlying Rate can be observed.

“Redemption Barrier Period” means each period specified as such in the relevant Issue Terms.

“Reference Banks” means the entities specified as such in the Issue Terms or, if none are so specified, (i) in the case of a determination of EURIBOR, the principal Eurozone office of four major banks in the Eurozone interbank market; (ii) in the case of a determination of BBSW, the principal Sydney office of the five financial institutions authorized to quote on the BBSW Page; (iii) in the case of a determination of CDOR, the principal Toronto office of four major Canadian Schedule 1 chartered banks; (iv) in the case of a determination of HIBOR, the principal Hong Kong office of four major banks in the Hong Kong interbank market; (v) in the case of a determination of NIBOR, the principal Oslo office of four

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major banks in the Oslo interbank market; (vi) in the case of a determination of SIBOR, the principal Singapore office of four major banks in the Singapore interbank market; (vii) in the case of a determination of STIBOR, the principal Stockholm office of four major banks in the Stockholm interbank market; or (viii) in the case of a determination of TIBOR, the principal Tokyo office of four major banks in the Tokyo interbank market, in each case selected by the Calculation Agent in consultation with the Bank or as specified in the relevant Issue Terms.

"Reference Date" means, in respect of an Underlying Rate, each Initial Setting Date, Observation Date or Valuation Date, subject to adjustment in accordance with this Asset Condition 4 (Rate Linked Notes).

"Reference Lock-out Period" means the period from, and including, the day following the Underlying Rate Determination Date to, but excluding, the corresponding Reference Date or Averaging Reference Date.

"Reference Observation Period" has the meaning given to it in Asset Condition 4.3(b) (Screen Rate Determination).

"Reference Period" means in relation to a Reference Date or an Averaging Reference Date, the period comprising the Specified Number of calendar days or the Specified Number of calendar months, as specified in the Issue Terms, ending on and excluding such Reference Date or Averaging Reference Date.

"Reference Time" means:

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"Relevant Interbank Market" means the market specified as such in the Issue Terms or, if none are so specified, (i) if the Reference Rate is SONIA, the London interbank market; (ii) if the Reference Rate is EURIBOR or €STR, the Eurozone interbank market; (iii) if the Reference Rate is BBSW, the Sydney interbank market; (iv) if the Reference Rate is CDOR, the Toronto interbank market; (v) if the Reference Rate is HIBOR, the Hong Kong interbank market; (vi) if the Reference Rate is NIBOR, the Oslo interbank market; (vii) if the Reference Rate is SIBOR, the Singapore interbank market; (viii) if the Reference Rate is STIBOR, the Stockholm interbank market; or (ix) if the Reference Rate is TIBOR, the Tokyo interbank market.

"Relevant Screen Page" means such page, section, caption, column or other part of a particular information service as may be specified in the relevant Issue Terms and any successor thereto as determined by the Calculation Agent in consultation with the Bank.

"Screen Rate" has the meaning given to it in Asset Condition 4.3(b) (Screen Rate Determination).

"Specified Number" means the number specified as such in the Issue Terms.

"Specified Underlying Rate" means the initial underlying rate per annum specified in the Issue Terms.

"Underlying Rate" means each ISDA Rate, Screen Rate, CMS Rate or Variable Rate specified as such in the relevant Issue Terms.

"Underlying Rate₁" means the ISDA Rate, Screen Rate or CMS Rate specified as such in the relevant Issue Terms.

"Underlying Rate₂" means the ISDA Rate, Screen Rate or CMS Rate specified as such in the relevant Issue Terms.

"Underlying Rate Basket Level" has the meaning given to it in Asset Condition 4.4 (Underlying Rate Basket Level).

"Underlying Rate Business Day" means, in respect of an Underlying Rate, a day (other than a Saturday or Sunday) on which commercial banks are open for general business (including dealings in foreign exchange) in each Underlying Rate Jurisdiction in respect of such Underlying Rate.

"Underlying Rate Currency" means, in respect of an Underlying Rate, the currency to which such Underlying Rate relates.

"Underlying Rate Determination Date" means, with respect to an Underlying Rate and a Reference Period, the date specified as such in the Issue Terms.

"Underlying Rate Jurisdiction" means, in respect of an Underlying Rate, the jurisdiction(s) specified as such in the relevant Issue Terms.

AC Chapter 4: Rate Linked Asset Conditions

"Underlying Rate Performance" means in respect of an Underlying Rate and any Reference Date:

(a) if there are no Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) such Underlying Rate at the Reference Time on such Reference Date, divided by (b) the Initial Underlying Rate; or

(b) if there are Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) the arithmetic mean of the Underlying Rates at the Reference Time on each such Averaging Reference Date, divided by (b) the Initial Underlying Rate.

"Underlying Rate Reference Day" means each Business Day in the relevant Reference Period, other than any Business Day in the Reference Lock-out Period.

"Valuation Date" means, in respect of each Underlying Rate, each date specified as such in the relevant Issue Terms, or if such day is not an Underlying Rate Business Day, the immediately following Underlying Rate Business Day for such Underlying Rate.

"Valuation Time" means, unless specified otherwise in the relevant Issue Terms:

(a) in respect of an Underlying Rate which is an ISDA Rate, the time determined in accordance with the relevant definition of the Floating Rate Option in the ISDA Definitions;

(b) in respect of an Underlying Rate which is a Screen Rate, the Relevant Time; or

"Variable Rate" has the meaning given to it in Asset Condition 4.3(d) (Rates Variance Determination).

"Weighted Underlying Rate" means, in respect of each Underlying Rate, such Underlying Rate multiplied by its Weight, provided that if "Equal Weight" is specified, the Weight in respect of each Basket Component shall be a percentage equal to 1 divided by the total number of Basket Components.

"Worst Performing Basket Component" means, in respect of a Basket of Underlying Rates and any Reference Date, the Basket Component with the lowest Underlying Rate Performance in respect of such Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same lowest Underlying Rate Performance, the Calculation Agent shall determine which Basket Component shall be the Worst Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Worst Performing Basket Component).

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This chapter sets out additional terms and conditions that are only applicable to Multi-Asset Basket Linked Notes.

The following are the conditions (the "Multi-Asset Basket Linked Asset Conditions") that will apply to Multi-Asset Basket Linked Notes. These Multi-Asset Basket Linked Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms and any applicable Payout Conditions. In the case of any inconsistency between these Multi-Asset Basket Linked Asset Conditions and the Base General Conditions, these Multi-Asset Basket Linked Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Multi-Asset Basket Linked Asset Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Multi-Asset Basket Linked Asset Conditions or elsewhere in the Base Conditions applicable to the Multi-Asset Basket Linked Notes will have the meanings given to them in the relevant Issue Terms. References in these Multi-Asset Basket Linked Asset Conditions to "Multi-Asset Basket Linked Notes" are to the Multi-Asset Basket Linked Notes of one Series only, not to all Multi-Asset Basket Linked Notes that may be issued under the Programme.

5 Multi-Asset Basket Linked Notes

5.1 Maturity Date Extension

If the Notes are Multi-Asset Basket Linked Redemption Notes and if "Maturity Date Extension" is specified in the relevant Issue Terms as being applicable, where the Final Redemption Amount is determined in respect of a Basket Reference Date or final Basket Averaging Reference Date, and where the Basket Reference Date or final Basket Averaging Reference Date falling immediately prior to the Maturity Date is postponed as a result of the occurrence of a Disrupted Day, the relevant Maturity Date, shall be the later of:

(a) the date specified in the relevant Issue Terms as the Maturity Date (the "Scheduled Maturity Date"); and
(b) the day falling the Number of Extension Business Days after the postponed Basket Reference Date or final Basket Averaging Reference Date, as the case may be.

If the relevant Maturity Date is postponed pursuant to this Asset Condition 5.1 (i) the Final Redemption Amount will be due on the relevant date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such Final Redemption Amount; (ii) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the Scheduled Maturity Date and of the postponed Maturity Date not less than three Business Days prior to such postponed Maturity Date; and (iii) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the Scheduled Maturity Date and not less than two Business Days prior to such postponed Maturity Date.

5.2 Payment Date Extension

If the Notes are (a) Multi-Asset Basket Linked Interest Notes and "Payment Date Extension" is specified in the relevant Issue Terms as being applicable and/or (b) Multi-Asset Basket Linked Autocall Notes and "Autocall Payment Date Extension" is specified in the relevant Issue Terms as being applicable, where the Rate of Interest is determined in respect of a Basket Reference Date or final Basket Averaging Reference Date, and such Basket Reference Date or final Basket Averaging Reference Date is postponed as a result of the occurrence of a Disrupted Day, the Interest Payment Date relating to such postponed

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Basket Reference Date or final Basket Averaging Reference Date, as the case may be, shall be the later of:

(a) the Interest Payment Date specified in the relevant Issue Terms (the "Scheduled Payment Date");

(b) if the Notes are Multi-Asset Basket Linked Interest Notes and "Payment Date Extension" is specified in the relevant Issue Terms as being applicable, the day falling the Number of Extension Business Days after such postponed Basket Reference Date or final Basket Averaging Reference Date, as the case may be; and

(c) if the Notes are Multi-Asset Basket Linked Autocall Notes and "Autocall Payment Date Extension" is specified in the relevant Issue Terms as being applicable, the day falling five Business Days after the last Autocall Barrier Observation Date in respect of the relevant Interest Period.

If any amount is payable on an Interest Payment Date in respect of a Multi-Asset Basket Linked Interest Note or Multi-Asset Basket Linked Autocall Note and such Interest Payment Date is postponed pursuant to this Asset Condition 5.2, (A) such amount will be due on the Interest Payment Date as so postponed without any interest or other sum payable in respect of the postponement of the payment of such amount; (B) the Bank (or the Calculation Agent on its behalf) shall notify the Fiscal Agent or CMU Fiscal Agent of such postponement not less than three Business Days prior to the relevant Interest Payment Date and of the relevant postponed Interest Payment Date not less than three Business Days prior to such postponed Interest Payment Date; and (C) the Fiscal Agent or CMU Fiscal Agent shall notify Euroclear, Clearstream, Luxembourg and/or the CMU Service (as applicable) not less than two Business Days prior to the relevant Interest Payment Date and not less than two Business Days prior to such postponed Interest Payment Date.

5.3 Multi-Asset Basket Level

The Calculation Agent shall calculate the level of the Multi-Asset Basket (the "Multi-Asset Basket Level") in respect of each Basket Reference Date as follows:

(a) if "Weighted Average" is specified as applicable in the relevant Issue Terms, and:

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the Aggregate Weighted Basket Component Level in respect of such Basket Reference Date; or

(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the Aggregate Weighted Basket Component Levels in respect of each such Basket Averaging Reference Date; or

(b) if "Best-Of" is specified as applicable in the relevant Issue Terms, and:

(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the Basket Component Level of the Best Performing Basket Component as at the Reference Time on the relevant Reference Date; or

(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the Basket Component Levels of the Best Performing Basket Component as at the Reference Time on each of the relevant Averaging Reference Dates; or

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(i) there are no Basket Averaging Reference Dates in respect of such Basket Reference Date, the Basket Component Level of the Worst Performing Basket Component as at the Reference Time on the relevant Reference Date; or
(ii) there are Basket Averaging Reference Dates in respect of such Basket Reference Date, the arithmetic mean of the Basket Component Levels of the Worst Performing Basket Component as at the Reference Time on each of the relevant Averaging Reference Dates.

5.4 Basket Component Adjustment Provisions

In respect of each Basket Component that is:

(a) an Index, the provisions of Asset Condition 1.4 (Index Adjustment Provisions) shall apply in full to such Index; and
(b) an FX Rate, the provisions of Asset Condition 3.4 (Currency Adjustment Provisions) and Asset Condition 3.7 (EM Currency Provisions) shall apply in full to such FX Rate.

5.5 Consequences of Disrupted Days: Reference Dates

(a) Subject to Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) and Asset Conditions 5.5(b) to (e) below, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day in respect of any Basket Component that is an FX Rate, the Calculation Agent shall determine the FX Rate in respect of such Scheduled Reference Date in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate.
(b) Subject to Asset Condition 1.4(b) (Adjustments to an Index), where “Common Scheduled Trading Days” is specified not to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day in respect of any Basket Component that is an Index, then:

(i) the Reference Date for each Basket Component in respect of which the Scheduled Reference Date is not a Disrupted Day shall be the Scheduled Reference Date for such Basket Component; and
(ii) the Reference Date for each Index in respect of which the Scheduled Reference Date is a Disrupted Day (each an “Affected Basket Component”) shall be the earlier of (A) the first Scheduled Trading Day following the relevant Scheduled Reference Date that is not a Disrupted Day in respect of such Affected Basket Component and (B) the Reference Cut-Off Date for such Affected Basket Component.

(c) Subject to Asset Condition 1.4(b) (Adjustments to an Index), where “Common Scheduled Trading Days” and “Individual Disrupted Days” are both specified to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day in respect of any Basket Component that is an Index, then:

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(d) Subject to Asset Condition 1.4(b)(Adjustments to an Index), where “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Reference Date is a Disrupted Day in respect of any Basket Component that is an Index, then the Reference Date for each Basket Component shall be the earlier of (i) the first Common Scheduled Trading Day following the Scheduled Reference Date that is not a Disrupted Day for any Basket Component and (ii) the Reference Cut-Off Date (notwithstanding that such day may not be a Common Scheduled Trading Day).

(e) If, in respect of any Basket Component, a Reference Date falls on the relevant Reference Cut-Off Date pursuant to Asset Conditions 5.4 to above:

(i) if such Reference Cut-Off Date is not a Disrupted Day for such Basket Component, the Calculation Agent shall determine the Basket Component Level of such Basket Component as at the Reference Time on such Reference Cut-Off Date; or

(ii) if such Reference Cut-Off Date is a Disrupted Day for such Basket Component, the Calculation Agent shall determine the Basket Component Level for such Basket Component as at the Reference Time on the Reference Cut-Off Date in accordance with:

(A) Index Linked Asset Condition 1.5(e) (Consequences of Disrupted Days: Reference Dates), if such Basket Component is an Index; or

(B) Currency Linked Asset Condition 3.6 (FX Disruption Provisions), if such Basket Component is an FX Rate.

5.6 Consequences of Disrupted Days: Averaging Reference Dates

(a) Subject to Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) and Asset Conditions 5.6(b) to (e) below, if the Calculation Agent determines that any Scheduled Averaging Reference Date is a Disrupted Day in respect of any Basket Component that is an FX Rate, the Calculation Agent shall determine the FX Rate in respect of such Scheduled Averaging Reference Date in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate.

(b) Subject to Asset Condition 1.4(b) (Adjustments to an Index), Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) and where “Common Scheduled Trading Days” is specified not to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Averaging Reference Date in respect of a Reference Date is a Disrupted Day in respect of any Basket Component that is an Index, then:

(i) if “Omission” is specified to be applicable in the relevant Issue Terms, such date shall be deemed not to be an Averaging Reference Date in respect of any Basket Component in respect of such Reference Date, provided that, if through the operation of this provision there would not be any Averaging Reference Date in respect of such Reference Date, then the sole Averaging Reference Date for each Basket Component shall be the final Scheduled Averaging Reference Date, provided that, if such final Scheduled Averaging Reference Date is a Disrupted Day in respect of a Basket Component that is:

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(A) an FX Rate, the Calculation Agent shall determine the FX Rate in respect of such final Scheduled Averaging Reference Date in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate; or

(B) an Index, the sole Averaging Reference Date for such Index shall be the earlier of (I) the first Scheduled Trading Day following the final Scheduled Averaging Reference Date that is not a Disrupted Day in respect of such Index and (II) the Averaging Reference Cut-Off Date for such Index;

(ii) if “Postponement” is specified to be applicable in the relevant Issue Terms, then:

(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(B) the Averaging Reference Date for each Index in respect of which the Scheduled Averaging Reference Date is a Disrupted Day (each such Basket Component, an “Affected Basket Component”) shall be the earlier of (I) the first Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day in respect of such Affected Basket Component and (II) the Averaging Reference Cut-Off Date for such Affected Basket Component. Any day (including, for the avoidance of doubt, the Averaging Reference Cut-Off Date) determined to be an Averaging Reference Date as a result of the operation of this Asset Condition 5.6(b)(ii) shall be an Averaging Reference Date, irrespective of whether it falls on a day that already is or is deemed to be an Averaging Reference Date; or

(iii) if “Modified Postponement” is specified to be applicable in the relevant Issue Terms then:

(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(c) Subject to Asset Condition 1.4(b) (Adjustments to an Index), Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) and where “Common Scheduled Trading Days” and “Individual Disrupted Days” are both specified to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Averaging Reference Date in respect of a Reference Date is a Disrupted Day in respect of any Basket Component that is an Index, then:

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Scheduled Averaging Reference Date, provided that, if such final Scheduled Averaging Reference Date is a Disrupted Day in respect of a Basket Component that is:

(ii) if “Postponement” is specified to be applicable in the relevant Issue Terms, then

(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(B) the Averaging Reference Date for each Index in respect of which the Scheduled Averaging Reference Date is a Disrupted Day (each such Basket Component, an “Affected Basket Component”) shall be the earlier of (I) the first Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day in respect of such Affected Basket Component and (II) the Averaging Reference Cut-Off Date for such Affected Basket Component (notwithstanding the fact that such day may not be a Common Scheduled Trading Day). Any day (including, for the avoidance of doubt, the Averaging Reference Cut-Off Date) determined to be an Averaging Reference Date as a result of the operation of this Asset Condition 5.6(c)(ii) shall be an Averaging Reference Date, irrespective of whether it falls on a day that already is or is deemed to be an Averaging Reference Date; or

(iii) if “Modified Postponement” is specified to be applicable in the relevant Issue Terms, then:

(A) the Averaging Reference Date for each Basket Component in respect of which the Scheduled Averaging Date is not a Disrupted Day shall be the Scheduled Averaging Reference Date; and

(d) Subject to Asset Condition 1.4(b) (Adjustments to an Index), Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) and where “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, if the Calculation Agent determines that any Scheduled Averaging Reference Date in respect of a Reference Date is a Disrupted Day in respect of any Basket Component that is an Index, then:

(i) if “Omission” is specified to be applicable in the relevant Issue Terms, such date shall be deemed not to be an Averaging Reference Date in respect of any Basket Component in

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respect of such Reference Date, provided that, if through the operation of this provision there would be no Averaging Reference Date in respect of such Reference Date, then the sole Averaging Reference Date for each Basket Component shall be the earlier of (A) the first Common Scheduled Trading Day following the final Scheduled Averaging Reference Date that is not a Disrupted Day for any Basket Component and (B) the Averaging Reference Cut-Off Date (notwithstanding the fact that such Averaging Reference Cut-Off Date may not a Common Scheduled Trading Day);

(ii) if “Postponement” is specified to be applicable in the relevant Issue Terms, then the Averaging Reference Date shall be the earlier of (A) the first Common Scheduled Trading Day following the Scheduled Averaging Reference Date that is not a Disrupted Day in respect of each Basket Component and (B) the Averaging Reference Cut-Off Date (notwithstanding the fact that such Averaging Reference Cut-Off Date may not be a Common Scheduled Trading Day). Any day (including, for the avoidance of doubt, the Averaging Reference Cut-Off Date) determined to be an Averaging Reference Date as a result of the operation of this Asset Condition 5.6(d)(ii) shall be an Averaging Reference Date, irrespective of whether it falls on a day that already is or is deemed to be an Averaging Reference Date; or

(iii) if “Modified Postponement” is specified to be applicable in the relevant Issue Terms, then the Averaging Reference Date for each Basket Component shall be the earlier of (A) the first Common Valid Date following the Scheduled Averaging Reference Date and (B) the Averaging Reference Cut-Off Date (notwithstanding the fact that such Averaging Reference Cut-Off Date may not be a Common Scheduled Trading Day), irrespective of whether the Averaging Reference Cut-Off Date falls on a day that already is or is deemed to be an Averaging Reference Date.

(e) If, in respect of any Basket Component, an Averaging Reference Date falls on the relevant Averaging Reference Cut-Off Date pursuant to Asset Conditions 5.6(b)-(d) above:

(i) if such Averaging Reference Cut-Off Date is not a Disrupted Day for such Basket Component, the Calculation Agent shall determine the Basket Component Level of such Basket Component as at the Reference Time on such Averaging Reference Cut-Off Date; or

(ii) if such Averaging Reference Cut-Off Date is a Disrupted Day for such Basket Component the Calculation Agent shall determine the Basket Component Level for such Basket Component as at the Reference Time on the Averaging Reference Cut-Off Date in accordance with:

(A) Index Linked Asset Condition 1.6(e) (Consequences of Disrupted Days: Averaging Reference Dates), if such Basket Component is an Index; or

(B) Currency Linked Asset Condition 3.6 (FX Disruption Provisions), if such Basket Component is an FX Rate.

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

(g) If the relevant Issue Terms specify both “Initial Averaging Dates” and “Averaging Dates”, then the provisions of this Asset Condition 5.6 (Consequences of Disrupted Days: Averaging Reference Dates) shall apply separately to the Initial Averaging Dates and the Averaging Dates (so that references to “Averaging Reference Dates” shall be read and construed as references to “Initial Averaging Dates or “Averaging Dates”, as the case may be).

5.7 Barrier Events

(a) Coupon Barrier Event

A “Coupon Barrier Event” shall be deemed to occur if the Calculation Agent determines that the Multi-Asset Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Barrier on such Coupon Barrier Observation Date.

(b) Redemption Barrier Event

A “Redemption Barrier Event” shall be deemed to occur if the Calculation Agent determines that the Multi-Asset Basket Level as of any Redemption Barrier Observation Time on any Redemption Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Redemption Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Redemption Barrier Event – Greater than or equal to”), as the case may be, the Redemption Barrier on such Redemption Barrier Observation Date.

(c) Coupon Lock-in Event

A “Coupon Lock-in Event” shall be deemed to occur if the Calculation Agent determines that the Multi-Asset Basket Level as of any Coupon Barrier Observation Time on any Coupon Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Coupon Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Coupon Barrier Event – Greater than or equal to”), as the case may be, the Coupon Lock-in Barrier on such Coupon Barrier Observation Date.

(d) Autocall Barrier Event

An “Autocall Barrier Event” shall be deemed to occur if the Calculation Agent determines that the Multi-Asset Basket Level as of any Autocall Barrier Observation Time on any Autocall Barrier Observation Date is (A) less than (if the relevant Issue Terms specify “Autocall Barrier Event – Less than”); (B) less than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Less than or equal to”); (C) greater than (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than”); or (D) greater than or equal to (if the relevant Issue Terms specify “Autocall Barrier Event – Greater than or equal to”), as the case may be, the Autocall Barrier on such Autocall Barrier Observation Date.

5.8 Look-Back

If “Look-Back Provisions” is specified to be applicable in the relevant Issue Terms, the Calculation Agent shall determine the Basket Component Level or Multi-Asset Basket Level (as the case may be) as at the Look-Back Observation Time on each Look-Back Observation Date, and the Initial Basket Component Level or Initial Multi-Asset Basket Level (as the case may be) shall be:

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(a) if “Look-Back – Lowest” is specified to be applicable in the relevant Issue Terms, the lowest Basket Component Level or Multi-Asset Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap; or
(b) if “Look-Back – Highest” is specified to be applicable in the relevant Issue Terms, the highest Basket Component Level or Multi-Asset Basket Level (as the case may be) so determined, subject to a minimum equal to the Look-Back Floor and a maximum equal to the Look-Back Cap.

5.9 Definitions

“Aggregate Weighted Basket Component Level” means, in respect of a Basket Reference Date or Basket Averaging Reference Date, the sum of the Weighted Basket Component Levels of all the Basket Components in respect of such Basket Reference Date or Basket Averaging Reference Date, where the Weighted Basket Component Level of each Basket Component is determined as at the Reference Time on the relevant Reference Date or Averaging Reference Date (as the case may be) in respect of such Basket Component.

“Autocall Barrier” means, in respect of each Multi-Asset Basket and any Autocall Barrier Period specified under the heading “Autocall Barrier Period” in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Multi-Asset Basket Level) specified under the heading “Autocall Barrier” in such table adjacent to the relevant Autocall Barrier Period.

“Autocall Barrier Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Autocall Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of “Observation Date” in this Asset Condition 5.9 (Definitions).

“Autocall Barrier Observation Period” means the period specified as such in the relevant Issue Terms.

“Autocall Barrier Observation Time” means:

(a) the time specified as such in the relevant Issue Terms; or
(b) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of a Basket Component, all times in each Autocall Barrier Observation Date at which the Basket Component Level of such Basket Component can be observed.

“Autocall Barrier Period” means each period specified as such in the relevant Issue Terms.

“Averaging Cut-Off Date” means:

(a) in respect of any Scheduled Averaging Date relating to an Interest Payment Date, and:

(a) where “Payment Date Extension” is specified to be applicable in the relevant Issue Terms:

(I) in the case where “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Averaging Date; or
(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Averaging Date; or

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such other number specified in the relevant Issue Terms) Business Day immediately preceding such Interest Payment Date; and

(b) in respect of any Scheduled Averaging Date relating to the Maturity Date, and:

(a) where “Maturity Date Extension” is specified to be applicable in the relevant Issue Terms:

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Averaging Date; or

(b) where “Maturity Date Extension” is specified to be not applicable in the relevant Issue Terms, the earlier of

(I) the date that would be determined in accordance with paragraph (b)(a) above, and

(II) the last Scheduled Trading Day that falls no later than the second (or such other number specified in the relevant Issue Terms) Business Day immediately preceding the Maturity Date.

“Averaging Date” means, in respect of each Basket Component, either:

(a) in the case where the relevant Issue Terms provide that “Common Scheduled Trading Days” shall be not applicable, each date specified as such in the relevant Issue Terms, or, if any such date is not a Scheduled Trading Day, the immediately following Scheduled Trading Day for such Basket Component; and

(b) in the case where the relevant Issue Terms provide that “Common Scheduled Trading Days” shall be applicable, each date specified as such in the relevant Issue Terms, or if any such date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day,

provided that if any such date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Averaging Date shall be determined in accordance with the provisions of Asset Condition 5.6 (Consequences of Disrupted Days: Averaging Reference Dates).

“Averaging Reference Cut-Off Date” means:

(a) in respect of any Averaging Reference Date which is an Initial Averaging Date, the Initial Averaging Cut-Off Date in respect of such Initial Averaging Date; and

(b) in respect of any Averaging Reference Date which is an Averaging Date, the Averaging Cut-Off Date in respect of such Averaging Date.

“Averaging Reference Date” means each Initial Averaging Date and Averaging Date.

“Basket Averaging Date” means, in respect of each Scheduled Averaging Date relating to a Multi-Asset Basket:

(a) if such Scheduled Averaging Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Averaging Date; or

(b) if such Scheduled Averaging Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Averaging Dates determined in accordance with the provisions of Asset Condition 5.6 (Consequences of Disrupted Days: Averaging Reference Dates) in respect of such Scheduled Averaging Date.

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"Basket Averaging Reference Date" means each Basket Averaging Date and Basket Initial Averaging Date.

"Basket Component" means, in respect of a Multi-Asset Basket, each Index, FX Rate or Underlying Rate which is specified in the relevant Issue Terms to comprise such Multi-Asset Basket.

"Basket Component Level" means, in respect of a Basket Component and a time on any day, and subject to these Multi-Asset Basket Linked Asset Conditions:

(a) if such Basket Component is an Index, the Index Level as defined in the Index Linked Asset Conditions;

(b) if such Basket Component is an FX Rate, the FX Rate as defined in the Currency Linked Asset Conditions; or

"Basket Component Performance" means in respect of a Basket Component and any Reference Date:

(a) if there are no Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) the Basket Component Level of such Basket Component at the Reference Time on such Reference Date, divided by (b) the Initial Basket Component Level; or

(b) if there are Averaging Reference Dates in respect of such Reference Date, an amount (expressed as a percentage) determined by the Calculation Agent as being equal to (a) the arithmetic mean of the Basket Component Levels of such Basket Component at the Reference Time on each such Averaging Reference Date, divided by (b) the Initial Basket Component Level.

"Basket Initial Averaging Date" means, in respect of the Scheduled Initial Averaging Date relating to a Multi-Asset Basket:

(a) if the Scheduled Initial Averaging Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Initial Averaging Date; or

(b) if the Scheduled Initial Averaging Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Initial Averaging Dates determined in accordance with the provisions of Asset Condition 5.6 (Consequences of Disrupted Days: Averaging Reference Dates) in respect of the Scheduled Initial Averaging Date.

"Basket Initial Setting Date" means, in respect of the Scheduled Initial Setting Date relating to a Multi-Asset Basket:

(a) if the Scheduled Initial Setting Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Initial Setting Date; or

(b) if the Scheduled Initial Setting Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Initial Setting Dates determined in accordance with the provisions of Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) in respect of the Scheduled Initial Setting Date.

"Basket Observation Date" means, in respect of each Scheduled Observation Date relating to a Multi-Asset Basket:

(a) if such Scheduled Observation Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Observation Date; or

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(b) if such Scheduled Observation Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Observation Dates determined in accordance with the provisions of Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) in respect of such Scheduled Observation Date.

“Basket Reference Date” means each Basket Initial Setting Date, Basket Observation Date and Basket Valuation Date.

“Basket Valuation Date” means, in respect of each Scheduled Valuation Date relating to a Multi-Asset Basket:

(a) if such Scheduled Valuation Date is not a Disrupted Day in respect of any Basket Component, such Scheduled Valuation Date; or
(b) if such Scheduled Valuation Date is a Disrupted Day in respect of any Basket Component, the latest in time of the Valuation Dates determined in accordance with the provisions of Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) in respect of such Scheduled Valuation Date.

“Best Performing Basket Component” means, in respect of a Multi-Asset Basket and any Basket Reference Date, the Basket Component with the highest Basket Component Performance in respect of the Reference Date relating to such Basket Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same highest Basket Component Performance, the Calculation Agent shall determine which Basket Component shall be the Best Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Best Performing Basket Component).

“Common Scheduled Trading Day” means, in respect of a Multi-Asset Basket, each day which is a Scheduled Trading Day for all the Basket Components.

“Common Valid Date” means, in respect of a Multi-Asset Basket, a Common Scheduled Trading Day that is not a Disrupted Day for any Basket Component and on which another Averaging Reference Date does not or is deemed not to occur.

“Coupon Barrier” means, in respect of the Multi-Asset Basket and any Coupon Barrier Period specified under the heading “Coupon Barrier Period” in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Multi-Asset Basket Level) specified under the heading “Coupon Barrier” in such table adjacent to the relevant Coupon Barrier Period.

“Coupon Barrier Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Coupon Barrier Observation Period, subject in each case to any adjustment pursuant to Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of “Observation Date” in this Asset Condition 5.9 (Definitions).

“Coupon Barrier Observation Period” means each period specified as such in the relevant Issue Terms.

“Coupon Barrier Observation Time” means:

(a) the time(s) specified as such in the relevant Issue Terms; or
(b) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of a Basket Component, all times in each Coupon Barrier Observation Date at which the Basket Component Level of such Basket Component can be observed.

“Coupon Barrier Period” means each period specified as such in the relevant Issue Terms.

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

"Coupon Lock-in Barrier" means, in respect of the Multi-Asset Basket and any Coupon Barrier Period specified under the heading "Coupon Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of an Initial Multi-Asset Basket Level) specified under the heading "Coupon Lock-in Barrier" in such table adjacent to the relevant Coupon Barrier Period.

"Disrupted Day", in respect of any Basket Component which is:

(a) an Index, has the meaning given to it in the Index Linked Asset Conditions;
(b) an FX Rate, has the meaning given to it in the Currency Linked Asset Conditions; or
(c) an Underlying Rate, is not applicable.

"Initial Averaging Cut-Off Date" means, in respect of any Scheduled Initial Averaging Date:

(a) in the case where "Common Scheduled Trading Days" and "Common Disrupted Days" are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Initial Averaging Date; or
(b) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Initial Averaging Date.

"Initial Averaging Date" means, in respect of each Basket Component, either:

(a) in the case where the relevant Issue Terms provides that "Common Scheduled Trading Days" shall be not applicable, each date specified as such in the relevant Issue Terms, or, if any such date is not a Scheduled Trading Day for such Basket Component, the immediately following Scheduled Trading Day; and
(b) in the case where the relevant Issue Terms provides that "Common Scheduled Trading Days" shall be applicable, each date specified as such in the relevant Issue Terms, or if any such date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day,

provided that if any such date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Initial Averaging Date shall be determined in accordance with the provisions of Asset Condition 5.6 (Consequences of Disrupted Days: Averaging Reference Dates).

"Initial Basket Component Level" means:

(a) where "Look-Back" is not specified to apply:

(1) where the relevant Issue Terms specify that there are no Initial Averaging Dates in respect of the Initial Setting Date, the Basket Component Level at the Valuation Time on the Initial Setting Date; or
(2) where the relevant Issue Terms specify that there are Initial Averaging Dates in respect of the Initial Setting Date, the arithmetic mean of the Basket Component Levels at the Valuation Time on each such Initial Averaging Date; or

(b) where "Look-Back" is specified to apply, the Basket Component Level determined in accordance with the provisions of Asset Condition 5.8 (Look-Back).

"Initial Multi-Asset Basket Level" means:

(a) where "Look-Back" is not specified to apply, the Multi-Asset Basket Level in respect of the Basket Initial Setting Date determined in accordance with Asset Condition 5.3 (Multi-Asset Basket Level); or

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

(b) where “Look-Back” is specified to apply, the Multi-Asset Basket Level determined in accordance with the provisions of Asset Condition 5.8 (Look-Back).

“Initial Setting Cut-Off Date” means, in respect of any Scheduled Initial Setting Date:

(a) in the case where “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Initial Setting Date; or

(b) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Initial Setting Date.

“Initial Setting Date” means, in respect of each Basket Component, either:

(a) in the case where the relevant Issue Terms provides that “Common Scheduled Trading Days” shall be not applicable, the date specified as such in the relevant Issue Terms, or, if such date is not a Scheduled Trading Day for such Basket Component, the immediately following Scheduled Trading Day; and

(b) in the case where the relevant Issue Terms provides that “Common Scheduled Trading Days” shall be applicable, the date specified as such in the relevant Issue Terms, or if such date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day,

provided that if any such date (following any adjustment (if applicable) pursuant to paragraph (i) or (ii) above) is a Disrupted Day, the Initial Setting Date shall be determined in accordance with the provisions of Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates).

“Look-Back Cap” means the price, rate, level, percentage or other value (if any) specified as such in the relevant Issue Terms.

“Look-Back Floor” means the price, rate, level, percentage or other value (if any) specified as the Look-Back Floor in the relevant Issue Terms.

“Look-Back Observation Date” means each date specified as such in the relevant Issue Terms or, if so specified in the relevant Issue Terms, each day in the Look-Back Observation Period, subject in each case to any adjustment pursuant to Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of “Observation Date” in this Asset Condition 5.9 (Definitions).

“Look-Back Observation Period” means each period specified as such in the relevant Issue Terms.

“Look-Back Observation Time” means:

(a) the time(s) specified as such in the relevant Issue Terms; or

(b) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of a Basket Component, all times in each Look-Back Observation Date at which the Basket Component Level of such Basket Component can be observed.

“Market Disruption Event” means, in respect of any Basket Component which is:

(a) an Index, an Index Market Disruption Event as defined in the Index Linked Asset Conditions;

(b) an FX Rate, an FX Disruption Event as defined in the Currency Linked Asset Conditions; or

“Multi-Asset Basket” means a basket comprising the Basket Components specified in the relevant Issue Terms in the Weights specified for each Basket Component in the relevant Issue Terms.

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

"Multi-Asset Basket Level" has the meaning given to it in Asset Condition 5.3 (Multi-Asset Basket Level).

(a) in respect of a Maturity Date Extension, the number of Business Days that the relevant Scheduled Maturity Date falls after the Scheduled Reference Date or Scheduled Averaging Reference Date, as the case may be, falling immediately prior to the relevant Scheduled Maturity Date; or
(b) in respect of a Payment Date Extension, the number of Business Days that the Scheduled Payment Date falls after the Scheduled Reference Date or the Scheduled Averaging Reference Date, as the case may be, falling immediately prior to the Scheduled Payment Date.

"Observation Cut-Off Date" means:

(a) in respect of any Scheduled Observation Date relating to an Interest Payment Date, and:

(a) where "Payment Date Extension" is specified to be applicable in the relevant Issue Terms:

(I) in the case where "Common Scheduled Trading Days" and "Common Disrupted Days" are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Observation Date; or
(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Observation Date; or

(b) in respect of any Scheduled Observation Date relating to the Maturity Date, and:

(a) where "Maturity Date Extension" is specified to be applicable in the relevant Issue Terms:

(b) where "Maturity Date Extension" is specified to be not applicable in the relevant Issue Terms, the earlier of (I) the date that would be determined in accordance with paragraph (b)(a) above, and (II) the last Scheduled Trading Day that falls no later than the second (or such other number specified in the relevant Issue Terms) Business Day immediately preceding the Maturity Date; and

(a) where "Autocall Payment Date Extension" is specified to be applicable in the relevant Issue Terms:

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

(I) where “Common Scheduled Trading Days” and “Common Disrupted Days” are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Observation Date; or

(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Observation Date; or

“Observation Date” means, in respect of each Basket Component, either:

(a) in the case where “Common Scheduled Trading Days” is specified to be not applicable in the relevant Issue Terms:

(a) each Coupon Barrier Observation Date;

(b) each Redemption Barrier Observation Date;

(d) each Autocall Barrier Observation Date; and

(e) any other date specified as such in the relevant Issue Terms,

provided that, if any such date is not a Scheduled Trading Day, the Observation Date shall be the immediately following Scheduled Trading Day in respect of such Basket Component; or

(b) in the case where “Common Scheduled Trading Days” is specified to be applicable in the relevant Issue Terms:

(a) each Coupon Barrier Observation Date;

(b) each Redemption Barrier Observation Date;

(d) each Autocall Barrier Observation Date; and

(e) any other date specified as such in the relevant Issue Terms,

provided that, if any such date is not a Common Scheduled Trading Day, the Observation Date shall be the immediately following Common Scheduled Trading Day,

in each case, provided further that, if any such date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Observation Date shall be determined in accordance with the provisions of Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates).

“Redemption Barrier” means, in respect of the Multi-Asset Basket and any Redemption Barrier Period specified under the heading “Redemption Barrier Period” in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of Initial Multi-Asset Basket Level) specified under the heading “Redemption Barrier” in such table adjacent to the relevant Redemption Barrier Period.

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

subject in each case to any adjustment pursuant to Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) or pursuant to the definition of “Observation Date” in this Asset Condition 5.9 (Definitions).

“Redemption Barrier Observation Period” means each period specified as such in the relevant Issue Terms.

“Redemption Barrier Observation Time” means:

(a) the time(s) specified as such in the relevant Issue Terms; or
(b) if the time is specified as “Intraday” in the relevant Issue Terms, in respect of a Basket Component, all times in each Redemption Barrier Observation Date at which the Basket Component Level of such Basket Component can be observed.

“Redemption Barrier Period” means each period specified as such in the relevant Issue Terms.

“Reference Cut-Off Date” means:

(a) in respect of any Reference Date which is an Initial Setting Date, the Initial Setting Cut-Off Date in respect of such Initial Setting Date;
(b) in respect of any Reference Date which is an Observation Date, the Observation Cut-Off Date in respect of such Observation Date; and
(c) in respect of any Reference Date which is a Valuation Date, the Valuation Cut-Off Date in respect of such Valuation Date.

“Reference Date” means each Initial Setting Date, Observation Date or Valuation Date, in each case, subject to adjustment in accordance with Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates) above.

“Reference Time” means:

(a) in respect of any Valuation Date, Initial Setting Date, Averaging Date or Initial Averaging Date, the Valuation Time;
(b) in respect of any Coupon Barrier Observation Date, the Coupon Barrier Observation Time:
(c) in respect of any Redemption Barrier Observation Date, the Redemption Barrier Observation Time;
(d) in respect of any Autocall Barrier Observation Date, the Autocall Barrier Observation Time; and
(e) in respect of any Look-Back Observation Date, the Look-Back Observation Time;

“Scheduled Averaging Reference Date” means each Scheduled Averaging Date or Scheduled Initial Averaging Date.

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

"Scheduled Observation Date" means an original date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) in the definition of "Observation Date") that, but for such day being a Disrupted Day, would have been an Observation Date.

"Scheduled Reference Date" means each Scheduled Initial Setting Date, Scheduled Observation Date or Scheduled Valuation Date.

"Scheduled Trading Day" means, in respect of any Basket Component which is:

(a) an Index, a Scheduled Trading Day as defined in the Index Linked Asset Conditions;
(b) an FX Rate, an FX Business Day as defined in the Currency Linked Asset Conditions; or
(c) an Underlying Rate, an Underlying Rate Business Day as defined in the Rate Linked Asset Conditions.

"Valid Date" means a Scheduled Trading Day that is not a Disrupted Day and on which another Averaging Reference Date does not or is not deemed to occur.

"Valuation Cut-Off Date" means:

(a) in respect of any Scheduled Valuation Date relating to an Interest Payment Date, and:

(a) where "Payment Date Extension" is specified to be applicable in the relevant Issue Terms:

(I) in the case where "Common Scheduled Trading Days" and "Common Disrupted Days" are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Valuation Date; or
(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Valuation Date; or

(b) in respect of any Scheduled Valuation Date relating to the Maturity Date, and:

(a) where "Maturity Date Extension" is specified to be applicable in the relevant Issue Terms:

(I) in the case where "Common Scheduled Trading Days" and "Common Disrupted Days" are both specified to be applicable in the relevant Issue Terms, the eighth (or such other number specified in the relevant Issue Terms) Common Scheduled Trading Day following such Scheduled Valuation Date; or
(II) in any other case, the eighth (or such other number specified in the relevant Issue Terms) Scheduled Trading Day following such Scheduled Valuation Date; or

AC Chapter 5: Multi-Asset Basket Linked Asset Conditions

"Valuation Date" means, in respect of each Basket Component, either:

(b) in the case where the relevant Issue Terms provides that "Common Scheduled Trading Days" shall be applicable, each date specified as such in the relevant Issue Terms, or if any such date is not a Common Scheduled Trading Day, the immediately following Common Scheduled Trading Day,

provided that if any such date (following any adjustment (if applicable) pursuant to paragraph (a) or (b) above) is a Disrupted Day, the Valuation Date shall be determined in accordance with the provisions of Asset Condition 5.5 (Consequences of Disrupted Days: Reference Dates).

"Valuation Time", in respect of any Basket Component which is:

(a) an Index, has the meaning given to it in the Index Linked Asset Conditions;

(b) an FX Rate, has the meaning given to it in the Currency Linked Asset Conditions; or

"Weight" means, in respect of each Basket Component, the percentage specified as the Weight of such Basket Component in the relevant Issue Terms, provided that if "Equal Weight" is specified, the Weight in respect of each Basket Component shall be a percentage equal to 1 divided by the total number of Basket Components.

"Weighted Basket Component Level" means, in respect of each Basket Component, the Basket Component Level of such Basket Component multiplied by its Weight.

"Worst Performing Basket Component" means, in respect of a Multi-Asset Basket and any Basket Reference Date, the Basket Component with the lowest Basket Component Performance in respect of the Reference Date relating to such Basket Reference Date, as determined by the Calculation Agent (provided that if two or more Basket Components have the same lowest Basket Component Performance, the Calculation Agent shall determine which Basket Component shall be the Worst Performing Basket Component in its sole and absolute discretion, and such Basket Component shall be the Worst Performing Basket Component).

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AC Chapter 6: Additional Disruption Asset Conditions

This chapter sets out additional terms and conditions that will apply if the relevant Issue Terms specify “Additional Disruption Events” to be applicable.

The following are the conditions (the “Additional Disruption Asset Conditions”) that will apply to the Notes if Additional Disruption Events are specified to be applicable in the relevant Issue Terms. These Additional Disruption Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Additional Disruption Asset Conditions and the Base General Conditions and/or any applicable Asset Conditions, these Additional Disruption Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Additional Disruption Asset Conditions, unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Additional Disruption Asset Conditions or elsewhere in the Base Conditions applicable to the Notes will have the meanings given to them in the relevant Issue Terms. References in these Additional Disruption Asset Conditions to “Notes” are to the Notes of one Series only, not to all Notes that may be issued under the Programme.

6 Additional Disruption Events

6.1 Occurrence of Additional Disruption Events

If an Additional Disruption Event occurs, the Bank in its sole and absolute discretion may take the action described in (a), (b), (c) or (d) below:

(a) require the Calculation Agent to make the appropriate adjustment, if any, to the Rate of Interest, any one or more Interest Amount(s), the Final Price, the Final Redemption Amount and/or any of the other terms hereof to account for the Additional Disruption Event and determine the effective date of that adjustment;

(b) where the Notes are specified in the relevant Issue Terms as relating to a basket of Reference Items, and the Additional Disruption Event occurs with respect to a Reference Item comprised in the basket, remove such Reference Item from the basket of Reference Items and, following such removal, the Calculation Agent shall make such adjustment, (if any), as it considers appropriate to the Rate of Interest, any one or more Interest Amount(s), the Final Price, the Final Redemption Amount and/or any of the other terms hereof to account for the Additional Disruption Event and determine the effective date of that adjustment;

(c) substitute the relevant Reference Item with a different reference item and, following such substitution, the Calculation Agent shall make such adjustment (if any) as it considers appropriate to the Rate of Interest, any one or more Interest Amount(s), the Final Price, the Final Redemption Amount and/or any of the other terms hereof; or

(d) give notice to the Noteholders in accordance with Base General Condition 16 (Notices) and redeem all, but not some only, of the Notes on a date selected by the Bank by payment of the Early Redemption Amount to each Noteholder in respect of each Note held by such Noteholder.

If the provisions of this Asset Condition 6.1 (Occurrence of Additional Disruption Events) apply, the Calculation Agent may (but need not) determine the appropriate adjustment by reference to the adjustment in respect of the relevant Additional Disruption Event, made by an options exchange to options on the relevant Reference Item traded on that options exchange.

Upon the occurrence (if relevant) of an Additional Disruption Event, the Bank shall give notice as soon as practicable to the Noteholders in accordance with Base General Condition 16 (Notices) stating the

AC Chapter 6: Additional Disruption Asset Conditions

occurrence of the Additional Disruption Event, giving details thereof and the action proposed to be taken in relation thereto.

6.2 Definitions

"Additional Disruption Event" means any of Change in Law, Hedging Disruption, Increased Cost of Hedging, Increased Cost of Stock Borrow, Loss of Stock Borrow, Force Majeure and/or Illegality in each case if specified in the relevant Issue Terms.

"Change in Law" means that, on or after the Trade Date (as specified in the relevant Issue Terms), (i) due to the adoption of or any change in any relevant law or regulation (including, without limitation, any tax law) or (ii) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any relevant law or regulation (including any action taken by a taxing authority), the Bank determines in its sole and absolute discretion that (a) it has become illegal to hold, acquire or dispose of Hedge Positions or (b) the Bank will incur a materially increased cost in performing its obligations in relation to the Notes (including, without limitation, due to any increase in tax liability, decrease in tax benefit or other adverse effect on the tax position of the Bank, any Hedging Party and/or any of their respective Affiliates).

"Force Majeure" means that the Bank or the Calculation Agent shall have determined, acting in a commercially reasonable manner, that the performance of any of the Bank's obligations with respect to the Notes and/or that any arrangements made to hedge the Bank's obligations with respect to the Notes shall have or will become or would be (as the case may be), impossible or impracticable to comply with, in whole or in part, due to reasons outside of the Bank or Calculation Agent's control (including, but not limited to, any natural, systems, facilities, technological, political or other cause) and which cannot be overcome by reasonable diligence and/or without unreasonable expense.

"Hedge Positions" means any purchase, sale, entry into or maintenance of one or more (i) positions or contracts in securities, options, futures, derivatives or foreign exchange, (ii) stock loan transactions or (iii) other instruments or arrangements (howsoever described) by a party in order to hedge, individually or on a portfolio basis, the Notes.

"Hedging Disruption" means that the Bank, any Hedging Party and/or any of their respective Affiliates is unable, after using commercially reasonable efforts, to (i) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) it deems necessary to hedge the equity or other price risk of the Bank issuing and performing its obligations with respect to the Notes or (ii) realise, recover or remit the proceeds of any such transaction(s) or asset(s).

"Hedging Party" has the meaning given to it in the Base General Conditions.

"Hedging Securities" means, in relation to the Notes, the Reference Items or securities comprised in an Index or an Inflation Index or other security that the Bank, any Hedging Party and/or their respective Affiliates deems necessary to hedge the equity or other price risk of the Bank issuing and performing its obligations with respect to the Notes.

"Illegality" means that the Bank shall have determined, acting in a commercially reasonable manner, that the performance of any of the Bank's obligations with respect to the Notes and/or that any arrangements made to hedge the Bank's obligations with respect to the Notes and/or under any hedging arrangements shall have or will become or would be (as the case may be), in whole or in part, unlawful, illegal or otherwise contrary to any present or future law, rule, regulation, judgment, order, directive, policy or request of any governmental, administrative, legislative or judicial authority or power (but, if not having the force of law, only if compliance with it is in accordance with the general practice of persons to whom it is intended to apply), or any change in the interpretation thereof.

"Increased Cost of Hedging" means that the Bank, any Hedging Party and/or any of their respective Affiliates would incur a materially increased (as compared with circumstances existing on the Trade

AC Chapter 6: Additional Disruption Asset Conditions

Date) amount of tax, duty, expense or fee (other than brokerage commissions) to (i) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) it deems necessary to hedge the equity or other price risk of the Bank issuing and performing its obligations with respect to the Notes or (ii) realise, recover or remit the proceeds of any such transaction(s) or asset(s), provided that any such materially increased amount that is incurred solely due to the deterioration of the creditworthiness of the Bank and/or any of its Affiliates shall not be deemed an Increased Cost of Hedging.

"Increased Cost of Stock Borrow" means, in relation to the Notes, that the Bank, any Hedging Party and/or any of their respective Affiliates would incur a rate to borrow any Reference Item or any security comprised in an Index or an Inflation Index or any other security that it deems reasonable to hedge the equity or other price risk of the Bank issuing or performing its obligation with respect to the Notes that is greater than the Initial Stock Loan Rate.

"Initial Stock Loan Rate" means, in relation to the Notes, in respect of a Reference Item or any security comprised in an Index or an Inflation Index or any other security that the Bank, any Hedging Party and/or any of their respective Affiliates deems reasonable to hedge the equity or other price risk of the Bank issuing or performing its obligation with respect to the Notes, the rate which the Bank, any Hedging Party and/or any of their respective Affiliates would have incurred to borrow such Reference Item or such other securities in an amount equal to the Hedging Securities (where applicable), as the case may be, as of the Trade Date, as determined by it.

"Loss of Stock Borrow" means that the Bank, any Hedging Party and/or any of their respective Affiliate(s) is unable, after using commercially reasonable efforts, to borrow (or maintain a borrowing of) any Reference Item or any securities comprised in an Index or an Inflation Index or any other security that it deems reasonable to hedge the equity or other price risk of the Bank issuing or performing its obligations with respect to the Notes in an amount equal to the Hedging Securities at a rate equal to or less than the Maximum Stock Loan Rate.

"Maximum Stock Loan Rate" means, in respect of a Reference Item or a security comprised in an Index or an Inflation Index or any other security that the Bank, any Hedging Party and/or any of their respective Affiliates deems reasonable to hedge the equity or other price risk of the Bank issuing or performing its obligations with respect to the Notes, the lowest rate at which the Bank, any Hedging Party and/or any of their respective Affiliates, after using commercially reasonable efforts, would have incurred to borrow (and maintain a borrowing of) such Reference Item or such other security, as the case may be, in an amount equal to the Hedging Securities, as of the Trade Date, as determined by the Bank.

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AC Chapter 7: Alternative Currency Asset Conditions

This chapter sets out additional terms and conditions that will apply if the relevant Final Terms specify "Alternative Currency Equivalent" to be applicable.

The following are the conditions (the "Alternative Currency Asset Conditions") that will apply to the Notes if Alternative Currency Equivalent is specified to be applicable in the relevant Issue Terms. These Alternative Currency Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Alternative Currency Asset Conditions, the Base General Conditions and/or any applicable Asset Conditions, these Alternative Currency Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Alternative Currency Asset Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Alternative Currency Asset Conditions or elsewhere in the Base Conditions applicable to the Notes will have the meanings given to them in the relevant Issue Terms. References in these Alternative Currency Asset Conditions to "Notes" are to the Notes of one Series only, not to all Notes that may be issued under the Programme.

7 Alternative Currency Equivalent Provisions

7.1 Payment of Alternative Currency Equivalent

Where "Alternative Currency Equivalent" is specified in the relevant Issue Terms as being applicable to the Notes, if (following a written request from the Bank that the Alternative Currency Adjudication Agent makes a determination pursuant to this Asset Condition), by reason of a Scheduled Payment Currency Disruption Event, it would, in the opinion of the Alternative Currency Adjudication Agent, be commercially impracticable for the Bank to satisfy any payment obligation in respect of the Notes when due in the Scheduled Payment Currency, then the Bank may take the action described in paragraph (a), (b), (c) or (d) below:

(a) determine that the relevant payment obligation of the Bank in respect of the Notes be postponed to the first Business Day after the date on which the relevant Scheduled Payment Currency Disruption Event ceases to exist (in the determination of the Alternative Currency Adjudication Agent) or, if that would not be commercially reasonable, as soon as commercially reasonable thereafter, in which case the relevant payment will be due on the date as so postponed, without any interest or other sum payable in respect of the postponement of the payment of such amount;

(b) determine that the Bank's obligation to make any payment in respect of the Notes in the Scheduled Payment Currency be replaced by an obligation to make payment of the Alternative Currency Equivalent of such payment, in which case, it will settle any such obligation by payment of the relevant Alternative Currency Equivalent on the due date for payment;

(c) determine that the relevant payment obligation in respect of the Notes be postponed to a date up to (and including) the date that is the number of Business Days equal to the Maximum Days of Postponement after the date on which such payment would have been due were it not for the Scheduled Payment Currency Disruption Event or, if, in the determination of the Alternative Currency Adjudication Agent, that would not be commercially reasonable, as soon as commercially reasonable thereafter (such postponed payment date, the "Postponed Payment Date"), and that, if the Scheduled Payment Currency Disruption Event has not ceased to exist on or before such Postponed Payment Date, the Bank's obligation to make payment in respect of the Notes in the Scheduled Payment Currency be replaced by an obligation to make payment of the Alternative Currency Equivalent, in which case, it will settle any such obligation by payment of the relevant Alternative Currency Equivalent on the Postponed Payment Date, without any interest or other sum payable in respect of the postponement of the payment of such amount; or

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(d) give notice to the Noteholders in accordance with Base General Condition 16 (Notices) and redeem all, but not some only, of the Notes on a date selected by the Bank, by payment of the Alternative Currency Equivalent of, or, if so specified in such notice, an amount in the Scheduled Payment Currency equal to, the Early Redemption Amount to each Noteholder in respect of each Note held by such Noteholder. Payment will be made in such manner as shall be notified to the Noteholders in accordance with Base General Condition 16 (Notices).

Any payment made in the Alternative Currency under such circumstances will constitute valid payment, and will not constitute a default in respect of the Notes.

If an FX Administrator/Benchmark Event Date occurs in respect of an Alternative Currency FX Rate, a Crossing-Alternative Currency FX Rate or a Scheduled-Crossing Currency FX Rate, Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) shall apply in relation to that rate.

Upon the occurrence of a Scheduled Payment Currency Disruption Event and the Alternative Currency Adjudication Agent making a determination that, by reason of such Scheduled Payment Currency Disruption Event, it would, in the opinion of the Alternative Currency Adjudication Agent, be commercially impracticable for the Bank to satisfy its payment obligations in respect of the Notes when due in the Scheduled Payment Currency, the Bank shall give notice as soon as practicable to Noteholders in accordance with Base General Condition 16 (Notices) stating the occurrence of the Scheduled Payment Currency Disruption Event, giving details thereof and the action proposed to be taken in relation thereto.

In making any determination in respect of any Scheduled Payment Currency Disruption Event, neither the Bank nor the Alternative Currency Adjudication Agent shall have regard to any interests arising from circumstances particular to individual Noteholders (whatever their number), and, in particular, but without limitation, shall not have regard to the consequences of any such determination for individual Noteholders (whatever their number), resulting from their being for any purpose domiciled or resident in, or otherwise connected with, or subject to the jurisdiction of, any particular territory or any political sub-division thereof and no Noteholder, shall be entitled to claim, from the Bank, the Alternative Currency Adjudication Agent or any other person any indemnification or payment in respect of any tax consequences of any such determination upon individual Noteholders.

All notifications, opinions, determinations, certificates, calculations, quotations and decisions given, expressed, made or obtained for the purposes of the provisions of these Alternative Currency Asset Conditions by the Bank or the Alternative Currency Calculation Agent will (in the absence of wilful default, bad faith or manifest error) be binding on the Bank, the Agents and all Noteholders.

If the Rate Calculation Date is postponed in accordance with these Asset Conditions, the relevant payment shall not be due until the date falling the Number of Rate Calculation Business Days after such postponed Rate Calculation Date. No additional interest or other sum is payable in respect of any postponement pursuant to this paragraph.

7.2 Definitions

"1998 ISDA FX Definitions" means the 1998 ISDA FX and Currency Option Definitions, as published by the International Swaps and Derivatives Association, Inc., and in respect of the Notes, as amended and supplemented up to and including the Issue Date of the first Tranche of the Notes.

"Alternative Currency" means the currency specified as such in the relevant Issue Terms (or any lawful successor currency to that currency), or, if no Alternative Currency is specified in the relevant Issue Terms, U.S. dollars.

"Alternative Currency Adjudication Agent" means the Alternative Currency Adjudication Agent specified in the relevant Issue Terms (or any lawful successor to the Alternative Currency Adjudication Agent).

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"Alternative Currency Calculation Agent" means (i) in the case of CMU Notes denominated in Renminbi, Citibank, N.A., London Branch (or any lawful successor thereto), unless otherwise specified in the relevant Issue Terms; and (ii) in the case of all other Notes, the Alternative Currency Calculation Agent specified in the relevant Issue Terms (or any lawful successor thereto).

"Alternative Currency Equivalent" means in respect of an amount denominated in the Scheduled Payment Currency, such amount converted into the Alternative Currency using the Alternative Currency FX Rate for the relevant Rate Calculation Date, all as determined by the Alternative Currency Calculation Agent.

"Alternative Currency FX Rate" means either:

(a) if "Cross Rate" is not specified in the relevant Issue Terms to be applicable to such Alternative Currency FX Rate:

(a) if "ISDA Determination" is specified to be applicable in the relevant Issue Terms in respect of the Alternative Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Alternative Currency Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(a) the Settlement Rate Option is as specified in the relevant Issue Terms; and
(b) the Rate Calculation Date is the applicable Rate Calculation Date;

(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the Alternative Currency FX Rate, the exchange rate of the Scheduled Payment Currency into the Alternative Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Alternative Currency Valuation Time on the relevant Rate Calculation Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Alternative Currency into the Scheduled Payment Currency, the Alternative Currency FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the Alternative Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate, provided that, if the Alternative Currency FX Rate cannot be determined in accordance with the foregoing provisions of this paragraph, the Alternative Currency FX Rate shall be determined by the Calculation Agent, in consultation with the Bank, in a commercially reasonable manner; or

(c) if "Calculation Agent Determination" is specified to be applicable in the relevant Issue Terms, such rate for the exchange of the Scheduled Payment Currency amount into the Alternative Currency as determined by the Alternative Currency Calculation Agent, taking into consideration all available information that it deems relevant.

(b) if "Cross Rate" is specified in the relevant Issue Terms to be applicable to such Alternative Currency FX Rate, the rate (rounded, if "Cross Rate Rounding" is specified in the relevant Issue Terms to be applicable in respect of the Alternative Currency FX Rate, to the Number of Cross Rate Rounding Places, with half of the relevant unit being rounded upwards) that would be achieved by converting an amount in the Scheduled Payment Currency into the Crossing Currency using the Scheduled-Crossing Currency FX Rate, and converting the resultant Crossing Currency amount into an amount in the Alternative Currency using the Crossing-Alternative Currency FX Rate.

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For the purposes of these Alternative Currency Asset Conditions, “FX Transaction”, “Rate Calculation Date”, “Settlement Rate”, “Settlement Rate Option” and “Spot Rate” have the meanings given to them in the 1998 ISDA FX Definitions.

“Alternative Currency Valuation Time” means the time specified as such in the relevant Issue Terms or, if no time is specified as such, the time selected by the Alternative Currency Calculation Agent.

“Crossing-Alternative Currency FX Rate” means either:

(a) if “ISDA Determination” is specified to be applicable in the relevant Issue Terms in respect of the Crossing-Alternative Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Alternative Currency Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(a) the Settlement Rate Option is as specified in the relevant Issue Terms; and
(b) the Rate Calculation Date is the applicable Rate Calculation Date; or

(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the Crossing-Alternative Currency FX Rate, the exchange rate of the Crossing Currency into the Alternative Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Crossing-Alternative Currency Valuation Time on the relevant Rate Calculation Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Alternative Currency into the Crossing Currency, the Crossing-Alternative FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the Crossing-Alternative Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate; or

(c) if “Calculation Agent Determination” is specified to be applicable in the relevant Issue Terms, such rate for the exchange of the resultant Crossing Currency into the Alternative Currency amount as determined by the Alternative Currency Calculation Agent, taking into consideration all available information that it deems relevant.

“Crossing-Alternative Currency Valuation Time” means in respect of a Crossing-Alternative Currency FX Rate, the time specified as such in the relevant Issue Terms or, if no time is specified as such, the time selected by the Alternative Currency Calculation Agent.

“Crossing Currency” means the currency specified as such in the relevant Issue Terms or, if no currency is so specified, U.S. Dollars.

“FX Price Source” means, in respect of an Alternative Currency FX Rate or a Crossing-Alternative Currency FX Rate or a Scheduled-Crossing Currency FX Rate, the price source(s) (if any) specified as such in the relevant Issue Terms for such rate or, if no FX Administrator/Benchmark Event Date has occurred and the relevant rate is not published or announced by such FX Price Source at the relevant time, the successor or alternative price source or page/publication for the relevant rate as determined by the Alternative Currency Calculation Agent in its sole and absolute discretion.

“FX Settlement Business Centre” means any additional financial centre relevant for the purposes of determining FX Settlement Days, as specified in the relevant Issue Terms.

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"FX Settlement Days" means a day on which commercial banks and foreign exchange markets settle payments in London and each FX Settlement Business Centre specified in the relevant Issue Terms.

"Governmental Authority" means any de facto or de jure government (or any agency or instrumentality thereof), court, tribunal, administrative or other governmental authority or any other entity (private or public) charged with the regulation of the financial markets (including the central bank) of the Scheduled Payment Currency Jurisdiction.

"Illiquidity" means (i) in respect of any payment obligation in respect of the Notes of any sum, foreign exchange markets for the Scheduled Payment Currency becoming illiquid (including, without limitation, the existence of any significant price distortion) or unavailable as a result of which it is impossible or, in the opinion of the Alternative Currency Adjudication Agent, commercially impracticable for the Bank and/or any of its Affiliates to obtain a sufficient amount of the Scheduled Payment Currency in order to satisfy any such obligation or (ii) it becomes impossible or impracticable to obtain a firm quote for exchange of the Scheduled Payment Currency into the Alternative Currency, in each case, as determined by the Alternative Currency Adjudication Agent in its sole and absolute discretion.

"Inconvertibility" means, in respect of any payment or obligation in respect of the Notes, the occurrence of any event that makes it impossible, illegal or, in the opinion of the Alternative Currency Adjudication Agent, commercially impracticable for the Bank and/or any of its Affiliates to convert any amount due in respect of the Notes in the foreign exchange markets for the Scheduled Payment Currency (including, without limitation, any event that has the direct or indirect effect of hindering, limiting or restricting convertibility by way of any delays, increased costs or discriminatory rates of exchange or any current or future restrictions on repatriation of one currency into another currency) other than where such impossibility or impracticability is due solely to the failure of the Bank and/or any of its Affiliates to comply with any law, rule or regulation enacted by any relevant Governmental Authority (unless such law, rule or regulation becomes effective on or after the Trade Date and it is impossible or, in the opinion of the Alternative Currency Adjudication Agent, commercially impracticable for the Bank, due to an event beyond its control, to comply with such law, rule or regulation).

"Maximum Days of Postponement" means the number of days specified as such in the relevant Issue Terms.

"Non-Transferability" means, in respect of any payment obligation in respect of the Notes, the occurrence of any event that makes it impossible or, in the opinion of the Alternative Currency Adjudication Agent, commercially impracticable for the Bank and/or any of its Affiliates to deliver the Scheduled Payment Currency in relation to any such payment obligation between accounts inside the Scheduled Payment Currency Jurisdiction or between an account inside the Scheduled Payment Currency Jurisdiction and an account outside the Scheduled Payment Currency Jurisdiction, other than where such impossibility or impracticability is due solely to the failure of the Bank and/or any of its Affiliates to comply with any law, rule or regulation enacted by any relevant Governmental Authority (unless such law, rule or regulation becomes effective on or after the Trade Date and it is impossible or, in the opinion of the Alternative Currency Adjudication Agent, commercially impracticable for the Bank and/or any of its Affiliates, due to an event beyond its control, to comply with such law, rule or regulation.

"Number of FX Settlement Days" means, in respect of the Alternative Currency, such number or amount as is specified in the relevant Issue Terms.

"Number of Cross Rate Rounding Places" means the number specified as such in the relevant Issue Terms.

"Number of Rate Calculation Business Days" means the number of Rate Calculation Business Days specified as such in the relevant Issue Terms.

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"Number of Reciprocal Rounding Places" means the number specified as such in the relevant Issue Terms.

"Rate Calculation Business Day" means, unless otherwise specified in the relevant Issue Terms, a day (other than a Saturday or Sunday) on which commercial banks are open for general business (including dealings in foreign exchange) in the Rate Calculation Business Centre(s).

"Rate Calculation Date" means the day which is the Number of Rate Calculation Business Days specified in the relevant Issue Terms (which shall be two Rate Calculation Business Days where the Scheduled Payment Currency is Renminbi) before the due date for payment of the relevant amount under the Notes or, unless specified otherwise in the relevant Issue Terms, if the relevant Alternative Currency FX Rate is not available on such day, the last preceding Rate Calculation Business Day on which the relevant Alternative Currency FX Rate was most recently available, as determined by the Alternative Currency Calculation Agent.

"Rate Calculation Business Centre(s)" means each business centre that is relevant for determining whether a day is a Rate Calculation Business Day, as specified in the relevant Issue Terms, provided that if no business centre is specified in the relevant Issue Terms, the Rate Calculation Business Centre(s) shall be the Principal Financial Centres for the relevant currencies.

"Scheduled-Crossing Currency FX Rate" means either:

(a) if "ISDA Determination" is specified to be applicable in the relevant Issue Terms in respect of the Scheduled-Crossing Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Alternative Currency Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(a) the Settlement Rate Option is as specified in the relevant Issue Terms; and
(b) the Rate Calculation Date is the applicable Rate Calculation Date; or

(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the Scheduled-Crossing Currency FX Rate, the exchange rate of the Scheduled Payment Currency into the Crossing Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Scheduled-Crossing Currency Valuation Time on the relevant Rate Calculation Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Crossing Currency into the Scheduled Payment Currency, the Scheduled-Crossing Currency FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the Scheduled-Crossing Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate; or

(c) if "Calculation Agent Determination" is specified to be applicable in the relevant Issue Terms, such rate for the exchange of the resultant Scheduled Payment Currency into the Crossing Currency amount as determined by the Alternative Currency Calculation Agent, taking into consideration all available information that it deems relevant.

For the purposes of these Alternative Currency Asset Conditions, "FX Transaction", "Rate Calculation Date", "Settlement Rate", "Settlement Rate Option" and "Spot Rate" have the meanings given to them in the 1998 ISDA FX Definitions.

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"Scheduled-Crossing Currency Valuation Time" means in respect of a Scheduled-Crossing Currency FX Rate, the time specified as such in the relevant Issue Terms or, if no time is specified as such, the time selected by the Alternative Currency Calculation Agent.

"Scheduled Payment Currency" means the Specified Currency, or, in the case of Currency Linked Notes, the currency in which payment is scheduled to be made on such Notes.

"Scheduled Payment Currency Disruption Event" means, in respect of a Scheduled Payment Currency:

(a) Inconvertibility;
(b) Non-Transferability;
(c) Illiquidity; and/or
(d) the Bank and/or any of its Affiliates is unable, after using commercially reasonable efforts, to (a) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) the Bank deems necessary to hedge the currency risk of the Bank issuing and performing its obligations with respect to the Notes or (b) realise, recover or remit the proceeds of any such transaction(s) or asset(s).

"Scheduled Payment Currency Jurisdiction" means (i) other than in the case of Euro or Renminbi, the primary jurisdiction for which the Scheduled Payment Currency is the lawful currency, (ii) in the case of Euro, the Eurozone or (iii) in the case of Renminbi, Hong Kong.

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This chapter sets out additional terms and conditions that will apply if the relevant Final Terms specify "Synthetic Currency Asset Conditions" to be applicable.

The following are the conditions (the "Synthetic Currency Asset Conditions") that will apply to the Notes if Synthetic Currency Asset Conditions are specified to be applicable in the relevant Issue Terms. These Synthetic Currency Asset Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Synthetic Currency Asset Conditions, the Base General Conditions and/or any other applicable Asset Conditions, these Synthetic Currency Asset Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Synthetic Currency Asset Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Synthetic Currency Asset Conditions or elsewhere in the Base Conditions applicable to the Notes will have the meanings given to them in the relevant Issue Terms. References in these Synthetic Currency Asset Conditions to "Notes" are to the Notes of one Series only, not to all Notes that may be issued under the Programme.

8 Synthetic Currency Notes

8.1 Payments in Payment Currency

If the Synthetic Currency Asset Conditions are specified in the relevant Issue Terms as being applicable, notwithstanding the Notes being denominated in the Specified Currency, all payments in respect of the Notes shall be made in the Payment Currency.

The Calculation Agent will determine the amount to be paid in the Payment Currency by applying the Synthetic Currency FX Rate to the amount that would have been payable (in the Specified Currency) were it not for this Asset Condition 8.

Such payment shall be made on the date such payment would be otherwise be payable were it not for this Asset Condition 8, provided that, if the Rate Calculation Date is postponed in accordance with the provisions below, such payment shall be made the Number of Rate Calculation Business Days after the Rate Calculation Date (as so postponed). No additional interest shall be payable in respect of any such delay.

For the avoidance of doubt, Base General Condition 5(k)(b) (Non-Business Days) shall apply to such payment.

8.2 Synthetic Currency FX Disruption Provisions

(a) Consequences of Disrupted Days

Subject to Asset Condition 8.2(c) (Synthetic Currency FX Administrator/Benchmark Event Date), if the Calculation Agent determines that any Rate Calculation Date is a Disrupted Day, the Calculation Agent shall determine the Synthetic Currency FX Rate in respect of such Rate Calculation Date in accordance with the first applicable Disruption Fallback (applied in accordance with its terms). If "Unscheduled Holiday" is specified in the relevant Issue Terms to be applicable, the references to "Rate Calculation Date" in the foregoing sentence shall be deemed to mean the Rate Calculation Date as postponed in accordance with Asset Condition 8.3(a) (Unscheduled Holiday) below.

AC Chapter 8: Synthetic Currency Asset Conditions

(b) Disruption Fallbacks

(i) Calculation Agent Determination

"Calculation Agent Determination" means, in respect of a Synthetic Currency FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will determine such Synthetic Currency FX Rate (or a method for determining such Synthetic Currency FX Rate) in respect of such Disrupted Day, taking into consideration all available information that in good faith it deems relevant.

(ii) Fallback Reference Price

"Fallback Reference Price" means, in respect of a Synthetic Currency FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will determine such Synthetic Currency FX Rate in respect of such Disrupted Day pursuant to the alternate Settlement Rate Option(s) or FX Price Source(s), if any, specified as Fallback Reference Price(s) in the relevant Issue Terms (in the order such Fallback Reference Price(s) appear in the relevant Issue Terms, until a rate has been determined or all Fallback Reference Price(s) have been used).

(iii) Currency-Reference Dealers

"Currency-Reference Dealers" means, in respect of a Synthetic Currency FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will request each of at least four leading dealers, banks or banking corporations which deal in the relevant exchange market (as selected by the Calculation Agent) to provide a quotation of its rate at which it will buy one unit of the Specified Currency in units of the Payment Currency at the applicable Synthetic Currency Valuation Time on such Disrupted Day. If, for any such rate, at least two quotations are provided, the relevant rate will be the arithmetic mean of the quotations. If fewer than two quotations are provided for any such rate, the relevant rate will be the arithmetic mean of the relevant rates quoted by major banks in the relevant market, selected by the Calculation Agent at or around the applicable Synthetic Currency Valuation Time on such Disrupted Day.

(iv) Other Published Sources

"Other Published Sources" means, in respect of a Synthetic Currency FX Rate which is affected by the occurrence of a Disrupted Day, that the Calculation Agent will determine such Synthetic Currency FX Rate in respect of such Disrupted Day on the basis of the exchange rate for one unit of the Specified Currency in terms of the Payment Currency published by available recognised financial information vendors (as selected by the Calculation Agent) other than the applicable Synthetic Currency FX Price Source, at or around the applicable Synthetic Currency Valuation Time on such Disrupted Day.

(v) Postponement

"Postponement" means, in respect of a Synthetic Currency FX Rate, that if the Calculation Agent determines that any Rate Calculation Date is a Disrupted Day for such Synthetic Currency FX Rate, then the Rate Calculation Date shall be the first succeeding Synthetic Currency FX Business Day that is not a Disrupted Day, unless the Calculation Agent determines that each of the consecutive Synthetic Currency FX Business Days equal in number to the Maximum Days of Postponement immediately following such Rate Calculation Date is a Disrupted Day. In that case:

AC Chapter 8: Synthetic Currency Asset Conditions

(A) that last consecutive Synthetic Currency FX Business Day shall be deemed to be the Rate Calculation Date (notwithstanding the fact that such day may be a Disrupted Day); and
(B) the next Disruption Fallback specified in the relevant Issue Terms in respect of such Synthetic Currency FX Rate shall apply.

(vi) Yen Calculation Agent Determination

“Yen Calculation Agent Determination” means, where the Payment Currency is Yen, the Calculation Agent shall determine the Synthetic Currency FX Rate by requesting each of the FX Reference Banks, to provide a quotation for the Synthetic Currency FX Rate. If five or four such quotations are provided as requested, after disregarding the highest of such quotations and the lowest of such quotations (provided that, if two or more such quotations are the highest such quotations, then only one of such quotations shall be disregarded, and if two or more such quotations are the lowest quotations then only one of such lowest quotations shall be disregarded), the applicable rate shall be determined by the Calculation Agent as the arithmetic mean (rounded to the nearest five decimal places, with 0.000005 being rounded upwards) of the remaining such quotations for such rate. If only three or two quotations are so provided, then the Synthetic Currency FX Rate shall be the arithmetic mean (rounded to the nearest five decimal places, with 0.000005 being rounded upwards) of such quotations. If only one quotation is available, in that event, the Calculation Agent may determine that such quotation shall be the Synthetic Currency FX Rate, alternatively, the Calculation Agent can determine that the single quotation is not suitable. If the single quotation is not suitable or no such quotation is available or if the Calculation Agent determines in its sole discretion that no suitable FX Reference Bank which is prepared to quote is available, the Calculation Agent will determine the Synthetic Currency FX Rate in its sole discretion, acting in good faith and in a commercially reasonable manner.

(vii) Cross Rate Fallback

“Cross Rate Fallback” means, in respect of a Synthetic Currency FX Rate in respect of which FX Price Source Determination is specified to be applicable but Cross Rate is not specified to be applicable, that the Calculation Agent will determine such Synthetic Currency FX Rate as if Cross Rate had been specified to be applicable and the Crossing Currency were the Fallback Crossing Currency.

If a Synthetic Currency FX Administrator/Benchmark Event Date occurs in respect of a Crossing-Payment Currency FX Rate, a Specified-Crossing Currency FX Rate or a Synthetic Currency FX Rate:

(1) the Disruption Fallbacks specified in the relevant Issue Terms with respect to Synthetic Currency FX Administrator/Benchmark Event will apply, or if none are specified, the “Disruption Fallbacks in respect of a Synthetic Currency FX Rate” specified in the relevant Issue Terms shall be deemed to apply in accordance with Asset Condition 8.2(a) (Consequences of Disrupted Days) and the definition of Disruption Fallback, provided that if the Synthetic Currency FX Benchmark is not the Synthetic Currency FX Rate then:

(i) references to the “Synthetic Currency FX Rate” in the applicable Disruption Fallbacks and related definitions and provisions of these Asset Conditions shall be deemed to be references to the “Synthetic Currency FX Benchmark”;

AC Chapter 8: Synthetic Currency Asset Conditions

(ii) references to “alternate Settlement Rate Options” or “FX Price Sources” shall be deemed to be references to the “Alternative Synthetic Currency FX Benchmark”; and

(iii) references to “Disrupted Day” shall be deemed to be references to “Synthetic Currency FX Administrator/Benchmark Event Date”.

(2) if it (i) is or would be unlawful at any time under any applicable law or regulation or (ii) would contravene any applicable licensing requirements, for the Bank or the Calculation Agent to perform the actions prescribed in Asset Condition 8.2(a) (Consequences of Disrupted Days) and an applicable Disruption Fallback (or it would be unlawful or would contravene those licensing requirements were a determination to be made at such time), the next applicable Disruption Fallback will apply; and

(3) if the Benchmark Rate Determination Agent determines that the last applicable Disruption Fallback does not or would not provide a Synthetic Currency FX Benchmark (including due to the applicability of paragraph (2) above in relation to the last applicable Disruption Fallback), then the Bank shall give notice to Noteholders as soon as practicable in accordance with Base General Condition 16 (Notices) and the Bank shall redeem all, but not some only, of the Notes on the date specified in such notice at the Early Redemption Amount (as described in Base General Condition 7(b) (Early Redemption)).

(4) If, in respect of a Series, there is more than one Synthetic Currency FX Benchmark, then the foregoing provisions of this Asset Condition 8.2(c) shall apply separately to each such Synthetic Currency FX Benchmark.

(5) The Benchmark Rate Determination Agent shall not have any duty to monitor, enquire or satisfy itself as to whether any Synthetic Currency FX Administrator/Benchmark Event has occurred. If the Noteholders provide the Benchmark Rate Determination Agent with details of the circumstances which could constitute a Synthetic Currency FX Administrator/Benchmark Event, the Benchmark Rate Determination Agent will consider such notice, but will not be obliged to determine that a Synthetic Currency FX Administrator/Benchmark Event has occurred solely as a result of receipt of such notice.

(d) Change to a Synthetic Currency FX Benchmark

If the definition, methodology or formula for a Synthetic Currency FX Benchmark, or other means of calculating the Synthetic Currency FX Benchmark, is changed or modified (irrespective of the materiality of any such change or changes), then, unless otherwise specified in the relevant Issue Terms, references to that Synthetic Currency FX Benchmark shall be to the Synthetic Currency FX Benchmark as changed and modified and Noteholders or Couponholders will not be entitled to any form of compensation as a result of such change or modification.

8.3 EM Currency Provisions

(a) Unscheduled Holiday

If “Unscheduled Holiday” is specified to be applicable in the relevant Issue Terms in respect of a Synthetic Currency FX Rate, if the Calculation Agent determines that a Rate Calculation Date is an Unscheduled Holiday in respect of the Synthetic Currency FX Rate, then the Rate Calculation Date in respect of such Synthetic Currency FX Rate shall be the first succeeding Synthetic Currency FX Business Day which is not an Unscheduled Holiday, unless the Calculation Agent determines that such first Synthetic Currency FX Business Day has not occurred on or before the date falling the Maximum Days of Unscheduled Holiday Postponement immediately following such Rate Calculation Date. In that case, the next day after that period that would be a Synthetic

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Currency FX Business Day but for an Unscheduled Holiday shall be deemed to be the Rate Calculation Date (such day, the “Adjusted Rate Calculation Date”).

(b) Additional Disruption Fallbacks

In addition to the Disruption Fallbacks set out in Asset Condition 8.2(b) (Disruption Fallbacks) above, the relevant Issue Terms may also specify any of the following additional Disruption Fallbacks to apply in respect of a Synthetic Currency FX Rate:

(i) EM Valuation Postponement

“EM Valuation Postponement” means, in respect of a Synthetic Currency FX Rate (which term shall include, where the relevant Issue Terms provides that the prior applicable Disruption Fallback is “Fallback Reference Price”, the Synthetic Currency FX Rate determined using the applicable Fallback Reference Price), that if the Calculation Agent determines that any Rate Calculation Date is a Disrupted Day in respect of such Synthetic Currency FX Rate, then the Rate Calculation Date shall be the first succeeding Synthetic Currency FX Business Day which is not a Disrupted Day, unless the Calculation Agent determines that no such Synthetic Currency FX Business Day has occurred on or before the Maximum Days of EM Valuation Postponement immediately following such Rate Calculation Date. In that case:

(a) the next Synthetic Currency FX Business Day after the EM Valuation Longstop Date shall be deemed to be the Rate Calculation Date (notwithstanding the fact that such day may be a Disrupted Day); and
(b) the next Disruption Fallback specified in the relevant Issue Terms in respect of such Synthetic Currency FX Rate shall apply.

(ii) EM Valuation Fallback Postponement

“EM Valuation Fallback Postponement” means, in respect of a Synthetic Currency FX Rate (which term shall include, where the relevant Issue Terms provides that the prior applicable Disruption Fallback is “Fallback Reference Price”, the Synthetic Currency FX Rate determined using the applicable Fallback Reference Price), that if the Calculation Agent determines that the Synthetic Currency FX Rate (as determined by reference to the applicable Fallback Reference Price) is not available (a) on the first Synthetic Currency FX Business Day following the end of the Maximum Days of EM Valuation Postponement (where a Synthetic Currency FX Disruption Event has occurred or exists in respect of the Synthetic Currency FX Rate throughout the Maximum Days of EM Valuation Postponement) or (b) on the Adjusted Rate Calculation Date, then the Rate Calculation Date shall be the first succeeding Synthetic Currency FX Business Day which is not a Disrupted Day, unless the Calculation Agent determines that no such Synthetic Currency FX Business Day has occurred on or before the Maximum Days of EM Valuation Fallback Postponement immediately following such first Synthetic Currency FX Business Day following the end of the Maximum Days of EM Valuation Postponement or the Adjusted Rate Calculation Date, as the case may be. In that case:

(a) the next Synthetic Currency FX Business Day after the EM Valuation Fallback Longstop Date shall be deemed to be the Rate Calculation Date (notwithstanding the fact that such day may be a Disrupted Day); and
(b) the next Disruption Fallback specified in the relevant Issue Terms in respect of such Synthetic Currency FX Rate shall apply.

AC Chapter 8: Synthetic Currency Asset Conditions

If “Cumulative Events” is specified to be applicable in the relevant Issue Terms in respect of a Synthetic Currency FX Rate (which term shall include, where the relevant Issue Terms provides that the prior applicable Disruption Fallback is “Fallback Reference Price”, the Synthetic Currency FX Rate determined using the applicable Fallback Reference Price), then the total number of consecutive calendar days during which such Rate Calculation Date is deferred due to (i) an Unscheduled Holiday, (ii) an EM Valuation Postponement or (iii) an EM Valuation Fallback Postponement (or any combination of (i), (ii) and (iii)), shall not exceed the Maximum Days of Cumulative Postponement in the aggregate.

Accordingly, if by the operation of the above paragraph, a Rate Calculation Date is postponed by the number of calendar days equal to the Maximum Days of Cumulative Postponement, then such Rate Calculation Date shall be the Cumulative Longstop Date. If such Cumulative Postponement Longstop Date is a Disrupted Day or an Unscheduled Holiday, then the Calculation Agent shall determine the Synthetic Currency FX Rate in respect of such Cumulative Postponement Longstop Date in accordance with the next applicable Disruption Fallback.

8.4 Definitions

“Adjusted Rate Calculation Date” has the meaning given to it in Asset Condition 8.3 (EM Currency Provisions).

“Alternative Synthetic Currency FX Benchmark” in respect of a Synthetic Currency FX Benchmark, the first of the indices, benchmarks, rates or other price sources specified as such in the relevant Issue Terms as (a) a Fallback Reference Price for the purposes of a Synthetic Currency FX Administrator/Benchmark Event or (b) otherwise, a Fallback Reference Price for the purposes of a Price Source Disruption, in each case, that is not subject to a Disruption Event and a Synthetic Currency FX Administrator/Benchmark Event.

“Calculation Agent Determination” has the meaning given to it in Asset Condition 8.2 (Synthetic Currency FX Disruption).

“Crossing Currency” means the currency specified as such in the relevant Issue Terms or, if no currency is so specified, U.S. Dollars.

“Crossing-Payment Currency FX Rate” means either:

(a) if “ISDA Determination” is specified to be applicable in the relevant Issue Terms in respect of the Crossing-Payment Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(a) the Settlement Rate Option is as specified in the relevant Issue Terms; and
(b) the Rate Calculation Date is the applicable Rate Calculation Date; or

(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the Crossing-Payment Currency FX Rate, the exchange rate of the Crossing Currency into the Payment Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Crossing-Payment Currency Valuation Time on the relevant Rate Calculation Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Payment

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Currency into the Crossing Currency, the Crossing-Payment Currency FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the Crossing-Payment Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate.

For the purposes of paragraph (a) above, “FX Transaction”, “Settlement Rate”, “Settlement Rate Option” and “Spot Rate” have the meanings given to them in the 1998 ISDA FX Definitions.

“Crossing-Payment Currency Valuation Time” means the time specified as such in the relevant Issue Terms or, if no time is specified as such, the time selected by the Calculation Agent.

“Cumulative Events” has the meaning given to it in Asset Condition 8.3 (EM Currency Provisions).

“Cumulative Longstop Date” means, in respect of any postponement by a number of days equal to the Maximum Days of Cumulative Postponement, the last day of such postponement.

“Currency” has the meaning given to it in the 1998 ISDA FX Definitions.

“Currency-Reference Dealers” has the meaning given to it in Asset Condition 8.2 (Synthetic Currency FX Disruption).

“Disrupted Day” means any day on which a Synthetic Currency FX Disruption Event occurs.

“Disruption Fallback” means, in respect of a Synthetic Currency FX Rate, Calculation Agent Determination, Fallback Reference Price, Currency-Reference Dealers, Other Published Sources, Postponement, Yen Calculation Agent Determination, Cross Rate Fallback, EM Valuation Postponement and EM Valuation Fallback Postponement. The applicable Disruption Fallback in respect of a Synthetic Currency FX Rate shall be as specified in the relevant Issue Terms, and if two or more Disruption Fallbacks are specified, unless otherwise provided in the relevant Issue Terms, such Disruption Fallbacks shall apply in the order in which they are specified, such that if the Calculation Agent determines that the Synthetic Currency FX Rate cannot be determined by applying one Disruption Fallback, then the next Disruption Fallback specified shall apply.

“EM Valuation Fallback Longstop Date” means, in respect of any postponement by a number of days equal to the Maximum Days of EM Valuation Fallback Postponement, the last day of such postponement.

“EM Valuation Fallback Postponement” means the event described in Asset Condition 8.3(b)(ii) (EM Currency Provisions: EM Valuation Fallback Postponement) above.

“EM Valuation Longstop Date” means, in respect of any postponement by a number of days equal to the Maximum Days of EM Valuation Postponement, the last day of such postponement.

“EM Valuation Postponement” means the event described in Asset Condition 8.3(b)(i) (EM Currency Provisions: EM Valuation Postponement) above.

“Fallback Crossing Currency” means the currency specified as such in the relevant Issue Terms or, if no currency is so specified, U.S. Dollars.

“Fallback Reference Price” has the meaning given to it in Asset Condition 8.2 (Synthetic Currency FX Disruption).

“FX Price Source” means, in respect of a Synthetic Currency FX Rate or a Crossing-Payment Currency FX Rate or a Specified-Crossing Currency FX Rate, the price source(s) (if any) specified as such in the relevant Issue Terms for such Synthetic Currency FX Rate or, if no Synthetic Currency FX Administrator/Benchmark Event Date has occurred and the relevant rate is not published or announced by such FX Price Source at the relevant time, the successor or alternative price source or page/publication for the relevant rate as determined by the Calculation Agent in its sole and absolute discretion.

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"FX Reference Banks" means (i) the institutions specified as such in the relevant Issue Terms; or (ii) if any of the institutions specified as such in the relevant Issue Terms have ceased to exist or quote relevant rates or prices, whether because of merger or otherwise, those institutions specified that continue to exist and quote relevant rates and prices together with such additional number of institutions selected by the Calculation Agent, as is required to increase the number of existing and quoting institutions to the number of institutions originally specified; (iii) if institutions are not specified in the relevant Issue Terms, five leading institutions in the relevant currency and foreign exchange markets selected by the Calculation Agent.

"FX Settlement Business Centre" means any additional financial centre relevant for the purposes of determining FX Settlement Days, as specified in the relevant Issue Terms.

"FX Settlement Days" means a day on which commercial banks and foreign exchange markets settle payments in London and each FX Settlement Business Centre specified in the relevant Issue Terms.

"Maximum Days of Cumulative Postponement" means the number of days specified as such in the relevant Issue Terms.

"Maximum Days of EM Valuation Fallback Postponement" means the number of days specified as such in the relevant Issue Terms.

"Maximum Days of EM Valuation Postponement" means the number of days specified as such in the relevant Issue Terms.

"Maximum Days of Postponement" means the number of days specified as such in the relevant Issue Terms.

"Maximum Days of Unscheduled Holiday Postponement" means the number of calendar days specified as such in the relevant Issue Terms.

"Number of Cross Rate Rounding Places" means the number specified as such in the relevant Issue Terms.

"Number of FX Settlement Days" means, in respect of the Payment Currency, such number or amount as is specified in the relevant Issue Terms.

"Number of Rate Calculation Business Days" means the number of Rate Calculation Business Days specified as such in the relevant Issue Terms.

"Number of Reciprocal Rounding Places" means the number specified as such in the relevant Issue Terms.

"Other Published Sources" has the meaning given to it in Asset Condition 8.2 (Synthetic Currency FX Disruption).

"Payment Currency" means the Currency specified as such in the relevant Issue Terms.

"Postponement" has the meaning given to it in Asset Condition 8.2 (Synthetic Currency FX Disruption).

"Principal Financial Centre" has the meaning given to it in Asset Condition 8.5 (Principal Financial Centres).

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if no business centre is specified in the relevant Issue Terms, the Rate Calculation Business Centre(s) shall be the Principal Financial Centres for the relevant currencies.

“Rate Calculation Business Day” means, unless otherwise specified in the relevant Issue Terms, a day (other than a Saturday or Sunday) on which commercial banks are open for general business (including dealings in foreign exchange) in the Rate Calculation Business Centre(s).

“Rate Calculation Date” means, in respect of any Interest Payment Date or the Maturity Date or other date on which an Early Redemption Amount or other amount is due, the day falling the Number of Rate Calculation Business Days prior to such Interest Payment Date, Maturity Date or other date (as the case may be), provided that if such day is an Unscheduled Holiday (if applicable) or a Disrupted Day, the Rate Calculation Date shall be determined in accordance with Asset Condition 8.2 (Synthetic Currency FX Disruption Provisions) and Asset Condition 8.3 (EM Currency Provisions).

“Specified-Crossing Currency FX Rate” means either:

(a) if “ISDA Determination” is specified to be applicable in the relevant Issue Terms in respect of the Specified-Crossing Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(a) the Settlement Rate Option is as specified in the relevant Issue Terms; and
(b) the Rate Calculation Date is the applicable Rate Calculation Date; or

(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the Specified-Crossing Currency FX Rate, the exchange rate of the Specified Currency into the Crossing Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Specified-Crossing Currency Valuation Time on the relevant Rate Calculation Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Crossing Currency into the Specified Currency, the Specified-Crossing Currency FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the Specified-Crossing Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate.

For the purposes of paragraph (a) above, “FX Transaction”, “Settlement Rate”, “Settlement Rate Option” and “Spot Rate” have the meanings given to them in the 1998 ISDA FX Definitions.

“Specified-Crossing Currency Valuation Time” means the time specified as such in the relevant Issue Terms or, if no time is specified as such, the time selected by the Calculation Agent.

“Synthetic Currency FX Administrator/Benchmark Event” means, for a Series and a Synthetic Currency FX Benchmark, any authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register in respect of the Synthetic Currency FX Benchmark or the administrator or sponsor of the Synthetic Currency FX Benchmark has not been, or will not be, obtained or has been, or will be, rejected, refused, suspended or withdrawn by the relevant competent authority or other relevant official body, in each case with the effect that the Bank or the Calculation Agent is not, or will not be, permitted under any applicable law or regulation to use the Synthetic Currency FX Benchmark to perform its or their respective obligations under the Notes.

“Synthetic Currency FX Administrator/Benchmark Event Date” means, for a Series and a Synthetic Currency FX Administrator/Benchmark Event, the date on which the authorisation, registration, recognition, endorsement, equivalence decision, approval or inclusion in any official register is:

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(a) required under any applicable law or regulation; or
(b) rejected, refused, suspended or withdrawn, if the applicable law or regulation provides that the Synthetic Currency FX Benchmark is not permitted to be used under the Notes following rejection, refusal, suspension or withdrawal,

or, in each case, if such date occurs before the Trade Date, the Trade Date.

"Synthetic Currency FX Benchmark" means in respect of a Series, a Crossing-Payment Currency FX Rate, a Specified-Crossing Currency FX Rate, a Synthetic Currency FX Rate, an FX Price Source, a Spot Rate, a Settlement Rate, a Settlement Rate Option (or, if applicable, the index, benchmark or other price source that is referred to in the Crossing-Payment Currency FX Rate, Specified-Crossing Currency FX Rate, Synthetic Currency FX Rate, an FX Price Source, Spot Rate, Settlement Rate or Settlement Rate Option) and which is a measure constituting an index (or a combination of indices) under any law or regulation applicable to the Notes. To the extent that a Fallback Reference Price or an Alternative Synthetic Currency FX Benchmark is used, it shall be a "Synthetic Currency FX Benchmark" from the day on which it is used.

"Synthetic Currency FX Business Day" means a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits in accordance with the market practice of the foreign exchange market), or but for the occurrence of a Synthetic Currency FX Disruption Event would have settled payments and been open for general business, in each of the Principal Financial Centres in respect of the Synthetic Currency FX Rate.

"Synthetic Currency FX Disruption Event" means the occurrence or existence, as determined by the Calculation Agent, of any of the following events, if specified as applicable in the relevant Issue Terms:

(b) "Price Materiality", which means the Primary Rate specified in the relevant Issue Terms differs from the Secondary Rate specified in the relevant Issue Terms by at least the Price Materiality Percentage;
(c) "Currency Replacement", which means a relevant currency ceases to exist and is replaced by a new currency in a relevant jurisdiction;
(d) "Dual Exchange Rate", which means a Synthetic Currency FX Rate splits into dual or multiple currency exchange rates;

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(f) “Illiquidity”, which means it is or becomes or is likely to become impossible or impracticable for the Bank to obtain any currency or obtain or use the Synthetic Currency FX Rate in an appropriate amount;

(i) “Price Source Disruption”, which means it becomes impossible or impracticable to obtain a Synthetic Currency FX Rate on or in respect of a Rate Calculation Date (or, if different, the day on which rates for that Rate Calculation Date would, in the ordinary course, be published or announced by the relevant price source).

“Synthetic Currency FX Rate” means, subject to Asset Condition 8.2 (Synthetic Currency FX Disruption Provisions), either:

(a) if “Cross Rate” is not specified in the relevant Issue Terms to be applicable to such Synthetic Currency FX Rate:

(a) if “ISDA Determination” is specified to be applicable in the relevant Issue Terms in respect of such Synthetic Currency FX Rate, the Spot Rate or Settlement Rate (as applicable) that would be determined by the Calculation Agent under an FX Transaction governed by an ISDA Master Agreement which incorporates the 1998 ISDA FX Definitions and under which:

(I) the Settlement Rate Option is as specified in the relevant Issue Terms; and

(II) the Rate Calculation Date is the applicable Rate Calculation Date; or

(b) if “FX Price Source Determination” is specified to be applicable in the relevant Issue Terms in respect of the Synthetic Currency FX Rate, the exchange rate of the Specified Currency into the Payment Currency (and, if the relevant Issue Terms specify a Number of FX Settlement Days, for settlement in a number of FX Settlement Days equal to the Number of FX Settlement Days), which appears on the FX Price Source at approximately the applicable Synthetic Currency Valuation Time on the relevant Rate Calculation Date, provided that if the exchange rate which appears on the FX Price Source is the exchange rate for the conversion of the Payment Currency into the Specified Currency, the Synthetic Currency FX Rate shall be the reciprocal number (rounded, if “Reciprocal Rounding” is specified in the relevant Issue Terms to be applicable in respect of the Synthetic Currency FX Rate, to the Number of Reciprocal Rounding Places, with half of the relevant unit being rounded upwards) of such exchange rate; or

(b) if “Cross Rate” is specified in the relevant Issue Terms to be applicable to such Synthetic Currency FX Rate, the rate (rounded, if “Cross Rate Rounding” is specified in the relevant Issue

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Terms to be applicable in respect of the Synthetic Currency FX Rate, to the Number of Cross Rate Rounding Places, with half of the relevant unit being rounded upwards) that would be achieved by converting an amount in the Specified Currency into the Crossing Currency using the Specified-Crossing Currency FX Rate and then converting the resultant amount from the Crossing Currency into the Payment Currency at the Crossing-Payment Currency FX Rate.

For the purposes of paragraph (a)(a) above, "FX Transaction", "Settlement Rate", "Settlement Rate Option" and "Spot Rate" have the meanings given to them in the 1998 ISDA FX Definitions.

"Synthetic Currency Valuation Time" means the time specified as such in the relevant Issue Terms or, if no time is specified as such, the time selected by the Calculation Agent.

"Unscheduled Holiday" means, in respect of a day, that such day is not a Synthetic Currency FX Business Day and the market was not aware of such fact (by means of a public announcement or reference to other publicly available information) until a time later than 9:00 a.m. local time in the relevant Principal Financial Centre two Synthetic Currency FX Business Days prior to such day.

"Yen Calculation Agent Determination" has the meaning given to it in Asset Condition 8.2(b) (Disruption Fallbacks).

8.5 Principal Financial Centres

Currency	Principal Financial Centre(s)
Algerian Dinar	Algiers
Angolan Kwanza	Luanda
Argentine Peso	Buenos Aires
Australian Dollar	Sydney and Melbourne
Brazilian Real	Brasilia, Rio de Janeiro or São Paulo
Bulgarian Lev	Sofia
Canadian Dollar	Toronto
Chilean Peso	Santiago
Chinese Renminbi	Beijing
Colombian Peso	Bogota
Croatian Kuna	Zagreb
Czech Koruna	Prague
Danish Krone	Copenhagen
Ecuadorian Sucre	Guayaquil
Egyptian Pound	Cairo
Ghanaian Cedi	Accra
Hong Kong Dollar	Hong Kong
Hungarian Forint	Budapest
Indian Rupee	Mumbai
Indonesian Rupiah	Jakarta and Singapore
Israeli Shekel	Tel Aviv

AC Chapter 8: Synthetic Currency Asset Conditions

Currency	Principal Financial Centre(s)
Kazakhstan Tenge	Almaty
Kenyan Shilling	Nairobi
Korean Won	Seoul
Kuwaiti Dinar	Kuwait City
Latvian Lats	Riga
Lebanese Pound	Beirut
Lithuanian Litas	Vilnius
Malaysian Ringgit	Kuala Lumpur and Singapore
Mexican Peso	Mexico City
Moroccan Dirham	Rabat
New Zealand Dollar	Wellington and Auckland
Nigerian Naira	Lagos
Norwegian Krone	Oslo
Pakistani Rupee	Karachi
Peruvian Sol	Lima
Philippine Peso	Manila
Polish Zloty	Warsaw
Romanian Leu	Bucharest
Russian Ruble	Moscow
Saudi Arabian Riyal	Riyadh
Singapore Dollar	Singapore
South African Rand	Johannesburg
Sri Lankan Rupee	Colombo
Sterling	London
Swedish Krona	Stockholm
Swiss Franc	Zurich
Taiwanese Dollar	Taipei
Thai Baht	Bangkok and Singapore
Tunisian Dinar	Tunis
Turkish Lira	Ankara
Ukrainian Hryvnia	Kiev
U.S. Dollar	New York
Venezuelan Bolivar	Caracas
Vietnamese Dong	Hanoi and Singapore
Yen	Tokyo
Zambian Kwacha	Lusaka

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Payout Conditions

PAYOUT CONDITIONS

This section sets out the additional terms and conditions that may apply to the interest and/or redemption payments in respect of the Notes.

These Payout Conditions are only relevant to Notes for which the relevant Final Termsspecifies any of the below Payout Conditions to be applicable. Only those chapters containing a Payout Condition specified in the relevant Final Terms to be applicable will apply to a particular series of Notes.

The following are the additional terms and conditions (the "Payout Conditions") that apply to Notes as may be specified in the relevant Issue Terms. The Payout Conditions are set out as follows:

Coupon Payout Conditions

The following chapters each relate to a different method of calculating the interest (if any) in respect of the Notes (as may be specified in the Issue Terms):

Structured Floating Rate Coupon Payout Conditions CPC Chapter 1
Inverse Floating Rate Coupon Payout Conditions CPC Chapter 2
Fixed Rate Step-up/Step-down Coupon Payout Conditions CPC Chapter 3
Fixed to Floating Coupon Payout Conditions CPC Chapter 4
Floating to Fixed Coupon Payout Conditions CPC Chapter 5
Fixed to Floating Switchable Coupon Payout Conditions CPC Chapter 6
Floating to Fixed Switchable Coupon Payout Conditions CPC Chapter 7
Fixed Rate Range Accrual Coupon Payout Conditions CPC Chapter 8
Floating Rate Range Accrual Coupon Payout Conditions CPC Chapter 9
Fixed Rate Dual Range Accrual Coupon Payout Conditions CPC Chapter 10
Floating Rate Dual Range Accrual Coupon Payout Conditions CPC Chapter 11
Digital Coupon Payout Conditions CPC Chapter 12
Inflation-Linked Coupon Payout Conditions CPC Chapter 13
Inflation Protected Coupon Payout Conditions CPC Chapter 14
Performance Coupon Payout Conditions CPC Chapter 15
Annualised Performance Coupon Payout Conditions CPC Chapter 16

Redemption Payout Conditions

The following chapters each relate to a different method of calculating the Redemption Amount (as may be specified in the Issue Terms):

Performance Redemption Payout Conditions RPC Chapter 1
Performance Plus Downside Redemption Payout Conditions RPC Chapter 2
Performance Plus Conditional Downside Redemption Payout Conditions RPC Chapter 3
Absolute Performance Redemption Payout Conditions RPC Chapter 4
Reverse Convertible Redemption Payout Conditions RPC Chapter 5
Reverse Convertible Plus Conditional Downside Redemption Payout Conditions RPC Chapter 6
Inflation Protected Redemption Payout Conditions RPC Chapter 7

260

Payout Conditions

Dual Currency Redemption Payout Conditions

RPC Chapter 8

261

CPC Chapter 1: Structured Floating Rate Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Structured Floating Rate Coupon” to be applicable.

The following terms and conditions (the “Structured Floating Rate Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Structured Floating Rate Coupon” is “Applicable”. These Structured Floating Rate Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Structured Floating Rate Coupon Payout Conditions, the relevant Asset Conditions, and/or the Base General Conditions, these Structured Floating Rate Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Structured Floating Rate Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Structured Floating Rate Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Structured Floating Rate Coupon Payout Conditions to a Payout Condition are to a section or clause of these Structured Floating Rate Coupon Payout Conditions.

1 Structured Floating Rate Coupon

1.1 Definitions

For the purposes of these Structured Floating Rate Coupon Payout Conditions, the following terms shall have the following meanings:

“Cap” means, in respect of any Interest Accrual Period, the fixed rate, ISDA Rate, Screen Rate, CMS Rate or Variable Rate specified in the Issue Terms (or percentage thereof specified in the Issue Terms) and determined as if such rate were an “Underlying Rate” in accordance with the provisions of Asset Condition 4.3 (Determination of the Underlying Rate). If Cap is specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Cap shall be infinity for such Interest Accrual Period.

“Floating Rate of Interest” means a rate calculated as follows:

$$
MIN{MAX[(Leverage \times Relevant Rate) + Margin, Floor], Cap}.
$$

“Floor” means, in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the relevant Issue Terms, the percentage (which shall be greater than zero) specified under the heading “Floor” in such table adjacent to the relevant Interest Accrual Period. If Floor is specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Floor shall be zero for such Interest Accrual Period.

“Leverage” means, in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the relevant Issue Terms, the value or percentage specified under the heading “Leverage” in such table adjacent to the relevant Interest Accrual Period. If Leverage is specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Leverage shall be 100 per cent. or 1 (as the context may require) for such Interest Accrual Period.

“Margin” means, in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the relevant Issue Terms, the percentage (which may be positive or negative) specified under the heading “Margin” in such table adjacent to the relevant Interest Accrual Period. If Margin is specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Margin shall be zero for such Interest Accrual Period.

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"MAX" followed by a series of amounts inside brackets, means whichever is the greater of the amounts separated by a comma inside those brackets.

"MIN" followed by a series of amounts inside brackets, means whichever is the lesser of the amounts separated by a comma inside those brackets.

"Relevant Rate" means the ISDA Rate, Screen Rate, CMS Rate or Variable Rate specified as such under the section "Relevant Rate" in the relevant Issue Terms and determined as if such rate were a "Underlying Rate" in accordance with the provisions of Asset Condition 4.3 (Determination of the Underlying Rate).

1.2 Rate of Interest

The Rate of Interest applicable to the Notes in respect of any Interest Accrual Period to which the Structured Floating Rate Coupon Payout Conditions apply (as specified in the relevant Issue Terms) shall be the Floating Rate of Interest.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

263

CPC Chapter 2: Inverse Floating Rate Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Inverse Floating Rate Coupon” to be applicable.

The following terms and conditions (the “Inverse Floating Rate Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Inverse Floating Rate Coupon” is “Applicable”. These Inverse Floating Rate Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Inverse Floating Rate Coupon Payout Conditions, the relevant Asset Conditions, and/or the Base General Conditions, these Inverse Floating Rate Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Inverse Floating Rate Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Inverse Floating Rate Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Inverse Floating Rate Coupon Payout Conditions to a Payout Condition are to a section or clause of these Inverse Floating Rate Coupon Payout Conditions.

2 Inverse Floating Rate Coupon

2.1 Definitions

For the purposes of these Inverse Floating Rate Coupon Payout Conditions, the following terms shall have the following meanings:

“Fixed Rate of Interest” means, in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the relevant Issue Terms, the rate specified under the heading “Fixed Rate of Interest” in such table adjacent to the relevant Interest Accrual Period.

“MAX” followed by a series of amounts inside brackets, means whichever is the greater of the amounts separated by a comma inside those brackets.

“MIN” followed by a series of amounts inside brackets, means whichever is the lesser of the amounts separated by a comma inside those brackets.

CPC Chapter 2: Inverse Floating Rate Coupon Payout Conditions

"Variable Rate of Interest" means a rate calculated as follows:

$$
MIN{MAX[Fixed\ Rate\ of\ Interest\ -\ (Leverage\ \times Relevant\ Rate), Floor], Cap}.
$$

2.2 Rate of Interest

The Rate of Interest applicable to the Notes in respect of any Interest Accrual Period to which the Inverse Floating Rate Coupon Payout Conditions apply (as specified in the relevant Issue Terms) shall be the Variable Rate of Interest.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

265

CPC Chapter 3: Fixed Rate Step-up/Step-down Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Fixed Rate Step-up/Step-down Coupon” to be applicable.

The following terms and conditions (the “Fixed Rate Step-up/Step-down Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Fixed Rate Step-up/Step-down Coupon” is “Applicable”. These Fixed Rate Step-up/Step-down Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Fixed Rate Step-up/Step-down Coupon Payout Conditions, the relevant Asset Conditions and/or the Base General Conditions, these Fixed Rate Step-up/Step-down Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Fixed Rate Step-up/Step-down Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Fixed Rate Step-up/Step-down Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Fixed Rate Step-up/Step-down Coupon Payout Conditions to a Payout Condition are to a section or clause of these Fixed Rate Step-up/Step-down Coupon Payout Conditions.

3 Fixed Rate Step-up/Step-down Coupon

3.1 Rate of Interest

The Rate of Interest applicable to the Notes in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the relevant Issue Terms to which the Fixed Rate Step-up/Step-down Coupon Payout Conditions apply (as specified in such Issue Terms), shall be the rate per annum specified under the heading “Rate of Interest” in such table adjacent to the relevant Interest Accrual Period.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

266

CPC Chapter 4: Fixed to Floating Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Fixed to Floating Coupon” to be applicable.

The following terms and conditions (the “Fixed to Floating Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Fixed to Floating Coupon” is “Applicable”. These Fixed to Floating Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Fixed to Floating Coupon Payout Conditions, the relevant Asset Conditions and/or the Base General Conditions, these Fixed to Floating Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Fixed to Floating Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Fixed to Floating Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Fixed to Floating Coupon Payout Conditions to a Payout Condition are to a section or clause of these Fixed to Floating Coupon Payout Conditions.

4 Fixed to Floating Coupon

4.1 Definitions

For the purposes of these Fixed to Floating Coupon Payout Conditions, the following terms shall have the following meanings:

“Coupon Flip Date” means the date specified as such in the relevant Issue Terms.

“Fixed Rate of Interest” means, in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the “Fixed Rate Provisions” section of the relevant Issue Terms, the rate specified under the heading “Fixed Rate of Interest” in such table adjacent to the relevant Interest Accrual Period.

“Floating Rate of Interest” means a rate calculated as follows:

$$
MIN{MAX[(Leverage \times Relevant Rate) + Margin, Floor], Cap}.
$$

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CPC Chapter 4: Fixed to Floating Coupon Payout Conditions

"Margin" means, in respect of any Interest Accrual Period specified under the heading "Interest Accrual Period" in the table in the relevant Issue Terms, the percentage (whether positive or negative) specified under the heading "Margin" in such table adjacent to the relevant Interest Accrual Period. If Margin is specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Margin shall be zero for such Interest Accrual Period.

"MAX" followed by a series of amounts inside brackets, means whichever is the greater of the amounts separated by a comma inside those brackets.

"MIN" followed by a series of amounts inside brackets, means whichever is the lesser of the amounts separated by a comma inside those brackets.

4.2 Rate of Interest

The Rate of Interest applicable to the Notes from time to time shall be:

(a) for each Interest Accrual Period to which the Fixed to Floating Coupon Payout Conditions apply (as specified in the relevant Issue Terms) ending prior to the relevant Coupon Flip Date, the Fixed Rate of Interest in respect of such Interest Accrual Period; or

(b) for each Interest Accrual Period to which the Fixed to Floating Coupon Payout Conditions apply (as specified in the relevant Issue Terms) beginning on or after the relevant Coupon Flip Date, the Floating Rate of Interest in respect of such Interest Accrual Period.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

268

CPC Chapter 5: Floating to Fixed Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Floating to Fixed Coupon” to be applicable.

The following terms and conditions (the “Floating to Fixed Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Floating to Fixed Coupon” is “Applicable”. These Floating to Fixed Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Floating to Fixed Coupon Payout Conditions, the relevant Asset Conditions and/or the Base General Conditions, these Floating to Fixed Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Floating to Fixed Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Floating to Fixed Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Floating to Fixed Coupon Payout Conditions to a Payout Condition are to a section or clause of these Floating to Fixed Coupon Payout Conditions.

5 Floating to Fixed Coupon

5.1 Definitions

For the purposes of these Floating to Fixed Coupon Payout Conditions, the following terms shall have the following meanings:

“Coupon Flip Date” means the date specified as such in the relevant Issue Terms.

“Floating Rate of Interest” means a rate calculated as follows:

$$
MIN{MAX[(Leverage \times Relevant Rate) + Margin, Floor], Cap}.
$$

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CPC Chapter 5: Floating to Fixed Coupon Payout Conditions

"Margin" means, in respect of any Interest Accrual Period specified under the heading "Interest Accrual Period" in the table in the "Floating Rate Provisions" section of the relevant Issue Terms, the percentage (whether positive or negative) specified under the heading "Margin" in such table adjacent to the relevant Interest Accrual Period. If Margin is specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Margin shall be zero for such Interest Accrual Period.

"MAX" followed by a series of amounts inside brackets, means whichever is the greater of the amounts separated by a comma inside those brackets.

"MIN" followed by a series of amounts inside brackets, means whichever is the lesser of the amounts separated by a comma inside those brackets.

5.2 Rate of Interest

The Rate of Interest applicable to the Notes from time to time shall be:

(a) for each Interest Accrual Period to which the Floating to Fixed Coupon Payout Conditions apply (as specified in the relevant Issue Terms) ending prior to the relevant Coupon Flip Date, the Floating Rate of Interest in respect of such Interest Accrual Period; or

(b) for each Interest Accrual Period to which the Floating to Fixed Coupon Payout Conditions (as specified in the relevant Issue Terms) beginning on or after the relevant Coupon Flip Date, the Fixed Rate of Interest in respect of such Interest Accrual Period.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

270

CPC Chapter 6: Fixed to Floating Switchable Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Fixed to Floating Switchable Coupon” to be applicable.

The following terms and conditions (the “Fixed to Floating Switchable Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Fixed to Floating Switchable Coupon” is “Applicable”. These Fixed to Floating Switchable Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Fixed to Floating Switchable Coupon Payout Conditions, the relevant Asset Conditions and/or the Base General Conditions, these Fixed to Floating Switchable Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Fixed to Floating Switchable Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Fixed to Floating Switchable Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Fixed to Floating Switchable Coupon Payout Conditions to a Payout Condition are to a section or clause of these Fixed to Floating Switchable Coupon Payout Conditions.

6 Fixed to Floating Switchable Coupon

6.1 Definitions

For the purposes of these Fixed to Floating Switchable Coupon Payout Conditions, the following terms shall have the following meanings:

“Bank Switch Option” has the meaning given to it in Payout Condition 6.3 (Bank Switch Option).

“Coupon Switch Date” means each date specified as such in the relevant Issue Terms.

“Floating Rate of Interest” means a rate calculated as follows:

$$
MIN{MAX[(Leverage \times Relevant Rate) + Margin, Floor], Cap}.
$$

CPC Chapter 6: Fixed to Floating Switchable Coupon Payout Conditions

specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Leverage shall be 100 per cent. or 1 (as the context may require) for such Interest Accrual Period.

“Margin” means, in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the relevant Issue Terms, the percentage (whether positive or negative) specified under the heading “Margin” in such table adjacent to the relevant Interest Accrual Period. If Margin is specified to be not applicable in the relevant Issue Terms in respect of any Interest Accrual Period, the Margin shall be zero for such Interest Accrual Period.

“MAX” followed by a series of amounts inside brackets, means whichever is the greater of the amounts separated by a comma inside those brackets.

“MIN” followed by a series of amounts inside brackets, means whichever is the lesser of the amounts separated by a comma inside those brackets.

“Minimum Notice Period” means the period specified as such in the relevant Issue Terms.

“Relevant Rate” means the ISDA Rate, Screen Rate, CMS Rate or Variable Rate specified as such under the section “Relevant Rate” in the relevant Issue Terms and determined as if such rate were a “Underlying Rate” in accordance with the provisions of Asset Condition 4.3 (Determination of the Underlying Rate).

6.2 Rate of Interest

The Rate of Interest applicable to the Notes from time to time shall be:

(a) if the Bank has exercised the Bank Switch Option:

(a) for each Interest Accrual Period to which the Fixed to Floating Switchable Coupon Payout Conditions apply (as specified in the relevant Issue Terms) ending prior to the relevant Coupon Switch Date, the Fixed Rate of Interest in respect of such Interest Accrual Period; or

(b) for each Interest Accrual Period to which the Fixed to Floating Switchable Coupon Payout Conditions apply (as specified in the relevant Issue Terms) beginning on or after the relevant Coupon Switch Date, the Floating Rate of Interest in respect of such Interest Accrual Period; or

(b) if the Bank has not exercised the Bank Switch Option, the Fixed Rate of Interest.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

6.3 Bank Switch Option

The Bank has the option (the “Bank Switch Option”) to change the Rate of Interest from the Fixed Rate of Interest to the Floating Rate of Interest on any Coupon Switch Date by giving notice to the Noteholders in accordance with Base General Condition 16 (Notices), provided that such notice is given prior to the commencement of the Minimum Notice Period immediately preceding such Coupon Switch Date. If the Bank Switch Option is exercised, the Floating Rate of Interest shall be payable from and including the relevant Coupon Switch Date to but excluding the last Interest Payment Date and the Fixed Rate of Interest shall cease to be payable from and including the relevant Coupon Switch Date. For the avoidance of doubt, the Bank Switch Option may only be exercised once.

CPC Chapter 7: Floating to Fixed Switchable Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Floating to Fixed Switchable Coupon” to be applicable.

The following terms and conditions (the “Floating to Fixed Switchable Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Floating to Fixed Switchable Coupon” is “Applicable”. These Floating to Fixed Switchable Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Floating to Fixed Switchable Coupon Payout Conditions, the relevant Asset Conditions and/or the Base General Conditions, these Floating to Fixed Switchable Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Floating to Fixed Switchable Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Floating to Fixed Switchable Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Floating to Fixed Switchable Coupon Payout Conditions to a Payout Condition are to a section or clause of these Floating to Fixed Switchable Coupon Payout Conditions.

7 Floating to Fixed Switchable Coupon

7.1 Definitions

For the purposes of these Floating to Fixed Switchable Coupon Payout Conditions, the following terms shall have the following meanings:

“Bank Switch Option” has the meaning given to it in Payout Condition 7.3 (Bank Switch Option).

“Coupon Switch Date” means each date specified as such in the relevant Issue Terms.

“Floating Rate of Interest” means a rate calculated as follows:

$$
MIN{MAX[(Leverage \times Relevant Rate) + Margin, Floor], Cap}
$$

CPC Chapter 7: Floating to Fixed Switchable Coupon Payout Conditions

“MAX” followed by a series of amounts inside brackets, means whichever is the greater of the amounts separated by a comma inside those brackets.

“MIN” followed by a series of amounts inside brackets, means whichever is the lesser of the amounts separated by a comma inside those brackets.

“Minimum Notice Period” means the period specified as such in the relevant Issue Terms.

7.2 Rate of Interest

The Rate of Interest applicable to the Notes from time to time shall be:

(a) if the Bank has exercised the Bank Switch Option:

(a) for each Interest Accrual Period to which the Floating to Fixed Switchable Coupon Payout Conditions apply (as specified in the relevant Issue Terms) ending prior to the relevant Coupon Switch Date, the Floating Rate of Interest in respect of such Interest Accrual Period; or

(b) for each Interest Accrual Period to which the Floating to Fixed Switchable Coupon Payout Conditions apply (as specified in the relevant Issue Terms) beginning on or after the relevant Coupon Switch Date, the Fixed Rate of Interest in respect of such Interest Accrual Period.

(b) if the Bank has not exercised the Bank Switch Option, the Floating Rate of Interest.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

7.3 Bank Switch Option

The Bank has the option (the “Bank Switch Option”) to change the Rate of Interest from the Floating Rate of Interest to the Fixed Rate of Interest on any Coupon Switch Date by giving notice to the Noteholders in accordance with Base General Condition 16 (Notices), provided that such notice is given prior to the commencement of the Minimum Notice Period immediately preceding such Coupon Switch Date. If the Bank Switch Option is exercised, the Fixed Rate of Interest shall be payable from and including the relevant Coupon Switch Date to but excluding the last Interest Payment Date and the Floating Rate of Interest shall cease to be payable from and including the relevant Coupon Switch Date. For the avoidance of doubt, the Bank Switch Option may only be exercised once.

CPC Chapter 8: Fixed Rate Range Accrual Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Fixed Rate Range Accrual Coupon” to be applicable.

The following terms and conditions (the “Fixed Rate Range Accrual Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Fixed Rate Range Accrual Coupon” is “Applicable”. These Fixed Rate Range Accrual Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Fixed Rate Range Accrual Coupon Payout Conditions, the relevant Asset Conditions and/or the Base General Conditions, these Fixed Rate Range Accrual Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Fixed Rate Range Accrual Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Fixed Rate Range Accrual Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Fixed Rate Range Accrual Coupon Payout Conditions to a Payout Condition are to a section or clause of these Fixed Rate Range Accrual Coupon Payout Conditions.

8 Fixed Rate Range Accrual Coupon

8.1 Definitions

For the purposes of these Fixed Rate Range Accrual Coupon Payout Conditions, the following terms shall have the following meanings:

“Common Scheduled Trading Day” means each day which is a Scheduled Trading Day for all of the relevant Reference Items.

“Coupon Barrier Event” has the meaning given to it in the relevant Asset Conditions.

“Coupon Barrier Observation Date” has the meaning given to it in the relevant Asset Conditions.

“Coupon Lock-in Event” has the meaning given to it in the relevant Asset Conditions.

“Coupon Valuation Price” means, in respect of any Range Accrual Observation Date:

(a) if the Notes are Index Linked Notes, the following (as applicable):

(a) where the Index Linked Notes relate to a single Index, the Index Level at the Range Accrual Observation Time on such Range Accrual Observation Date; or

(b) where the Index Linked Notes relate to a Basket of Indices, the Index Basket Level in respect of such Range Accrual Observation Date determined in accordance with Asset Condition 1.3 (Index Basket Level);

(b) if the Notes are Currency Linked Notes, the following (as applicable):

(a) where the Currency Linked Notes relate to a single FX Rate, the FX Rate at the Range Accrual Observation Time on such Range Accrual Observation Date; or

(b) where the Currency Linked Notes relate to a Basket of FX Rates, the FX Basket Level in respect of such Range Accrual Observation Date determined in accordance with Asset Condition 3.3 (FX Basket Level);

CPC Chapter 8: Fixed Rate Range Accrual Coupon Payout Conditions

(a) where the Rate Linked Notes relate to a single Underlying Rate, the Underlying Rate at the Range Accrual Observation Time on such Range Accrual Observation Date; or
(a) where the Rate Linked Notes relate to a Basket of Underlying Rates, the Underlying Rate Basket Level in respect of such Range Accrual Observation Date determined in accordance with Asset Condition 4.4 (Underlying Rate Basket Level); or

(d) if the Notes are Multi-Asset Basket Linked Notes, the Multi-Asset Basket Level in respect of such Range Accrual Observation Date determined in accordance with Asset Condition 5.3 (Multi-Asset Basket Level),

provided that, in respect of any Range Accrual Observation Period, the Coupon Valuation Price for any Range Accrual Observation Date falling on or after the Range Accrual Observation Period Cut-Off Date in respect of such Range Accrual Observation Period shall be the Coupon Valuation Price in respect of such Range Accrual Observation Period Cut-Off Date.

"Coupon Valuation Price(Initial)" means:

(a) if the Notes are Index Linked Notes, the Initial Index Level or the Initial Index Basket Level (as applicable);
(b) if the Notes are Currency Linked Notes, the Initial FX Rate or the Initial FX Basket Level (as applicable);
(c) if the Notes are Rate Linked Notes, the Initial Underlying Rate or the Initial Underlying Rate Basket Level (as applicable); or
(d) if the Notes are Multi-Asset Basket Linked Notes, the Initial Multi-Asset Basket Level.

"Disrupted Day", in respect of any Basket Component which is:

"Full Coupon Barrier" means the percentage specified as such in the relevant Issue Terms.

"Initial Fixed Rate Interest Accrual Period" means each Interest Accrual Period falling within the Initial Fixed Rate Period (if any).

"Initial Fixed Rate of Interest" means, in respect of any Interest Accrual Period specified under the heading "Interest Accrual Period" in the table in the relevant Issue Terms, the rate specified under the heading "Initial Fixed Rate of Interest" in such table adjacent to the relevant Interest Accrual Period.

"Initial Fixed Rate Period" means the period (if any) from and including the Initial Fixed Rate Period Start Date to but excluding the Initial Fixed Rate Period End Date.

"Initial Fixed Rate Period Start Date" means the date specified as such (if any) in the relevant Issue Terms.

"Initial Fixed Rate Period End Date" means the date specified as such (if any) in the relevant Issue Terms.

"Lock-in Rate of Interest" means the rate specified as such in the relevant Issue Terms.

"Lower Barrier" means, in respect of each Reference Item or the Basket of Reference Items (as the case may be) and any Range Accrual Barrier Period specified under the heading "Range Accrual Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of the Coupon Valuation Price(Initial)) specified under

276

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the heading “Lower Barrier” in such table adjacent to the relevant Range Accrual Barrier Period, provided that, if an Index Cancellation or Index Administrator/Benchmark Event Date occurs, Asset Condition 1.4(b) (Adjustments to an Index) shall apply.

“Lower Barrier Criterion” means, in respect of any Range Accrual Observation Date:

(a) if “Excess” is specified in the relevant Issue Terms, that the Coupon Valuation Price is higher than the Lower Barrier at all Range Accrual Observation Times on such Range Accrual Observation Date; or
(b) if “Excess/Equal” is specified in the relevant Issue Terms, that the Coupon Valuation Price is higher than or equal to the Lower Barrier at all Range Accrual Observation Times on such Range Accrual Observation Date.

“n” means, in respect of a Range Accrual Observation Period, the number of Range Accrual Observation Dates in such Range Accrual Observation Period on which the Coupon Valuation Price meets the Lower Barrier Criterion with respect to the Lower Barrier and meets the Upper Barrier Criterion with respect to the Upper Barrier; provided that:

(a) if the Lower Barrier Criterion is specified to be not applicable in the relevant Issue Terms, then “n” means, in respect of a Range Accrual Observation Period, the number of Range Accrual Observation Dates in such Range Accrual Observation Period on which the Coupon Valuation Price meets the Upper Barrier Criterion with respect to the Upper Barrier only; or
(b) if the Upper Barrier Criterion is specified to be not applicable in the relevant Issue Terms, then “n” means, in respect of a Range Accrual Observation Period, the number of Range Accrual Observation Dates in such Range Accrual Observation Period on which the Coupon Valuation Price meets the Lower Barrier Criterion with respect to the Lower Barrier only.

“N” means, in respect of a Range Accrual Observation Period, the total number of Range Accrual Observation Dates in such Range Accrual Observation Period. For the avoidance of doubt, if a Range Accrual Observation Date falls on more than one calendar day due to any adjustment pursuant to the definition of “Range Accrual Observation Date” or pursuant to the provisions of Coupon Payout Condition 8.5 (Range Accrual Disruption Provisions), such Range Accrual Observation Date shall only be counted once for the purposes of calculating N.

“Range Accrual Barrier Period” means each period specified as such under the heading “Range Accrual Barrier Period” in the table in the relevant Issue Terms.

“Range Accrual Fixed Rate Interest Accrual Period” means:

(a) if an Initial Fixed Rate Period is specified in the relevant Issue Terms, each Interest Accrual Period falling outside of the Initial Fixed Rate Period; or
(b) if no Initial Fixed Rate Period is specified in the relevant Issue Terms, each Interest Accrual Period.

“Range Accrual Fixed Rate of Interest” means, in respect of any Interest Accrual Period specified under the heading “Interest Accrual Period” in the table in the relevant Issue Terms, the rate specified under the heading “Range Accrual Fixed Rate of Interest” in such table adjacent to the relevant Interest Accrual Period.

“Range Accrual Observation Date” means, in respect of each Range Accrual Observation Period, each date specified as such in the relevant Issue Terms in respect of such Range Accrual Observation Period, provided that if any Range Accrual Observation Date is not a Scheduled Trading Day in respect of any Reference Item:

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CPC Chapter 8: Fixed Rate Range Accrual Coupon Payout Conditions

(a) if the Notes relate to a single Reference Item or if the Notes relate to a Basket of Reference Items and “Range Accrual Common Scheduled Trading Days” is specified to be not applicable in the relevant Issue Terms, such Range Accrual Observation Date in respect of such Reference Item shall be deemed to be the immediately preceding Scheduled Trading Day for such Reference Item; or

(b) if “Range Accrual Common Scheduled Trading Days” is specified to be applicable in the relevant Issue Terms, such Range Accrual Observation Date in respect of all Reference Items shall be deemed to be the immediately preceding Common Scheduled Trading Day,

(c) in each case, provided further that, if any Range Accrual Observation Date (following any adjustment (if applicable) pursuant to paragraph (i) or (ii) above) is a Disrupted Day, such Range Accrual Observation Date shall be determined in accordance with Coupon Payout Condition 8.5 (Range Accrual Disruption Provisions).

Each Range Accrual Observation Date shall be an Observation Date for the purposes of the relevant Asset Conditions. For the avoidance of doubt, the provisions of Coupon Payout Condition 8.5 (Range Accrual Disruption Provisions) shall prevail over any Asset Conditions relating to Disrupted Days in the case of any inconsistency.

“Range Accrual Observation Period” means, unless otherwise specified in the relevant Issue Terms, each Range Accrual Fixed Rate Interest Accrual Period.

“Range Accrual Observation Period Cut-Off Date” means, in respect of any Range Accrual Observation Period, the date specified as such in the relevant Issue Terms.

“Range Accrual Observation Time” has the meaning given to it in the definition of “Coupon Barrier Observation Time” in the relevant Asset Conditions, save that references to “Coupon Barrier Observation Time” shall be deemed to be references to “Range Accrual Observation Time”. Each Range Accrual Observation Time shall be a Coupon Barrier Observation Time for the purposes of the relevant Asset Conditions.

“Scheduled Range Accrual Observation Date” means an original date (following any adjustment (if applicable) pursuant to paragraph (i) or (ii) in the definition of “Range Accrual Observation Date”) that, but for such day being a Disrupted Day, would have been a Range Accrual Observation Date.

“Scheduled Trading Day” means, in respect of any Reference Item which is:

(a) an Index, a Scheduled Trading Day as defined in the Index Linked Asset Conditions;

(b) an FX Rate, an FX Business Day as defined in the Currency Linked Asset Conditions; or

“Snowball Interest Amount” means, in respect of any Interest Payment Date, an amount per Calculation Amount calculated as follows:

(a) the aggregate of all Interest Amounts that would have been payable if $\frac{n}{n}$ was 1 in respect of all Range Accrual Fixed Rate Interest Accrual Periods to and including the Range Accrual Fixed Rate Interest Accrual Period ending on but excluding such Interest Payment Date; minus

(b) the sum of:

(a) the aggregate of all Interest Amounts actually paid; and

(b) the aggregate of all Snowball Interest Amounts previously paid,

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from and including the Interest Commencement Date to but excluding such Interest Payment Date.

"Upper Barrier" means, in respect of each Reference Item or the Basket of Reference Items (as the case may be) and any Range Accrual Barrier Period specified under the heading "Range Accrual Barrier Period" in the table in the relevant Issue Terms, the price, rate, level, percentage or other value (including, for the avoidance of doubt, a percentage of the Coupon Valuation Price(Initial)) specified under the heading "Upper Barrier" in such table adjacent to the relevant Range Accrual Barrier Period provided that, if an Index Cancellation or Index Administrator/Benchmark Event Date occurs, Asset Condition 1.4(b) (Adjustments to an Index) shall apply.

"Upper Barrier Criterion" means, in respect of any Range Accrual Observation Date:

(a) if "Less" is specified in the relevant Issue Terms, that the Coupon Valuation Price is lower than the Upper Barrier at all Range Accrual Observation Times on such Range Accrual Observation Date; or
(b) if "Less/Equal" is specified in the relevant Issue Terms, that the Coupon Valuation Price is lower than or equal to the Upper Barrier at all Range Accrual Observation Times on such Range Accrual Observation Date.

8.2 Rate of Interest

The Rate of Interest applicable to the Notes from time to time shall be:

(a) for any Initial Fixed Rate Interest Accrual Period to which the Fixed Rate Range Accrual Coupon Payout Conditions apply (as specified in the relevant Issue Terms), the Initial Fixed Rate of Interest in respect of such Initial Fixed Rate Interest Accrual Period;
(b) subject to paragraph (c) below, for any Range Accrual Fixed Rate Interest Accrual Period to which the Fixed Rate Range Accrual Coupon Payout Conditions apply (as specified in the relevant Issue Terms), the rate calculated as follows in respect of such Range Accrual Fixed Rate Interest Accrual Period:

$$
\frac {n}{N} \times \text{Range Accrual Fixed Rate of Interest}; \text{ and}
$$

(c) if a Full Coupon Barrier is specified in the relevant Issue Terms, for any Range Accrual Fixed Rate Interest Accrual Period to which the Fixed Rate Range Accrual Coupon Payout Conditions apply (as specified in the relevant Issue Terms) and in respect of which $\frac{n}{N}$ is greater than or equal to the Full Coupon Barrier, the Range Accrual Fixed Rate of Interest,

subject, in each case, to Coupon Payout Condition 8.4 (Lock-in Interest Amount) below.

The Interest Amount shall be calculated in accordance with Base General Condition 5(c) (Interest on Structured Rate Notes).

8.3 Snowball Interest Amount

If "Snowball Interest Amount" is specified to be applicable in the relevant Issue Terms, the provisions of this Coupon Payout Condition 8.3 (Snowball Interest Amount) shall apply.

If a Coupon Barrier Event has occurred in respect of any Coupon Barrier Observation Date, in addition to the Interest Amount, the Snowball Interest Amount (if any) applicable to the Notes in respect of the Interest Accrual Period in which such Coupon Barrier Observation Date falls shall be payable on the Interest Payment Date relating to such Interest Accrual Period.

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8.4 Lock-in Interest Amount

If "Lock-in Interest Amount" is specified to be applicable in the relevant Issue Terms, the provisions of this Coupon Payout Condition 8.4 (Lock-in Interest Amount) shall apply.

If a Coupon Lock-in Event has occurred in respect of any Coupon Barrier Observation Date, the Rate of Interest applicable to the Notes in respect of the Range Accrual Fixed Rate Interest Accrual Period in which such Coupon Barrier Observation Date falls and all subsequent Range Accrual Fixed Rate Interest Accrual Periods shall be the Lock-in Rate of Interest (and the Day Count Fraction shall be that specified in the relevant Issue Terms under the heading "Lock-in Rate of Interest").

8.5 Range Accrual Disruption Provisions

(a) Where the Notes relate to a single Reference Item, if the Calculation Agent determines that any Range Accrual Observation Date is a Disrupted Day, then:

(a) if such Reference Item is an FX Rate, the Calculation Agent shall determine the FX Rate in respect of such Range Accrual Observation Date in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate, provided that, if an FX Administrator/Benchmark Event Date occurs, Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) shall apply; or

(b) if such Reference Item is an Index, the Range Accrual Observation Date shall be the first preceding Scheduled Trading Day immediately prior to the Scheduled Range Accrual Observation Date that is not a Disrupted Day, provided that, if an Index Cancellation or Index Administrator/Benchmark Event Date occurs, Asset Condition 1.4(b) (Adjustments to an Index) shall apply.

(b) Subject to Coupon Payout Condition 8.5(c) to (e) below, where the Notes relate to a Basket of Reference Items, if the Calculation Agent determines that any Range Accrual Observation Date is a Disrupted Day in respect of any Basket Component that is:

(a) an FX Rate, the Calculation Agent shall determine the FX Rate in respect of such Range Accrual Observation Date in accordance with the first applicable FX Disruption Fallback (applied in accordance with its terms) that provides the FX Rate, provided that, if an FX Administrator/Benchmark Event Date occurs, Asset Condition 3.6(c) (FX Administrator/Benchmark Event Date) shall apply.

(c) Subject to Coupon Payout Condition 8.5(vi) below, where the Notes relate to a Basket of Reference Items, and the relevant Issue Terms provide that "Range Accrual Common Scheduled Trading Days" shall not be applicable, if the Calculation Agent determines that any Range Accrual Observation Date is a Disrupted Day in respect of any Basket Component that is an Index, then:

(b) the Range Accrual Observation Date for each Index in respect of which the Scheduled Range Accrual Observation Date is a Disrupted Day (each an "Affected Basket Component") shall be the first preceding Scheduled Trading Day immediately prior to the Scheduled Range Accrual Observation Date that is not a Disrupted Day for such Affected Basket Component.

(d) Subject to Coupon Payout Condition 8.5(vi) below, where the Notes relate to a Basket of Reference Items, and the relevant Issue Terms provide that "Range Accrual Common Scheduled Trading Days" and "Range Accrual Individual Disrupted Days" shall both be applicable, if the

CPC Chapter 8: Fixed Rate Range Accrual Coupon Payout Conditions

Calculation Agent determines that any Range Accrual Observation Date is a Disrupted Day in respect of any Basket Component that is an Index, then:

(b) the Range Accrual Observation Date for each Index in respect of which the Scheduled Range Accrual Observation Date is a Disrupted Day (each an “Affected Basket Component”) shall be the first preceding Scheduled Trading Day immediately prior to the Scheduled Range Accrual Observation Date that is not a Disrupted Day for such Affected Basket Component (notwithstanding the fact that such day may not be a Common Scheduled Trading Day).

(e) Subject to Coupon Payout Condition 8.5(vi) below, where the Notes relate to a Basket of Reference Items, and the relevant Issue Terms provide that “Range Accrual Common Scheduled Trading Days” and “Range Accrual Common Disrupted Days” shall both be applicable, if the Calculation Agent determines that any Range Accrual Observation Date is a Disrupted Day in respect of any Basket Component that is an Index, then the Range Accrual Observation Date for each Basket Component shall be the first preceding Common Scheduled Trading Day immediately prior to the Scheduled Range Accrual Observation Date that is not a Disrupted Day for any Basket Component.

(f) If an Index Cancellation or Index Administrator/Benchmark Event Date occurs, Asset Condition 1.4(b) (Adjustments to an Index) shall apply.

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CPC Chapter 9: Floating Rate Range Accrual Coupon Payout Conditions

This chapter sets out additional terms and conditions which are only applicable to Notes for which the relevant Final Terms specify “Floating Rate Range Accrual Coupon” to be applicable.

The following terms and conditions (the “Floating Rate Range Accrual Coupon Payout Conditions”) shall apply to the Notes if the relevant Issue Terms indicate that “Floating Rate Range Accrual Coupon” is “Applicable”. These Floating Rate Range Accrual Coupon Payout Conditions are subject to supplement or completion in accordance with the relevant Issue Terms. In the case of any inconsistency between these Floating Rate Range Accrual Coupon Payout Conditions, the relevant Asset Conditions and/or the Base General Conditions, these Floating Rate Range Accrual Coupon Payout Conditions will prevail.

Words and expressions defined or used in the relevant Issue Terms shall have the same meanings where used in these Floating Rate Range Accrual Coupon Payout Conditions unless the context otherwise requires or unless otherwise stated. All capitalised terms that are not defined in these Floating Rate Range Accrual Coupon Payout Conditions or elsewhere in the Base Conditions will have the meanings given to them in the relevant Issue Terms.

Unless otherwise specified, references in these Floating Rate Range Accrual Coupon Payout Conditions to a Payout Condition are to a section or clause of these Floating Rate Range Accrual Coupon Payout Conditions.

9 Floating Rate Range Accrual Coupon

9.1 Definitions

For the purposes of these Floating Rate Range Accrual Coupon Payout Conditions, the following terms shall have the following meanings: