Additional risks with respect to specific types of Notes

A wide range of Notes may be issued under the Programme. Notes may have one or more features which contain particular risks for potential investors.

Notes may or may not bear interest. Interest Amounts and Redemption Amounts may be determined on a number of different bases and Notes may accrue separate Interest Amounts determined by reference to different methodologies (each, as specified in the applicable Final Terms, an “Interest Basis”). An investor’s return on its investment in the Notes will depend, among other things, on the Interest Amounts and Redemption Amounts payable thereon.

4.1 Zero Coupon Notes

Except where the Notes bear interest on a separate Interest Basis or are redeemed early, Zero Coupon Notes will bear no interest and an investor will receive no return on the Notes until redemption. Any investors holding these Notes will be subject to the risk that if the Notes are redeemed prior to their Maturity Date, an investor may not be able to reinvest the Amortised Face Amount (see below) so as to receive returns equivalent to the Final Redemption Amount that would, absent such early redemption, have been paid on the Maturity Date.

In general, the prices at which Zero Coupon Notes trade in the secondary market tend to fluctuate more in relation to general changes in interest rates than prices for conventional interest-bearing Notes. The longer the remaining term of the Notes, the greater the price volatility as compared to conventional interest-bearing Notes with comparable maturities.

Zero Coupon Notes are also subject to different early redemption and late payment provisions (see Conditions 5(e)(ii) and 5(j)). In contrast to the scenario described in risk factor 3.6 above, the Early Redemption Amount for Zero Coupon Notes will be the Amortised Face Amount, which is calculated by discounting back to the relevant date of payment the amount that would otherwise have been payable at maturity, using the Amortisation Yield on an annual or semi-annual compounded basis (depending on what is specified in the applicable Final Terms).

4.2 Fixed Rate Notes

Fixed Rate Notes will bear interest at one or more fixed Rates of Interest, each of which will remain constant during the specified Interest Periods.

Fixed Rate Notes 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 fixed rate element of such Notes, and the value of the Notes, may fall. Even if the Notes provide for the fixed Rate of Interest to increase during their term, any periodic increases may not keep pace with any increase in market interest rates. If the Notes provide for the fixed Rate of Interest to decrease during their term, investors are subject to the risk that the revised Rate of Interest will be below the then prevailing 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 yield specified for Fixed Rate Notes is calculated at the Issue Date on the basis of the Issue Price, the fixed rate(s) of interest, the Final Redemption Amount and the original tenor of the Notes. Investors should note that this is not an indication of future yield unless the Notes are held until the Maturity Date.

4.3 Floating Rate Notes

Floating Rate Notes bear interest calculated by reference to a floating Rate of Interest (a “Reference Rate”), which will be subject to market fluctuations in that Reference Rate. Such Reference Rates may be subject to fallbacks if the relevant rate is not published (see Condition 3(b)(ii)(A)). Payments on the Notes may be delayed, or be of a lower quantum than expected, as a result.

If a maximum yield is specified for Floating Rate Notes, such maximum yield will be calculated at the Issue Date on the basis of the Issue Price, the maximum floating rate(s) of interest, the Final Redemption Amount and the original tenor of the Notes.

If a minimum yield is specified for Floating Rate Notes, such minimum yield will be calculated at the Issue Date on the basis of the Issue Price, the minimum floating rate(s) of interest, the Final Redemption Amount and the original tenor of the Notes.

The amount of interest payable on Floating Rate Notes will depend on which of the following Interest Variable Options is applicable: “Screen Rate Determination”, “Rates Variance”, “Asian Option – Interest Rates” or “Digital Option”.

4.3.1 Screen Rate Determination

If “Screen Rate Determination” is applicable, the Variable Rate of Interest to be applied will be based on the relevant benchmark Reference Rate, plus or minus the Margin (if any), after application of the Interest Multiplier (if any) to the resulting amount (see risk factor 8.3 below). Such Variable Rate of Interest will be capped at any specified Maximum Rate of Interest (see risk factor 8.4 below). In any case, the Variable Rate of Interest may be lower than market interest rates and lower than the rate of interest then payable by the Issuer on other floating rate securities.

4.3.2 Rates Variance

If “Rates Variance” is applicable, the Variable Rate of Interest to be applied will depend whether (i) the relevant value for Rate1 (which may be a fixed percentage or based on a benchmark Reference Rate) is greater or less than (ii) the product (the “Variance Hurdle”) of the relevant value for Rate2 (which may be based on a benchmark Reference Rate or be a fixed percentage)‎and the applicable Scaling Factor (see risk factor 8.5).

Where the Interest Multiplier is positive, if the relevant value for Rate1 does not exceed the Variance Hurdle, no Interest Amount will be payable in respect of such Interest Period unless the shortfall is less than any positive Margin applicable to the Notes. Even if the relevant value for Rate1 does exceed the Variance Hurdle, such excess must be greater than any negative Margin for an Interest Amount to be payable.

Conversely, where the Interest Multiplier is negative, if the relevant value for Rate1 exceeds the relevant Variance Hurdle, no Interest Amount will be payable in respect of such Interest Period unless the excess is greater than any negative Margin applicable to the Notes. Even if the relevant value for Rate1 does not exceed the Variance Hurdle, the value of such shortfall must be greater than any positive Margin for an Interest Amount to be payable.

Subject to the relevant Interest Multiplier and Margin, the relevant performance of the rates shall affect the amount of interest, if any, payable to Noteholders. In any case, the Variable Rate of Interest may be lower than market interest rates and lower than the rate of interest then payable by the Issuer on other floating rate securities.

4.3.3 Digital Option

If “Digital Option” is applicable, investors should consider risk factor 7.3 in connection with this risk ‎factor 4.3.

4.3.4 Asian Option – Interest Rates

If “Asian Option – Interest Rates” is applicable, investors should consider risk factor 7.2 in connection with this risk factor 4.3.

4.4 Range Accrual Notes

Range Accrual Notes will bear interest at a fixed rate of interest on each day within the relevant Interest Period for which the specified Range Accrual Condition is satisfied. Given the potential fixed rate of interest that is payable, the risks outlined in risk factor 4.2 above apply to Range Accrual Notes. In addition, certain risks arise in connection with the particular Range Accrual Condition that applies to such Notes.

The quantum of the Interest Amount will depend on the number of days in the relevant Interest Period (N) on which the “Reference Spread” fixes at a level which satisfies the parameters for the applicable Range Accrual Condition (see Condition 3(c)(iii)). Such parameters will be set by reference to a specified Lower Threshold and, in certain cases, Upper Threshold. If the Reference Spread does not fix at a level satisfying the Range Accrual Condition on any of those days, then N will be zero and no Interest Amounts will be payable for such Interest Period. If N is greater than zero, then the applicable Range Accrual Rate of Interest will be the product of a multiplier (equal to N divided by the actual number of calendar days in such Interest Period (A)) and the specified fixed rate, but capped at any specified Maximum Rate of Interest (see risk factor 8.4 below).

The “Reference Spread” (which could be negative) will be the spread of Variable 1 (based on a benchmark Reference Rate) over Variable 2 (which will be a benchmark Reference Rate or otherwise specified to be zero). Consequently, the accrual of interest on Range Accrual Notes on any day (in other words, the value of N for any Interest Period) will depend on how the performance of Variable 1 (or, if Variable 2 is not zero, the relative performance of Variable 1 against Variable 2) compares with the parameters of the Range Accrual Condition. Small movements in the Reference Spread may, therefore, have very large effects on the value of the Notes and the amount of interest to be paid.

Range Accrual Notes may not accrue interest for extended periods of time, if at all. Range Accrual Notes may pay significantly less interest than a conventional Fixed Rate Note issued at the same time paying interest at a fixed rate equal to the maximum potential fixed rate payable on the Range Accrual Notes. This may have a detrimental effect on the market value of the Range Accrual Notes.

4.5 Reference Item Linked Notes

The Issuer may also issue Notes that pay Interest Amount(s) linked to an index, an underlying equity, an ETF share or a basket of underlying equities and/or ETF shares, an inflation index and/or a currency exchange rate (together with a Reference Rate, each a “Reference Item”) and/or a Redemption Amount(s) the timing and/or quantum of which is linked to a Reference Item that is an index, an underlying equity, an ETF share or a basket of underlying equities and/or ETF shares or a currency exchange rate (together “Reference Item Linked Notes”).

Reference Item Linked Notes involve a high degree of risk and may entail significant risks not associated with investments in a conventional debt security. 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.

If Notes are specified to be principal protected, they are principal protected only at maturity. If Notes are specified to be principal protected, such protection is nevertheless dependent on the Issuer, failing which, the Guarantor complying with its obligations with respect to the Notes. If such Notes redeem before their scheduled maturity, except in case of an Event of Default or where their Early Redemption Amount, Autocall Redemption Amount or Optional Redemption Amount (as applicable) is specified as a higher amount, they may return less than the principal protected amount or even zero. In the case of Notes paying a Redemption Amount linked to the Reference Item which are not principal protected (where the Floor % is specified as less than 100 per cent.), the amount paid by the Issuer on redemption of the Notes may be less than the nominal amount of the Notes, together with any accrued interest, and may in certain circumstances be zero. In the case of Notes which bear interest linked to one or more Reference Items, the Interest Amount(s) payable to Noteholders will be contingent on the performance of the relevant Reference Item(s) and on the structure of such Notes. Prospective investors in such Notes should note that, in certain circumstances, they may not receive any Interest Amount. Prospective investors in Reference Item Linked Notes should understand the risks inherent in linking the performance of the Notes to the relevant Reference Item(s) 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, and payments in respect of, the relevant Reference Item Linked Notes may relate, as specified in the applicable Final Terms.

As the Interest Amount(s) and Redemption Amount payable periodically or at maturity 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), considered in the context of the structure of such Notes.

Where the applicable Final Terms specify one or more Reference Item(s), 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. 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 periodic payments of Interest Amounts (if specified in the applicable Final Terms) and/or a Redemption Amount on the Maturity Date, all or some of which may be determined by reference to the performance of the relevant Reference Item(s).

PROSPECTIVE INVESTORS MUST REVIEW THE APPLICABLE FINAL TERMS TO