Obbligazione CitiCorp 0% ( XS1273459534 ) in USD

CitiCorp

100 USD ⇌

Stati Uniti

XS1273459534 ( in USD )

27/06/2059

Prospetto opuscolo dell'obbligazione Citigroup XS1273459534 en USD 0%, scadenza 27/06/2059

1 000 000 USD

48 000 000 USD

Citigroup è una multinazionale statunitense operante nel settore dei servizi finanziari, con attività che includono la gestione patrimoniale, l'investment banking e le operazioni di credito al consumo.

Una dettagliata analisi di mercato rivela l'esistenza dell'obbligazione con codice ISIN XS12734459534, emessa da Citigroup, uno dei principali attori nel panorama finanziario globale con sede negli Stati Uniti, che rappresenta un conglomerato bancario diversificato offrendo una vasta gamma di servizi che spaziano dal consumer banking al corporate e investment banking, nonché alla gestione patrimoniale, affermandosi come pilastro nell'economia americana e internazionale; questa emissione obbligazionaria, di tipologia generica "obbligazione", è denominata in Dollari Statunitensi (USD) ed è stata originata dal paese d'emissione, gli Stati Uniti, con una caratteristica distintiva e di notevole interesse data dal suo tasso d'interesse nominale pari a 0%, il che la qualifica come un'obbligazione zero-coupon, implicando che l'investitore non riceverà pagamenti periodici di cedole durante la vita del titolo, ma il suo rendimento potenziale deriverà esclusivamente dalla differenza tra il prezzo di acquisto (che tipicamente avviene a sconto rispetto al valore nominale) e il valore di rimborso alla pari (100%) alla scadenza, un prezzo attualmente quotato sul mercato al 100% del suo valore nominale indicando una parità rispetto al suo valore facciale al momento dell'analisi; la sua scadenza è fissata per il 27 giugno 2059, delineando un orizzonte temporale di investimento a lungo termine, caratteristica che la rende adatta a strategie di portafoglio con obiettivi a lungo respiro, mentre la dimensione totale dell'emissione ammonta a 48.000.000 USD, configurandosi come un'operazione di considerevole portata nel mercato obbligazionario, con un taglio minimo di acquisto stabilito a 1.000.000 USD, il che posiziona questo strumento per investitori istituzionali o di alto profilo, rappresentando quindi un'opzione specifica per investitori che cercano un'esposizione al debito di un emittente solido come Citigroup con una strategia di investimento che predilige l'accumulo del rendimento a scadenza, senza flussi di cassa intermedi.

Document Outline

#1">CITIGROUP INC. (incorporated in Delaware)

#1">CITIGROUP GLOBAL MARKETS FUNDING LUXEMBOURG S.C.A. (incorporated as a corporate partnership limited by shares (société en commandite par actions) under Luxembourg law, with registered office at 31, Z.A. Bourmicht, L-8070 Bertrange, Grand Duchy of Luxe...

#1">each an issuer under the Citi Global Medium Term Note Programme

#1">Notes issued by Citigroup Global Markets Holdings Inc. only will be unconditionally and irrevocably guaranteed by CITIGROUP INC. (incorporated in Delaware)

#1">Notes issued by Citigroup Global Markets Funding Luxembourg S.C.A. only will be unconditionally and irrevocably guaranteed by CITIGROUP GLOBAL MARKETS LIMITED (incorporated in England and Wales)

#8">Responsibility Statement

#10">The Citigroup Inc. offering circular (the Citigroup Inc. Offering Circular) will comprise this Offering Circular with the exception of:

#10">(a) in the "Overview of the Programme", the information in the sections entitled "Description of Citibank, N.A." and "Business of Citibank, N.A.";

#10">(b) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citibank, N.A." in the section entitled "Issuers";

#10">(c) the information in the section entitled "Documents Incorporated by Reference for the CBNA Offering Circular" and all information incorporated therein by reference thereby;

#10">(d) the information in the section entitled "Description of Citibank, N.A.";

#10">(e) in the "Overview of the Programme", the information in the sections entitled "Description of CGMHI" and "Business of CGMHI";

#10">(f) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Global Markets Holdings Inc." in the section entitled "Issuers";

#10">(g) the information in the section entitled "Documents Incorporated by Reference for the CGMHI Offering Circular" and all information incorporated therein by reference thereby;

#10">(h) the information in the section entitled "Description of Citigroup Global Markets Holdings Inc.";

#10">(i) in the "Overview of the Programme", the information in the sections entitled "Description of CGMFL" and "Business of CGMFL";

#10">(j) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Global Markets Funding Luxembourg S.C.A." in the section entitled "Issuers" and the information se...

#10">(k) the information in the section entitled "Documents Incorporated by Reference for the CGMFL Offering Circular" and all information incorporated therein by reference thereby;

#10">(l) the information in the section entitled "Description of Citigroup Global Markets Funding Luxembourg S.C.A.";

#10">(m) the information in the section entitled "Description of Citigroup Global Markets Limited";

#10">(n) the information in the section entitled "Form of CGMHI Deed of Guarantee";

#10">(o) the information in the section entitled "Form of CGMFL Deed of Guarantee"; and

#10">(p) the information in the section entitled "Form of CGMFL All Monies Guarantee"

#10">The CBNA offering circular (the CBNA Offering Circular) will comprise this Offering Circular with the exception of:

#10">(a) in the "Overview of the Programme", the information in the sections entitled "Description of Citigroup Inc." and "Business of Citigroup Inc.";

#10">(b) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Inc." in the section entitled "Issuers";

#10">(c) the information in the section entitled "Documents Incorporated by Reference for the Citigroup Inc. Offering Circular" and all information incorporated therein by reference thereby;

#10">(d) the information in the section entitled "Description of Citigroup Inc.";

#11">(e) in the "Overview of the Programme", the information in the sections entitled "Description of CGMHI" and "Business of CGMHI";

#11">(f) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Global Markets Holdings Inc." in the section entitled "Issuers" and the information set out under ...

#11">(g) the information in the section entitled "Documents Incorporated by Reference for the CGMHI Offering Circular" and all information incorporated therein by reference thereby;

#11">(h) the information in the section entitled "Description of Citigroup Global Markets Holdings Inc.";

#11">(i) in the "Overview of the Programme", the information in the sections entitled "Description of CGMFL" and "Business of CGMFL";

#11">(j) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Global Markets Funding Luxembourg S.C.A." in the section entitled "Issuers" and the information se...

#11">(k) the information in the section entitled "Documents Incorporated by Reference for the CGMFL Offering Circular" and all information incorporated therein by reference thereby;

#11">(l) the information in the section entitled "Description of Citigroup Global Markets Funding Luxembourg S.C.A.";

#11">(m) the information in the section entitled "Description of Citigroup Global Markets Limited";

#11">(n) the information in the section entitled "Form of CGMHI Deed of Guarantee";

#11">(o) the information in the section entitled "Form of CGMFL Deed of Guarantee"; and

#11">(p) the information in the section entitled "Form of CGMFL All Monies Guarantee".

#11">The CGMHI offering circular (the CGMHI Offering Circular) will comprise this Offering Circular with the exception of:

#11">(a) in the "Overview of the Programme", the information in the sections entitled "Description of Citigroup Inc." and "Business of Citigroup Inc.";

#11">(b) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Inc." in the section entitled "Issuers:";

#11">(c) the information in the section entitled "Documents Incorporated by Reference for the Citigroup Inc. Offering Circular" and all information incorporated therein by reference thereby;

#11">(d) in the "Overview of the Programme", the information in the sections entitled "Description of Citibank, N.A." and "Business of Citibank, N.A.";

#11">(e) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citibank, N.A." in the section entitled "Issuers:";

#11">(f) the information in the section entitled "Documents Incorporated by Reference for the CBNA Offering Circular" and all information incorporated therein by reference thereby;

#11">(g) the information in the section entitled "Description of Citibank, N.A.";

#11">(h) in the "Overview of the Programme", the information in the sections entitled "Description of CGMFL" and "Business of CGMFL";

#12">(i) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Global Markets Funding Luxembourg S.C.A." in the section entitled "Issuers" and the information se...

#12">(j) the information in the section entitled "Documents Incorporated by Reference for the CGMFL Offering Circular" and all information incorporated therein by reference thereby;

#12">(k) the information in the section entitled "Description of Citigroup Global Markets Funding Luxembourg S.C.A.";

#12">(l) the information in the section entitled "Description of Citigroup Global Markets Limited";

#12">(m) the information in the section entitled "Form of CGMFL Deed of Guarantee"; and

#12">(n) the information in the section entitled "Form of CGMFL All Monies Guarantee".

#12">The CGMFL offering circular (the CGMFL Offering Circular) will comprise this Offering Circular with the exception of:

#12">(a) in the "Overview of the Programme", the information in the sections entitled "Description of Citigroup Inc." and "Business of Citigroup Inc.";

#12">(b) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Inc." in the section entitled "Issuers:";

#12">(c) the information in the section entitled "Documents Incorporated by Reference for the Citigroup Inc. Offering Circular" and all information incorporated therein by reference thereby;

#12">(d) the information in the section entitled "Description of Citigroup Inc.";

#12">(e) in the "Overview of the Programme", the information in the sections entitled "Description of Citibank, N.A." and "Business of Citibank, N.A.";

#12">(f) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citibank, N.A." in the section entitled "Issuers:";

#12">(g) the information in the section entitled "Documents Incorporated by Reference for the CBNA Offering Circular" and all information incorporated therein by reference thereby;

#12">(h) the information in the section entitled "Description of Citibank, N.A.";

#12">(i) in the "Overview of the Programme", the information in the sections entitled "Description of CGMHI" and "Business of CGMHI";

#12">(j) in the "Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)", the information set out under the sub-heading "Citigroup Global Markets Holdings Inc." in the section entitled "Issuers" and the information set out under ...

#12">(k) the information in the section entitled "Documents Incorporated by Reference for the CGMHI Offering Circular" and all information incorporated therein by reference thereby; and

#12">(l) the information in the section entitled "Description of Citigroup Global Markets Holdings Inc."; and

#12">(m) the information in the section entitled "Form of CGMHI Deed of Guarantee".

#14">IMPORTANT INFORMATION RELATING TO THE USE OF THIS OFFERING CIRCULAR AND OFFERS OF NOTES GENERALLY

#19">U.S. INFORMATION

#19">AVAILABLE INFORMATION

#19">NOTICE TO RESIDENTS IN THE KINGDOM OF SAUDI ARABIA

#20">NOTICE TO RESIDENTS IN THE KINGDOM OF BAHRAIN

#21">NOTICE TO RESIDENTS IN THE STATE OF QATAR

#23">Overview of the Programme

#43">Summary of the Programme for purposes of the Swiss Financial Services Act (FINSA)

#47">Risk Factors

#47">Risks relating to Citigroup Inc., CBNA, CGMHI, the CGMHI Guarantor, CGMFL and the CGMFL Guarantor
#48">The ability of each of Citigroup Inc., CBNA, CGMHI, the CGMHI Guarantor and the CGMFL Guarantor to fulfil its obligations under the Notes issued by Citigroup Inc., CBNA, CGMHI or CGMFL, as the case may be, is dependent on the earnings of Citigroup Inc...
#49">The ability of CGMFL to fulfil its obligations under the Notes issued by it is dependent on CGML performing its counterparty obligations owed to CGMFL
#49">The military action by Russia in Ukraine, and related sanctions, export controls and similar actions or laws could adversely affect the Group's business activities and customers
#49">Rapidly evolving challenges and uncertainties related to the COVID-19 pandemic in the US and globally will likely continue to have negative impacts on the Group's businesses and results of operations and financial condition
#51">Any negative impact of the COVID-19 pandemic on the Group, including the relevant Issuer, the CGMHI Guarantor or the CGMFL Guarantor, could adversely affect the ability of the relevant Issuer, the CGMHI Guarantor or the CGMFL Guarantor to fulfil its o...
#51">Under U.S. banking law, Citigroup Inc. may be required to apply its available funds to support the financial position of its banking subsidiaries, rather than to fulfil its obligations under the Notes
#51">The inclusion of contractual stay provisions in the terms and conditions of the Notes could materially adversely affect the rights of Noteholders in a resolution scenario
#52">Ability to Substitute the CGMHI Guarantor or the CGMFL Guarantor in Insolvency
#53">A reduction of the Issuer's and/or, where the Issuer is CGMHI, the CGMHI Guarantor's and/or, where the Issuer is CGMFL, the CGMFL Guarantor's ratings may reduce the market value and liquidity of the relevant Notes
#53">Citigroup Inc. may not be able to maintain adequate liquidity or funding which may result in a negative impact on the market value of the Notes issued by it or (in the case of Notes issued by CGMHI) its ability to fulfil its guarantor obligations
#54">Actions taken under the Banking Act in relation to the CGMFL Guarantor could materially adversely affect the value of and return on Notes issued by CGMFL
#55">Anti-tax avoidance directives
#55">Citigroup Inc., Its Management and Its Businesses Must Continually Review, Analyse and Successfully Adapt to Ongoing Regulatory and Legislative Uncertainties and Changes in the U.S. and Globally

#56">The FDIC has Broad Power to Override Acceleration Rights of the Holders in a Conservatorship or Receivership of CBNA

#56">CBNA Faces Ongoing Significant Regulatory Changes and Uncertainties in the U.S. and in non-U.S. Jurisdictions in which it Operates, and Such Changes may Negatively Impact the Management of its Business, Results of its Operations and its Ability to Com...

#57">CBNA Is Subject to Capital Adequacy and Liquidity Rules, and If It Fails to meet These Rules, Its Financial Condition Would be Adversely Affected

#58">Risks relating to Notes

#58">An investment in Notes is only suitable for investors who:

#58">(a) have the requisite knowledge and experience in financial and business matters to evaluate the merits and risks of an investment in Notes;

#58">(b) have access to, and knowledge of, appropriate analytical tools to evaluate such merits and risks in the context of their financial situation;

#58">(c) are capable of bearing the economic risk of an investment in Notes for an indefinite period of time; and

#58">(d) recognise that it may not be possible to dispose of Notes for a substantial period of time, if at all.

#59">Risks related to the structure of a particular issue of Notes

#59">Risks Relating to Renminbi Notes

#61">An investment in fixed rate Renminbi Notes is subject to interest rate risks

#61">General risks and risks relating to Underlying(s)

#63">Certain factors affecting the value and trading price of Notes linked to Underlying(s)

#64">Risks related to implementation of regulatory reform

#64">Changes in exchange rates and exchange controls could result in a loss of the value of the Notes and payments in respect thereof in relation to the currency of the jurisdiction of an investor

#65">The unavailability of currencies could result in a loss of value of the Notes and payments thereunder

#65">Certain considerations associated with Notes relating to security indices

#66">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to Security Indices

#68">Certain considerations associated with Notes relating to inflation indices

#69">Adjustment Events and Early Redemption in relation to Notes linked to inflation indices

#70">Certain considerations associated with Notes relating to commodity indices

#70">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to commodity indices

#71">Certain considerations associated with Notes linked to commodities

#72">Risk related to the possible rolling mechanism of commodity futures contracts

#72">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to commodities

#73">Certain considerations associated with Notes relating to shares

#73">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to shares

#74">Certain considerations associated with Notes relating to depositary receipts

#75">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to depositary receipts

#76">Certain considerations associated with Notes relating to ETF shares

#77">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to ETF shares

#78">Certain considerations associated with Notes relating to mutual fund interests

#79">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to mutual fund interests

#80">Certain considerations associated with Notes relating to currency exchange rates

#80">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to currency exchange rates where the EMTA Provisions are not specified as applicable in the applicable Pricing Supplement

#81">Where the EMTA Provisions are specified as applicable in the applicable Pricing Supplement

#81">Settlement Disruption

#82">Certain considerations associated with Notes relating to warrants

#83">Early Redemption in relation to Notes linked to warrants

#83">Certain considerations associated with Notes relating to Citi proprietary indices

#84">Disruption of an index component of a Citi proprietary index and determination of the level of such Citi proprietary index

#84">Disrupted Days, Adjustment Events and Early Redemption in relation to Notes linked to Citi proprietary indices

#85">Risks relating to "big data" indices

#86">Certain considerations associated with Notes relating to dividend futures contracts

#87">Adjustments to Valuation Dates, Adjustment Events and Early Redemption in relation to Notes linked to dividend futures contracts

#88">Certain considerations associated with Notes relating to rates

#89">Disrupted Days in relation to Notes linked to rates

#89">Adjustment Events and Early Redemption Event in relation to Notes linked to rates

#89">Risks relating to Reference Asset Linked Notes

#91">An investment in Notes is only suitable for investors who:

#91">(a) have the requisite knowledge and experience in financial and business matters and, in the case of Reference Asset Linked Notes, experience with respect to credit derivative transactions and credit-linked debt instruments to evaluate the merits and...

#91">(b) have access to, and knowledge of, appropriate analytical tools to evaluate such merits and risks in the context of their financial situation;

#91">(c) are capable of bearing the economic risk of an investment in Notes for an indefinite period of time; and

#91">(d) recognise that it may not be possible to dispose of Notes for a substantial period of time, if at all.

#92">Reference Entity Credit Risk
#92">Local Access Risks

#93">Settlement Risk in respect of Reference Asset Linked Notes

#95">Cessation of Interest

#95">Investors should be aware that:

#95">(a) in the case of interest-bearing Notes other than Non-Accruing Notes, no interest will be payable in respect of the Notes from the interest period commencing immediately preceding a Risk Event Determination Date ; and

#95">(b) in the case of interest-bearing Notes that are Non-Accruing Notes, no interest will be payable in respect of the Notes from the interest payment date immediately preceding a Risk Event Determination Date.

#95">Cessation of Instalments

#95">ISDA Credit Derivatives Definitions

#96">Postponed Maturity Date

#96">Postponement for Potential Risk Event

#96">Credit Deterioration Requirement

#96">Amendment of terms in accordance with market convention

#96">The Calculation Agent may from time to time amend the terms of the Reference Asset Linked Notes in any manner which the Calculation Agent determines in a commercially reasonable manner is necessary or desirable from the perspective of the Issuer, the...

#96">(i) to incorporate and/or reflect further or alternative documents or protocols from time to time published by or on behalf of ISDA with respect to the documentation, trading or settlement of credit derivative transactions and/or the operation or appl...

#96">(ii) to reflect or account for market practice for credit derivative transactions.

#97">No Investigation or Due Diligence of Reference Entities
#97">Successions
#97">Early Redemption upon Merger Event
#97">Determinations by Credit Derivatives Determinations Committees
#98">Disapplication of DC Resolution

#98">No Claim against or interest in any Reference Entity

#98">Reference Assets Only Settlement - exposure to Reference Asset

#99">Currency Risks

#99">Regulatory Change Event and Tax Deduction Event adjustment

#100">Determinations and potential conflicts of interest

#101">Regulatory initiatives may restrict certain investments and have an adverse impact on the regulatory treatment of the Notes

#101">Risks relating to Credit Linked Notes

#101">Credit risk of the Reference Entity

#101">Legal risks

#102">Jurisdictional differences and assessment of Reference Entity

#102">Actions of Reference Entities

#102">Historical performance may not predict future performance

#102">Concentrated credit risk where Reference Entities are concentrated in the same sectors or regions

#103">Impact of a Credit Event or Risk Event on principal and interest

#104">Exposure to Credit Events and successions prior to the Trade Date or Issue Date

#105">Successors

#105">Volatile prices

#105">Market liquidity

#107">Requirement for publicly available information

#107">Risks associated with Auction Redemption following a Credit Event

#108">Risks relating to physical redemption following a Credit Event or Risk Event, as applicable

#109">Risks associated with Cash Redemption or LA Cash Redemption following a Credit Event or Risk Event, as applicable

#110">Fixed Recovery Redemption or LA Fixed Recovery Redemption may be subject to a fixed recovery price

#110">"Cheapest-to-Deliver" risk

#111">Payments of the Credit Linked Notes may be deferred or suspended

#111">Payment/Delivery Failure Event … failure to pay

#111">Determination of Event Determination Dates and Credit Event Redemption Dates post Scheduled Maturity Date

#112">Adjustments and amendments

#112">Potential conflicts of interest

#113">The Issuer, the Dealer, the Determination Agent or the Calculation Agent may have dealings and information in relation to Reference Entities

#113">The Credit Linked Notes do not represent an interest in obligations of Reference Entities

#114">Operational risks and notices

#114">Interpretation of terms

#114">Foreign exchange risks

#115">Discretionary powers of the Calculation Agent

#115">Risks relating to Nth-to-Default Basket Credit Linked Notes

#115">Risks relating to Linear Basket Credit Linked Notes and Local Access Basket Credit Linked Notes

#116">Risks relating to Index Untranched Credit Linked Notes, Index Tranched Credit Linked Notes and Portfolio Tranched Credit Linked Notes

#118">Index Untranched Credit Linked Notes … adjustments

#118">Risks relating to Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes

#119">Additional Risk Events are indicative of defaults or risks specific to certain local access jurisdictions and will apply to Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes to the extent that such events apply ...

#119">(a) an Inconvertibility Event … the occurrence after the Additional Risk Event Start Date of any event or condition that has the effect of it being impossible, illegal or impracticable for, or of prohibiting, restricting or materially delaying the abi...

#119">(b) an Ownership Restriction Event … the occurrence after the Additional Risk Event Start Date of any event or existence of any condition that has the effect of it being illegal, impossible or impracticable for, or has the effect of prohibiting, restr...

#119">(c) a Settlement/Custodial Event … (i) the occurrence after the Additional Risk Event Start Date of the bankruptcy of any Custodian or (ii) in respect of the Reference Investor Assets owned by a Reference Investor or any amount received in respect the...

#119">(d) a Reference Assets Liquidation Value Trigger Event … in respect of Local Access Basket Credit Linked Notes only, the delivery after the Additional Risk Event Start Date of a notification from the Calculation Agent (acting in its sole and absolute ...

#119">(e) a Non-Viability Trigger Event … the occurrence after the Additional Risk Event Start Date of such event as defined under and occurring pursuant to the terms of the Reference Assets Conditions relating to the relevant Reference Asset (including (i)...

#120">(f) a Market Value Trigger Event … the delivery after the Additional Risk Event Start Date of a notification from the Calculation Agent (acting in its sole and absolute discretion) to the Issuer that it has determined that on any Business Day the Fair...

#120">(g) a Reference Assets Restructuring Event … the cancellation, reduction, suspension or deferral (in whole or in part) after the Additional Risk Event Start Date of any interest, dividend or any other form of distribution in respect of the Reference A...

#120">(h) any other Additional Risk Event specified as such in the applicable Pricing Supplement.

#120">Exposure to Reference Asset

#120">Currency Risks

#121">Prospective investors should in particular be aware that, due to exchange rate fluctuations as well as the other risks set out herein and depending upon the terms of the Notes:

#121">(a) the market price of the Notes may be very volatile;

#121">(b) payment of principal or interest may occur at a different time or in a different currency than expected;

#121">(c) they may lose all or a substantial portion of their principal and/or interest payments;

#121">(d) the relevant currencies may be subject to significant fluctuations that may not correlate with changes in interest rates, currencies or other indices; and

#121">(e) the timing of changes in a relevant currency may affect the actual yield to investors, even if the average level is consistent with their expectations.

#121">Adjustment following a Regulatory Change Event

#121">Adjustment in respect of an Interest Tax Deduction Amount or Principal Tax Deduction Amount

#121">Mandatory early redemption of Notes

#122">Realisation Disruption

#122">Certain considerations regarding hedging

#122">Adjustment Events and Early Termination Events for Notes other than Underlying Linked Notes

#123">Partly-paid Notes

#123">Notes with a multiplier or other leverage factor can be volatile investments and Noteholders may not receive returns that directly correlate to the performance of the relevant Underlying(s)

#123">Furthermore, the amounts payable under such Notes may not directly correlate to the rise and/or fall in price or level of an Underlying. For example, Notes may provide that any positive performance of any Underlying is subject to:

#123">(a) a percentage participation factor that is less than 100 per cent. of a price or level of such Underlying;

#123">(b) a cap or maximum amount; and/or

#123">(c) a negative spread or percentage deduction to a relevant price, level or value of such Underlying,

#123">Fixed Rate Notes

#123">Fixed/Floating Rate Notes

#124">Notes with a variable rate of interest

#124">Leveraging Risk

#124">Illegality in relation to Notes

#124">The United States tax treatment of certain notes is unclear

#125">Possible Taxable Event for U.S. Federal Income Tax Purposes

#125">Possible U.S. Federal Withholding Tax under Section 871(m)

#125">Reportable Transactions

#126">Meetings of Noteholders and Modifications

#126">Notes other than French Law Notes

#126">French Law Notes

#126">Substitution of CGMFL and/or the CGMFL Guarantor

#127">Determinations

#127">Change of law

#127">Notes subject to optional redemption by the Issuer

#127">Notes which are issued at a substantial discount or premium may experience price volatility in response to changes in market interest rates

#127">Risks relating to Notes that are Physical Delivery Notes

#127">Settlement disruption event and failure to deliver

#128">Issuer's option to substitute assets or to pay the alternate cash redemption amount

#128">Expenses

#129">Variation of Settlement

#129">Risks relating to Notes that are Dual Currency Notes

#129">Risks in investing in the form of certificateless depositary interests in CREST

#130">Green Bonds, Social Bonds and Social Finance Bonds

#131">Notes or Underlying(s) labelled or marketed as having "green", "sustainable", "social", "ESG", "inclusive" or similar objectives

#131">Risks related to the market generally

#131">Impact of fees, commissions and/or inducements on the Issue Price and/or offer price

#132">The secondary market

#133">Credit ratings may not reflect all risks

#134">Legal investment considerations may restrict certain investments

#134">Changes in any applicable tax law or practice may have an adverse effect on a Noteholder

#134">French Law Notes have the benefit of an English law guarantee

#134">Risks associated with Notes linked to rates, benchmark reform and the discontinuance and replacement of "IBORS"

#136">(a) where applicable, if a replacement Reference Rate can be determined by interpolating from other tenors of the relevant Reference Rate, such interpolated Reference Rate, together with an adjustment; or
#136">(b) a pre-nominated replacement Reference Rate, together with an adjustment; or
#136">(c) an index, benchmark, other price source or rate or fall-back rate or methodology for calculating an index, benchmark, other price source, rate or fall-back rate which is recognised or acknowledged as being an industry standard replacement for over...
#136">(d) an index, benchmark or other price source that the Calculation Agent or Determination Agent (as applicable) determines to be a commercially reasonable alternative for the Reference Rate, together with an adjustment.

#139">Failure by the Calculation Agent or Determination Agent (as applicable) and/or the Issuer to give notice

#139">The regulation and reform of "benchmarks" may adversely affect the value of and return on Notes linked to or referencing such "benchmarks"

#142">If the Calculation Agent or Determination Agent (as applicable) determines that a Reference Rate Event has occurred in respect of a Reference Rate, it will:

#142">(A) seek to identify a Replacement Reference Rate,

#142">(B) calculate the adjustment, if any, to the Replacement Reference Rate that it determines is required in order to reduce any transfer of economic value from (i) the Issuer to the Noteholders or (ii) the Noteholders to the Issuer, in each case that wo...

#142">(C) determine such other amendments to the Notes which it considers are necessary and/or appropriate in order to account for the effect of the replacement of the relevant Reference Rate with the Replacement Reference Rate (as adjusted by the Adjustmen...

#142">(D) determine the timing for when the Replacement Reference Rate, Adjustment Spread and such other adjustments will become effective in relation to the relevant Notes.

#142">(I) the application of any Replacement Reference Rate (notwithstanding the inclusion of any Adjustment Spread), together with any consequential amendments (or, if applicable, any changes made following a material change), could result in a lower amoun...
#142">(II) more than one possible replacement rate may exist and if so it is possible that the Calculation Agent or Determination Agent (as applicable) may select the least favourable replacement rate;
#142">(III) any such Replacement Reference Rate (as adjusted by any Adjustment Spread) and any consequential amendments (or, if applicable, any changes made following a material change) shall apply without requiring the consent of the holders of Notes; and
#142">(IV) if the Calculation Agent or Determination Agent (as applicable) determines that it is not possible or commercially reasonable to adjust the terms of the Notes to account for the effect of any Reference Rate Event or to identify a Replacement Refe...

#143">If, following a Reference Rate Event but prior to any adjustments or replacement having occurred, the relevant Reference Rate is required for any determination in respect of the Notes and at that time, no amendments have occurred in accordance with t...

#143">(A) if the Reference Rate is still available, and it is still permitted under applicable law or regulation for the Notes to reference the Reference Rate and for the Issuer and/or the Calculation Agent or Determination Agent (as applicable) to use the ...

#143">(B) if the Reference Rate is no longer available or it is no longer permitted under applicable law or regulation for the Notes to reference the Reference Rate or for the Issuer and/or the Calculation Agent or Determination Agent (as applicable) to use...

#143">Risks relating to the occurrence of an Administrator/Benchmark Event

#144">Risks relating to the discontinuance or unavailability of a Rate

#144">Swap rates may be materially amended or discontinued

#144">The Calculation Agent or Determination Agent may make consequential changes to the Conditions if the methodology of a relevant rate is amended

#145">Risks in connection with "Shift" and "Lag" methodologies

#145">Methodologies for determining interest payable in respect of Floating Rate Notes linked to SONIA or SOFR may differ substantially

#145">Considerations relating to linear interpolation provisions

#145">Risks relating to inflation

#146">Potential conflicts of interest

#146">Post issuance information

#147">Documents Incorporated by Reference for the Citigroup Inc. Offering Circular

#147">The information contained in the following documents is hereby incorporated by reference into this Offering Circular and is deemed to be part of this Offering Circular:

#147">(a) the Annual Report of Citigroup Inc. on Form 10-K for the years ended 31 December 2021 and 31 December 2022 filed with the United States Securities and Exchange Commission (the SEC) on 27 February 2023 (the Citigroup Inc. 2022 Form 10-K);

#147">(b) the Quarterly Report of Citigroup Inc. on Form 10-Q for the three months ended 31 March 2023 filed with the SEC on 5 May 2023 (the Citigroup Inc. 2023 Q1 Form 10-Q);

#147">(c) the Current Report of Citigroup Inc. on Form 8-K filed with the SEC on 14 July 2023 (the Citigroup Inc. 2023 Q2 Form 8-K) in connection with the publication of its Quarterly Financial Data Supplement for the quarter ended 30 June 2023;

#147">(d) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" contained in the Citigroup Inc. Offering Circular dated 17 December 2013 (the 2013 Citigroup Inc. Offe...

#147">(e) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" contained in the Citigroup Inc. Offering Circular dated 22 January 2015 (the January 2015 Citigroup In...

#147">(f) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" contained in the Citigroup Inc. Offering Circular dated 23 December 2015 (the December 2015 Citigroup ...

#147">(g) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the Citigroup Inc. Offering Circular dated 16 Decemb...

#147">(h) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the Citigroup Inc. Offering Circular dated 15 Decemb...

#147">(i) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the Citigroup Inc. Offering Circular dated 14 Decemb...

#147">(j) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the Citigroup Inc. Offering Circular dated 13 Decemb...

#147">(k) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the Citigroup Inc. Offering Circular dated 11 Decemb...

#148">(l) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the Citigroup Inc. Offering Circular dated 3 Septemb...

#148">(m) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the Citigroup Inc. Offering Circular (No.2) dated 29...

#148">

#149">

#150">

#155">Documents Incorporated by Reference for the CBNA Offering Circular

#155">The information contained in the following documents is hereby incorporated by reference into this Offering Circular and is deemed to be part of this Offering Circular:

#155">(a) the Annual Report of Citigroup Inc. on Form 10-K for the years ended 31 December 2021 and 31 December 2022 filed with the SEC on 27 February 2023 (the Citigroup Inc. 2022 Form 10-K);

#155">(b) the Quarterly Report of Citigroup Inc. on Form 10-Q for the three months ended 31 March 2023 filed with the SEC on 5 May 2023 (the Citigroup Inc. 2023 Q1 Form 10-Q);

#155">(c) the Current Report of Citigroup Inc. on Form 8-K filed with the SEC on 14 July 2023 (the Citigroup Inc. 2023 Q2 Form 8-K) in connection with the publication of its Quarterly Financial Data Supplement for the quarter ended 30 June 2023;

#155">(d) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CBNA Offering Circular dated 11 December 2020 (t...

#155">(e) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CBNA Offering Circular dated 3 September 2021 (t...

#155">(f) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CBNA Offering Circular (No.2) dated 29 July 2022...

#156">

#157">

#158">

#159">

#161">Documents Incorporated by Reference for the CGMHI Offering Circular

#161">The information contained in the following documents is hereby incorporated by reference into this Offering Circular and is deemed to be part of this Offering Circular:

#161">(a) the annual financial report of CGMHI for the year ended 31 December 2021 containing its audited consolidated financial statements as of 31 December 2021 and 2020 and for each of the years in the three year period ended 31 December 2021 (the CGMHI ...

#161">(b) the annual financial report of CGMHI for the year ended 31 December 2022 containing its audited consolidated financial statements as of 31 December 2022 and 2021 and for each of the years in the three year period ended 31 December 2022 (the CGMHI ...

#161">(c) the Annual Report of Citigroup Inc. on Form 10-K for the years ended 31 December 2021 and 31 December 2022 filed with the SEC on 27 February 2023 (the Citigroup Inc. 2022 Form 10-K);

#161">(d) the Quarterly Report of Citigroup Inc. on Form 10-Q for the three months ended 31 March 2023 filed with the SEC on 5 May 2023 (the Citigroup Inc. 2023 Q1 Form 10-Q);

#161">(e) the Current Report of Citigroup Inc. on Form 8-K filed with the SEC on 14 July 2023 (the Citigroup Inc. 2023 Q2 Form 8-K) in connection with the publication of its Quarterly Financial Data Supplement for the quarter ended 30 June 2023;

#161">(f) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes") contained in the CGMHI Offering Circular dated 23 December 2015 (the December 2015 CGMHI Offering Cir...

#161">(g) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes") and the Pro Forma Pricing Supplement contained in the CGMHI Offering Circular dated 16 December 2016 ...

#161">(h) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMHI Offering Circular dated 15 December 2017 (...

#161">(i) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMHI Offering Circular dated 14 December 2018 (...

#161">(j) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMHI Offering Circular dated 13 December 2019 (...

#161">(k) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMHI Offering Circular dated 11 December 2020 (...

#162">(l) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMHI Offering Circular dated 3 September 2021 (...

#162">(m) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMHI Offering Circular (No.2) dated 29 July 202...

#165">

#166">

#167">

#170">Documents Incorporated by Reference for the CGMFL Offering Circular

#170">The information contained in the following documents is hereby incorporated by reference into this Offering Circular and is deemed to be part of this Offering Circular:

#170">(a) the annual report of CGMFL containing its audited non-consolidated financial statements for the period ended 31 December 2021 (the CGMFL 2021 Annual Report);

#170">(b) the annual report of CGMFL containing its audited non-consolidated financial statements for the period ended 31 December 2022 (the CGMFL 2022 Annual Report);

#170">(c) the annual report and audited consolidated financial statements of the CGMFL Guarantor for the year ended 31 December 2021 (the CGMFL Guarantor 2021 Annual Report);

#170">(d) the annual report and audited consolidated financial statements of the CGMFL Guarantor for the year ended 31 December 2022 (the CGMFL Guarantor 2022 Annual Report);

#170">(e) the Annual Report of Citigroup Inc. on Form 10-K for the years ended 31 December 2021 and 31 December 2022 filed with the SEC on 27 February 2023 (the Citigroup Inc. 2022 Form 10-K);

#170">(f) the Quarterly Report of Citigroup Inc. on Form 10-Q for the three months ended 31 March 2022 filed with the SEC on 5 May 2023 (the Citigroup Inc. 2023 Q1 Form 10-Q);

#170">(g) the Current Report of Citigroup Inc. on Form 8-K filed with the SEC on 14 July 2023 (the Citigroup Inc. 2023 Q2 Form 8-K) in connection with the publication of its Quarterly Financial Data Supplement for the quarter ended 30 June 2023;

#170">(h) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes") contained in CGMFL Offering Circular dated 17 December 2013 (the 2013 CGMFL Offering Circular);

#170">(i) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes") contained in CGMFL Offering Circular dated 22 January 2015 (the January 2015 CGMFL Offering Circular);

#170">(j) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes") contained in the CGMFL Offering Circular dated 23 December 2015 (the December 2015 CGMFL Offering Cir...

#170">(k) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes") and the Pro Forma Pricing Supplement contained in the CGMFL Offering Circular dated 16 December 2016 ...

#170">(l) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMFL Offering Circular dated 15 December 2017 (...

#170">(m) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMFL Offering Circular dated 14 December 2018 (...

#171">(n) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMFL Offering Circular dated 13 December 2019 (...

#171">(o) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMFL Offering Circular dated 11 December 2020 (...

#171">(p) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMFL Offering Circular dated 3 September 2021 (...

#171">(q) the Terms and Conditions of the Notes (comprising the "General Conditions of the Notes" and "Schedules to the Terms and Conditions of the Notes" and the Pro Forma Pricing Supplement contained in the CGMFL Offering Circular (No.2) dated 29 July 202...

#180">Description of Citigroup Inc.

#181">Citi Resolution Plan (CSA, etc.) in relation to Notes issued by Citigroup Inc.

#181">In response to feedback received from the Federal Reserve and FDIC, Citigroup Inc. took the following actions:

#181">(a) Citicorp LLC (Citicorp), an existing wholly-owned subsidiary of Citigroup Inc., was established as an intermediate holding company for certain of Citigroup Inc.'s operating material legal entities;

#182">(b) Citigroup Inc. executed an inter-affiliate agreement with Citicorp, Citigroup Inc.'s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigro...

#182">(c) pursuant to the Citi Support Agreement:

#182">(i) Citigroup Inc. made an initial contribution of assets, including certain high-quality liquid assets and inter-affiliate loans (the Contributable Assets), to Citicorp, and Citicorp became the business as usual funding vehicle for Citigroup Inc.'s o...
#182">(ii) Citigroup Inc. will be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup Inc. to, among other things, meet Citigroup Inc.'s near-term cash needs;
#182">(iii) in the event of a Citigroup Inc. bankruptcy, Citigroup Inc. will be required to contribute most of its remaining assets to Citicorp; and

#182">(d) the obligations of both Citigroup Inc. and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, are secured pursuant to a security agreement.

#182">Citi Resolution Plan (CSA, etc.) in relation to Notes issued by Citibank, N.A.

#183">In response to feedback received from the Federal Reserve and FDIC, Citigroup Inc. took the following actions:

#183">(a) Citicorp LLC (Citicorp), an existing wholly-owned subsidiary of Citigroup Inc., was established as an intermediate holding company for certain of Citigroup Inc.'s operating material legal entities, including CBNA;

#183">(b) Citigroup Inc. executed an inter-affiliate agreement with Citicorp, Citigroup Inc.'s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigro...

#183">(c) pursuant to the Citi Support Agreement:

#183">(i) Citigroup Inc. made an initial contribution of assets, including certain high-quality liquid assets and inter-affiliate loans (the Contributable Assets), to Citicorp, and Citicorp became the business as usual funding vehicle for Citigroup Inc.'s o...
#183">(ii) Citigroup Inc. will be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup Inc. to, among other things, meet Citigroup Inc.'s near-term cash needs;
#183">(iii) in the event of a Citigroup Inc. bankruptcy, Citigroup Inc. will be required to contribute most of its remaining assets to Citicorp; and

#184">(d) the obligations of both Citigroup Inc. and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, are secured pursuant to a security agreement.

#184">Citi Resolution Plan (CSA, etc.) in relation to Notes issued by Citigroup Global Markets Holdings Inc.

#184">In response to feedback received from the Federal Reserve and FDIC, Citigroup Inc. took the following actions:

#184">(a) Citicorp LLC (Citicorp), an existing wholly-owned subsidiary of Citigroup Inc., was established as an intermediate holding company for certain of Citigroup Inc.'s operating material legal entities, including CGMHI;

#184">(b) Citigroup Inc. executed an inter-affiliate agreement with Citicorp, Citigroup Inc.'s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigro...

#184">(c) pursuant to the Citi Support Agreement:

#184">(i) Citigroup Inc. made an initial contribution of assets, including certain high-quality liquid assets and inter-affiliate loans (the Contributable Assets), to Citicorp, and Citicorp became the business as usual funding vehicle for Citigroup Inc.'s o...
#185">(ii) Citigroup Inc. will be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup Inc. to, among other things, meet Citigroup Inc.'s near-term cash needs;
#185">(iii) in the event of a Citigroup Inc. bankruptcy, Citigroup Inc. will be required to contribute most of its remaining assets to Citicorp; and

#185">(d) the obligations of both Citigroup Inc. and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, are secured pursuant to a security agreement.

#185">Directors and executive officers of Citigroup Inc.

#186">Committees of the Board of Directors

#187">Auditors

#188">Material contracts

#188">Use of Proceeds

#188">Constitutional Documents

#188">Corporate authorities

#188">Legal proceedings

#189">Significant change and material adverse change

#190">Description of Citibank, N.A.

#190">Common equity of CBNA and major shareholders

#190">Citi Resolution Plan (CSA, etc.) in relation to Notes issued by Citibank, N.A.

#191">In response to feedback received from the Federal Reserve and FDIC, Citigroup Inc. took the following actions:

#191">(a) Citicorp LLC (Citicorp), an existing wholly-owned subsidiary of Citigroup Inc., was established as an intermediate holding company for certain of Citigroup Inc.'s operating material legal entities, including CBNA;

#191">(b) Citigroup Inc. executed an inter-affiliate agreement with Citicorp, Citigroup Inc.'s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigro...

#191">(c) pursuant to the Citi Support Agreement:

#191">(i) Citigroup Inc. made an initial contribution of assets, including certain high-quality liquid assets and inter-affiliate loans (the Contributable Assets), to Citicorp, and Citicorp became the business as usual funding vehicle for Citigroup Inc.'s o...
#191">(ii) Citigroup Inc. will be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup Inc. to, among other things, meet Citigroup Inc.'s near-term cash needs;
#191">(iii) in the event of a Citigroup Inc. bankruptcy, Citigroup Inc. will be required to contribute most of its remaining assets to Citicorp; and

#191">(d) the obligations of both Citigroup Inc. and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, are secured pursuant to a security agreement.

#192">Board of Directors

#192">Committees of the Board of Directors

#193">Use of Proceeds

#193">Material Contracts

#194">Corporate Authorities

#194">Legal proceedings

#194">Significant change and material adverse change

#195">Description of Citigroup Global Markets Holdings Inc.

#195">Institutional Clients Group

#196">Description of corporate structure/governance

#196">Corporate system

#196">Corporate objects

#196">Constitutional Documents

#196">Authorised and issued share capital

#196">Voting power of shareholders

#197">Election of directors

#198">Audit Committee

#198">Dividends

#198">Liquidation, dissolution or winding up; pre-emptive rights

#198">Preferred stock

#199">Auditors

#199">Use of Proceeds

#199">Material contracts

#199">Corporate authorities

#199">Legal proceedings

#200">Significant change and material adverse change

#201">Description of Citigroup Global Markets Funding Luxembourg S.C.A.

#202">Management of CGMFL

#203">Principal activities

#203">CGMFL may also:

#203">(i) grant security for funds raised, including notes and other debt or equity instruments issued, and for the obligations of CGMFL; and

#203">(ii) enter into all necessary agreements, including, but not limited to underwriting agreements, marketing agreements, management agreements, advisory agreements, administration agreements and other contracts for services, selling agreements, deposit ...

#203">CGMFL grants loans and other forms of funding to entities belonging to the same group and therefore competes in any market in which the Group has a presence. Corporate governance

#204">Share capital

#204">Approved statutory auditor (Réviseur d'entreprises agréé) and financial year

#204">Taxation

#204">Employees

#205">Accounts

#205">Material contracts

#205">Use of Proceeds

#205">Corporate authorities

#205">Legal proceedings

#205">Significant change and material adverse change

#206">All Monies Guarantee granted by CGML

#207">Description of Citigroup Global Markets Limited

#207">Directors of CGML

#207">Principal activities

#207">Articles of Association

#208">Corporate governance

#208">Share capital of CGML and major shareholders

#208">Auditor of CGML

#208">Material contracts

#208">Corporate authorities

#208">Legal proceedings

#208">Significant change and material adverse change

#209">Documents Obtainable Free of Charge

#209">1. For the period of 12 months following the date of this Offering Circular, copies of the following documents will be obtainable free of charge in electronic form and obtainable (in the case of (j) below, where the relevant Notes are not listed on th...

#209">(a) the Fiscal Agency Agreement, as amended or supplemented (which includes the form of the Global Registered Note Certificates and the definitive Registered Note Certificates);
#209">(b) the Dealership Agreement, as amended or supplemented;
#209">(c) any Swedish Agency Agreement and the Finnish Securities Issuing and Paying Agency Agreement, in each case, once entered into in respect of the Swedish Notes and the Finnish Notes, respectively;
#209">(d) the CGMHI Deed of Guarantee, as amended or supplemented;
#209">(e) the CGMFL Deed of Guarantee, as amended or supplemented;
#209">(f) the Deeds of Covenant, as amended or supplemented;
#209">(g) the Rule 144A Deed Polls, as amended or supplemented;
#209">(h) the Articles of Association of CBNA;
#209">(i) each Offering Circular and any relevant supplement thereto relating to any outstanding issue of Notes;
#209">(j) each Pricing Supplement;
#209">(k) a copy of this Offering Circular together with any supplement to this Offering Circular or further Offering Circular;
#209">(l) the annual report and audited consolidated financial statements of Citigroup Inc. for the years ended 31 December 2022 and 31 December 2021, the annual report and audited consolidated financial statements of CGMHI for the years ended 31 December 2...
#209">(m) the most recently published interim unaudited consolidated financial statements of Citigroup Inc., the most recently published interim unaudited consolidated financial statements of CGMHI, the most recent unaudited interim non-consolidated financi...

#209">2. Copies of the latest annual report and audited consolidated financial statements of Citigroup Inc. and the latest quarterly interim unaudited consolidated financial statements of Citigroup Inc. may be obtained at the specified offices of each of th...

#210">3. For the period of 12 months following the date of this Offering Circular, copies of the following documents will be available as set out below:

#210">(i) the Restated Certificate of Incorporation and By-Laws of Citigroup Inc., at https://www.ise.ie/debt_documents/Compiled%20COI%20and%20by%20laws%20of%20Citigroup%20Inc._ea4d4037-22fc-4fef-9db9-c588a9d0f052.pdf;
#210">(ii) the By-Laws of CBNA, at https://www.citigroup.com/rcs/citigpa/akpublic/storage/public/citibankna_bl.pdf;
#210">(iii) the Restated Certificate of Incorporation and By-Laws of CGMHI, at https://ise-prodnr-eu-west-1-data-integration.s3-eu-west-1.amazonaws.com/202307/876e5eed-4435-4769-876a-71985b198542.pdf;
#210">(iv) the articles of incorporation of CGMFL, at https://www.ise.ie/debt_documents/Articles%20of%20Association%20of%20Citigroup%20Global%20Markets%20Funding%20Luxembourg%20S.C.A_a4201b67-8a7e-4210-8eba-343e5ab254a3.pdf; and
#210">(v) the articles of association of the CGMFL Guarantor, at https://www.ise.ie/debt_documents/CGML%20Articles%20of%20Association_21fa092b-f7c7-488d-a700-4e1cbcd3fe44.pdf.

#211">General Description of the Programme

#212">Swiss Product Description

#212">PRODUCT DESCRIPTION

#212">1. General Information about the Notes

#212">2. Product Categories

#212">Capital Protection Products (SSPA Category 11)

#212">Yield Enhancement Products (SSPA Category 12)

#212">Participation Products (SSPA Category 13)

#213">Investment Products with Additional Credit Risk (SSPA Category 14)

#213">Leverage Products (SSPA Category 20)

#213">3. Description of Certain Product Features

#215">4. Explanation of Mechanism of Certain Product Types

#215">(a) Capital Protection Products (SSPA Category 11)
- #215">(i) Capital Protection Note with Participation (SSPA Category 1100)
- #215">(ii) Barrier Capital Protection Note (SSPA Category 1130)
- #215">(iii) Capital Protection Note with Twin Win (SSPA Category 1135)
- #216">(iv) Capital Protection Note with Coupon (SSPA Category 1140)
#216">(b) Yield Enhancement Products (SSPA Category 12)
- #216">(i) Discount Certificate (SSPA Category 1200)
- #217">(ii) Barrier Discount Certificate (SSPA Category 1210)
- #217">(iii) Reverse Convertible (SSPA Category 1220)
- #217">(iv) Barrier Reverse Convertible (SSPA Category 1230)
- #218">(v) Reverse Convertible with Conditional Coupon (SSPA Category 1255)
- #218">(vi) Barrier Reverse Convertible with Conditional Coupon (SSPA Category 1260)
#219">(c) Participation Products (SSPA Category 13)
- #219">(i) Tracker Certificate (SSPA Category 1300)
- #219">(ii) Outperformance Certificate (SSPA Category 1310)
- #220">(iii) Bonus Certificate (SSPA Category 1320)
- #220">(iv) Bonus Outperformance Certificate (SSPA Category 1330)
- #220">(v) Twin-Win Certificates (SSPA Category 1340)
#221">(d) Investment Products with Additional Credit Risk (SSPA Category 14)
- #221">(i) Credit Linked Notes (SSPA Category 1400)
- #221">(ii) Certificate with Conditional Capital Protection and Additional Credit Risk (SSPA Category 1410)
- #222">(iii) Yield Enhancement Certificate with Additional Credit Risk (SSPA Category 1420)
- #222">(iv) Participation Certificate with Additional Credit Risk (SSPA Category 1430)
#223">(e) Leverage Products (SSPA Category 20)
- #223">(i) Warrant (SSPA Category 2100)
- #223">(ii) Spread Warrant (SSPA Category 2110)
- #223">(iii) Warrant with Knock-Out (SSPA Category 2200)
- #224">(iv) Mini-Futures (SSPA Category 2210)
- #224">(v) Constant-Leverage Certificate (SSPA Category 2300)

#225">Description of the Return of Credit Linked Notes

#225">Credit Events
#225">Impact of a Credit Event or Risk Event on principal and interest
#227">Successors
#227">Exposure to Credit Events and successions prior to the Trade Date or Issue Date
#228">Reference Obligations under the Credit Linked Notes
#228">Asset Package Delivery
#229">Sovereign Restructured Deliverable Obligations
#229">M(M)R Restructuring and Movement Option
#230">Auction Redemption following a Credit Event
#230">Physical redemption following a Credit Event or Risk Event
#231">Outstanding Principal Balance

#231">Partial cash redemption and Fallback Cash Redemption

#232">Final Physical Redemption Cut-Off Date

#232">Delivery of Loans

#232">Payment/Delivery Failure Event … failure to deliver

#232">Cash Redemption or LA Cash Redemption following a Credit Event or Risk Event, as applicable
#233">Fixed Recovery Redemption or LA Fixed Recovery Redemption may be subject to a fixed recovery price
#233">No early redemption or Frustration
#233">Merger Events and Early Redemption in certain circumstances
#234">Relevant Credit Events and Relevant Risk Events disregarded
#234">Local Access Credit Linked Notes

#234">Risk Events

#234">Additional Risk Events are indicative of defaults or risks specific to certain local access jurisdictions and will apply to Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes to the extent that such events apply ...

#234">(a) an Inconvertibility Event - the occurrence after the Additional Risk Event Start Date of any event or condition that has the effect of it being impossible, illegal or impracticable for, or of prohibiting, restricting or materially delaying the abi...

#234">(b) an Ownership Restriction Event - the occurrence after the Additional Risk Event Start Date of any event or existence of any condition that has the effect of it being illegal, impossible or impracticable for, or has the effect of prohibiting, restr...

#235">(c) a Settlement/Custodial Event - (i) the occurrence after the Additional Risk Event Start Date of the bankruptcy of any Custodian or (ii) in respect of the Reference Investor Assets owned by a Reference Investor or any amount received in respect the...

#235">(d) a Reference Assets Liquidation Value Trigger Event … in respect of Local Access Basket Credit Linked Notes only, the delivery after the Additional Risk Event Start Date of a notification from the Calculation Agent (acting in its sole and absolute ...

#235">(e) a Non-Viability Trigger Event … the occurrence after the Additional Risk Event Start Date of such event as defined under and occurring pursuant to the terms of the Reference Assets Conditions relating to the relevant Reference Asset (including (i)...

#235">(f) a Market Value Trigger Event … the delivery after the Additional Risk Event Start Date of a notification from the Calculation Agent (acting in its sole and absolute discretion) to the Issuer that it has determined that on any Business Day the Fair...

#235">(g) a Reference Assets Restructuring Event … the cancellation, reduction, suspension or deferral (in whole or in part) after the Additional Risk Event Start Date of any interest, dividend or any other form of distribution in respect of the Reference A...

#235">(h) any other Additional Risk Event specified as such in the applicable Pricing Supplement.

#236">Exposure to Reference Asset

#236">Currency Risks

#236">Prospective investors should in particular be aware that, due to exchange rate fluctuations as well as the other risks set out herein and depending upon the terms of the Notes:

#236">(a) the market price of the Notes may be very volatile;

#236">(b) payment of principal or interest may occur at a different time or in a different currency than expected;

#236">(c) they may lose all or a substantial portion of their principal and/or interest payments;

#236">(d) the relevant currencies may be subject to significant fluctuations that may not correlate with changes in interest rates, currencies or other indices; and

#236">(e) the timing of changes in a relevant currency may affect the actual yield to investors, even if the average level is consistent with their expectations.

#237">General Information relating to the Issue of Notes under this Offering Circular

#237">1. Application has been made to the Luxembourg Stock Exchange for Notes (i) to be admitted to trading on the Euro MTF and to be listed on the Official List of the Luxembourg Stock Exchange and (ii) in the case of Notes to be issued to qualified invest...

#237">2. Notes have been accepted for clearance through Euroclear, Clearstream, Luxembourg and DTC. The address of Euroclear is 1 Boulevard du Roi Albert II, B 1210 Brussels, Belgium, the address of Clearstream, Luxembourg is 42 Avenue JF Kennedy, L 1855, ...

#237">3. The Issuer may make an application for clearance of Notes through Euroclear Sweden, Euroclear Finland and Euroclear France. The address of Euroclear Sweden is Euroclear Sweden AB, Box 191, 101 23 Stockholm, Sweden, the address of Euroclear Finland...

#237">4. None of the Issuers, the CGMHI Guarantor and the CGMFL Guarantor will provide any post-issuance information, except if required by any applicable laws and regulations.

#237">5. The Legal Entity Identifier of each of the Issuers is as follows:

#238">6. The Legal Entity Identifier of each of the Guarantors is as follows:

#238">7. Information relating to the past and further performance and volatility of any relevant Underlying is available from internationally recognised published or electronically displayed sources, including the relevant Electronic Page specified in the a...

#238">8. Information relating to historic interest rates in the case of Floating Rate Notes is available from internationally recognised published or electronically displayed sources, including any Page or, as the case may be, page referred to in the applic...

#238">9. Green Bonds

#240">10. Social Bonds issued by Citigroup Inc. or CGMHI

#241">11. Social Finance Bonds issued by Citigroup Inc., CBNA or CGMHI

#244">Accordingly, no assurance can be given to investors that any product will meet any or all of the investor's objectives or expectations regarding investments which are "green", "sustainable", "social", "ESG", "inclusive" or other similar label or that ...

#244">12. Fungible Issues

#245">Issue of Notes

#246">Form of CGMHI Deed of Guarantee

#246">1. DEFINITIONS

#246">2. DEED OF GUARANTEE

#247">3. GUARANTOR AS PRINCIPAL OBLIGOR

#247">4. GUARANTOR'S OBLIGATIONS CONTINUING

#247">5. REPAYMENT OR REDELIVERY TO CGMHI

#247">6. INDEMNITY

#248">7. STATUS OF DEED OF GUARANTEE

#248">8. SETTLEMENT CONDITIONAL

#248">9. NO PRIOR ACTION REQUIRED

#248">(a) to make any demand of CGMHI, save, where applicable, for the presentation of the relevant Note;
#248">(b) to take any action or obtain judgment in any court against CGMHI; or
#248">(c) to make or file any claim or proof in a winding-up or dissolution of CGMHI,

#248">10. POSTPONEMENT OF GUARANTOR'S RIGHTS

#248">(a) to claim any contribution from any other guarantor of CGMHI's obligations under or in respect of the Notes or the CGMHI Deed of Covenant;
#248">(b) to take the benefit (in whole or in part) of any security enjoyed in connection with the Notes or the CGMHI Deed of Covenant by any Holder; or
#248">(c) to be subrogated to the rights of any Holder against CGMHI in respect of amounts paid by the Guarantor under this Deed of Guarantee.

#248">11. TAXATION

#249">12. POWER TO EXECUTE

#249">13. DEPOSIT OF DEED OF GUARANTEE

#249">14. PRODUCTION OF DEED OF GUARANTEE

#249">15. STAMP DUTIES

#249">16. PARTIAL INVALIDITY

#249">17. NOTICES

#250">18. GOVERNING LAW

#251">Form of CGMFL Deed of Guarantee

#251">1. Definitions

#251">2. Deed of Guarantee

#252">3. Guarantor as Principal Obligor

#252">4. Guarantor's Obligations Continuing

#252">5. Repayment or Redelivery to CGMFL

#252">6. Indemnity

#253">7. Status of Deed of Guarantee

#253">8. Settlement Conditional

#253">9. No Prior Action Required

#253">(a) to make any demand of CGMFL, save, where applicable, for the presentation of the relevant Security;
#253">(b) to take any action or obtain judgment in any court against CGMFL; or
#253">(c) to make or file any claim or proof in a winding-up or dissolution of CGMFL,

#253">10. Postponement of Guarantor's Rights

#253">(a) to claim any contribution from any other guarantor of CGMFL's obligations under or in respect of the Securities or the CGMFL Deed of Covenant;
#253">(b) to take the benefit (in whole or in part) of any security enjoyed in connection with the Securities or the CGMFL Deed of Covenant by any Holder; or
#253">(c) to be subrogated to the rights of any Holder against CGMFL in respect of amounts paid by the Guarantor under this Deed of Guarantee.

#253">11. Taxation

#254">12. Power to Execute

#254">13. Deposit of Deed of Guarantee

#254">14. Production of Deed of Guarantee

#254">15. Stamp Duties

#254">16. Partial Invalidity

#254">17. Notices

#255">18. Governing Law

#256">Form of CGMFL All Monies Guarantee

#256">1. DEFINITIONS

#256">2. DEED OF GUARANTEE

#256">3. GUARANTOR AS PRINCIPAL OBLIGOR

#257">4. GUARANTOR'S OBLIGATIONS CONTINUING

#257">5. REPAYMENT TO CGMFL

#257">6. INDEMNITY

#257">7. STATUS OF DEED OF GUARANTEE

#257">8. SETTLEMENT CONDITIONAL

#257">9. NO PRIOR ACTION REQUIRED

#257">(a) to make any demand of CGMFL;
#257">(b) to take any action or obtain judgment in any court against CGMFL; or
#257">(c) to make or file any claim or proof in a winding-up or dissolution of CGMFL,

#258">10. POSTPONEMENT OF GUARANTOR'S RIGHTS

#258">(a) to claim any contribution from any other guarantor of CGMFL's obligations under or in respect of the Liabilities;
#258">(b) to take the benefit (in whole or in part) of any security enjoyed in connection with the Liabilities by any Beneficiary; or
#258">(c) to be subrogated to the rights of any Beneficiary against CGMFL in respect of amounts paid by the Guarantor under this Deed of Guarantee.

#258">11. TAXATION

#258">12. POWER TO EXECUTE

#258">13. NO SET-OFF OR COUNTERCLAIM

#258">14. PRODUCTION OF DEED OF GUARANTEE

#258">15. STAMP DUTIES

#259">16. PARTIAL INVALIDITY

#259">17. NOTICES

#259">18. GOVERNING LAW

#259">19. RIGHTS OF THIRD PARTIES

#259">20. JURISDICTION

#261">Form of the Notes

#261">Notes (that are not Swedish Notes, Finnish Notes or French Law Notes) and are Registered Notes

#262">Swedish Notes

#262">Finnish Notes

#262">French Law Notes

#263">Relationship of Accountholders with Clearing Systems

#263">Exchanges

#263">Exchange of Global Registered Note Certificates

#263">An Exchange Event means:

#263">(a) an Event of Default has occurred and is continuing; or

#263">(b) if the Global Registered Note Certificate is registered in the name of a nominee for a common depositary for Euroclear and Clearstream, Luxembourg or in the name of a nominee of the Common Safekeeper or in the name of the HKMA as operator of the C...

#264">(c) if the Global Registered Note Certificate is registered in the name of a nominee for DTC, either DTC has notified the Issuer that it is unwilling or unable to continue to act as depository for the Notes and no alternative clearing system is availa...

#264">(d) the Issuer has or will become subject to adverse tax consequences which would not be suffered were the Notes represented by the Registered Note Certificate in definitive form.

#264">Deeds of Covenant

#264">Clearing Systems

#265">Book Entry Clearance Systems

#265">Book-entry Systems

#265">DTC

#267">Euroclear and Clearstream, Luxembourg

#267">Euroclear Sweden

#267">Euroclear Finland

#268">Euroclear France

#268">Book-entry Ownership of and Payments in respect of DTC Notes

#269">Transfers of Notes Represented by Global Registered Note Certificates

#270">Euroclear UK and Ireland (CREST)

#270">CDIs will be delivered, held and settled in CREST, by means of the CREST International Settlement Links Service (the CREST International Settlement Links Service). The settlement of the CDIs by means of the CREST International Settlement Links Servic...

#271">(a) CDI Holders will not be the legal owners of the relevant Notes. The CDIs are separate legal instruments from such Notes and represent an indirect interest in such Notes.

#271">(b) The relevant Notes themselves (as distinct from the CDIs representing indirect interests in such Notes) will be held in account with a custodian. The custodian will hold the relevant Notes through a clearing system. Rights in the relevant Notes wi...

#271">(c) Rights under the relevant Notes cannot be enforced by CDI Holders except indirectly through the intermediary depositories and custodians described above. The enforcement of rights under the relevant Notes will therefore be subject to the local law...

#271">(d) The CDIs issued to CDI Holders will be constituted and issued pursuant to the CREST Deed Poll. CDI Holders will be bound by all provisions of the CREST Deed Poll and by all provisions of, or prescribed pursuant to, the CREST International Manual d...

#271">(e) Potential investors should note that the provisions of the CREST Deed Poll, the CREST International Manual and the CREST Rules contain indemnities, warranties, representations and undertakings to be given by CDI Holders and limitations on the liab...

#271">(f) CDI Holders may incur liabilities resulting from a breach of any such indemnities, warranties, representations and undertakings in excess of the money invested by them. The attention of potential investors is drawn to the terms of the CREST Deed P...

#271">(g) Potential investors should note CDI Holders may be required to pay fees, charges, costs and expenses to the CREST Depository in connection with the use of the CREST International Settlement Links Service. These will include the fees and expenses c...

#271">(h) Potential investors should note that none of the Issuers, the CGMHI Guarantor (where the Issuer is CGMHI), the CGMFL Guarantor (where the Issuer is CGMFL), any Dealer, any distributor, any Paying Agent, the Registrar and any Transfer Agent will ha...

#272">ERISA Matters

#273">Subscription and Sale and Transfer and Selling Restrictions

#273">Transfer Restrictions

#273">As a result of the following restrictions, purchasers of Notes are advised to consult legal counsel prior to making any purchase, offer, sale, resale or other transfer of such Notes.

#273">Each purchaser of Notes or any beneficial interest therein represented by a Regulation S Global Registered Note Certificate (or in dematerialised form) or a Rule 144A Global Registered Note Certificate, by its acquisition or acceptance thereof will b...

#273">(a) (i) in the case of Notes issued by Citigroup Inc., CBNA, CGMHI or CGMFL and offered and sold in reliance on Regulation S, as specified in the applicable Pricing Supplement, that such purchaser is outside the United States and is not a U.S. person;...

#273">(b) that the Notes and, where the Issuer is CGMHI, the CGMHI Deed of Guarantee or, where the Issuer is CGMFL, the CGMFL Deed of Guarantee are being offered and sold in a transaction not involving a public offering in the United States within the meani...

#273">(c) (i) in the case of Notes issued by Citigroup Inc., CBNA, CGMHI or CGMFL and offered and sold in reliance on Regulation S, as specified in the applicable Pricing Supplement, that such purchaser will not re-sell, pledge or otherwise transfer the Not...

#274">(d) it will, and will require each subsequent holder to, notify any purchaser of the Notes or any beneficial interest therein from it of the resale restrictions referred to in paragraph (c) above;

#274">(e) that Notes offered and sold in the United States to QIBs in reliance on Rule 144A will be represented by one or more Rule 144A Global Registered Note Certificates, and that Notes offered and sold outside the United States to non-U.S. persons in re...

#274">(f) it is not, and its purchase and holding of the Notes is not made on behalf of or with "plan assets" of, an employee benefit plan subject to Title I of the U.S. Employee Retirement Income Security Act of 1974, as amended (ERISA), a plan, individual...

#274">(g) it understands that, if the Issuer determines at any time that any Note is legally or beneficially owned by a person that is not permitted to hold such Note pursuant to the terms set forth herein, the Issuer may direct the Noteholder to sell or tr...

#274">(h) that the Rule 144A Global Registered Note Certificates, will bear a legend in substantially the following form:

#276">(i) that the Regulation S Global Registered Note Certificates will bear (and each Note issued in dematerialised form will be deemed to bear) a legend in substantially the following form:

#276">(j) that it has been afforded an opportunity to request from the Issuer (and the CGMHI Guarantor or the CGMFL Guarantor, if applicable) and to review all additional information it considers to be necessary to verify the accuracy of the information con...

#277">(k) that the Issuer and others will rely upon the truth and accuracy of the foregoing acknowledgements, representations and agreements and agrees that if any of such acknowledgements, representations or agreements made by it are no longer accurate, it...

#277">Each purchaser of the Notes or any beneficial interest therein represented by a Combined Global Registered Note Certificate, by its acquisition or acceptance thereof will be deemed to acknowledge, represent and agree as follows (terms used in this pa...

#277">(a) either (i) such purchaser is outside the United States and is not a U.S. person or (ii) such purchaser is a "qualified institutional buyer" (a QIB), purchasing (or holding) the Notes for its own account or for the account of one or more QIBs and i...

#277">(b) that the Notes and the CGMHI Deed of Guarantee are being offered and sold in a transaction not involving a public offering in the United States within the meaning of the Securities Act, and that the Notes and the CGMHI Deed of Guarantee have not b...

#277">(c) that such purchaser will not re-sell, pledge or otherwise transfer the Notes or any beneficial interest therein at any time other than (i) to the Issuer or any affiliate thereof, (ii) in an offshore transaction outside the United States to a perso...

#277">(d) it will, and will require each subsequent holder to, notify any purchaser of the Notes or any beneficial interest therein from it of the resale restrictions referred to in paragraph (c) above;

#277">(e) it is not, and its purchase and holding of the Notes is not made on behalf of or with "plan assets" of, an employee benefit plan subject to Title I of the U.S. Employee Retirement Income Security Act of 1974, as amended (ERISA), a plan, individual...

#278">(f) it understands that, if the Issuer determines at any time that any Note is legally or beneficially owned by a person that is not permitted to hold such Note pursuant to the terms set forth herein, the Issuer may direct the Noteholder to sell or tr...

#278">(g) that the Combined Global Registered Note Certificates in respect of the Notes will bear a legend in substantially the following form:

#279">(h) that it has been afforded an opportunity to request from the Issuer and the CGMHI Guarantor and to review all additional information it considers to be necessary to verify the accuracy of the information contained in this Offering Circular and the...

#279">(i) that the Issuer and others will rely upon the truth and accuracy of the foregoing acknowledgements, representations and agreements and agrees that if any of such acknowledgements, representations or agreements made by it are no longer accurate, it...

#280">United States of America

#281">European Economic Area

#281">Prohibition of Sales to EEA Retail Investors

#281">Unless the applicable Pricing Supplement in respect of any Notes specifies "Prohibition of Sales to EEA Retail Investors" as "Not Applicable" (or where the applicable Pricing Supplement in respect of any Notes specifies "Prohibition of Sales to EEA R...

#281">(a) the expression retail investor means a person who is one (or more) of the following:

#281">(i) a retail client as defined in point (11) of Article 4(1) of MiFID II; or
#281">(ii) a customer within the meaning of Directive 2016/97/EU (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; or
#281">(iii) not a qualified investor as defined in the EU Prospectus Regulation; and

#281">(b) the expression offer includes the communication in any form and by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor to decide to purchase or subscribe for the Notes.

#281">Where the applicable Pricing Supplement in respect of any Notes specifies "Prohibition of Sales to EEA Retail Investors" as "Not Applicable" (or as applicable other than with respect to offers of the Notes in the European Economic Area for specified ...

#281">(a) at any time, to any legal entity which is a qualified investor as defined in the EU Prospectus Regulation;

#281">(b) at any time (or, as the case may be, in any relevant specified period) to fewer than 150 natural or legal persons (other than qualified investors as defined in Article 2 of the EU Prospectus Regulation) in the European Economic Area, subject to ob...

#281">(c) at any time (or, as the case may be, in any relevant specified period) in any other circumstances falling within Article 1(4) of the EU Prospectus Regulation,

#282">United Kingdom

#282">Prohibition of Sales to UK Retail Investors

#282">Unless the applicable Pricing Supplement in respect of any Notes specifies "Prohibition of Sales to UK Retail Investors" as "Not Applicable" (or where the applicable Pricing Supplement in respect of any Notes specifies "Prohibition of Sales to UK Ret...

#282">(a) the expression retail investor means a person who is one (or more) of the following:

#282">(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;
#282">(ii) a customer within the meaning of the provisions of the FSMA and any rules or regulations made under the FSMA to implement Directive (EU) 2016/97, where that customer would not qualify as a professional client, as defined in point (8) of Article 2...
#282">(iii) not a qualified investor as defined in the UK Prospectus Regulation; and

#282">(b) the expression offer includes the communication in any form and by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor to decide to purchase or subscribe for the Notes.

#282">Where the applicable Pricing Supplement in respect of any Notes specifies "Prohibition of Sales to UK Retail Investors" as "Not Applicable" (or as applicable other than with respect to offers of the Notes in the United Kingdom for specified periods o...

#282">(A) at any time, to any legal entity which is a qualified investor as defined in the UK Prospectus Regulation;

#282">(B) at any time (or, as the case may be, in any relevant specified period) to fewer than 150 natural or legal persons (other than qualified investors as defined in Article 2 of the UK Prospectus Regulation) in the United Kingdom subject to obtaining t...

#282">(C) at any time (or, as the case may be, in any relevant specified period) in any other circumstances falling within section 86 of the FSMA,

#283">United Kingdom: additional restrictions

#283">Each Dealer has represented and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent and/or agree (as applicable), that:

#283">(a) in relation to any Notes which have a maturity of less than one year, (i) it is a person whose ordinary activities involve it in acquiring, holding, managing or disposing of investments (as principal or agent) for the purposes of its business and ...

#283">(b) it has only communicated or caused to be communicated and will only communicate or cause to be communicated an invitation or inducement to engage in investment activity (within the meaning of Section 21 of the FSMA) received by it in connection wi...

#283">Australia

#283">This Offering Circular has not been and no prospectus or other disclosure document (as defined in the Corporations Act 2001 (Cth) of Australia) in relation to the Programme or the Notes has been, or will be, lodged with the Australian Securities and I...

#283">Each Dealer has represented and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent and/or agree (as applicable), that, unless the applicable Pricing Supplement (or any other supplement to thi...

#283">(a) has not made or invited, and will not make or invite, an offer for the issue, sale or purchase of the Notes in, to or from Australia (including an offer or invitation which is received by a person in Australia); and

#283">(b) has not distributed or published, and will not distribute or publish, this Offering Circular or any other offering material or advertisement relating to any Notes in Australia;

#283">(i) the aggregate consideration payable by each offeree is at least A$500,000 (or its equivalent in an alternative currency, and in either case disregarding moneys lent by the offeror or its associates) or the offer or invitation does not otherwise re...
#284">(ii) the offer or invitation does not constitute an offer to a "retail client" for the purposes of Section 761G of the Corporations Act 2001 (Cth) of Australia;
#284">(iii) such action complies with all applicable laws, regulations and directives in Australia (including, without limitation, the licensing requirements of Chapter 7 of the Corporations Act 2001 (Cth) of Australia); and
#284">(iv) such action does not require any document to be lodged with ASIC or the ASX or any other regulatory authority in Australia.

#284">This Offering Circular is not a disclosure document under Part 6D.2 of the Corporations Act 2001 (Cth) of Australia or a product disclosure statement under Part 7.9 of the Corporations Act 2001 (Cth) of Australia. It is not required to, and does not...

#284">(a) may contain references to dollar amounts which are not Australian dollars;

#284">(b) may contain financial information which is not prepared in accordance with Australian law or practices;

#284">(c) may not address risks associated with investment in foreign currency denominated investments; and

#284">(d) does not address Australian tax issues.

#284">Austria

#284">The Kingdom of Bahrain

#284">For this purpose, an accredited investor means:

#284">(a) an individual who has a minimum net worth (or joint net worth with their spouse) of U.S.$1,000,000, excluding that person's principal place of residence;

#285">(b) a company, partnership, trust or other commercial undertaking which has financial assets available for investment of not less than U.S.$1,000,000; or

#285">(c) a government, supranational organisation, central bank or other national monetary authority or a state organisation whose main activity is to invest in financial instruments (such as a state pension fund).

#285">Individuals and commercial undertakings may elect in writing to be treated as accredited investors subject to meeting at least 2 of the following conditions:

#285">(a) The investor has carried out trading/investing transactions, in significant size (i.e. value of transactions aggregating U.S.$200,000) over the last 12 month period;

#285">(b) The size of the investors financial assets portfolio including cash deposits and financial instruments is U.S.$500,000 or more; and/or

#285">(c) The investor works or has worked in the financial sector for at least 1 year in a professional position, which requires knowledge of the transactions or services envisaged (i.e. the position was professional in nature and held in a field that allo...

#285">Belgium

#285">Brazil

#286">1. In addition to the exemptions under Article 1(4) of the EU Prospectus Regulation the following exemptions will apply from the requirement that such Dealer may make an offer of Notes to the public in the Republic of Bulgaria following the publicatio...

#286">(a) pursuant to Article 89c of the Bulgarian Public Offering of Securities Act at any time where the total consideration of each offer of Notes to the public is less than the monetary amount of EUR8,000,000 calculated over a period of 12 months, where...
#286">(b) pursuant to Article 89d of the of the Bulgarian Public Offering of Securities Act, at any time where the total consideration of each offer of Notes to the public is less than the monetary amount of EUR8,000,000 calculated over a period of 12 month...

#286">2. No initial offering of Notes which qualify as bonds or other forms of securitised debt, is or will be made in the Republic of Bulgaria to more than 30 persons who are not institutional investors as listed in point (1) of Section I of Annex II to Di...

#286">(a) the Issuer is not a bank licensed in the Republic of Bulgaria, a bank from another Member State which provides services in the Republic of Bulgaria through a branch under the freedom of establishment or directly under the freedom to provide servic...
#286">(b) the issuance of Notes is one of the Issuer's main activities; and
#286">(c) the Issuer grants credits or provides other financial services by way of occupation,

#286">Canada

#287">People's Republic of China (the PRC)

#288">Additional Provisions for Notes linked to Shares traded through the China Connect Service or for Security Index Linked Notes where Additional Index Provisions for China Connect Service apply

#289">(i) (1) a PRC Citizen, unless such person holds a permanent residence identification document of another country or region, Hong Kong Special Administrative Region, Macau Special Administrative Region or Taiwan region; or (2) a Legal Person Registered...

#289">(ii) a trustee for a trust, where interests in the trust are majority-owned by, and the management decision over the trust is controlled by, one or more Domestic Investor(s). For the avoidance of doubt, in the case only where a trust's investments ar...

#289">Chile

#290">Colombia

#290">Costa Rica

#290">Croatia

#291">Republic of Cyprus

#291">In addition to the restrictions described in the section entitled "European Economic Area" above, each Dealer has represented, warranted and agreed, and each further Dealer appointed under the Programme will be required to represent, warrant and agre...

#291">(a) it has not offered or sold and will not offer or sell any Notes, except in conformity with the provisions of the Public Offer and Prospectus Law, Law 114(I)/2005 (as amended) (the Prospectus Law) and the provisions of the Cyprus Companies Law, cap...

#291">(b) it has not and will not offer or sell any Notes other than in compliance with the provisions of the Investment Services and Activities and Regulated Markets Law, Law 87(I)/2017 (the ISARM);

#291">(c) it will not be providing from or within Cyprus any "Investment Services", "Investment Activities" and "Non-Core Services" (as such terms are defined in the ISARM) in relation to the Notes or be otherwise providing Investment Services, Investment A...

#291">(d) it will not be concluding in Cyprus any transaction relating to such Investment Services, Investment Activities and Non-Core Services in contravention of the ISARM and/or applicable regulations adopted pursuant thereto or in relation thereto; and

#291">(e) it will not sell any Notes in breach of financial and economic sanctions imposed by the European Union pursuant to Regulation 833/2014 and 269/2014 as amended from time to time, and in particular, it will not sell any Notes denominated in an offic...

#291">Czech Republic

#291">Denmark

#292">Dominican Republic

#292">Dubai International Financial Centre

#292">Each Dealer has represented and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent and/or agree (as applicable), that it has not offered and will not offer the Notes to any person in the Dub...

#292">(a) an "Exempt Offer" in accordance with the Markets Rules (MKT) Module of the Dubai Financial Services Authority (the DFSA) Rulebook as amended, issued for the purposes of DIFC Law No. 1 of 2012 (DIFC Markets Rules); and

#292">(b) made only to persons who are not individuals and meet the Professional Client criteria set out in the DIFC Markets Rules. It must not be delivered to, or relied on by, any other person.

#292">Ecuador

#293">El Salvador

#293">Finland

#293">France

#293">Offer to the public exempted from the obligation to publish a prospectus (Private placement) in France:

#293">Guatemala

#294">Honduras

#294">Hong Kong Special Administrative Region

#294">Each Dealer has represented and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent and/or agree (as applicable) that:

#294">(a) it has not offered or sold and will not offer or sell in the Hong Kong Special Administrative Region of the People's Republic of China (Hong Kong), by means of any document, any Notes (except for Notes which are a "structured product" as defined i...

#294">(b) it has not issued or had in its possession for the purposes of issue, and will not issue or have in its possession for the purposes of issue, whether in Hong Kong or elsewhere, any advertisement, invitation or document relating to any Notes, which...

#294">Ireland

#294">In addition to the restrictions described in the section entitled "European Economic Area" above, each Dealer has represented and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent and/or ag...

#294">(a) it will not underwrite the issue of, or place any Notes otherwise than in conformity with the provisions of the European Union (Markets in Financial Instruments) Regulations 2017 (as amended, the MiFID II Regulations), including Regulation 5 (Requ...

#294">(b) it will not underwrite the issue of, or place any Notes otherwise than in conformity with the provisions of the Irish Companies Act 2014 (as amended, the Companies Act), the Irish Central Bank Acts 1942 to 2018 (as amended) and any codes of practi...

#295">(c) it will not underwrite the issue of, or place, or do anything in Ireland with respect to any Notes otherwise than in conformity with the provisions of the EU Prospectus Regulation, the European Union (Prospectus) Regulations 2019 (as amended) and...

#295">(d) it will not underwrite the issue of, place or otherwise act in Ireland with respect to any Notes otherwise than in conformity with the provisions of the Market Abuse Regulation (EU) (as amended), the European Union (Market Abuse) Regulations 2016 ...

#295">(e) it will not underwrite the issue of, place or otherwise act in Ireland in respect of the Notes, otherwise than in accordance with the requirements set out in Notice BSD C01/02 issued by the Central Bank pursuant to Section 8(2) of the Central Bank...

#295">Israel

#295">Italy

#295">In addition to the restrictions described in the section entitled "European Economic Area" above, the offering of the Notes has not been registered pursuant to Italian securities legislation and accordingly no Notes may be offered, sold or delivered,...

#295">(a) to qualified investors (investitori qualificati), as defined pursuant to Article 2 of the EU Prospectus Regulation and any applicable provision of Legislative Decree No. 58 of 24 February 1998, as amended (the Financial Services Act) and Italian C...

#295">(b) in other circumstances which are exempted from the rules on public offerings pursuant to Article 1 of the EU Prospectus Regulation, Article 34-ter of CONSOB Regulation No. 11971/1999, as amended from time to time, and the applicable Italian laws.

#295">(i) be made by an investment firm, bank or financial intermediary permitted to conduct such activities in the Republic of Italy in accordance with the Financial Services Act, CONSOB Regulation No. 20307 of 15 February 2018 (as amended from time to tim...
#295">(ii) comply with any other applicable laws and regulations or requirement imposed by CONSOB, the Bank of Italy (including the reporting requirements, where applicable, pursuant to Article 129 of the Banking Act and the implementing guidelines of the B...

#296">The Grand Duchy of Luxembourg

#296">Japan

#296">State of Kuwait

#296">Mexico

#297">Norway

#297">Oman

#297">Each Dealer has represented, warranted and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent, warrant and/or agree (as applicable), that:

#297">(a) this Offering Circular is not intended to constitute, shall be treated as constituting or shall be deemed to constitute, any offer or sale of Notes or investment products in the Sultanate of Oman or the inward marketing or promotion of Notes or an...

#297">(b) this Offering Circular has not been filed with, reviewed, approved or registered as a prospectus with the Capital Market Authority of Oman, Central Bank of Oman pursuant to the Securities Law (RD 46/2022), and will not be offered or sold as an off...

#297">(c) the Notes issued under the Programme will not be offered, sold or delivered, and no invitation to subscribe for or to purchase the Notes has been or will be made, directly or indirectly, nor may any document or other material in connection therewi...

#297">Panama

#298">Paraguay

#298">(i) any legal matter arising from an offer of Notes under this Offering Circular shall not be submitted to any Paraguayan authority;

#298">(ii) the Paraguayan Deposit Insurance legislation does not insure investments in the Notes;

#298">(iii) the Paraguayan Central Bank, (Banco Central del Paraguay), the Paraguayan Securities Commission and the Paraguayan Banking Superintendency (Superintendencia de Bancos) do not regulate the offering of the Notes or any obligations that may arise f...

#298">(iv) they may be subject to taxes under Paraguayan laws on the profits obtained from the Notes or the sale thereof; and

#298">(v) they are responsible to conduct an independent examination of the relevant offer, and to ascertain and assess the risks arising from or in connection with the investments in the Notes.

#298">Peru

#298">Poland

#299">Portugal

#299">State of Qatar (including the Qatar Financial Centre)

#299">Each Dealer has represented and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent and/or agree (as applicable), that it has not offered, delivered or sold, and will not offer, deliver or se...

#299">(a) in compliance with all applicable laws and regulations of the State of Qatar (including the Qatar Financial Centre), and without undertaking any of the following activities:

#299">(i) advertising, roadshows or presentations within Qatar to which a number of investors are invited (i.e. all such meetings should be on a one-to-one basis);
#299">(ii) accepting money (by check or cash) in Qatar to indicate the intention to invest in products or obtain services in Qatar; or
#299">(iii) Dealer signing or countersigning documents in Qatar; and

#299">(b) through persons or corporate entities authorised and licensed to provide investment advice and/or engage in brokerage activity and/or trade in respect of foreign securities in the State of Qatar (including the Qatar Financial Centre).

#300">For the cases when a valid passporting procedure to Romania in relation to this Offering Circular has not been successfully enacted, the Issuer and each of the dealers have represented and agreed that it will not offer, sell or deliver any Notes or d...

#300">(a) it is addressed only to investors who are "qualified investors" within the meaning of article 2 letter e) of the EU Prospectus Regulation; and

#300">(b) it complies with all applicable laws and regulations in Romania, including the EU Prospectus Regulation, the provisions of Law no. 24/2017 as regards issuers of financial instruments and market operations, the provisions of Regulation No. 5/2018 o...

#300">Russian Federation

#300">Kingdom of Saudi Arabia

#301">Singapore

#301">Where the Notes are subscribed to or purchased under Section 275 of the SFA by a relevant person which is:

#301">(a) a corporation (which is not an accredited investor (as defined in Section 4A of the SFA)) the sole business of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited in...

#301">(b) a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary of the trust is an individual who is an accredited investor,

#301">(i) to an institutional investor or to a relevant person or to any person arising from an offer referred to in Section 275(1A) or Section 276(4)(c)(ii) of the SFA;
#302">(ii) where no consideration is or will be given for the transfer;
#302">(iii) where the transfer is by operation of law;
#302">(iv) as specified in Section 276(7) of the SFA; or
#302">(v) as specified in Regulation 37A of the Securities and Futures (Offers of Investments) (Securities and Securities-based Derivatives Contracts) Regulations 2018 of Singapore.

#302">Where Notes are subscribed or purchased under Section 305 of the SFA by a relevant person which is:

#302">(a) a corporation (which is not an accredited investor (as defined in Section 4A of the SFA)) the sole business of which is to hold investments and the entire share capital of which is owned by one or more individuals, each of whom is an accredited in...

#302">(b) a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary of the trust is an individual who is an accredited investor,

#302">(i) to an institutional investor or to a relevant person, or to any person arising from an offer referred to in Section 305(2) or in Section 305A(3)(c)(ii) of the SFA;
#302">(ii) where no consideration is or will be given for the transfer;
#302">(iii) where the transfer is by operation of law;
#302">(iv) as specified in Section 304A(2) or Section 305A(5) of the SFA; or
#302">(v) as specified in Regulation 36 and 36A of the Securities and Futures (Offers of Investments) (Collective Investment Schemes) Regulations 2005 of Singapore.

#303">In addition to the restrictions described in the section entitled "European Economic Area" above, each Dealer has agreed, and each further Dealer appointed under the Programme will be required to agree that:

#303">(a) it has not offered or sold, and will not offer or sell, any Notes in Slovakia through a public offering, except if in strict compliance with all applicable provisions of the EU Prospectus Regulation, Act No. 566/2001 Coll. on Securities, as amende...

#303">(b) it has complied with and will comply with all the laws applicable in Slovakia as well as any guidelines issued by the National Bank of Slovakia applicable to the conduct of business in Slovakia (including the laws applicable to the provision of in...

#303">Sweden

#303">Switzerland

#303">Each Dealer has represented and/or agreed (as applicable) and each further Dealer appointed under the Programme and each other offeror will be required to represent and/or agree (as applicable) that:

#303">(a) it has not offered and will not offer, directly or indirectly, Notes to the public in Switzerland, and have not distributed or caused to be distributed and will not distribute or cause to be distributed to the public in Switzerland, this Offering ...

#304">Taiwan

#305">Republic of Turkey

#305">Kingdom of Thailand (Thailand)

#306">United Arab Emirates (excluding the Dubai International Financial Centre)

#306">Each Dealer has represented and/or agreed (as applicable), and each further Dealer appointed under the Programme will be required to represent and/or agree (as applicable), that:

#306">(a) the Notes have not been and will not be offered, sold or publicly promoted or advertised by it in the United Arab Emirates (the UAE) other than in compliance with any laws applicable in the United Arab Emirates governing the issue, offering and sa...

#306">(b) the offering of the Notes to be issued under the Programme has not been approved or licensed by the UAE Central Bank, the UAE Securities and Commodities Authority (the SCA), the Dubai Financial Services Authority (the DFSA), the Financial Services...

#306">(c) this Offering Circular is strictly private and confidential and is being issued to a limited number of institutional and individual investors in the UAE:

#306">(i) who fall within the exceptions to the SCA Resolutions and who qualify as Qualified Investors as defined under the SCA Resolutions;
#306">(ii) upon their request and confirmation that they understand that the Notes have not been approved or licensed by or registered with the UAE Central Bank, the SCA, DFSA or any other relevant licensing authorities or governmental agencies in the UAE; and
#306">(iii) must not be provided to any person other than the original recipient, and may not be reproduced.

#306">Uruguay

#306">General

#308">Taxation

#308">GENERAL
#308">United States Federal Tax Considerations

#308">General

#309">Tax Consequences to U.S. Holders

#309">Notes Treated as Debt

#310">Interest Payments on Notes

#310">If such payments of interest are made in respect of a Note that is denominated in a single currency other than the U.S. dollar (for purposes of this discussion, a foreign currency), the amount of interest income realised by a U.S. Holder that uses th...

#310">(a) the average exchange rate in effect during the interest accrual period, or portion thereof within the holder's taxable year; or

#310">(b) at the holder's election, at the spot rate of exchange on (1) the last day of the accrual period, or the last day of the taxable year within the accrual period if the accrual period spans more than one taxable year, or (2) the date of receipt, if ...

#310">Taxable Disposition of Notes

#311">Original Issue Discount

#313">Variable Rate Debt Instruments

#314">Contingent Payment Debt Instruments

#315">Foreign Currency Contingent Payment Debt Instruments

#316">Short-Term Notes

#316">Market Discount

#317">Notes Purchased at a Premium

#317">Possible Alternative Tax Treatment

#318">Notes Not Treated as Debt

#318">Notes Treated as Prepaid Forward Contracts or Options

#319">Notes Treated as Prepaid Forward Contracts or Options with Associated Periodic Payments

#319">Notes Treated as Put Options and Deposits

#319">The following discussion applies only to a Note that the Issuer treats as a put option (the Put Option) written by the U.S. Holder with respect to the Underlying, secured by a deposit equal to the stated principal amount of the Note (the Deposit). I...

#319">(a) a portion of each periodic payment made with respect to a Note will be attributable to interest on the Deposit; and

#319">(b) the remainder will represent option premium attributable to the U.S. Holder's grant of the Put Option (with respect to each payment received and, collectively, all periodic payments received, the Put Premium).

#321">Other U.S. Federal Tax Considerations Applicable to Notes that are Not Treated as Debt

#322">Possible Application of Section 1260 of the Code

#322">Possible Taxable Event Under Section 1001 of the Code

#322">Possible Application of Section 988 of the Code

#323">Possible Application of Section 1256 of the Code

#323">Possible Higher Tax on Notes Linked to "Collectibles"

#323">Tax Consequences to Non-U.S. Holders

#323">Non-U.S. Notes

#323">Certain Notes issued by CGMFL (the Non-U.S. Issuer) to Non-U.S. Holders (as defined above) will be designated as "Non-U.S. Notes" in the applicable Pricing Supplement. For such Notes, subject to the discussions below under "Other U.S. Federal Tax Cons...

#323">Notes Treated as Debt

#324">Notes Not Treated as Debt

#324">Notes Issued by the Non-U.S. Issuer

#325">Notes Issued by a U.S. Issuer

#325">Other U.S. Federal Tax Considerations for Non-U.S. Holders

#325">Possible Alternative Tax Treatments of an Investment in the Notes

#326">Effectively Connected Income

#326">Section 871(m) Withholding on Dividend Equivalents

#328">(I) Specified Current Payment Notes
#328">(II) Specified Net Total Return Notes

#329">FIRPTA

#329">U.S. Federal Estate Tax

#329">Reportable Transactions

#330">Information Reporting and Backup Withholding

#330">FATCA

#330">UNITED KINGDOM TAXATION

#330">Interest on Notes

#331">LUXEMBOURG TAXATION

#332">Taxation of the holders of Notes

#332">Withholding Tax

#332">(a) Non-resident holders of Notes

#332">(b) Resident holders of Notes

#332">BULGARIAN TAXATION

#332">Summary

#332">Tax Residence Status of Holders of Notes

#333">Tax Treatment of Interest Income

#333">Non-resident Corporate Holders
#333">Non-resident Individual Investors
#333">Bulgaria-resident Corporate Holders
#333">Bulgaria-resident Individual Investors
#333">Special Treatment of Sole Proprietors ("ednolicen targovetz")

#334">Tax Treatment of Dividend Income

#334">Non-resident Corporate Holders
#334">Non-resident Individual Investors
#334">Bulgaria-resident Corporate Holders
#334">Bulgaria-resident Individual Investors
#334">Special Treatment of Sole Proprietors ("ednolicen targovetz")

#334">Tax Treatment of Capital Gains

#334">Non-resident Corporate Holders
#335">Non-resident Individual Holders
#335">Bulgaria-resident Corporate Holders
#335">Bulgaria-resident Individual Investors
#335">Special Treatment of Sole Proprietors ("ednolicen targovetz")

#335">Other Taxes

#335">Application of Double Tax Treaties

#336">CZECH REPUBLIC TAXATION

#336">Czech income taxation

#336">

ð·

#337">(a) the individual has held such Notes continuously for more than three years before their sale; or

#337">(b) the total gross income (i.e. not a gain) from the sale of securities (including the Notes) in one calendar year does not exceed CZK100,000.

#337">

ð·

#337">FRENCH TAXATION

#338">Withholding tax

#338">French financial transaction tax and transfer tax

#339">GERMAN TAXATION

#339">Tax Residents

#339">Private Investors

#339">Interest/Capital gains

#340">Withholding

#342">Business Investors

#342">Non-residents

#342">Inheritance and Gift Tax
#343">Other Taxes
#343">EU Residents
#343">HUNGARIAN TAXATION

#343">Withholding tax (foreign resident individual holders)

#344">Withholding tax (foreign resident corporate holders)

#344">Taxation of Hungarian resident individual holders

#344">Taxation of Hungarian resident corporate holders

#345">IRISH TAXATION

#345">Taxation of Noteholders

#345">(a) Withholding Tax

#345">(i) the relevant Issuer(s) is/are resident in Ireland for tax purposes; or
#345">(ii) the Issuer(s) has/have a branch or permanent establishment in Ireland, the assets or income of which is used to fund the payments on such Notes; or
#345">(iii) the Issuer(s) is/are not resident in Ireland for tax purposes but the register for such Notes is maintained in Ireland (or (if the Notes are in bearer form) the Notes are physically held in Ireland).

#345">(b) Encashment Tax

#346">(c) Stamp Duty on Transfer of Notes

#346">(i) any immovable property situated in Ireland or any right over or interest in such property; or
#346">(ii) any stocks or marketable securities of a company which is registered in Ireland (other than a company which is (i) an "investment undertaking" within the meaning of section 739B of the Taxes Consolidation Act, 1997 (TCA) or (ii) a "qualifying com...
#346">ITALIAN TAXATION

#346">The Notes may be subject to different tax regimes depending on whether:

#346">(a) they represent a debt instrument implying a use of capital (impiego di capitale), through which the Noteholder transfers to the Issuer(s) a certain amount of capital, for the economic exploitation of the same, subject to the right to obtain a (par...

#346">(b) they represent derivative financial instruments or bundles of derivative financial instruments, through which the Noteholders purchase indirectly underlying financial instruments.

#346">Notes representing debt instruments implying a "use of capital"

#346">Notes which provide for full reimbursement of the issue price (at maturity or upon early redemption)

#346">Italian-resident Noteholders

#348">Non-Italian Resident Noteholders

#348">Capital Gains Tax

#348">Capital Gains Tax … Italian Resident Noteholders

#350">Capital Gains Tax … Non-Italian Resident Noteholders

#350">Payments made by a non-resident guarantor

#351">Notes which do not provide for full reimbursement of the issue price (at maturity or upon early redemption)

#351">Italian-resident Noteholders

#351">In case of Notes representing debt instruments implying a "use of capital" do not guarantee the total reimbursement of the principal, under Italian tax law they should qualify as "atypical securities" (titoli atipici) pursuant to Law Decree No. 512 o...

#351">(a) if the Notes are placed (collocati) in Italy, payments made to individual Noteholder holding the Notes not in connection with an entrepreneurial activity will be subject to a 26 per cent. final withholding tax. This withholding tax is levied by th...

#351">(b) if the Notes are not placed (collocati) in Italy or in any case where payments on the Notes are not received through an entrusted Italian resident bank or financial intermediary (that is involved in the collection of payments on the Notes, in the ...

#352">Notes representing derivative financial instruments or bundles of derivative financial instruments

#352">Inheritance and gift taxes

#352">Pursuant to Law Decree No. 262 of 3 October 2006, converted into Law No. 286 of 24 November 2006, as subsequently amended, the transfers of any valuable asset (including shares, bonds or other securities) as a result of death or donation are taxed as...

#352">(a) transfers in favour of spouses and direct descendants or direct ancestors are subject to an inheritance and gift tax applied at a rate of 4 per cent. on the value of the inheritance or the gift exceeding, for each beneficiary, EUR1,000,000;

#352">(b) transfers in favour of relatives to the fourth degree or relatives-in-law to the third degree, are subject to an inheritance and gift tax applied at a rate of 6 per cent. on the entire value of the inheritance or the gift. Transfers in favour of ...

#353">(c) any other transfer is, in principle, subject to an inheritance and gift tax applied at a rate of 8 per cent. on the entire value of the inheritance or the gift.

#353">Transfer Tax

#353">Stamp duty

#353">Wealth Tax on securities deposited abroad

#353">Tax monitoring obligations

#354">Financial Transaction Tax (FTT) depending on the features of the Notes

#354">POLISH TAXATION

#354">General Information

#355">Taxation of a Polish tax resident individual

#355">Under Art. 3.1a of the PIT Act, a Polish tax resident individual is a natural person who (i) has his/her centre of personal or business interests located in Poland or (ii) stays in Poland for longer than 183 days in a year, unless any relevant tax tr...

#355">(a) Withholding Tax on Interest Income

#356">1. work performed in the Republic of Poland based on a service relationship, employment relationship, outwork system and co-operative employment relationship irrespective of the place where remuneration is paid;

#356">2. activity performed in person in the Republic of Poland irrespective of the place where remuneration is paid;

#356">3. economic activity pursued in the Republic of Poland, including through a foreign establishment located in the Republic of Poland;

#356">4. immovable property located in the Republic of Poland or rights to such property, including from its disposal in whole or in part, or from disposal of any rights to such property;

#356">5. securities and derivatives other than securities, admitted to public trading in the Republic of Poland as part of the regulated stock exchange market, including those obtained from the disposal of these securities or derivatives, or the exercise of...

#356">6. the transfer of ownership of shares in a company, of all rights and obligations in a partnership without legal personality, participation in an investment fund, a collective investment undertaking, or other legal entity and rights of similar charac...

#356">7. the transfer of ownership of shares, all rights and obligations, participation or similar rights in a real estate company (as defined in the PIT Act);

#356">8. the receivables settled, including receivables put at disposal, paid out or deducted, by natural persons, legal persons, or organisational units without legal personality, having their place of residence, registered office, or management board in t...

#356">9. unrealised gains as referred to in the exit tax regulations.

#356">The above list is not exhaustive; therefore, the tax authorities may also consider that income (revenues) not listed above is sourced in Poland.

#357">(b) Income from the Notes other than interest

#358">(c) Notes held as business assets

#358">Taxation of a Polish tax resident corporate income taxpayer

#358">According to Art. 3.1a of the CIT Act, a taxpayer has a place of management in the territory of the Republic of Poland, inter alia, when the current affairs of this taxpayer are conducted in an organised and continuous manner on the territory of the ...

#358">(i) an agreement, decision, court ruling or other act regulating the establishment or functioning of the taxpayer; or

#358">(ii) powers of attorney; or

#358">(iii) Affliations.

#359">Notes held by a non-Polish tax resident (natural person or corporation)

#359">Non-Polish residents are subject to Polish income tax only with respect to their income earned in Poland. Under Art. 3.3 of the CIT Act, income (revenues) earned in the Republic of Poland by non-residents shall include in particular income (revenues...

#359">1. all types of activity pursued in the Republic of Poland, including through a foreign establishment located in the Republic of Poland;

#359">2. immovable property located in the Republic of Poland or rights to such property, including from its disposal in whole or in part, or from the disposal of any rights to such property;

#359">3. securities and derivatives other than securities, admitted to public trading in the Republic of Poland as part of the regulated stock exchange market, including those obtained from the disposal of these securities or derivatives, or the exercise of...

#359">4. the transfer of ownership of shares in a company, of all rights and obligations in a partnership without legal personality, participation in an investment fund or a collective investment undertaking, or other legal entity and rights of similar char...

#359">5. the transfer of ownership of shares, all rights and obligations, participation or similar rights in a real estate company (as defined in the CIT Act);

#359">6. the receivables settled, including receivables put at disposal, paid out or deducted, by natural persons, legal persons, or organisational units without legal personality, having their place of residence, registered office, or management board in t...

#359">7. unrealised gains referred to in the exit tax regulations.

#360">(a) Special exemption for notes meeting special conditions

#360">Under Art. 17.1.50c of the CIT Act, tax-free income is income earned by a CIT taxpayer subject to limited tax liability in Poland in respect of interest or a discount on securities:

#360">(i) having a maturity of at least one year;

#360">(ii) admitted to trading on a regulated market or introduced into an alternative trading system within the meaning of the Act of 29 July 2005 on Trading in Financial Instruments, in the territory of Poland or in the territory of a state that is a part...

#360">(b) Failure to meet the conditions for a special exemption

#361">Moreover, many tax treaties provide protection only for beneficial owners. Pursuant to Art. 4a.29 of the CIT Act and, respectively, Art. 5a.33d of the PIT Act, beneficial owner means an entity meeting all of the following conditions:

#361">(a) it receives the amount due for its own benefit, which includes deciding independently about its purpose, and bears the economic risk associated with the loss of that receivable or part of it;

#361">(b) it is not an intermediary, representative, trustee, or another entity legally or actually obliged to transfer the receivable in whole or in part to another entity; and

#361">(c) it conducts actual business activity in the country of its registration, if the receivables are obtained in connection with the conducted business activity, whereas when assessing whether the entity conducts actual business activity, the nature an...

#361">(i) the business activity carried out by the taxpayer is performed through an existing enterprise that actually performs activities constituting an economic activity; in particular, it possesses premises, qualified personnel and equipment used for per...
#361">(ii) the taxpayer does not create artificial arrangement without a connection with any business activity;
#361">(iii) the taxpayer's actual premises, its personnel or equipment correspond to the scope of its actual business activity;
#361">(iv) the agreements concluded by the taxpayer are realistic in economic terms, they have economic justification and they are not noticeably contrary to the general business interest of the taxpayer; and
#361">(v) the taxpayer carries out its business functions independently, using its own resources, including managers who are present in the country of taxpayer's tax residency.

#362">Pay & Refund

#362">In addition to the rules set out above, in the event of failure to meet the conditions for a special exemption, the following regime applies.

#362">(a) Corporate income tax

#363">(b) Personal income tax

#363">Withholding taxation of certain payments made to tax havens

#363">Based on Art. 26.1m of the CIT Act, if a tax remitter makes a payment on account of certain capital profits (e.g. revenues from financial instruments, including interest and capital gains) to a corporate entity resident for tax purposes in a tax haven...

#363">The list of the tax havens is included in the Regulation of the Minister of Finance from 28 March 2019 on identifying the countries and territories applying harmful tax competition for corporate taxation purposes.

#363">ROMANIAN TAXATION
#368">SLOVAKIAN TAXATION

#368">Filing of personal / corporate income tax returns in Slovakia

#369">Avoidance of double taxation

#369">Tax rate

#369">Tax base

#369">The Investor is obliged to include income derived from Notes in the Slovak personal income tax return type B depending on type of income as follows:

#369">(i) Separate tax base from capital income according to Article 7 of the Slovak Income Tax Act (19 per cent. tax rate) includes inter alia income from interests and other revenues from Notes, revenues from redemption of shares certificates. The mandato...

#369">(ii) Partial tax base from other income according to Article 8 of the Slovak Income Tax Act (19 per cent. / 25 per cent. tax rate) includes inter alia income from the transfer of options, transfer of securities, transfer of participation (interest) in...

#369">(iii) Separate tax base from profit shares (dividends) according to Article 51e of the Slovak Income Tax Act (7 per cent. / 35 per cent. tax rate).

#370">Tax exemptions

#370">Health-care insurance

#370">Tax rate

#370">Tax base

#370">SPANISH TAXATION

#371">Spanish tax resident individuals

#371">(a) Individual Income Tax (IIT) (Impuesto sobre la Renta de las Personas Físicas)

#372">(b) Net Wealth Tax (Net Wealth Tax) (Impuesto sobre el Patrimonio)

#372">(i) if they are listed in an official market, the average negotiation value of the fourth quarter; and
#372">(ii) in other case, its nominal value (including redemption premiums).

#373">(c) Inheritance and Gift Tax (IGT) (Impuesto sobre Sucesiones y Donaciones)

#373">(d) Temporary Solidarity Tax on Large Fortunes (STLF) (Impuesto temporal de solidaridad de las grandes fortunas)

#373">STLF is a NWT's complementary tax which is levied on individuals holding a world-wide net wealth of EUR 3,000,000.

#373">The value of the Notes together with the rest of the taxpayer's net wealth (exceeding EUR 3,000,000) shall be taxed at a tax rate between 1.7 and 3.5 per cent..

#373">Individuals whose tax residence is located in Spain will be entitled to a EUR 700,000 rebate to their taxable base (i.e. STLF will be triggered for a net wealth exceeding EUR 3,700,000) and to deduct taxes paid abroad with certain limitations.

#373">STLF quota together with the NWT and the IIT quotas, shall not surpass 60% of the IIT taxable base. If said summation exceeds said threshold, the STLF quota could be reduced up to 80%. After applying said limitations, it could be deducted from the fin...

#373">As STLF has been conceived as a temporary tax it will only accrue on 31 December of 2022 and of 2023 but could be extended to subsequent tax years if deemed appropriate.

#373">Spanish legal persons subject to Corporate Income Tax (CIT) (Impuesto sobre Sociedades)

#374">Non-resident investors subject to NRIT (Impuesto sobre la Renta de no Residentes)

#375">Spanish withholding tax

#375">Other Spanish taxes (indirect taxation)

#375">SWISS TAXATION

#375">Swiss Withholding Tax

#375">Income Taxation

#375">Notes held as Private Assets by a Swiss resident Holder

#375">(a) Structured Notes

#375">(i) Non-transparent derivative financial instruments: If the embedded bond is not recorded separately from the embedded derivative financial instrument(s), the Note classifies as a non-transparent structured note and any return over the initial invest...
#376">(ii) Transparent derivative financial instruments without a predominant one-time interest payment: If the embedded bond is recorded separately from the embedded derivative financial instrument(s) and the yield-to-maturity predominantly derives from pe...
#376">(iii) Transparent derivative financial instruments with a predominant one-time interest payment: If the embedded bond is recorded separately from the embedded derivative financial instrument(s) and the yield-to-maturity predominantly derives from a on...

#376">(b) Bonds

#376">(c) Pure Derivative Financial Notes

#377">(d) Low Exercise Price Options

#377">(e) Fund-like Notes

#377">Notes held as Assets of a Swiss Business

#379">Swiss Facilitation of the Implementation of the U.S. Foreign Account Tax Compliance Act

#379">Automatic Exchange of Information in Tax Matters

#379">THE PROPOSED FINANCIAL TRANSACTIONS TAX (FTT)

#381">General Conditions of the Notes

#385">1. Form, Denomination and Title

#388">2. Exchanges and Transfers of Notes

#388">(a) Exchange of Finnish Notes
#388">(b) Exchange of French Law Notes
#388">(c) Transfer of Registered Notes
#389">(d) Transfers of interests in Regulation S Global Registered Note Certificates and dematerialised Notes
#389">(e) Transfers of interests in Rule 144A Global Registered Note Certificates
#389">(f) Transfers of interests in Combined Global Registered Note Certificates
#390">(g) Definitions
#390">(h) Partial Redemption in respect of Registered Notes
#390">(i) Delivery of new Registered Note Certificates
#390">(j) Transfer Free of Charge
#391">(k) Closed Periods
#391">(l) Transfers of Finnish Notes
#391">(m) Transfer of Swedish Notes
#391">(n) Transfer of French Law Notes

#392">3. Status

#392">(a) Status of Notes
#392">(b) Status of the CGMHI Deed of Guarantee in respect of the Notes: only relevant for Notes issued by CGMHI
#392">(c) Status of the CGMFL Deed of Guarantee in respect of the Notes: only relevant for Notes issued by CGMFL

#392">4. Interest and Dual Currency Note Provisions

#392">(a) Interest on Fixed Rate Notes
- #392">(i) in the case of Fixed Rate Notes which are represented by a Global Registered Note Certificate, the aggregate outstanding principal amount of the Fixed Rate Notes represented by such Global Registered Note Certificate (or, if they are Partly Paid N...
- #392">(ii) in the case of Fixed Rate Notes in definitive form, the Calculation Amount,
#393">(b) Interest on Floating Rate Notes
- #393">(i) the Specified Interest Payment Date(s) in each year specified in the applicable Pricing Supplement; or
- #393">(ii) if no Specified Interest Payment Date(s) is/are specified in the applicable Pricing Supplement, each date (each such date, together with each Specified Interest Payment Date, an Interest Payment Date) which falls the number of months or other per...
  - #393">(A) Screen Rate Determination
    - #393">(1) the offered quotation; or
    - #393">(2) the arithmetic mean of the offered quotations; or
    - #393">(3) the rate provided by the relevant administrator,
#394">(i) the Reference Rate for the relevant designated maturity (where applicable) published on the relevant Interest Determination Date on a different screen page by another authorised distributor of the relevant rate;
#394">(ii) a rate formally recommended for use by the administrator of the Reference Rate or the supervisor or competent authority (or a committee endorsed or convened by any such entity) responsible for supervising the Reference Rate or the administrator t...
#394">(iii) the Reference Rate for the relevant designated maturity (where applicable) last provided or published by the relevant administrator as at the day on which the Reference Rate was originally required to be determined; or
#394">(iv) the arithmetic mean of quotations provided by reference banks selected by the Calculation Agent or Determination Agent (as applicable) on a date determined by the Calculation Agent or Determination Agent (as applicable) for a representative amoun...
- #395">(B) ISDA Determination
  - #395">(1) ISDA Rate
  - #395">(1) the Floating Rate Option is as specified in the applicable Pricing Supplement;
  - #395">(2) the Designated Maturity, if applicable, is a period specified in the applicable Pricing Supplement; and
  - #395">(3) the relevant Reset Date is as specified in the applicable Pricing Supplement,
#395">(i) if the 2006 Definitions are specified in the applicable Pricing Supplement and the Calculation Agent or Determination Agent (as applicable) determines that such ISDA Rate cannot be determined in accordance with the 2006 Definitions read with the a...
#396">(ii) if the 2021 Definitions are specified in the applicable Pricing Supplement and the Calculation Agent or Determination Agent (as applicable) determines that such ISDA Rate cannot be determined in accordance with the 2021 Definitions read with the ...
- #397">(a) the provisions of Condition 10(c) (Determinations) shall apply in relation to determinations made by the Calculation Agent pursuant to this Condition 4(b)(C) and any such provision in the relevant ISDA Definitions shall be disregarded. In addition...
- #397">(b) any requirement under the ISDA Definitions for the ISDA Calculation Agent: (i) to give notice of a determination made by it to any other party will be deemed to be a requirement for the Calculation Agent or Determination Agent (as applicable) to p...
- #397">(c) where the ISDA Definitions require agreement between the parties to the relevant transaction, the parties will be deemed to have been unable to reach agreement and the fallback applicable in such circumstances will be deemed to apply;
- #397">(d) in the event that the Calculation Agent or Determination Agent (as applicable) determines that any Fixing Day or other day on which an ISDA Rate is determined under the ISDA Definitions is less than two Business Days prior to the relevant date ori...
- #398">(e) in respect of the 2021 Definitions only, in the event that the Correction Time Period applicable to an ISDA Rate ends later than two Business Days prior to the relevant date for payment, any corrections published after the second Business Day prio...
  - #398">(2) Linear Interpolation
  - #398">(3) Payments in respect of interest on early redemption
#399">(i) where the Interest Rate and/or Interest Amount applicable to the Interest Payment Date falling immediately after the date of early redemption can be determined prior to the relevant date of early redemption, the Early Redemption Interest Amount sh...
#399">(ii) in all other cases, the Early Redemption Interest Amount shall be calculated as an amount determined by the Calculation Agent or Determination Agent (as applicable) as reflecting the fair market value of the unpaid interest element of the relevan...
- #399">(C) SONIA Floating Rate Determination
  - #399">(1) Compounded Daily SONIA … non Index Determination
#400">(i) where "Compounded Daily SONIA (Shift)" is specified as applicable in the applicable Pricing Supplement, the number of calendar days in the relevant Observation Period; and
#400">(ii) where "Compounded Daily SONIA (Lag)" is specified as applicable in the applicable Pricing Supplement, the number of calendar days in the relevant Interest Period.
#400">(i) where "Compounded Daily SONIA (Shift)" is specified as applicable in the applicable Pricing Supplement, the number of London Banking Days in the relevant Observation Period; and
#400">(ii) where "Compounded Daily SONIA (Lag)" is specified as applicable in the applicable Pricing Supplement, the number of London Banking Days in the relevant Interest Period.
#400">(i) where "Compounded Daily SONIA (Shift)" is specified as applicable in the applicable Pricing Supplement, from, and including, the first London Banking Day in the relevant Observation Period to, and including, the last London Banking Day in such Obs...
#400">(ii) where "Compounded Daily SONIA (Lag)" is specified as applicable in the applicable Pricing Supplement, from, and including, the first London Banking Day in the relevant Interest Period to, and including, the last London Banking Day in such Interes...
- #401">(2) Compounded Daily SONIA … Index Determination
- #403">(D) SOFR Floating Rate Determination
  - #403">(1) Compounded Daily SOFR … non Index Determination
  - #404">(2) Compounded Daily SOFR … Index Determination
  - #405">(3) Non-availability
- #406">(E) Maximum/Minimum Interest Rates
- #406">(F) Calculations
  - #406">(1) in the case of Floating Rate Notes which are represented by a Global Registered Note Certificate, the aggregate outstanding principal amount of the Notes represented by such Global Registered Note Certificate (or, if they are Partly Paid Notes, th...
  - #406">(2) in the case of Floating Rate Notes in definitive form, the Calculation Amount,
- #406">(G) Determination and Publication of Interest Rates and Interest Amounts
- #406">(H) Notification of Interest Rate and Interest Amounts
- #407">(I) Linear Interpolation
#407">(c) Business Day Convention
#407">(d) Certificates to be final
#408">(e) Interest on Dual Currency Interest Notes
#408">(f) Interest on Partly Paid Notes
#408">(g) Interest on other Notes
#408">(h) Accrual of interest
- #408">(i) the date on which all amounts due in respect of such Note have been paid and/or all assets deliverable in respect of such Note have been delivered; and
- #408">(ii) five days after the date on which the full amount of the moneys payable in respect of such Note has been received by the Fiscal Agent and/or all assets in respect of such Note have been received by any agent appointed by the Issuer to deliver suc...
#408">(i) Definitions
#413">(j) Dual Currency Note Provisions
- #413">(i) in respect of any payments in respect of the Notes, convert the relevant payment amount (as otherwise determined in accordance with the provisions of the General Conditions, this Condition and/or the applicable Pricing Supplement) from the Denomin...
- #413">(ii) in order to determine any cash amounts due in respect of Physical Delivery Notes, convert any such cash amounts due from the Denomination Currency into the Relevant Currency by multiplying such amount by the Dual Currency Exchange Rate for the Va...

#414">5. Redemption and Purchase

#414">(a) Final Redemption
#414">(b) Redemption for Taxation Reasons and Redemption for Illegality and Redemption following the occurrence of an Obligor Regulatory Event
- #414">(i) Redemption for Taxation Reasons
- #415">(ii) Redemption for Illegality
- #415">(iii) Early redemption following the occurrence of an Obligor Regulatory Event

#415">For the purposes of the above, "Obligor Regulatory Event" means a determination by the Calculation Agent that, as a result of an enactment of, or supplement or amendment to, or a change in, law by a relevant governmental authority or a change in poli...

#415">(i) has become subject to less favourable capital adequacy treatment with respect to the Notes;
#415">(ii) suffers or will suffer any increased costs in connection with the Notes, including any costs associated with hedging the Notes or costs in maintaining any applicable capital reserves in respect of the Notes; or
#415">(iii) would be materially restricted from performing any of its obligations under the Notes and/or, where the Issuer is CGMHI, the CGMHI Deed of Guarantee and/or, where the Issuer is CGMFL, the CGMFL Deed of Guarantee.
#416">(c) Purchases
#416">(d) Early Redemption Amount
- #416">(i) in the case of Notes (other than Zero Coupon Notes, Underlying Linked Notes and Reference Asset Linked Notes), at the amount specified in, or determined in the manner specified in, the applicable Pricing Supplement or, if no such amount or manner ...
- #416">(ii) in the case of Zero Coupon Notes, at an amount calculated in accordance with the following formula:
- #416">(iii) in the case of Underlying Linked Notes, Reference Asset Linked Notes or if so specified in the applicable Pricing Supplement, at an amount equal to either (A) an amount in the Settlement Currency determined by the Calculation Agent which represe...
- #417">(i) the sum of two components relating to the Notes (i) a bond component and (ii) an embedded derivative(s) or option component. The value of the bond component is expected to be determined based on the present value of the stream of cash payments ass...
- #417">(ii) the value of the Notes as determined using any such other factors as the Calculation Agent deems relevant, including but not limited to the time remaining to maturity of the Notes, the interest rates at which banks lend to each other, the interes...
#417">(e) Redemption at the Option of the Issuer
- #418">(i) not less than, five nor more than 60 days' notice to the Noteholders in accordance with Condition 13 (Notices); and
- #418">(ii) not less than five days' notice to the Registrar,
  - #418">(A) not less than five nor more than 60 days' notice to the Noteholders in accordance with Condition 13 (Notices); and
  - #418">(B) not less than five days' notice to the Swedish Securities Issuing and Paying Agent and Euroclear Sweden, respectively,
  - #418">(A) not less than five nor more than 60 days' notice to the Noteholders in accordance with Condition 13 (Notices); and
  - #419">(B) not less than five days' notice to the French Securities Issuing and Paying Agent who will give this notice to Euroclear France,
#419">(f) Redemption at the Option of holders of Notes
#420">(g) Redemption by Instalments
- #421">(i) no Instalment Amount will be payable in respect of the Notes in respect of which the relevant date for payment thereof has not occurred on or prior to the Risk Event Determination Date (if any and as defined in Schedule B);
- #421">(ii) if the applicable Pricing Supplement specifies that the Notes are LCY Instalment Notes, on payment of an instalment in respect of the Notes, the principal amount of the Notes held by the registered holder thereof will be reduced by the related am...
- #421">(iii) references in the Conditions of Instalment Notes to (A) "each principal amount of Notes equal to the Calculation Amount" shall be deemed to be to "each principal amount of Notes which as of the Issue Date had a principal amount equal to the Calc...
#421">(h) Cancellation
#421">(i) Late payment on Zero Coupon Notes
- #422">(i) the date on which all amounts due in respect of such Zero Coupon Note have been paid; and
- #422">(ii) five days after the date on which the full amount of the moneys payable in respect of such Zero Coupon Notes has been received by the Fiscal Agent and notice to that effect has been given to the Noteholders in accordance with Condition 13 (Notices).
#422">(j) Compulsory transfer or redemption

#422">6. Payments and Physical Delivery

#422">(a) Registered Notes
- #423">(i) Payments of principal (which for the purposes of this Condition 6(a)(i), except in the case of Reference Asset Linked Notes, shall include final Instalment Amounts but not other Instalment Amounts) in respect of Registered Notes (whether or not in...
- #423">(ii) Payments of interest and payment of all Instalment Amounts other than final Instalment Amounts (except in the case of Reference Asset Linked Notes) on Registered Notes will be paid to the person shown on the Register (A) where such Notes are in g...
#423">(b) Payments Subject to Law, etc.
- #423">(i) All payments are subject in all cases to any applicable fiscal or other laws, regulations and directives (including all applicable laws and regulations with respect to settlement of Renminbi in the relevant Renminbi Settlement Centre(s)), but with...
- #423">(ii) Where the Notes are Reference Asset Linked Notes or Credit Linked Notes, with respect to references in the General Conditions to the Specified Currency:
  - #424">(a) in relation to payments, any references therein to "Specified Currency" or to "denominated in a Specified Currency", will be deemed to be "Settlement Currency" or "payable in a Settlement Currency" and related references shall be construed accordi...
  - #424">(b) in relation to re-denomination, the provisions of Condition 16 (Redenomination) shall be deemed to apply mutatis mutandis to the Settlement Currency, for which purposes amounts specified in the Settlement Currency will instead be the Euro equivale...
#424">(c) Payments in respect of Swedish Notes
#424">(d) Payments in respect of Finnish Notes
#424">(e) Payments in respect of French Law Notes
#425">(f) Appointment of Agents
- #426">(i) a Fiscal Agent;
- #426">(ii) at any time at which any Registered Note is outstanding, a Registrar;
- #426">(iii) at any time at which any Registered Note cleared through DTC is outstanding, an Exchange Agent in relation thereto;
- #426">(iv) at any time at which any Registered Note cleared through the CMU is outstanding, a CMU Lodging and Paying Agent;
- #426">(v) at any time at which any Registered Note is outstanding, a Transfer Agent in relation thereto;
- #426">(vi) a Calculation Agent and a Determination Agent where the Conditions so require one;
- #426">(vii) a Paying Agent having a specified office in a jurisdiction within Europe, other than the jurisdiction in which the Issuer is incorporated;
- #426">(viii) at any time while any Swedish Note is outstanding, a Swedish Securities Issuing and Paying Agent authorised to act both as an account operating institution (Sw. kontoförade institut) and issuing agent (Sw. emissionsinstitut) with Euroclear Sweden;
- #426">(ix) at any time while any Finnish Note is outstanding, a Finnish Securities Issuing and Paying Agent authorised to act both as an account operator (Fi. tilinhoitaja) and issuer agent (Fi. liikkeeseenlaskijan asiamies) with Euroclear Finland;
- #426">(x) at any time while any French Cleared Note or French Law Note is outstanding, a French Securities Issuing and Paying Agent authorised to act as issuing and paying agent with Euroclear France and (if applicable) a French Law Securities Registration ...
- #426">(xi) such other agents as may be required by the rules of any stock exchange on which the Notes may be listed.
#426">(g) Payment Days
- #426">(i) a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in:
  - #426">(A) in the case of Notes in definitive form only, the relevant place of presentation; and
  - #427">(B) such jurisdictions as shall be specified as "Business Day Jurisdictions" in the applicable Pricing Supplement and, if "Business Day Jurisdiction" is specified to be or include "T2" or "T2 Business Day", a Payment Day shall also be a T2 Business Da...
- #427">(ii) either (A) in relation to any sum payable in a Settlement Currency other than Euro, a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign ...
- #427">(iii) in the case of any payment in respect of a Global Registered Note Certificate denominated in a Settlement Currency other than U.S. dollars and registered in the name of DTC or its nominee and in respect of which an accountholder of DTC (with int...
- #427">(i) (in the case of a payment in a currency other than Euro) a day on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealing in foreign exchange and foreign currency deposits) in the pr...
- #427">(ii) (in the case of a payment in Euro) a day which is a T2 Business Day.
#427">(h) Renminbi Currency Event
#429">(i) Physical Delivery
- #429">(i) This Condition will apply where the applicable Pricing Supplement specifies that the Notes are Physical Delivery Notes, other than where the Notes are Reference Asset Linked Notes, where Reference Asset Linked Condition 2(b) (LA Physical Settlemen...
  - #429">(1) Where Settlement via Intermediary is not specified as applicable in the applicable Pricing Supplement, the Issuer shall, deliver the Entitlement in respect of each Calculation Amount in accordance with the provisions hereof to the relevant Notehol...
  - #430">(2) Where Settlement via Intermediary is specified as applicable in the applicable Pricing Supplement, the Issuer shall pay the Equivalent Amounts to the Intermediary and the Issuer shall procure that the Intermediary (acting as principal) shall purch...
  - #430">(A) Asset Transfer Notices
    - #431">(1) specify the name, address and contact telephone number of the relevant Noteholder and the person from whom the Issuer (where Settlement via Intermediary is not specified as applicable in the applicable Pricing Supplement) or the Intermediary (wher...
    - #431">(2) specify the Series number of the Notes and the principal amount of the Notes which are the subject of such notice;
    - #431">(3) specify the number of the Noteholder's securities account at the Relevant Clearing System, as the case may be, to be debited with such Notes;
    - #431">(4) in respect of Notes cleared through Euroclear or Clearstream, Luxembourg, irrevocably instruct the relevant clearing system to debit the relevant Noteholder's securities account with the relevant Notes on or before the Maturity Date;
    - #431">(5) include an undertaking to pay all Expenses and a confirmation that the delivery of the Entitlement is subject, inter alia, as provided herein and either (1) in respect of Notes cleared through Euroclear or Clearstream, Luxembourg, an authority to ...
    - #431">(6) include details of the Noteholder's securities account of the Relevant Clearing System to be credited with the Entitlement and specify the name and number of the Noteholder's account with the Relevant Clearing System to be credited with any cash p...
    - #432">(7) certify either (i) in respect of Notes represented by a Regulation S Global Registered Note Certificate, that the beneficial owner of each Note the subject of the relevant Asset Transfer Notice is not a U.S. person (as defined in the Asset Transfe...
    - #432">(8) authorise the production of such certification in any applicable administrative or legal proceedings,
  - #433">(B) Verification of the Holder and process to be followed by the Fiscal Agent on receipt of an Asset Transfer Notice
  - #433">(C) Determinations and Delivery
  - #435">(D) General
    - #435">(1) paid to the Issuer (where Settlement via Intermediary is not specified as applicable in the applicable Pricing Supplement) or the Intermediary (where Settlement via Intermediary is specified as applicable in the applicable Pricing Supplement) by s...
    - #435">(2) deducted by the Issuer (where Settlement via Intermediary is not specified as applicable in the applicable Pricing Supplement) or the Intermediary (where Settlement via Intermediary is specified as applicable in the applicable Pricing Supplement) ...
  - #437">(E) Settlement Disruption
  - #438">(F) Failure to Deliver due to Illiquidity
    - #438">(1) subject as provided elsewhere in the Conditions, any Relevant Assets which are not Affected Relevant Assets, will be delivered on the originally designated Maturity Date in accordance with this Condition; and
    - #438">(2) in respect of any Affected Relevant Assets, in lieu of physical settlement and notwithstanding any other provision hereof, the Issuer (where Settlement via Intermediary is not specified as applicable in the applicable Pricing Supplement) or the In...
- #439">(ii) Issuer's or Intermediary's Option to Substitute Assets or to pay the Alternate Cash Redemption Amount
- #439">(iii) Rights of Noteholders
- #439">(iv) Issuer or Intermediary Option to Vary Settlement in respect of Physical Delivery Notes

#440">7. Taxation

#440">(a) The provisions of this paragraph (a) apply only where Citigroup Inc. is the Issuer
- #440">(i) any tax, assessment or other governmental charge that would not have been imposed but for (A) the existence of any present or former connection between such holder or beneficial owner or entitled person (or between a fiduciary, settlor or benefici...
- #440">(ii) any estate, inheritance, gift, sales, transfer or personal property tax or any similar tax, assessment or other governmental charge;
- #440">(iii) any tax, assessment or other governmental charge that would not have been imposed but for the presentation for payment or demand for payment, as the case may be, by the holder or beneficial owner or entitled person of a Note or under the Citigro...
- #440">(iv) any tax, assessment or other governmental charge that is payable otherwise than by deduction or withholding from a payment on a Note or under the Citigroup Inc. Deed of Covenant;
- #441">(v) any tax, assessment or other governmental charge required to be deducted or withheld by any Paying Agent or the Registrar, as the case may be, from a payment on a Note or under the Citigroup Inc. Deed of Covenant if such payment can be made withou...
- #441">(vi) any tax, assessment or other governmental charge that would not have been imposed but for a failure to comply with applicable certification, documentation, information or other reporting requirement concerning the nationality, residence, identity...
- #441">(vii) any tax, assessment or other governmental charge imposed on a holder or beneficial owner or entitled person that actually or constructively owns 10 per cent. or more of the combined voting power of all classes of stock of the Issuer as described...
- #441">(viii) a payment on a Note or the Citigroup Inc. Deed of Covenant to a holder or entitled person that is a fiduciary or partnership or other than the sole beneficial owner of such payment to the extent a beneficiary or settlor with respect to such fid...
- #441">(ix) taxes imposed under Sections 871(m) or 1471 through 1474 of the Code, any regulations promulgated thereunder or official interpretations thereof, or any agreement entered into pursuant to such legislation or legislation enacted to comply with suc...
- #441">(x) any tax, assessment or governmental charge imposed on any Note that the Issuer indicates in the applicable Pricing Supplement it will not treat as debt for United States federal income tax purposes; or
- #441">(xi) French 30 per cent. flat tax imposed on interest and other similar revenues received by holders who are fiscally domiciled in France where the Paying Agent is established in France (or if the Paying Agent is established in an EU or EEA Member Sta...
#441">(b) The provisions of this paragraph (b) apply only where CBNA is the Issuer
- #441">(i) any tax, assessment or other governmental charge that would not have been imposed but for (A) the existence of any present or former connection between such holder or beneficial owner or entitled person (or between a fiduciary, settlor or benefici...
- #442">(ii) any estate, inheritance, gift, sales, transfer or personal property tax or any similar tax, assessment or other governmental charge;
- #442">(iii) any tax, assessment or other governmental charge that would not have been imposed but for the presentation for payment or demand for payment, as the case may be, by the holder or beneficial owner or entitled person of a Note or under the CBNA De...
- #442">(iv) any tax, assessment or other governmental charge that is payable otherwise than by deduction or withholding from a payment on a Note or under the CBNA Deed of Covenant;
- #442">(v) any tax, assessment or other governmental charge required to be deducted or withheld by any Paying Agent or the Registrar, as the case may be, from a payment on a Note or under the CBNA Deed of Covenant if such payment can be made without such ded...
- #442">(vi) any tax, assessment or other governmental charge that would not have been imposed but for a failure to comply with applicable certification, documentation, information or other reporting requirement concerning the nationality, residence, identity...
- #442">(vii) any tax, assessment or other governmental charge imposed on a holder or beneficial owner or entitled person that actually or constructively owns 10 per cent. or more of the combined voting power of all classes of stock of the Issuer as described...
- #442">(viii) a payment on a Note or the CBNA Deed of Covenant to a holder or entitled person that is a fiduciary or partnership or other than the sole beneficial owner of such payment to the extent a beneficiary or settlor with respect to such fiduciary or ...
- #442">(ix) taxes imposed under Sections 871(m) or 1471 through 1474 of the Code, any regulations promulgated thereunder or official interpretations thereof, or any agreement entered into pursuant to such legislation or legislation enacted to comply with suc...
- #443">(x) any tax, assessment or governmental charge imposed on any Note that the Issuer indicates in the applicable Pricing Supplement it will not treat as debt for United States federal income tax purposes; or
- #443">(xi) French 30 per cent. flat tax imposed on interest and other similar revenues received by holders who are fiscally domiciled in France where the Paying Agent is established in France (or if the Paying Agent is established in an EU or EEA Member Sta...
#443">(c) The provisions of this paragraph (c) apply only where CGMHI is the Issuer
- #443">(i) any tax, assessment or other governmental charge that would not have been imposed but for (A) the existence of any present or former connection between such holder or beneficial owner or entitled person (or between a fiduciary, settlor or benefici...
- #443">(ii) any estate, inheritance, gift, sales, transfer or personal property tax or any similar tax, assessment or other governmental charge;
- #443">(iii) any tax, assessment or other governmental charge that would not have been imposed but for the presentation for payment or demand for payment, as the case may be, by the holder or beneficial owner or entitled person of a Note, under the CGMHI Dee...
- #443">(iv) any tax, assessment or other governmental charge that is payable otherwise than by deduction or withholding from a payment on a Note, under the CGMHI Deed of Covenant or under the CGMHI Deed of Guarantee;
- #443">(v) any tax, assessment or other governmental charge required to be deducted or withheld by any Paying Agent or the Registrar, as the case may be, from a payment on a Note, under the CGMHI Deed of Covenant or under the CGMHI Deed of Guarantee if such ...
- #444">(vi) any tax, assessment or other governmental charge that would not have been imposed but for a failure to comply with applicable certification, documentation, information or other reporting requirement concerning the nationality, residence, identity...
- #444">(vii) any tax, assessment or other governmental charge imposed on a holder or beneficial owner or entitled person that actually or constructively owns 10 per cent. or more of the combined voting power of all classes of stock of the Issuer as described...
- #444">(viii) a payment on a Note, the CGMHI Deed of Covenant or the CGMHI Deed of Guarantee to a holder or entitled person that is a fiduciary or partnership or other than the sole beneficial owner of such payment to the extent a beneficiary or settlor with...
- #444">(ix) taxes imposed under Sections 871(m) or 1471 through 1474 of the Code, any regulations promulgated thereunder or official interpretations thereof, or any agreement entered into pursuant to such legislation or legislation enacted to comply with suc...
- #444">(x) any tax, assessment or governmental charge imposed on any Note that the Issuer indicates in the applicable Pricing Supplement it will not treat as debt for United States federal income tax purposes; or
- #444">(xi) French 30 per cent. flat tax imposed on interest and other similar revenues received by holders who are fiscally domiciled in France where the Paying Agent is established in France (or if the Paying Agent is established in an EU or EEA Member Sta...
#444">(d) The provisions of this paragraph (d) apply only where CGMFL is the Issuer
- #444">(i) any tax, assessment or other governmental charge that would not have been imposed but for the existence of any present or future connection between such holder or beneficial owner or entitled person and Luxembourg (in the case of payments by CGMFL...
- #445">(ii) any tax imposed by Luxembourg under the law of December 2005, as amended; or
- #445">(iii) any Note, the CGMFL Deed of Covenant or the CGMFL Deed of Guarantee presented for payment in Luxembourg; or
- #445">(iv) any tax, assessment or other governmental charge to which such holder or beneficial owner or entitled person would not be liable or subject by making a declaration of non-residence or other similar claim for exemption to the relevant tax authorit...
- #445">(v) any tax, assessment or governmental charge that would not have been imposed but for the presentation for payment or demand for payment, as the case may be, by the holder or beneficial owner or entitled person of a Note or under the CGMFL Deed of C...
- #445">(vi) taxes imposed under Sections 871(m) or 1471 through 1474 of the Code, any regulations promulgated thereunder or official interpretations thereof, any agreement entered into pursuant to such legislation, or any law implementing an intergovernmenta...
- #445">(vii) French 30 per cent. flat tax imposed on interest and other similar revenues received by holders who are fiscally domiciled in France where the Paying Agent is established in France (or if the Paying Agent is established in an EU or EEA Member St...
#445">(e) The provisions of this paragraph (e) apply to all Notes, regardless of the Issuer

#445">8. Prescription

#446">9. Events of Default

#446">(a) Event of Default wherever used herein with respect to the Notes means any one of the following events:
- #446">(i) default in the payment of any interest upon any Note when it becomes due and payable, and continuance of such default for a period of 30 days; or
- #446">(ii) default in the payment of the principal of any Note at its due date or default in the delivery of any Entitlement in respect of any Note at its due date or default in the delivery of any Physical Redemption Assets in respect of any Credit Linked ...
- #446">(iii) default in the performance, or breach, of any covenant of the Issuer or the CGMFL Guarantor in the Conditions or the Fiscal Agency Agreement (other than a covenant a default in whose performance or whose breach is elsewhere in this Condition 9 s...
- #446">(iv) THIS CONDITION 9(a)(iv) ONLY APPLIES WHERE THE ISSUER IS CITIGROUP INC., CBNA OR CGMHI: the entry of a decree or order for relief in respect of the Issuer by a court having jurisdiction in the premises in an involuntary case under the United Stat...
- #446">(v) THIS CONDITION 9(a)(v) ONLY APPLIES WHERE THE ISSUER IS CITIGROUP INC., CBNA OR CGMHI: the commencement by the Issuer of a voluntary case under the United States Federal bankruptcy laws, as now or hereafter constituted, or any other applicable Uni...
- #447">(vi) THIS CONDITION 9(a)(vi) ONLY APPLIES WHERE THE ISSUER IS CGMFL:
  - #447">(A) any order is made by any component court or any resolution passed for the winding-up or dissolution of the Issuer (including, without limitation, the opening of any bankruptcy (faillite), insolvency, voluntary or judicial liquidation, (insolvabili...
  - #447">(B) the entry of a decree or order for relief in respect of the CGMFL Guarantor by a court having jurisdiction in the premises in an involuntary case under the United Kingdom bankruptcy laws, as now or hereafter constituted, or any other applicable Un...
  - #447">(C) the commencement by the CGMFL Guarantor of a voluntary case under the United Kingdom bankruptcy laws, as now or hereafter constituted, or any other applicable United Kingdom bankruptcy, insolvency or other similar law, or the consent by it to the ...
  - #447">save that, in the case of each of (B) and (C) above, any action taken or occurrence in the context of a solvent winding-up of the CGMFL Guarantor solely for the purposes of a reorganisation, reconstruction, merger or amalgamation shall not constitute ...
- #447">(vii) THIS CONDITION 9(a)(vii) ONLY APPLIES WHERE THE ISSUER IS CGMFL:
#448">(b) If an Event of Default with respect to the Notes at the time Outstanding occurs and is continuing, then in every such case the holders of not less than 25 per cent. in principal amount of the Outstanding Notes may declare the Notes, by a notice in...
#448">(c) Outstanding when used with respect to the Notes, means, as of the date of determination, all Notes authenticated and delivered under the Conditions prior to such date, except:
- #448">(i) Notes cancelled by the Fiscal Agent or the Registrar or delivered to the Fiscal Agent or the Registrar for cancellation;
- #448">(ii) Notes or portions thereof for whose payment or redemption money in the necessary amount has been deposited with the Fiscal Agent or any other Paying Agent in accordance with the Fiscal Agency Agreement; provided, however, that if such Notes or po...
- #448">(iii) Notes in exchange for or in lieu of which other Notes have been authenticated and delivered pursuant to the Conditions, other than any such Notes in respect of which there shall have been presented to the Fiscal Agent or the Registrar proof sati...

#448">10. Meetings of Noteholders, Modifications, Determinations and Rounding

#448">(a) Meetings of Noteholders
- #450">(i) Legal Personality
- #450">(ii) Representative
  - #450">(A) the Issuer, the members of its Board of Directors (Conseil d'administration), their Supervisory Board (Conseil de surveillance), its general managers (directeurs généraux), its statutory auditors, its employees or any of their ascendants, descenda...
  - #450">(B) the Guarantor, and more generally companies guaranteeing all or part of the obligations of the Issuer, their respective managers (gérants), general managers (directeurs généraux), members of their Board of Directors (Conseil d'administration), Exe...
  - #450">(C) companies holding ten per cent. or more of the share capital of the Issuer or companies having ten per cent. or more of their share capital held by the Issuer; or
  - #450">(D) persons to whom the practice of banker is forbidden or who have been deprived of the right of directing, administering or managing an enterprise in whatever capacity.
- #451">(iii) Powers of Representative
- #451">(iv) General Meeting
- #451">(v) Written Decision and Electronic Consent
- #452">(i) Legal Personality
- #452">(ii) Representative
  - #452">(A) the Issuer, the members of its Board of Directors (Conseil d'administration), their Supervisory Board (Conseil de surveillance), its general managers (directeurs généraux), its statutory auditors, its employees or any of their ascendants, descenda...
  - #452">(B) the Guarantor, and more generally companies guaranteeing all or part of the obligations of the Issuer, their respective managers (gérants), general managers (directeurs généraux), members of their Board of Directors (Conseil d'administration), Exe...
  - #452">(C) companies holding ten per cent. or more of the share capital of the Issuer or companies having ten per cent. or more of their share capital held by the Issuer; or
  - #452">(D) persons to whom the practice of banker is forbidden or who have been deprived of the right of directing, administering or managing an enterprise in whatever capacity.
- #453">(iii) Powers of Representative
- #453">(iv) General Meeting
- #453">(v) Written Decision and Electronic Consent
- #454">(i) General
  - #454">(A) the Noteholder shall not be grouped in a Masse having separate legal personality and acting in part through a Representative (représentant de la masse) and in part through General Meetings;
  - #454">(B) however, the following provisions of the French Code de commerce shall apply: Articles L.228-46-1, L.228-57, L.228-61 (with the exception of the first paragraph thereof), L.228-65 (with the exception of (i) sub-paragraphs 1 , 3 , 4 and 6 of para...
  - #454">(C) whenever the words "de la masse", "d'une même masse", "par les représentants de la masse", "d'une masse", "et au représentant de la masse", "de la masse intéressée", "dont la masse est convoquée en assemblée" or "par un représentant de la masse", ...
- #454">(ii) Powers of General Meetings
- #455">(iii) Convening of a General Meeting
- #455">(iv) Arrangements for Voting
- #455">(v) Chairman
- #455">(vi) Quorum and Voting
- #455">(vii) Written Decision and Electronic Consent
- #456">(viii) Effect of Resolutions
#457">(b) Modifications
- #457">(i) any modification (except as mentioned above) to, as applicable, the Notes, the Fiscal Agency Agreement, the relevant Deed of Covenant, the relevant Swedish Agency Agreement, the Finnish Securities Issuing and Paying Agency Agreement, the CGMHI Dee...
- #457">(ii) any modification to the Notes, the Fiscal Agency Agreement, the relevant Deed of Covenant, the relevant Swedish Agency Agreement, the Finnish Securities Issuing and Paying Agency Agreement, the CGMHI Deed of Guarantee and/or the CGMFL Deed of Gua...
#457">(c) Determinations
#458">(d) Exercise of Discretion
#458">(e) Hedging Arrangements
#459">(f) Determination of amounts payable or deliverable
- #459">(i) quotations (either firm or indicative) supplied by one or more third parties or information sources;
- #459">(ii) information consisting of relevant market data in the relevant markets supplied by one or more third parties or information sources including, without limitation, relevant rates, prices, yields, yield curves, volatilities, spreads correlation or ...
- #459">(iii) information of the types described in (i) or (ii) above from internal sources (including any Affiliates of the Issuer and/or the Calculation Agent and/or such other persons) or other information of a type used by the Issuer and/or the Calculatio...
#459">(g) Rounding
#459">(h) Disclaimer of liability and responsibility
#460">(i) Conflict of Interest

#460">11. Replacement of Notes

#460">12. Further Issues

#461">13. Notices

#461">(a) Notices in relation to Notes other than Finnish Notes, Swedish Notes and French Law Notes
#461">(b) Notices in relation to Finnish Notes
#461">(c) Notices in relation to Swedish Notes
#462">(d) Notices in relation to French Law Notes
- #462">(i) Notices to the Noteholders of French Law Notes in registered dematerialised form (au nominatif) shall be valid if either, (A) they are mailed to them at their respective addresses, in which case they will be deemed to have been given on the fourth...
- #462">(ii) Notices to the Noteholders of French Law Notes in bearer form (au porteur) shall be valid if published (A) in a leading daily newspaper of general circulation in Europe (which is expected to be the Financial Times) or (B) in accordance with Artic...
- #462">(iii) With respect to any French Law Notes listed on the Luxembourg Stock Exchange and so long as the rules of that exchange so require, any notices to holders must be published in a daily leading newspaper having general circulation in Luxembourg (wh...
- #462">(iv) 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 Europe. Any such notice shall be deemed to have been given on the date of such ...
- #462">(v) Notices required to be given to the Noteholders of French Law Notes (whether in registered or in bearer form) pursuant to these Conditions may be given by delivery of the relevant notice to Euroclear France and any other clearing system through wh...
- #463">(vi) Notices relating to convocation and decision(s) pursuant to Condition 10(a) (Meetings of Noteholders) and pursuant to Articles R.228-79 and R.236-11 of the French Code de commerce shall be given by delivery of the relevant notice to Euroclear Fra...
- #463">(vii) Notices will, if published more than once, be deemed to have been given on the date of the first publication.

#463">14. Consolidation or Merger

#463">(a) The Issuer, the CGMHI Guarantor or the CGMFL Guarantor shall not consolidate with or merge into any other corporation or convey, transfer or lease its properties and assets substantially as an entirety to any Person (as defined below), other than ...
- #463">(i) the corporation formed by such consolidation or into which the Issuer, the CGMHI Guarantor or the CGMFL Guarantor is merged or the Person which acquires by conveyance or transfer, or which leases, the properties and assets of the Issuer substantia...
- #463">(ii) if the Notes are listed or traded on any stock exchange, each such stock exchange shall have confirmed that, following the proposed substitution of the Substitute, the Notes will continue to be listed or traded on such stock exchange.
#463">(b) Upon any consolidation with or merger into any other corporation, or any conveyance, transfer or lease of the properties and assets of the Issuer, the CGMHI Guarantor or the CGMFL Guarantor substantially as an entirety in accordance with Condition...

#464">15. Substitution of the Issuer, the CGMHI Guarantor and the CGMFL Guarantor

#464">(a) Applicability
- #464">(i) a substitution of Citigroup Inc., CBNA, and CGMHI and the CGMHI Guarantor, such substitution is subject to satisfaction of the conditions for substitution set out in Condition 15(c) (General Conditions for Substitution) below; and
- #464">(ii) if "Substitution provisions" are specified as being applicable in the applicable Pricing Supplement, a substitution of CGMFL and the CGMFL Guarantor, such substitution is subject to satisfaction of the conditions for substitution set out in Condi...
#464">(b) Substitution of CGMFL and/or the CGMFL Guarantor
- #464">(i) If "Additional Requirements" are specified as "Not Applicable" in the applicable Pricing Supplement, on the date of such substitution, the Substitute is, in the opinion of the Issuer or the CGMFL Guarantor (as the case may be) being substituted (t...
- #464">(ii) If "Additional Requirements" are specified as "Applicable" in the applicable Pricing Supplement, the Additional Requirements are satisfied.
  - #464">(A) save where the Original Entity is subject to legal restructuring (including without limitation voluntary or involuntary liquidation, winding-up, dissolution, bankruptcy or insolvency or analogous proceedings), the Original Entity shall uncondition...
  - #465">(B) if no guarantee by the Original Entity pursuant to (A) above is required, both (I) the Substitute is an Affiliate of the Original Entity and (II) the Substitute, on the date of such substitution, shall demonstrate a long term credit rating from at...
  - #465">(C) the Original Entity shall provide an indemnity in favour of the Noteholders in relation to any additional tax or duties or losses suffered by Noteholders due to differences between the regulatory or tax regimes applicable to the Original Entity an...
  - #465">(D) on the date of such substitution there shall be (I) no existing Event of Default; or (II) no occurrence of an event which remains in existence on such date which, in the absence of the relevant grace period, would otherwise constitute an Event of ...
#465">(c) General Conditions for Substitution
- #465">(i) all actions, conditions and things required to be taken, fulfilled and done (including the obtaining of necessary consents) to ensure that, in the case of a substitution of the Issuer, the Notes and the relevant Deed of Covenant, in the case of a ...
- #465">(ii) the Substitute has become party to the Fiscal Agency Agreement with any appropriate consequential amendments, as if it had been an original party to it in place of the Issuer, the CGMHI Guarantor or the CGMFL Guarantor, as the case may be, from t...
- #465">(iii) the Substitute and the Issuer have obtained:
  - #465">(A) legal opinions from independent legal advisers of recognised standing in the country of incorporation of the Substitute and in England, that the obligations of the Substitute, under the Notes and the relevant Deed of Covenant, the CGMHI Deed of Gu...
  - #465">(B) in the case of the substitution of the Issuer which is CGMHI (or any substitute thereof), a legal opinion from an independent legal adviser in England, that the CGMHI Deed of Guarantee will apply to the Substitute mutatis mutandis as it applies to...
  - #465">(C) in the case of the substitution of the Issuer which is CGMFL (or any substitute thereof), a legal opinion from an independent legal adviser in England, that the CGMFL Deed of Guarantee will apply to the Substitute mutatis mutandis as it applies to...
  - #466">(D) all consents and approvals as required have been obtained and that the Substitute and the Notes comply with all applicable requirements of the Securities Act;
- #466">(iv) such substitution is permitted by the rules of any stock exchange on which the Notes are listed and each such stock exchange has confirmed that, following the proposed substitution of the Substitute, the Notes will continue to be listed on such s...
- #466">(v) if appropriate, the Substitute has appointed or will appoint a process agent to act as its agent in England to receive service of process on its behalf in relation to any legal action or proceedings arising out of or in connection with the Notes;
- #466">(vi) the Issuer, the CGMHI Guarantor or the CGMFL Guarantor, as the case may be, has given notice of the date of such substitution to the Noteholders in accordance with Condition 13 (Notices);
- #466">(vii) in the case of Finnish Notes only, confirmation that such substitution is permitted by Euroclear Finland;
- #466">(viii) in the case of Swedish Notes only, confirmation that such substitution is permitted by Euroclear Sweden; and
- #466">(ix) if "Additional French Law Notes Requirements" are specified in the applicable Pricing Supplement as "Applicable", each of (A) - (C) below (together, the Additional French Law Notes Requirements) are satisfied:
  - #466">(A) the Substitute has assumed all obligations of the Issuer or the Guarantor (as the case may be) or any previous substituted company arising from or in connection with the French Law Notes or the Guarantee (as the case may be);
  - #466">(B) the Issuer or the Guarantor (as the case may be) and the Substitute have obtained all necessary authorisations and are able to transfer all amounts required for the fulfilment of the payment obligations under the French Law Notes or the Guarantee ...
  - #466">(C) the Substitute has agreed to indemnify and hold harmless each French Noteholder against (I) any tax, duty, assessment or governmental charge imposed on such Noteholder by (or by any authority in or of) the jurisdiction of the country of the Substi...
#466">(d) Consequences of Substitution
- #466">(i) Upon such substitution, any reference in the Conditions to the Issuer, the CGMHI Guarantor or the CGMFL Guarantor, as the case may be, shall be deemed to be a reference to the Substitute.
- #467">(ii) After a substitution pursuant to this Condition 15, the Substitute may, without the consent of any holder, effect a further substitution. The provisions specified in this Condition 15 shall apply mutatis mutandis, and references in the Condition...
- #467">(iii) After a substitution pursuant to this Condition 15 (including any further substitution as contemplated by Condition 15(d)(ii) above), any Substitute may, without the consent of any holder, reverse the substitution, mutatis mutandis.
- #467">(iv) For the avoidance of doubt:
  - #467">(A) CGMHI may (I) be substituted as the Issuer by Citigroup Inc., pursuant to this Condition 15, notwithstanding that it is the CGMHI Guarantor or (II) merge or be consolidated into Citigroup Inc. pursuant to Condition 14 (Consolidation or Merger), no...
  - #467">(B) CGMFL may (I) be substituted as the Issuer by CGML, pursuant to this Condition 15, notwithstanding that it is the CGMFL Guarantor or (II) merge or be consolidated into CGML pursuant to Condition 14 (Consolidation or Merger), notwithstanding that i...
- #467">(v) Nothing in this Condition 15 shall prohibit the substitution of the CGMHI Guarantor under the CGMHI Deed of Guarantee or the substitution of the CGMFL Guarantor under the CGMFL Deed of Guarantee by another entity as part of any resolution, restruc...
- #467">(vi) For so long as any Notes are listed on a stock exchange, such stock exchange shall be notified of any such consolidation, merger or substitution and the requirements of such stock exchange in respect of such consolidation, merger or substitution ...
- #467">(vii) Upon the substitution of Citigroup Inc. pursuant to this Condition 15 or Condition 14 (Consolidation or Merger), with any successor corporation or Substitute, as the case may be, which is organised and existing under the laws of a jurisdiction o...
- #467">(viii) Upon the substitution of CBNA pursuant to this Condition 15 or Condition 14 (Consolidation or Merger), with any successor corporation or Substitute, as the case may be, which is organised and existing under the laws of a jurisdiction other tha...
- #468">(ix) Upon the substitution of CGMHI or the CGMHI Guarantor pursuant to this Condition 15 or Condition 14 (Consolidation or Merger), with any successor corporation or Substitute, as the case may be, which is organised and existing under the laws of a ...
- #468">(x) Upon the substitution of CGMFL pursuant to this Condition 15 or Condition 14 (Consolidation or Merger), with any successor corporation or Substitute, as the case may be, which is organised and existing under the laws of a jurisdiction other than L...
  - #468">(A) references in Condition 7(d) to Luxembourg (or such other jurisdiction) and any related expressions (as determined by the Issuer) shall, if determined by the Issuer to be appropriate to account for such substitution, be replaced with references to...
  - #468">(B) the following words shall be added to the end of paragraph (vi)(A) of the definition of "Event of Default" in Condition 9(a)(vi)(A) immediately following the words "or other similar arrangement":
- #468">(xi) Upon the substitution of the CGMFL Guarantor pursuant to this Condition 15 or Condition 14 (Consolidation or Merger), with any successor corporation or Substitute, as the case may be, which is organised and existing under the laws of a jurisdicti...
- #468">(xii) For the purposes of this Condition 15 and article 1275 of the Luxembourg civil code, the Noteholders, by subscribing for, or otherwise acquiring the Notes, are expressly deemed to have consented to any substitution of CGMFL effected in accordanc...
- #468">(xiii) On the substitution of any successor corporation or Substitute, amendments may be made to the Conditions to reflect the regulatory position of such successor corporation or Substitute, including without limitation, to reflect the requirements o...

#469">16. Redenomination

#469">(a) each Specified Denomination will be deemed to be denominated in such amount of Euro as is equivalent to its denomination so specified in the relevant Settlement Currency at the Established Rate, rounded down to the nearest Euro 0.01;
#469">(b) after the Redenomination Date, all payments in respect of the Notes, 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 relevant Set...
#469">(c) such other changes shall be made to the Conditions as the Issuer may decide, with the agreement of Fiscal Agent, and as may be specified in the notice, to conform them to conventions then applicable to notes denominated in Euro including but not l...

#469">17. Governing Law and Submission to Jurisdiction

#469">(a) Governing Law
#470">(b) Submission to Jurisdiction
#471">(c) Waiver of any rights to a trial by jury
#471">(d) Service of Process

#472">18. Rights of Third Parties

#472">(a) Rights of Third Parties
#472">(b) For the sole benefit of Noteholders of New York Law Notes; no third-party beneficiaries

#472">19. General Provisions Applicable to Underlying Linked Notes and fallback provisions for Notes other than Underlying Linked Notes

#472">(a) Valuing the Underlying
#472">(b) Underlying Closing Level or Underlying Level on a Valuation Date
#472">(c) Adjustments to Valuation Dates (Scheduled Trading Days)
- #472">(i) The following sub-paragraph shall apply to Notes linked to one Underlying.
- #473">(ii) The following sub-paragraph shall apply to Notes linked to more than one Underlying if "Move In Block" is specified in the applicable Pricing Supplement.
- #473">(iii) The following sub-paragraph shall apply to Notes linked to more than one Underlying if "Value What You Can" is specified in the applicable Pricing Supplement.
  - #473">(A) the Valuation Date for each Underlying for which such Specified Valuation Date is a Scheduled Trading Day shall be such Specified Valuation Date, unless in the opinion of the Calculation Agent such day is a Disrupted Day for such Underlying, in wh...
  - #473">(B) the Valuation Date for each Underlying for which such Specified Valuation Date is not a Scheduled Trading Day shall be the first succeeding day immediately following such Specified Valuation Date which is a Scheduled Trading Day for such affected ...
#473">(d) Adjustments to Valuation Dates (Disrupted Days and Underlying Closing Levels)
- #474">(i) The following sub-paragraph shall apply to Notes linked to one Underlying, subject as provided in sub-paragraph (iv) below.
- #474">(ii) The following sub-paragraph shall apply to Notes linked to more than one Underlying if "Move In Block" is specified in the applicable Pricing Supplement, subject as provided in sub-paragraph (iv) below.
- #474">(iii) The following sub-paragraph shall apply to Notes linked to more than one Underlying if "Value What You Can" is specified in the applicable Pricing Supplement, subject as provided in sub-paragraph (iv) below.
  - #474">(A) if such Specified Valuation Date is not a Disrupted Day for an Underlying, then the Valuation Date for such Underlying shall be such Specified Valuation Date; and
  - #474">(B) if such Specified Valuation Date is a Disrupted Day for an Underlying, then the Valuation Date for such Underlying shall be the earlier of: (1) the first succeeding day immediately following such Specified Valuation Date which is a Scheduled Tradi...
- #474">(iv) If the Valuation Date for any Underlying determined as provided above would otherwise fall on a day falling after the second Scheduled Trading Day (the Cut-off Valuation Date) for such Underlying prior to the date on which a relevant payment or d...
#474">(e) Adjustments to Valuation Dates (Calculation Agent's determination of Underlying Closing Levels)
- #474">(i) If the Valuation Date for any Underlying (as determined in accordance with Condition 19(d) (Adjustments to Valuation Dates (Disrupted Days and Underlying Closing Levels))) is a Disrupted Day for such Underlying, then (unless otherwise specified in...
- #475">(ii) If the Valuation Date for any Underlying (as determined in accordance with Condition 19(d)(iv)) is determined to occur on the Cut-off Valuation Date for such Underlying, then (unless otherwise specified in the Underlying Schedule applicable to su...
#475">(f) Adjustment to Valuation Dates (Disrupted Days and Underlying Levels)
#475">(g) Adjustment Events
#475">(h) Early Redemption Events
#475">(i) Mandatory Early Redemption Events
#476">(j) Realisation Disruption
#476">(k) Correction of published or announced prices or levels
#476">(l) Notifications
#477">(m) Definitions
#480">(n) Fallback Provisions for Notes other than Underlying Linked Notes

#480">20. Hierarchy Provisions and Adjustments

#480">(a) Reference Rate Event Provisions
#481">(b) Redemption or adjustment for an Administrator/Benchmark Event provisions
#481">(c) Rate Conditions
#481">(d) Screen Rate Determination and ISDA Determination
#481">(e) SONIA Floating Rate Determination and SOFR Floating Rate Determination
#481">(f) Adjustments
- #482">(i) shall be made to the extent reasonably practicable, but also taking into account prevailing industry standards in any related market (including, without limitation, the derivatives market);
- #482">(ii) may include, where applicable and without limitation, (i) technical, administrative or operational changes (including without limitation, changes to determination dates, timing and frequency of determining rates and making payments, rounding of a...
- #482">(iii) may be applied on more than one occasion, may be made as of one or more effective dates, may but does not have to involve the selection of a successor or replacement rate which is determined on a backwards-looking compounding basis by reference ...
#482">(g) No duty to monitor
#482">(h) Regulatory Obligations

#483">21. Reference Rate Event Provisions

#483">(a) Reference Rate Event
- #483">(i) seek to identify a Replacement Reference Rate in respect of the Reference Rate; and
- #483">(ii) if it identifies a Replacement Reference Rate in respect of the Reference Rate:
  - #483">(A) calculate an Adjustment Spread that will be applied to the Replacement Reference Rate; and
  - #483">(B) determine such other amendments to the Notes which it considers are necessary and/or appropriate in order to account for the effect of the replacement of the Reference Rate with the Replacement Reference Rate (as adjusted by the Adjustment Spread)...
- #483">(iii) determine the timing for when the Replacement Reference Rate, Adjustment Spread and such other adjustments will become effective in relation to the relevant Notes,
#484">(b) Interim Adjustments
- #484">(i) if the Reference Rate is still available, and it is still permitted under applicable law or regulation for the Notes to reference the Reference Rate and for the Issuer and/or the Calculation Agent or Determination Agent (as applicable) to use the ...
- #484">(ii) if the Reference Rate is no longer available or it is no longer permitted under applicable law or regulation applicable to the Issuer and/or to the Calculation Agent or Determination Agent (as applicable) for the Notes to reference the Reference ...
- #485">(iii) If the Calculation Agent or Determination Agent (as applicable) determines the Reference Rate in accordance with sub-paragraph (ii) above only, the Calculation Agent or Determination Agent (as applicable) shall notify the Issuer of such determin...
#485">(c) Certain Defined Terms

#487">22. Redemption or adjustment for an Administrator/Benchmark Event

#487">(i) the Calculation Agent or Determination Agent (as applicable) may make such adjustment(s) to the terms of the Notes as the Calculation Agent or Determination Agent (as applicable) determines necessary or appropriate to account for the effect of the...
#487">(ii) the Issuer may (if so specified in the applicable Pricing Supplement and at its option) redeem the Notes on a day selected by the Issuer, each principal amount of Notes equal to the Calculation Amount being redeemed by payment of an amount equal ...

#488">23. Acknowledgement of the United States Special Resolution Regime

#488">(i) in the event the relevant Issuer, the CGMHI Guarantor or the CGMFL Guarantor, as applicable, becomes subject to a proceeding under the Federal Deposit Insurance Act or Title II of the Dodd-Frank Wall Street Reform and Consumer Protection Act (each...
#488">(ii) in the event the relevant Issuer, the CGMHI Guarantor or the CGMFL Guarantor, or any of their respective affiliates (as such term is defined in, and shall be interpreted in accordance with, 12 United States Code (U.S.C.) 1841(k)) becomes subject ...

#489">24. Compliance Representations, Warranties and Undertakings

#489">(a) China Compliance Representations, Warranties and Undertakings
- #489">(A) On the date of purchase and on each day the Notes are being held, each holder of Notes will be deemed to represent and/or warrant (as applicable) that its purchase of the Notes is in full compliance with the following selling restrictions and it u...
  - #489">(1) It is not (1) a PRC Citizen resident in the PRC, (2) a PRC Citizen resident outside the PRC who is not a permanent resident of another country or permanent resident of Hong Kong Special Administrative Region, Macau Special Administrative Region or...
  - #489">(2) In the case where the Notes are purchased by the holder as or on behalf of a trustee for a trust, interests in the trust are not majority-owned by, and the management decision over the trust is not controlled by, one or more Domestic Investor(s). ...
  - #489">(3) All amounts paid or to be paid by it in connection with any Note did not and will not involve moneys financed by or sourced from any Domestic Investor in contravention of the laws and regulations of the PRC; and
  - #489">(4) It confirms that its transactions in Notes (i) will not contravene any applicable law or regulation of the PRC; and (ii) are not for purposes of gaining or exercising control or influence over the management of the issuer of the securities underly...
- #489">(B) Each purchaser of the Notes is deemed to have agreed and undertaken as follows (and for the avoidance of doubt, such agreements and undertakings shall survive the maturity or expiration date of such Notes):
  - #490">(1) It will comply with all applicable PRC laws and regulations, including those in relation to foreign exchange, disclosure of interests and any related disposal restrictions;
  - #490">(2) It acknowledges that the Issuer or its Affiliates may be required to disclose information relating to, among other things, the details of its transactions in Notes or the identities of any party having a legal or beneficial interest in the Notes a...
  - #490">(3) It shall promptly provide the Issuer or its Affiliates with such additional information that they reasonably deem necessary or appropriate in order to comply with regulations or requests of any governmental or regulatory authorities from time to t...
  - #490">(4) It will not sell, transfer, assign, novate or otherwise dispose of the Notes to any transferee without the prior written consent of the Issuer or its Affiliates, and will provide notice of the transfer restrictions in this paragraph to any subsequ...
  - #490">(5) It will promptly notify the Issuer or its Affiliates should any of the representations, warranties, agreements and undertakings given by it changes or no longer holds true.
#491">(b) Taiwan Compliance Representations, Warranties and Undertakings

#492">Definitions

#493">Schedules to the Terms and Conditions of the Notes

#494">Underlying Schedule 1 … Security Index Conditions

#494">1. DEFINITIONS

#497">2. VALUATION

#497">(a) Closing valuations
#497">(b) Intraday valuations

#497">3. DISRUPTION TO VALUATION

#497">(a) Single Exchange Index
#499">(b) Multiple Exchange Index
#500">(c) Determining whether or not a Market Disruption Event exists

#500">4. Additional Adjustment Events

#500">(a) such Security Index is either (a) not calculated and announced by or on behalf of the relevant Index Sponsor but instead is calculated and announced by or on behalf of a successor to such relevant Index Sponsor acceptable to the Calculation Agent;...
#500">(b) each Additional Disruption Event (if any) specified in the applicable Pricing Supplement.

#500">5. Additional Early Redemption Events

#501">6. Additional Provisions

#501">(a) Correction of published or announced prices or levels
#501">(b) Modification or cancellation of a Security Index and Security Index Substitution
- #501">(i) Security Index Adjustment Events
  - #501">(A) calculate the relevant level of such Security Index at the relevant time on such Valuation Date using, in lieu of a published level for such Security Index, the level of such Security Index at the relevant time on such Valuation Date as determined...
  - #501">(B) substitute such Security Index as provided in Security Index Condition 6(b)(ii) (Security Index Substitution) and make such adjustments (if any) to the Terms and Conditions and/or the applicable Pricing Supplement as it deems necessary or appropri...
  - #501">(C) make such adjustments to the Terms and Conditions and/or the applicable Pricing Supplement as the Calculation Agent determines necessary or appropriate to account for the effect of such Security Index Adjustment Event and determine the effective d...
- #501">(ii) Security Index Substitution
#502">(c) Determination of the Underlying Closing Level of a Security Index on a Disrupted Day
#502">(d) Calculation Agent's discretion to determine non-material events
- #502">(i) not a Scheduled Trading Day for a Security Index because one or more relevant Related Exchanges is not scheduled to be open; or
- #502">(ii) a Disrupted Day for a Security Index solely because any relevant Related Exchange fails to open,
#502">(e) Conditions for Bond Indices
- #502">(i) Valuation
- #503">(ii) Market Disruption Event
  - #503">(A) In relation to a Bond Index, Security Index Condition 6 (Additional Provisions) shall be amended as follows:
    - #503">(1) the first paragraph of Security Index Condition 6(b) (Modification or cancellation of a Security Index and Security Index Substitution) shall be amended by the deletion of the words "(other than a modification prescribed in that formula or method ...
    - #503">(2) Security Index Condition 6(d) (Calculation Agent's discretion to determine non-material events) shall not apply to the Bond Index.
  - #503">(B) In relation to a Bond Index, there shall be no definition of "Related Exchange" and the Conditions shall be construed accordingly.
#503">(f) Adjustments following an Adjustment Event
#504">(g) Hedging Disruption
- #504">(i) a Hedging Disruption includes (without limitation) any inability to hedge by the Hedging Party or its Affiliates as a result of compliance with any foreign ownership restrictions imposed by the issuer of any Component Security, any exchange or any...
- #504">(ii) "using commercially reasonable efforts" to hedge the risks with respect to the Notes referred to in the definition of Hedging Disruption does not include the use of any quota granted to such Hedging Party or its Affiliates under the Qualified For...

#504">7. STANDARD PROVISIONS

#505">Underlying Schedule 2 … Inflation Index Conditions

#505">1. Definitions

#506">2. VALUATION

#506">3. Disruption To Valuation

#506">(a) Determination of the Underlying Closing Level of an Inflation Index on a Valuation Date
#506">(b) Substitute Index Level
- #506">(i) if Fallback Bond is specified as applicable in the applicable Pricing Supplement, the Calculation Agent will take the same action to determine the Substitute Index Level for the affected Reference Month as that taken by the relevant calculation ag...
- #506">(ii) if there is no Fallback Bond or sub-paragraph (i) above does not result in a Substitute Index Level for the relevant Reference Month for any reason, then the Calculation Agent will determine the Substitute Index Level in accordance with the formu...
- #506">(iii) if the Underlying Closing Level of an Inflation Index for a Reference Month is published or announced at any time after the Cut-off Date for the relevant Payment Date, then such Underlying Closing Level will not be used in any calculation. The ...

#507">4. ADDITIONAL ADJUSTMENT EVENTS

#507">5. Additional Early Redemption Events

#507">(i) the Calculation Agent determines that no Successor Index can be determined under Inflation Index Condition 6(d) (Substitution of an Inflation Index); and
#507">(ii) the Calculation Agent determines that no adjustment can reasonably be made under Inflation Index Condition 6(e) (Modification of an Inflation Index).

#507">6. ADDITIONAL PROVISIONS

#507">(a) Correction of published or announced prices or levels
#507">(b) Revision of the level of an Inflation Index
#507">(c) Correction of a manifest error in the level of an Inflation Index
#508">(d) Substitution of an Inflation Index
- #508">(i) if at any time a successor index has been designated in respect of an Inflation Index by the calculation agent under any relevant Fallback Bond pursuant to the terms and conditions of such Fallback Bond, then such successor index may be designated...
- #508">(ii) if a Successor Index has not been determined under sub-paragraph (i) above and a notice has been given or an announcement has been made by the relevant Index Sponsor, specifying that such Inflation Index will be superseded by a replacement inflat...
- #508">(iii) if no Successor Index has been determined under sub-paragraph (i) or (ii) above by the fifth Business Day prior to the Cut-off Date in respect of the next following Payment Date, then the Calculation Agent will determine an appropriate alternati...
#508">(e) Modification of an Inflation Index
#508">(f) Rebasing of the Inflation Index

#510">Underlying Schedule 3 … Commodity Index Conditions

#510">1. Definitions

#511">2. Valuation

#511">(a) Closing valuations
#511">(b) Intraday valuations

#511">3. Disruption to Valuation

#513">4. Additional Adjustment Events

#513">5. Additional Provisions

#513">(a) Correction of published or announced prices or levels
#513">(b) Modification or cancellation of a Commodity Index and Commodity Index Substitution
- #513">(i) Commodity Index Adjustment Events
  - #514">(A) calculate the relevant level of such Commodity Index at the relevant time on such Valuation Date using, in lieu of a published level for such Commodity Index, the level of such Commodity Index at the relevant time on such Valuation Date as determi...
  - #514">(B) the Calculation Agent shall substitute such Commodity Index as provided in Commodity Index Condition 5(b)(ii) (Commodity Index Substitution) and make such adjustments (if any) to the Terms and Conditions and/or the applicable Pricing Supplement as...
  - #514">(C) make such adjustments to the Terms and Conditions and/or the applicable Pricing Supplement as the Calculation Agent determines necessary or appropriate to account for the effect of such Commodity Index Adjustment Event and determine the effective ...
- #514">(ii) Commodity Index Substitution
#515">(c) Determination of the Underlying Closing Level of a Commodity Index on a Disrupted Day
- #515">(i) Where Commodity Component Valuation is not specified as applicable in the applicable Pricing Supplement if an Underlying Closing Level of a Commodity Index is determined on a Scheduled Trading Day which is a Disrupted Day for such Commodity Index ...
- #515">(ii) Where Commodity Component Valuation is specified as applicable in the applicable Pricing Supplement, if a Specified Valuation Date for a Commodity Index is a Disrupted Day for such Commodity Index, then, in order to determine the Underlying Closi...
  - #515">(A) with respect to each Component which is not affected by the occurrence of a Disrupted Day, the closing or settlement price of each such Component on such Specified Valuation Date; and
  - #515">(B) with respect to each Component which is affected by the occurrence of a Disrupted Day, the closing or settlement price of each such Component on the earlier of: (1) the first succeeding day immediately following such Specified Valuation Date which...

#516">6. STANDARD PROVISIONS

#517">Underlying Schedule 4 … Commodity Conditions

#517">1. Definitions

#520">2. Valuation

#520">(a) Closing valuations
#520">(b) Intraday valuations
#520">(c) Valuation Time

#520">3. Disruption to Valuation

#520">(a) Disrupted Day
- #520">(i) in respect of a Bullion Commodity, (A) Price Source Disruption; (B) Trading Disruption; and (C) Disappearance of Commodity Price; and
- #521">(ii) in respect of a Non-bullion Commodity, (A) Price Source Disruption; (B) Trading Disruption; (C) Disappearance of Commodity Price; (D) Material Change in Formula; and (E) Material Change in Content.
#521">(b) Disruption Fallback

#521">4. Additional Adjustment Events

#521">5. Additional Early Redemption Events

#521">(i) the occurrence or existence of a Disruption Event on a Valuation Date and the failure or deemed failure of the applicable Disruption Fallbacks to provide a Relevant Price; and
#521">(ii) each Additional Early Redemption Event (if any) specified in the applicable Pricing Supplement.

#521">6. Additional Provisions

#521">(a) Correction of published or announced prices or levels
#521">(b) Determination of the Underlying Closing Level of a Commodity on a Disrupted Day

#522">7. STANDARD PROVISIONS

#523">Underlying Schedule 5 … Share Conditions

#523">1. Definitions

#525">2. Valuation

#525">(a) Closing valuations
#525">(b) Intraday valuations

#525">3. Disruption to Valuation

#527">4. Additional Adjustment Events

#527">(a) Corporate Action
#527">(b) Delisting
#528">(c) Insolvency
#528">(d) Merger Event
- #528">(i) reclassification or change of such Shares which results in a transfer of or an irrevocable commitment to transfer all such Shares outstanding to another entity or person; or
- #528">(ii) consolidation, amalgamation, merger or binding share exchange of the relevant Share Company with or into another entity (other than a consolidation, amalgamation, merger or binding share exchange in which such Share Company is the continuing enti...
- #528">(iii) takeover offer, tender offer, exchange offer, solicitation, proposal or other event by any entity or person to purchase or otherwise obtain 100 per cent. of the outstanding Shares of the relevant Share Company, which results in a transfer of or ...
- #528">(iv) consolidation, amalgamation, merger or binding share exchange of the relevant Share Company or its subsidiaries with or into another entity in which such Share Company is the continuing entity and which does not result in the reclassification or ...
#529">(e) Nationalisation
#529">(f) Tender Offer

#529">5. Additional Early Redemption Events

#529">6. Additional Provisions

#529">(a) Correction of published or announced prices or levels
#529">(b) Share Substitution
#529">(c) Determination of the Underlying Closing Level of a Share on a Disrupted Day
#529">(d) Calculation Agent's discretion to determine non-material events
- #529">(i) not a Scheduled Trading Day because one or more relevant Related Exchanges is not scheduled to be open; or
- #530">(ii) a Disrupted Day for a Share solely because any relevant Related Exchange fails to open,
#530">(e) Adjustments following an Adjustment Event
#530">(f) Hedging Disruption
- #530">(i) a Hedging Disruption includes (without limitation) any inability to hedge by the Hedging Party or its Affiliates as a result of compliance with any foreign ownership restrictions imposed by the issuer of any Share, any exchange or any court, tribu...
- #530">(ii) "using commercially reasonable efforts" to hedge the risks with respect to the Notes referred to in the definition of Hedging Disruption does not include the use of any quota granted to such Hedging Party or its Affiliates under the Qualified For...

#530">7. STANDARD PROVISIONS

#531">Underlying Schedule 6 … Depositary Receipt Conditions

#531">1. Definitions

#531">(a) Definitions applicable to the Depositary Receipts
#532">(b) Definitions applicable to the relevant Underlying Shares in respect of which the Depositary Receipts are issued
#532">(c) Definitions applicable to both the Depositary Receipts and the Underlying Shares in respect of which the Depositary Receipts are issued

#533">2. Valuation

#533">(a) Closing valuations
#533">(b) Intraday valuations

#533">3. Disruption to Valuation

#533">(a) In respect of such Depositary Receipt
- #533">(i) any relevant Depositary Receipt Exchange or any relevant Depositary Receipt Related Exchange fails to open for trading during its regular trading session; or
- #534">(ii) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any suspension of or limitation imposed (whether by reason of movements in price ...
- #534">(iii) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any suspension of or limitation imposed (whether by reason of movements in price...
- #534">(iv) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any other event (other than an event described in sub-paragraph (vi) or sub-parag...
- #534">(v) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any other event (other than an event described in sub-paragraph (vi) or sub-paragr...
- #534">(vi) the closure (which the Calculation Agent determines is material) on any Depositary Receipt Exchange Business Day of any relevant Depositary Receipt Exchange prior to its Scheduled Closing Time (unless such earlier closing time is announced by suc...
- #534">(vii) the closure (which the Calculation Agent determines is material) on any Depositary Receipt Exchange Business Day of any Depositary Receipt Related Exchange in respect of futures contracts or options contracts relating to such Depositary Receipt ...
#534">(b) In respect of the relevant Underlying Shares in respect of such Depositary Receipt
- #534">(i) any relevant Underlying Share Exchange or any relevant Underlying Share Related Exchange fails to open for trading during its regular trading session; or
- #534">(ii) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any suspension of or limitation imposed (whether by reason of movements in price ...
- #535">(iii) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any suspension of or limitation imposed (whether by reason of movements in price...
- #535">(iv) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any other event (other than an event described in sub-paragraph (vi) or sub-parag...
- #535">(v) the occurrence or existence (which the Calculation Agent determines is material) at any time during the one hour period which ends at the relevant Valuation Time of any other event (other than an event described in sub-paragraph (vi) or sub-paragr...
- #535">(vi) the closure (which the Calculation Agent determines is material) on any Underlying Share Exchange Business Day of any relevant Underlying Share Exchange prior to its Scheduled Closing Time (unless such earlier closing time is announced by such Un...
- #535">(vii) the closure (which the Calculation Agent determines is material) on any Underlying Share Exchange Business Day of any Underlying Share Related Exchange in respect of futures contracts or options contracts relating to such Underlying Share prior ...

#535">4. Additional Adjustment Events

#535">(a) Corporate Action
#536">(b) Delisting
#537">(c) Insolvency
#538">(d) Merger Event
#538">(e) Nationalisation
#539">(f) Tender Offer
#539">(g) Underlying Share Event

#539">5. Additional Early Redemption Events

#539">6. Additional Provisions

#539">(a) Correction of published or announced prices or levels
#539">(b) Depositary Receipt Substitution
#540">(c) Determination of the Underlying Closing Level of a Depositary Receipt on a Disrupted Day
#540">(d) Calculation Agent's discretion to determine non-material events
- #540">(i) not a Scheduled Trading Day because one or more relevant Depositary Receipt Related Exchanges and/or, if "Full Lookthrough" is specified as applicable in the applicable Pricing Supplement, one or more relevant Underlying Share Related Exchanges is...
- #540">(ii) a Disrupted Day for the relevant Depositary Receipt solely because any relevant Depositary Receipt Related Exchange and/or, if "Full Lookthrough" is specified as applicable in the applicable Pricing Supplement, one or more relevant Underlying Sha...
#540">(e) Manner in which an adjustment may be made in response to an Adjustment Event

#540">7. STANDARD PROVISIONS

#541">Underlying Schedule 7 … Exchange-Traded Fund (ETF) Share Conditions

#541">1. Definitions

#542">2. Valuation

#542">(a) Closing valuations
#542">(b) Intraday valuations

#543">3. Disruption to Valuation

#543">4. Additional Adjustment Events

#544">(a) Corporate Action
#544">(b) Delisting
#544">(c) Insolvency
#545">(d) Merger Event
#545">(e) Tender Offer
#546">(f) Nationalisation
#546">(g) Fund Modification
#546">(h) Strategy Breach
#546">(i) Regulatory Action
#546">(j) Cross-contamination

#546">5. Additional Early Redemption Events

#546">6. Additional Provisions

#546">(a) Correction of published or announced prices or levels
#546">(b) ETF Share Substitution
#547">(c) Determination of the Underlying Closing Level of an ETF Share on a Disrupted Day
#547">(d) Calculation Agent's discretion to determine non-material events
- #547">(i) not a Scheduled Trading Day because one or more relevant Related Exchanges is not scheduled to be open; or
- #547">(ii) a Disrupted Day for an ETF Share solely because any relevant Related Exchange fails to open,

#547">7. STANDARD PROVISIONS

#548">Underlying Schedule 8 … Mutual Fund Conditions

#548">1. Definitions

#551">2. Valuation

#551">3. Disruption To Valuation

#551">4. Additional Adjustment Events

#551">(a) Corporate Action
#552">(b) Insolvency
#553">(c) Merger Event
#553">(d) Nationalisation
#553">(e) Adviser Resignation Event
#553">(f) Fund Modification
#553">(g) Strategy Breach
#554">(h) Regulatory Action
#554">(i) Reporting Disruption
#554">(j) Cross-contamination
#554">(k) Failure by a Fund Service Provider

#554">5. Additional Early Redemption Events

#554">6. Additional Provisions

#554">(a) Correction of published or announced prices or levels
#554">(b) Mutual Fund Interest Substitution
#555">(c) Determination of the Underlying Closing Level of a Mutual Fund Interest on a Disrupted Day
#555">(d) Adjustments following an Adjustment Event

#556">7. STANDARD PROVISIONS

#557">Underlying Schedule 9 … FX Rate Conditions

#557">Part A

#557">1. Definitions

#558">2. Valuation

#558">(a) Closing Valuations
#558">(b) Intraday Valuations

#558">3. Disruption to Valuation

#560">4. Additional Adjustment Events

#560">5. Additional Early Redemption Events

#560">6. Additional Provisions

#560">(a) Corrections of published or announced rates
#560">(b) Certain Published and Displayed Sources
#561">(c) Settlement Disruption
- #561">(i) the imposition of laws or regulations by any Governmental Authority of the country for which the Settlement Currency is the lawful currency (the Settlement Currency Jurisdiction) which (a) require non-residents of the Settlement Currency Jurisdict...
- #561">(ii) any Relevant Clearing System suspending or ceasing to accept the Settlement Currency as a settlement currency; or
- #561">(iii) the Settlement Currency's replacement or disuse or the Settlement Currency, or any Successor Currency, no longer being used by the government of the Settlement Currency Jurisdiction or for the settlement of transactions by public institutions wi...
- #561">(iv) the illiquidity of the Settlement Currency in the relevant market; or
- #561">(v) any other circumstances beyond the control of the Issuer (including but not limited to a natural or man-made disaster, armed conflict, act of terrorism, riot or labour disruption),

#562">Part B

#562">1. Definitions

#564">2. Valuation

#564">(a) Closing Valuations
#564">(b) Intraday Valuations
#564">(c) Valuation Time

#564">3. Disruption to Valuation

#564">4. Additional Adjustment Events

#564">(i) any Relevant Rate which as of the Trade Date is reported, sanctioned, recognised, published, announced or adopted (or other similar action) by the relevant Governmental Authority and any such Relevant Rate ceases to exist and is replaced by a succ...
#565">(ii) the FX Rate Source as sponsor and/or administrator of a Relevant Rate officially designates or appoints a successor sponsor and/or administrator entity for that Relevant Rate, then such lawfully designated or appointed successor entity shall be d...
#565">(iii) if, after the Trade Date and on or before any relevant payment date, a relevant country has lawfully eliminated, converted, redenominated or exchanged its currency in effect on the Trade Date or any lawful successor currency thereto (the Success...

#565">5. Additional Early Redemption Events

#565">6. Additional Provisions

#565">(a) Correction of published or announced prices or levels
#565">(b) Scheduled Trading Day
#566">(c) Disrupted Day
#566">(d) Cut-off Valuation Date for cumulative events
#567">(e) Settlement Disruption
- #567">(i) the imposition of laws or regulations by any Governmental Authority of the country for which the Settlement Currency is the lawful currency (the Settlement Currency Jurisdiction) which (a) require non-residents of the Settlement Currency Jurisdict...
- #567">(ii) any Relevant Clearing System suspending or ceasing to accept the Settlement Currency as a settlement currency; or
- #567">(iii) the Settlement Currency's replacement or disuse or the Settlement Currency, or any Successor Currency, no longer being used by the government of the Settlement Currency Jurisdiction or for the settlement of transactions by public institutions wi...
- #567">(iv) the illiquidity of the Settlement Currency in the relevant market; or
- #567">(v) any other circumstances beyond the control of the Issuer (including but not limited to a natural or man-made disaster, armed conflict, act of terrorism, riot or labour disruption),

#568">Underlying Schedule 10 … Warrant Conditions

#568">1. Definitions

#568">2. Valuation

#568">3. Disruption to Valuation

#568">4. Additional Adjustment Events

#568">5. Additional Early Redemption Events

#568">6. Additional Provisions

#568">(a) Correction of published or announced prices or levels
#568">(b) Early Redemption Event

#569">Underlying Schedule 11 … Proprietary Index Conditions

#569">1. Definitions

#569">2. Valuation

#569">(a) Closing valuations
#570">(b) Intraday valuations

#570">3. Disruption to Valuation

#570">4. Additional Adjustment Events

#570">5. Additional Early Redemption Events

#570">6. Additional Provisions

#570">(a) Correction of published or announced prices or levels
#570">(b) Modification, disruption or cancellation of a Proprietary Index and Proprietary Index Substitution
- #570">(i) Proprietary Index Adjustment Events
  - #571">(A) calculate the relevant level of such Proprietary Index in respect of the relevant time on such Valuation Date using, in lieu of a published level for such Proprietary Index, the level of such Proprietary Index in respect of the relevant time on su...
  - #571">(B) substitute such Proprietary Index as provided in Proprietary Index Condition 6(b)(ii) (Proprietary Index Substitution) and make such adjustments (if any) to the Terms and Conditions and/or the applicable Pricing Supplement as it deems necessary or...
  - #571">(C) make such adjustments to the Terms and Conditions and/or the applicable Pricing Supplement as the Calculation Agent determines necessary or appropriate to account for the effect of such Proprietary Index Adjustment Event and determine the effectiv...
- #571">(ii) Proprietary Index Substitution
#571">(c) Determination of the Underlying Closing Level of a Proprietary Index on a Disrupted Day
#572">(d) Determination of the Underlying Closing Level of a Proprietary Index on a Component Disrupted Day
- #572">(i) with respect to each Component which is not an Affected Component, the price, level or value of each such Component at the relevant time on the relevant Affected Valuation Date; and
- #572">(ii) with respect to each Affected Component, the price, level or value for each such Affected Component at the relevant time on the earlier of (i) the first succeeding Component Scheduled Trading Day for such Affected Component immediately following ...
- #572">(iii) if the Valuation Date for any Component (as determined in accordance with paragraph (ii) above) is a Component Disrupted Day for such Component or is determined to occur on the Component Cut-off Date (as provided in paragraph (ii) above), then t...

#574">Underlying Schedule 12 … Dividend Futures Contract Conditions

#574">1. Definitions

#574">2. Valuation

#575">3. Disruption to Valuation

#575">4. Additional Adjustment Events

#575">5. Additional Early Redemption Events

#575">6. Additional Provisions

#575">(a) Correction of published or announced prices or levels
#576">(b) Modification, cancellation or disruption of a Dividend Futures Contract and Dividend Futures Contract Substitution
- #576">(i) Dividend Futures Contract Adjustment Event
  - #576">(A) calculate the relevant price of such Dividend Futures Contract at or for the relevant Valuation Time on such Valuation Date using, in lieu of the published Relevant Price for such Dividend Futures Contract, a price for such Dividend Futures Contra...
  - #576">(B) make such adjustments to the Conditions and/or the applicable Pricing Supplement as the Calculation Agent determines necessary or appropriate to account for the effect of such Dividend Futures Contract Adjustment Event and determine the effective ...
  - #576">(C) substitute such Dividend Futures Contract as provided in Dividend Futures Contract Condition 6(b)(ii) (Dividend Futures Contract Substitution) and make such adjustments (if any) to the Conditions and/or the applicable Pricing Supplement to as it d...
- #576">(ii) Dividend Futures Contract Substitution
#577">(c) Determination of the Underlying Closing Level of a Dividend Futures Contract on a Disrupted Day or on the Cut-off Valuation Date
- #577">(i) Determination of the Underlying Closing Level of a Dividend Futures Contract on a Disrupted Day
- #577">(ii) Determination of the Underlying Closing Level of a Dividend Futures Contract on the Cut-off Valuation Date

#578">Underlying Schedule 13 … Rate Conditions

#578">1. Definitions

#578">2. Valuation

#578">(a) Closing Valuations
#578">(b) Intraday Valuations
#578">(c) Valuation Time

#578">3. Disruption to Valuation

#578">4. Additional Adjustment Events

#578">5. Additional Early Redemption Events

#579">6. Additional Provisions

#579">(a) Correction of published or announced prices or levels
#579">(b) Scheduled Trading Day
- #579">(i) if "Preceding Scheduled Trading Day" is specified for such Rate in the applicable Pricing Supplement, the Valuation Date shall be the Scheduled Trading Day falling first preceding such Specified Valuation Date, unless such day is a Disrupted Day f...
- #579">(ii) if "Modified Following Scheduled Trading Day" is specified for such Rate in the applicable Pricing Supplement, the Valuation Date shall be the Scheduled Trading Day immediately succeeding such Specified Valuation Date, unless such day would fall ...
#579">(c) Determination of the Underlying Closing Level of a Rate on a Disrupted Day
- #580">(i) the Rate for the relevant designated maturity (where applicable) published on the relevant Scheduled Trading Day on a different screen page by another authorised distributor of the relevant Rate;
- #580">(ii) a rate formally recommended for use by the administrator of the relevant Rate or the supervisor or competent authority (or a committee endorsed or convened by any such entity) responsible for supervising the relevant Rate or the administrator the...
- #580">(iii) the Rate for the relevant designated maturity (where applicable) last provided or published by the relevant administrator as at the day on which the Rate was originally required to be determined; or
- #580">(iv) the arithmetic mean of quotations provided by reference banks selected by the Calculation Agent on a date determined by the Calculation Agent for a representative amount (and, where relevant with an acknowledged dealer of good credit in the swap ...
#580">(d) Cut-off Valuation Date

#581">Schedule A TO THE GENERAL CONDITIONS CITIGROUP INC. TLAC ELIGIBLE NOTES

#581">1. REDEMPTION AND PURCHASE

#581">2. EVENTS OF DEFAULT

#583">Schedule B TO THE GENERAL CONDITIONS … REFERENCE ASSET LINKED CONDITIONS

#583">Interpretation

#583">1. Interest Provisions

#583">(a) Where the Reference Asset Linked Notes are interest bearing Reference Asset Linked Notes, Condition 4(h) (Accrual of interest) of the General Conditions shall be deleted and replaced in its entirety with the following:
#584">(b) LA Interest
- #584">(i) the Issuer will pay the LA Interest Amount specified for the relevant Interest Payment Date in the Settlement Currency;
- #584">(ii) for these purposes, the Interest Amount will be the LA Interest Amount specified in respect of the relevant Interest Payment Date in the applicable Pricing Supplement;
- #584">(iii) Condition 5(e) (Redemption at the Option of the Issuer) of the General Conditions will be amended by the deletion of the words "together, if appropriate, with interest accrued to (but excluding) the relevant Optional Redemption Date" therein;
- #584">(iv) Condition 5(f) (Redemption at the Option of holders of Notes) of the General Conditions will be amended by the deletion of the words "together, if appropriate, with interest accrued to (but excluding) the Optional Redemption Date" therein; and
- #584">(v) for the avoidance of doubt, if the Notes are redeemed pursuant to Condition 5(b) (Redemption for Taxation Reasons and Redemption for Illegality), Condition 5(e) (Redemption at the Option of the Issuer), Condition 5(f) (Redemption at the Option of...

#585">2. Redemption and Settlement Provisions

#585">(a) Final Redemption
#585">(b) LA Physical Settlement
- #585">(i) due to circumstances beyond the control of the Issuer, it is or would be impossible, illegal or in breach of any restriction (whether regulatory, fiduciary or contractual) to obtain, hold or deliver some or all of the LA Settlement Assets (includ...
- #585">(ii) due to circumstances beyond the control of the Issuer, it is or would be impracticable (whether on grounds of illiquidity or otherwise) and/or it is not commercially reasonable for the Issuer to obtain, hold or deliver some or all of the LA Sett...
- #586">(iii) due to circumstances within the control of the Noteholder(s), including the Noteholder(s) not having opened or notified the Issuer of its specified account or given any required certifications, the Issuer is unable to arrange, or conditions are...
#586">(c) LA Cash Settlement
#586">(d) LA Zero Recovery
#587">(e) Redemption of Reference Asset Linked Notes following a Merger Event
#587">(f) Risk Event Notice after Restructuring General Risk Event
- #587">(i) the Issuer may deliver a Risk Event Notice, as applicable, in respect of an amount (the Partial Redemption Amount) that is less than the principal amount outstanding of each Reference Asset Linked Note immediately prior to the delivery of such Ri...
- #587">(ii) For the avoidance of doubt (A) the principal amount of each such Reference Asset Linked Note not so redeemed in part shall remain outstanding and interest shall be payable in respect of the principal amount outstanding of such Reference Asset Li...
- #587">(iii) If the provisions of this Reference Asset Linked Condition 2(f) (Risk Event Notice after Restructuring General Risk Event) apply in respect of the Reference Asset Linked Notes, on redemption of part of each such Reference Asset Linked Note the ...

#587">3. Postponement

#587">(a) Repudiation/Moratorium Extension
- #588">(i) where a Repudiation/Moratorium has not occurred on or prior to the Repudiation/Moratorium Evaluation Date:
  - #588">(A) each principal amount of Reference Asset Linked Notes equal to the Calculation Amount will be redeemed by the Issuer by payment of the Redemption Amount on the third Business Day following (I) the Repudiation/Moratorium Evaluation Date or, if Ref...
  - #588">(B) in the case of interest bearing Reference Asset Linked Notes, the Issuer shall be obliged to pay interest calculated as provided herein, accruing from (and including) the Interest Period End Date immediately preceding the Scheduled Maturity Date ...
- #588">(ii) where a Repudiation/Moratorium has occurred on or prior to the Repudiation/Moratorium Evaluation Date and a Risk Event Determination Date has occurred, the provisions of Reference Asset Linked Condition 2(b) (LA Physical Settlement), 2(c) (LA Ca...
#588">(b) Grace Period Extension
- #588">(i) where a Failure to Pay has not occurred as a result of such Potential Failure to Pay becoming a Failure to Pay on or prior to the Grace Period Extension Date:
  - #588">(A) each principal amount of Reference Asset Linked Notes equal to the Calculation Amount will be redeemed by the Issuer by payment of the Redemption Amount on the third Business Day (the Delayed Payment Date) following the later of the date on which...
  - #589">(B) in the case of interest bearing Reference Asset Linked Notes, the Issuer shall be obliged to pay interest calculated as provided herein, accruing from (and including) the Interest Period End Date immediately preceding the Scheduled Maturity Date ...
- #589">(ii) where a Failure to Pay has occurred as a result of such Potential Failure to Pay on or prior to the Grace Period Extension Date in relation to such Potential Failure to Pay and a Risk Event Determination Date has occurred, the provisions of Refe...
#589">(c) Maturity Date Extension
- #589">(i) on (A) the Scheduled Maturity Date or, (B) if applicable, the Repudiation/Moratorium Evaluation Date, or (C) if Grace Period Extension is specified as applying in the applicable Pricing Supplement, the Grace Period Extension Date, as the case may...
- #589">(ii) on the Scheduled Maturity Date, in the opinion of the Calculation Agent, a Potential Repudiation/Moratorium may have occurred,
  - #589">(A) in the case of Reference Asset Linked Condition 3(c)(i) a Risk Event Determination Date has not occurred on or prior to the Postponed Maturity Date, or, in the case of Reference Asset Linked Condition 3(c)(ii), the Repudiation/Moratorium Extensio...
    - #589">(I) subject as provided below each principal amount of Reference Asset Linked Notes equal to the Calculation Amount will be redeemed by the Issuer by payment of the Redemption Amount on the Postponed Maturity Date; and
    - #590">(II) in the case of interest bearing Reference Asset Linked Notes, the Issuer shall be obliged to pay interest calculated as provided herein, accruing from (and including) the Interest Period End Date immediately preceding the Scheduled Maturity Date...
  - #590">(B)
    - #590">(I) in the case of Reference Asset Linked Condition 3(c)(i) a Risk Event Determination Date has occurred on or prior to the Postponed Maturity Date, the provisions of Reference Asset Linked Condition 2(b) (LA Physical Settlement), 2(c) (LA Cash Settl...
    - #590">(II) in the case of Reference Asset Linked Condition 3(c)(ii) the Repudiation/Moratorium Extension Condition is satisfied on or prior to the Postponed Maturity Date, the provisions of Reference Asset Linked Condition 3(a) (Repudiation/Moratorium Exte...
#590">(d) Postponement for Potential Risk Event

#591">4. Adjustments

#591">(a) Adjustment following a Regulatory Change Event
#591">(b) Tax Deduction Event

#591">5. Provisions Relating to Optional Redemption Amount

#591">6. Provisions Relating To Multiple Holder Obligation

#592">7. Purchase and Cancellation and Further Issues

#592">8. Calculation Agent and Calculation Agent Notices

#592">9. Additional Disclaimers

#593">10. Definitions Applicable to Reference Asset Linked Provisions

#596">(i) Method for Determining Deliverable Obligations. For the purposes of this definition of "Deliverable Obligation", the term "Deliverable Obligation" may be defined as each obligation of the Reference Entity described by the Deliverable Obligation C...
#598">(ii) Interpretation of Provisions.
- #598">(A) If the Obligation Characteristic "Listed" is specified in the applicable Pricing Supplement, the applicable Pricing Supplement shall be construed as though Listed had been specified as an Obligation Characteristic only with respect to Bonds and s...
- #598">(B) If (I) either of the Deliverable Obligation Characteristics "Listed" or "Not Bearer" is specified in the applicable Pricing Supplement, the applicable Pricing Supplement shall be construed as though such Deliverable Obligation Characteristic had ...
- #598">(C) If any of Payment, Borrowed Money, Loan or Bond or Loan is specified as the Deliverable Obligation Category and more than one of Assignable Loan, Consent Required Loan and Direct Loan Participation are specified as Deliverable Obligation Characte...
- #599">(D) In the event that an Obligation or a Deliverable Obligation is a Qualifying Guarantee, the following will apply:
  - #599">(I) For purposes of the application of the Obligation Category or the Deliverable Obligation Category, the Qualifying Guarantee shall be deemed to be described by the same category or categories as those that describe the Underlying Obligation.
  - #599">(II) For purposes of the application of the Obligation Characteristics or the Deliverable Obligation Characteristics, both the Qualifying Guarantee and the Underlying Obligation must satisfy on the relevant date each of the applicable Obligation Char...
  - #599">(III) For purposes of the application of the Obligation Characteristics or the Deliverable Obligation Characteristics, only the Underlying Obligation must satisfy on the relevant date each of the applicable Obligation Characteristics or the Deliverab...
  - #599">(IV) For purposes of the application of the Obligation Characteristics or the Deliverable Obligation Characteristics to an Underlying Obligation, references to the Reference Entity shall be deemed to refer to the Underlying Obligor.
  - #599">(V) The terms "Outstanding Principal Balance" and "Due and Payable Amount" (as they are used in the Conditions), when used in connection with Qualifying Guarantees are to be interpreted to be the then "Outstanding Principal Balance" or "Due and Payab...

#617">11. Amendment of Reference Asset Linked Conditions and Pricing Supplement in Accordance with Market Convention

#619">Schedule C to the General Conditions … Credit Linked Conditions

#619">Part A: INTRODUCTION TO THE CREDIT LINKED CONDITIONS (2014 REFERENCE ENTITY) FREQUENTLY ASKED QUESTIONS

#619">INTRODUCTION TO CREDIT LINKED NOTES
#619">What are Credit Linked Notes?
#619">What is credit risk?
#620">What is the difference between the Credit Linked Notes and an ordinary debt security?
#620">What is the difference between Credit Linked Notes and a bond issued by the Reference Entity?
#620">How do changes in share prices of any Reference Entity affect the value of the Credit Linked Notes?

#620">Taking credit risk on the Reference Entity by purchasing Credit Linked Notes is different from taking equity risk by investing in shares of the Reference Entity. There are a number of reasons for this. For example:

#620">(a) the Credit Linked Notes reference borrowed money obligations of the Reference Entity or specified guarantees of the Reference Entity in respect of borrowed money obligations, and a Reference Entity must generally pay amounts due to the creditors o...

#620">(b) the obligations of the Reference Entity referenced by the Credit Linked Notes consist of borrowed money obligations or specified guarantees of the Reference Entity in respect of borrowed money obligations; holders of this type of debt will general...

#620">(c) the Credit Linked Notes reference these borrowed money obligations and accordingly, the market value of the Credit Linked Notes is related to (although not necessarily equal to) the value of these borrowed money obligations; and

#620">(d) there is no direct link between share prices and the value of the Credit Linked Notes.

#621">KEY REGULATORY CONCEPTS RELEVANT TO CREDIT LINKED NOTES
#621">What is ISDA?
#621">What is a Credit Event?

#621">The Credit Events relevant to the Credit Linked Notes are any of the following events with respect to the Reference Entity, which will apply to a Credit Linked Note if specified or elected by reference to a specified transaction type in the applicabl...

#621">(a) Failure to Pay: a failure by the Reference Entity to pay amounts when due under its Obligations (after the expiry of any applicable grace period), where the failure to pay relates to an amount greater than a pre-determined minimum amount and where...

#621">(b) Bankruptcy: a bankruptcy or insolvency procedure in respect of the Reference Entity;

#621">(c) Restructuring: a restructuring of an Obligation of the Reference Entity which amends key terms of that Obligation as to reduction in repayment of principal or payment of interest thereunder, postponement in the payment of principal or interest, th...

#621">(d) Obligation Acceleration: the acceleration of an Obligation of the Reference Entity before it would otherwise be due and payable in respect of a pre-determined minimum amount;

#621">(e) Obligation Default: an Obligation of the Reference Entity in respect of a pre-determined minimum amount becomes capable of being declared due and payable before it would otherwise be due and payable;

#621">(f) Repudiation/Moratorium: the Reference Entity repudiates an Obligation in respect of a pre-determined minimum amount or imposes a moratorium in respect of an Obligation in respect of such minimum amount and a failure to pay or a restructuring under...

#622">(g) Governmental Intervention: an event which would result in the reduction or postponement of payment of principal or interest or change in ranking of priority in the instrument causing subordination, an expropriation of or the mandatory cancellation...

#622">What Credit Events apply to the Credit Linked Notes?
#622">What is a Risk Event and does it apply to all Credit Linked Notes?
#622">When does a Credit Event need to occur to affect the payout on the Credit Linked Notes?

#623">The Credit Event Backstop Date is typically intended to be a rolling date which is:

#623">(a) if a relevant Credit Derivatives Determinations Committee (see further "What is the Credit Derivatives Determinations Committee and how does it affect the Credit Linked Notes (other than Local Access Single Name Credit Linked Notes and Local Acces...

#623">(b) if the Calculation Agent determines that a Credit Event has occurred in relation to any Reference Entity or an Obligation thereof and delivers an effective Credit Event Notice, and supporting information (if applicable), to the Issuer for delivery...

#623">When does a Risk Event need to occur to affect the payout on the Local Access Single Name Credit Linked Notes or Local Access Basket Credit Linked Notes?

#623">A Risk Event may occur at any time during the "Risk Event Determination Period", being a period commencing on the Issue Date or the Trade Date (as specified in the Issue Terms) and expiring on the Scheduled Maturity Date (subject to extension in cert...

#623">What are the event and payment timings which are relevant?

#623">(a) Event Timing: In order to determine the day on which an event occurs for the purposes of the Credit Linked Notes, the demarcation of days shall be made by reference to Greenwich Mean Time (or, if the Transaction Type of the Reference Entity relate...

#623">(b) Payment Timing: If a payment is not made by the Reference Entity on its due date or, as the case may be, on the final day of the relevant Grace Period, then such failure to make a payment shall be deemed to have occurred on such day prior to midni...

#623">Can a Credit Event occur prior to the Issue Date or the Trade Date?
#623">When can a Credit Event or a Risk Event be triggered?
#624">What is an Event Determination Date or Risk Event Determination Date?
#624">Can an Event Determination Date only occur if a Credit Derivatives Determinations Committee determines that one has occurred?
#624">What is the Credit Derivatives Determinations Committee and how does it affect the Credit Linked Notes (other than Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes)?

#624">Prospective Noteholders should note that a Credit Derivatives Determinations Committee has the power to make binding decisions which the Calculation Agent may determine are applicable for the purposes of the Credit Linked Notes on critical issues, in...

#624">(a) the occurrence of a Credit Event and the standard Event Determination Date;

#625">(b) whether one or more Auctions will be held in respect of the Reference Entity for which a Credit Event has occurred;

#625">(c) if one or more Auctions are to be held, what Deliverable Obligations of the Reference Entity will be used for the purposes of determining the price for each such Auction and the relevant auction buckets which cover the various scheduled terminatio...

#625">(d) the suitable methodology to be applied when determining the asset market value of any non-financial instruments or instruments not capable of transfer or when asset package delivery will be cash settled;

#625">(e) the auction settlement terms;

#625">(f) the occurrence of a succession or succession event and the identity of any "Successors" (for details, see "Successors" below); and

#625">(g) suitable substitute Reference Obligations where a substitution event has occurred.

#625">SUMMARY OF DIFFERENT CREDIT PRODUCTS UNDER THE PROGRAMME
#625">What are the different types of Credit Linked Notes that may be issued under the Programme?

#625">Credit Linked Notes may be Single Name Credit Linked Notes, Nth-to-Default Basket Credit Linked Notes, Linear Basket Credit Linked Notes, Index Untranched Credit Linked Notes, Index Tranched Credit Linked Notes, Portfolio Tranched Credit Linked Notes...

#625">(A) What are Single Name Credit Linked Notes?

#626">(B) What are Nth-to-Default Basket Credit Linked Notes?

#626">(C) What are Linear Basket Credit Linked Notes?

#626">(D) What are Index Untranched Credit Linked Notes?

#627">(E) What are Index Tranched Credit Linked Notes?

#627">(F) What are Portfolio Tranched Credit Linked Notes?

#628">(G) What are Local Access Single Name Credit Linked Notes?

#628">(H) What are Local Access Basket Credit Linked Notes?

#628">PAYOUTS UNDER CREDIT LINKED NOTES … KEY TIMINGS AND AMOUNTS
#628">What are the different timings for payouts that are contemplated under the Credit Linked Conditions?

#628">The amount of interest, if applicable, and principal which an investor receives will depend on whether redemption of the Credit Linked Notes occurs:

#628">(a) in the usual course, at maturity (see further "When will the Credit Linked Notes be redeemed if no Credit Event or Risk Event occurs?" below);

#628">(b) in instalments (see further "Where "Redemption by Instalments" applies, when will Credit Linked Notes be redeemed if no Credit Event or Risk Event occurs?" below);

#629">(c) pursuant to the occurrence of a Credit Event or a Risk Event, as applicable (see further, "What is "Credit Payment following Credit Event" or "Credit Payment following Risk Event"?" below);

#629">(d) at maturity, despite the occurrence of a Credit Event or a Risk Event, as applicable (see further, "What is "Credit Payment on Maturity"?" below); or

#629">(e) pursuant to the occurrence of an event (other than a Credit Event or a Risk Event) triggering early redemption (see further "When may the Issuer redeem the Credit Linked Notes early?" below).

#629">(A) When will the Credit Linked Notes be redeemed if no Credit Event or Risk Event occurs?

#629">(B) Where "Redemption by Instalments" applies, when will Credit Linked Notes be redeemed if no Credit Event or Risk Event occurs?

#629">(C) What is "Credit Payment following Credit Event" or "Credit Payment following Risk Event"?

#629">(D) What is "Credit Payment on Maturity"?

#629">(E) When may the Issuer redeem the Credit Linked Notes early?

#630">When will an early redemption event occur?
#630">Can Noteholders elect to redeem their Credit Linked Notes early?
#630">What are Noteholders expected to receive pursuant to the different payouts contemplated under the Credit Linked Conditions?

#630">The amount of interest, if applicable, and principal which an investor receives will depend on when redemption of the Credit Linked Notes occurs.

#630">(A) What will Noteholders receive if the Credit Linked Notes are not redeemed early?

#630">(B) What will Noteholders receive if "Credit Payment following Credit Event" or "Credit Payment following Risk Event" applies?

#631">(C) What will Noteholders receive if "Credit Payment on Maturity" applies?

#631">(D) What will Noteholders receive if the Issuer redeems the Credit Linked Notes early (other than due to a Credit Event or a Risk Event)?

#631">REDEMPTION MECHANICS UNDER THE PROGRAMME
#631">What is the Applicable Proportion?

#631">The Applicable Proportion represents such proportion of the aggregate notional amount of a Credit Linked Note that is affected by a Credit Event or a Risk Event, as applicable, and is used for determining the amounts payable or to be written down and...

#632">(A) Single Name Credit Linked Notes

#632">(B) Nth-to-Default Basket Credit Linked Notes

#632">(C) Linear Basket Credit Linked Notes and Index Untranched Credit Linked Notes

#633">(D) Index Tranched Credit Linked Notes and Portfolio Tranched Credit Linked Notes

#633">(E) Local Access Single Name Credit Linked Notes

#633">(F) Local Access Basket Credit Linked Notes

#633">What are the different methods of redemption?

#633">The Credit Linked Notes will be redeemed in accordance with the Credit Event Redemption Method elected for by the Issuer (and specified in the Issue Terms), provided that the Fallback Redemption Method, also specified in the applicable Issue Terms, w...

#633">(A) Single Name Credit Linked Notes, Nth-to-Default Basket Credit Linked Notes or Linear Basket Credit Linked Notes

#633">(B) Index Untranched Credit Linked Notes, Index Tranched Credit Linked Notes or Portfolio Tranched Credit Linked Notes

#634">(C) Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes

#634">What is the Credit Event Redemption Amount?

#634">The Credit Event Redemption Amount depends on the applicable Credit Event Redemption Method or Fallback Redemption Method, the nature of the Credit Linked Notes and the timing for payment:

#634">(A) Single Name Credit Linked Notes, Nth-to-Default Basket Credit Linked Notes, Linear Basket Credit Linked Notes and Index Untranched Credit Linked Notes

#634">(B) Index Tranched Credit Linked Notes and Portfolio Tranched Credit Linked Notes

#634">(C) Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes

#635">How is the Credit Event Redemption Amount determined if Auction Redemption applies?

#635">If Auction Redemption applies, the Auction Redemption Amount or the Recovery Amount (which is necessary to determine in order to calculate the Index Tranched Redemption Amount or the Portfolio Tranched Redemption Amount), as applicable, will be deter...

#635">(A) Single Name Credit Linked Notes, Nth-to-Default Basket Credit Linked Notes, Linear Basket Credit Linked Notes and Index Untranched Credit Linked Notes

#635">(B) Index Tranched Credit Linked Notes and Portfolio Tranched Credit Linked Notes

#635">The auction price is likely to be lower than the par value of the Deliverable Obligations of the Reference Entity and will be reflective of a loss experienced by the holder of such Deliverable Obligations. Moreover, the price is likely to reflect the...

#636">How is the Credit Event Redemption Amount determined if Cash Redemption or LA Cash Redemption applies?

#636">(A) Cash Redemption

#636">(I) Single Name Credit Linked Notes, Nth-to-Default Basket Credit Linked Notes, Linear Basket Credit Linked Notes and Index Untranched Credit Linked Notes
#636">(II) Index Tranched Credit Linked Notes and Portfolio Tranched Credit Linked Notes

#636">(B) LA Cash Redemption

#636">In any case, while determining the Final Price or the LA Recovery Amount, as applicable, the Issuer will be entitled to select the cheapest Valuation Obligations or LA Settlement Assets, as applicable, for valuation. The lower the Final Price or the ...

#637">What will the Noteholder receive if "Physical Redemption" or "LA Physical Redemption" of the Credit Linked Notes applies?

#637">(A) Physical Redemption

#637">(B) LA Physical Redemption

#637">What will a Noteholder recover if fixed recovery is applicable?
#637">What is an M(M)R Restructuring Credit Event?
#638">How much will Noteholders receive if the Credit Linked Notes are partially redeemed following an M(M)R Restructuring Credit Event?
#638">How much will Noteholders receive if the Credit Linked Notes are partially redeemed following a determination of multiple successors?
#638">Can Credit Linked Notes be redeemed after the Scheduled Maturity Date?
#638">When will the Credit Linked Notes be redeemed if the Scheduled Maturity Date is extended?
#639">INSTALMENT REDEMPTION AMOUNT SPECIFIC PROVISIONS
#639">In respect of Instalment Notes, will Noteholders receive any Instalment Redemption Amounts after the occurrence of a Credit Event or a Risk Event?
#639">If a Credit Event or a Risk Event have not occurred, will Noteholders receive payments of the relevant Instalment Redemption Amount on each Instalment Date?
#639">If payments of Instalment Redemption Amounts are suspended, when will the Issuers obligations to make such payments resume?
#640">Will Noteholders receive any interest on the Instalment Redemption Amounts that were suspended once the Issuers obligation to make such principal payments resumes?
#640">INTEREST SPECIFIC PROVISIONS
#640">What interest payments will Noteholders receive after the occurrence of a Credit Event or a Risk Event?

#640">If an Event Determination Date or Risk Event Determination Date, as applicable, occurs, the date on which interest ceases to accrue on the Applicable Proportion of the relevant Credit Linked Notes (for further information see "What is the Applicable ...

#640">(A) No Interest Accrual on Default

#640">(B) Interest Accrual on Default

#641">If a Credit Event and Event Determination Date have not occurred, will I receive payments of interest on each Interest Payment Date?
#641">If payments of interest are suspended, when will the Issuer's obligations to make such payments resume?
#641">Will Noteholders receive an additional amount of interest once the Issuer's obligation to make interest payments resumes?
#641">ADDITIONAL PROVISIONS
#641">What are the Financial Reference Entity Terms?

#641">If "Financial Reference Entity Terms" applies, then:

#641">(a) where the Reference Obligation is a senior obligation and if a Credit Event relating to Governmental Intervention or Restructuring would only affect the subordinated obligations of the relevant obligor, a Credit Event will not be triggered in resp...

#641">(b) where the Reference Obligation is a subordinated obligation and if a Credit Event relating to Governmental Intervention or Restructuring would only affect the further subordinated obligations of the relevant obligor, a Credit Event will not be tri...

#642">(c) with respect to successions, if the Credit Linked Notes relates to a Senior Obligation, the debt transfer shall be assessed only in relation to Bond or Loans which include the Senior Obligations of the Reference Entity and where the Credit Linked ...

#642">(d) provided that if "Governmental Intervention" applies, if an obligation would otherwise satisfy a particular Obligation Characteristic or Deliverable Obligation Characteristic, the existence of any terms in the relevant obligation in effect at the ...

#642">(e) a qualifying guarantee which contains terms permitting or anticipating a Governmental Intervention will not be treated as containing provisions where the principal payment obligations of the Reference Entity can be discharged, released, reduced, a...

#642">(f) an Asset Package Credit Event may occur where (a) a Governmental Intervention occurs or (b) a Restructuring (if applicable) occurs, provided that such Restructuring does not constitute a Governmental Intervention. If an Asset Package Credit Event ...

#642">What is Asset Package Credit Event and Asset Package Delivery?

#642">If such Asset Package Credit Event occurs prior to the relevant Credit Event Backstop Date, then in those circumstances, (unless, in respect of a Sovereign Reference Entity, Asset Package Delivery has been specified not to apply in the applicable Iss...

#642">(a) in respect of (a) above and a Governmental Intervention Credit Event, an obligation of the Reference Entity which existed immediately prior to the Asset Package Credit Event which would have constituted a Deliverable Obligation, or in the case of ...

#642">(b) in respect of (b) above, a benchmark obligation of the relevant Sovereign identified as such by ISDA and published on its website or any successor website or by a third party designated by ISDA on its website from time to time and which immediatel...

#643">What are Additional Provisions for Senior Non-Preferred Reference Obligations (published on December 8, 2017)?
#643">What is the 2014 CoCo Supplement to the 2014 ISDA Credit Derivatives Definitions (September 15, 2014) and a CoCo Provision?
#643">What is the Monoline Supplement?
#643">What is the impact of the LPN Additional Provisions applicable to LPN Reference Entities?
#643">What is the impact of additional provisions applicable to the Republic of Ecuador, the Argentine Republic, the Hellenic Republic, the Republic of Ukraine or certain Venezuelan entities?

#643">Where the Issue Terms specify that "2020 Additional Provisions for the Republic of Ecuador: Excluded Obligations and Excluded Deliverable Obligations (December 11, 2020)", "2020 Additional Provisions for the Argentine Republic: Excluded Obligations a...

#644">(a) in respect of an Ecuador Reference Entity means any obligation that is a "Bond" that was issued on or prior to 20 April 2020;

#644">(b) in respect of an Argentine Reference Entity means any obligation that is a "Bond" that was issued on or prior to 31 August 2020;

#644">(c) in respect of a Hellenic Reference Entity means any obligation that is a "Bond or a Loan" that was issued or incurred, as the case may be, on or prior to 1 February 2012;

#644">(d) in respect of a Ukraine Reference Entity means any obligation that is a "Bond" that was issued on or prior to 1 November 2015; or

#644">(e) in respect of a Venezuelan Covered Reference Entity, for so long as sanctions imposed by any and all Venezuelan Orders continue to subsist with respect to such Venezuelan Covered Reference Entity (as determined by the Credit Derivatives Determinat...

#644">What is the impact of additional provisions applicable to the Republic of Hungary?
#644">What is the impact of additional provisions applicable to the Russian Federation?
#644">What is the impact of the "2020 Limited Recourse Additional Provisions (December 2, 2020)" applicable to Limited Recourse Obligations?
#644">REFERENCE OBLIGATIONS
#644">What is a Standard Reference Obligation?
#644">Can a redeemed Reference Obligation be stipulated as a Reference Obligation?
#645">Successors
#645">Is it possible to change a Reference Entity?
#645">What is a "Successor" to the Reference Entity and how can succession affect the Credit Linked Notes?

#645">The events which may lead to the determination or announcement of a Successor may occur at any time from and including the "Successor Backstop Date" (or, in the case of a "Universal Successor", on or after 1 January 2014), which is a rolling date tha...

#645">(a) if a Credit Derivatives Determinations Committee receives a request to resolve whether or not there is one or more Successors to the Reference Entity, 90 calendar days prior to the date of such request; or

#645">(b) otherwise, 90 calendar days prior to the date on which an effective notice of the occurrence of a succession is delivered by the Issuer to the Fiscal Agent.

#646">Can a succession occur prior to the Issue Date?
#646">Can a sovereign be subject to a succession ?
#646">Does the Calculation Agent have unfettered discretion to determine a Successor?
#646">Can multiple successors be identified with respect to a Reference Entity?
#646">What sort of indices may be referenced by Index Untranched Credit Linked Notes or Index Tranched Credit Linked Notes?
#647">Important information in respect of Markit Indices
#647">DISCRETIONARY POWERS OF THE ISSUER AND THE CALCULATION AGENT
#647">What are some of the key determinations that the Calculation Agent is responsible for making in relation to Credit Linked Notes?

#647">The Calculation Agent is responsible for, amongst other things:

#648">(a) in the absence of a resolution by a Credit Derivatives Determinations Committee as to whether a Credit Event has occurred in relation to the relevant Reference Entity, electing whether to deliver a Credit Event Notice and supporting information in...

#648">(b) where the Credit Event Redemption Amount is not determined by an Auction, determining the Final Price on the basis of bid quotations from third party dealers;

#648">(c) determining successor Reference Entities for the purposes of the Credit Linked Notes;

#648">(d) determining substitute Reference Obligation(s) for the purposes of the Credit Linked Notes;

#648">(e) following the occurrence of an M(M)R Restructuring, determining the Exercise Amount of Credit Linked Notes to which such M(M)R Restructuring applies;

#648">(f) following the occurrence of an Event Determination Date, where an Event Determination Date occurred on a date that is different from the date first determined or that no Event Determination Date occurred or occurred prior to a preceding Interest P...

#648">(g) determining whether a Merger Event or Substitution Event Date has occurred.

#649">ANNEX: WORKED EXAMPLES IN RESPECT OF CREDIT LINKED NOTES (2014 REFERENCE ENTITY)

#649">(i) SINGLE NAME CREDIT LINKED NOTES AND NTH-TO-DEFAULT BASKET CREDIT LINKED NOTES

#649">Scenario 1: This example assumes the following:

#649">(a) an investor invests 40,000,000 in a Single Name Credit Linked Note;

#649">(b) the Outstanding Nominal Amount of the Note is 40,000,000;

#649">(c) the Credit Linked Note has not been previously redeemed in full or purchased and cancelled;

#649">(d) no succession event has occurred in respect of R1;

#649">(e) a Repudiation/Moratorium Credit Event occurs in respect of R1; and

#649">(f) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%.

#650">Scenario 2: This example assumes the following:

#650">(a) an investor invests 40,000,000 in a Single Name Credit Linked Note;

#650">(b) the Outstanding Nominal Amount of the Note is 40,000,000;

#650">(c) the Credit Linked Note has not been previously redeemed in full or purchased and cancelled;

#650">(d) no succession event has occurred in respect of R1;

#650">(e) an M(M)R Restructuring Credit Event occurs in respect of R1 with a partial exercise of 5,000,000; and

#650">(f) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%.

#650">Scenario 3: This example assumes the following:

#650">(a) an investor invests 40,000,000 in a Single Name Credit Linked Note;

#650">(b) the Outstanding Nominal Amount of the Note is 40,000,000;

#650">(c) Scenario 2 (i.e. partial redemption of 5,000,000 following an M(M)R Restructuring) has occurred;

#650">(d) the Credit Linked Note has not been previously purchased or cancelled (but has been partially redeemed pursuant to (c) above);

#651">(e) a succession event has occurred in respect of R1 resulting in multiple successors (i.e. R1A and R1B);

#651">(f) a second Credit Event (this time, a Failure to Pay) occurs in respect of R1A; and

#651">(g) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 90%.

#651">Scenario 4: This example assumes the following:

#651">(a) an investor invests in an EUR-denominated Single Name Credit Linked Note;

#651">(b) the Outstanding Nominal Amount of the Note is EUR 10,000,000;

#651">(c) the Credit Linked Note pays interest and principal to the investor in EUR;

#651">(d) due to the Issuer's funding arrangements, it receives amounts from its funding source only in USD;

#652">(e) since the Note is denominated in EUR but the Issuer receives funding in USD only, the Issuer enters into a cross-currency swap with a swap counterparty in order to hedge its exposure to fluctuations in the EURUSD exchange rate (the "Cross Currency...

#652">(f) during the life of the Cross Currency Swap, the Issuer (i) pays amounts it receives from its funding source (in USD) to the swap counterparty, and (ii) in return, receives payments (in EUR) from the swap counterparty in order to pay interest and p...

#652">(g) the Issuer also enters into a credit default swap (with a notional amount of EUR 10,000,000) to hedge its exposure under the Credit Linked Notes;

#652">(h) the Credit Linked Note has not been previously redeemed in full or purchased and cancelled;

#652">(i) no succession event has occurred in respect of R1;

#652">(j) a Bankruptcy Credit Event occurs in respect of R1;

#652">(k) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%;

#652">(l) the EURUSD exchange rate as at the Issue Date is 1.179 ("Initial Exchange Rate"); and

#652">(m) if the Cross Currency Swap is unwound before its scheduled termination, a mark-to-market unwind amount is payable by the party that is out-of-the-money under the Cross Currency Swap to the other party.

#653">Scenario 5: This example assumes the following:

#653">(a) an investor invests 40,000,000 in an Nth-to-Default Basket Credit Linked Note, with the basket comprising three Reference Entities, R1, R2 and R3 (where 'n' = 3);

#653">(b) the Specified Denomination of the Note is 40,000,000;

#653">(c) the Credit Linked Note has not been previously redeemed in full or purchased and cancelled;

#653">(d) an M(M)R Restructuring has occurred in respect of R2;

#653">(e) a second Credit Event (this time, a Failure to Pay) occurs in respect of R3;

#653">(f) a third Credit Event (this time, a Bankruptcy) occurs in respect of R1; and

#653">(g) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%.

#654">(ii) LINEAR BASKET CREDIT LINKED NOTES AND INDEX UNTRANCHED CREDIT LINKED NOTES

#654">Scenario 1: This example assumes the following:

#654">(a) an investor invests 40,000,000 in a Linear Basket Credit Linked Note, with the basket comprising four equally weighted Reference Entities, R1, R2, R3 and R4;

#654">(b) the Specified Denomination of the Note is 40,000,000;

#654">(c) the Credit Linked Note has not been previously redeemed in full or purchased and cancelled;

#654">(d) no succession event has occurred in respect of any Reference Entity;

#654">(e) a Bankruptcy Credit Event occurs in respect of R1; and

#654">(f) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%.

#655">Scenario 2: This example assumes the following:

#655">(a) an investor invests 40,000,000 in a Linear Basket Credit Linked Note, with the basket comprising four equally weighted Reference Entities, R1, R2, R3 and R4;

#655">(b) the Specified Denomination of the Note is 40,000,000;

#655">(c) no succession event has occurred in respect of any Reference Entity;

#655">(d) Scenario 1 (i.e. partial redemption of 10,000,000 following a Bankruptcy Credit Event) has occurred in respect of R1;

#655">(e) the Credit Linked Note has not been previously purchased or cancelled (but has been partially redeemed pursuant to (d) above);

#655">(f) a second Credit Event (this time, an M(M)R Restructuring) occurs in respect of R2 with a partial exercise of 5,000,000; and

#655">(g) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%.

#655">Scenario 3: This example assumes the following:

#655">(a) an investor invests 40,000,000 in a Linear Basket Credit Linked Note, with the basket comprising four equally weighted Reference Entities, R1, R2, R3 and R4;

#655">(b) the Specified Denomination of the Note is 40,000,000;

#655">(c) Scenario 1 (i.e. partial redemption of 10,000,000 following a Bankruptcy Credit Event) has occurred in respect of R1;

#656">(d) Scenario 2 (i.e. partial redemption of 5,000,000 following an M(M)R Restructuring Credit Event) has occurred in respect of R2;

#656">(e) the Credit Linked Note has not been previously purchased or cancelled (but has been partially redeemed pursuant to (c) and (d) above);

#656">(f) a succession event has occurred in respect of R2 resulting in multiple successors (i.e. R2A and R2B);

#656">(g) a third Credit Event (this time, a Failure to Pay) occurs in respect of R2A; and

#656">(h) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 90%.

#657">(iii) INDEX TRANCHED CREDIT LINKED NOTES AND PORTFOLIO TRANCHED CREDIT LINKED NOTES

#657">Scenario 1: This example assumes the following:

#657">(a) an investor invests 10,000,000 in an Index Tranched Credit Linked Note, with the Index comprising 100 equally weighted Reference Entities and the Tranche being 0-5%;

#657">(b) the Specified Denomination of the Note is 10,000,000;

#657">(c) the Credit Linked Note has not been previously redeemed in full or purchased and cancelled;

#657">(d) no succession event has occurred in respect of any Reference Entity;

#657">(e) a Credit Event (regardless of whether M(M)R Restructuring or not) occurs in respect of Rx; and

#657">(f) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%.

#658">Scenario 2: This example assumes the following:

#658">(a) an investor invests 10,000,000 in an Index Tranched Credit Linked Note, with the Index comprising 100 equally weighted Reference Entities and the Tranche being 0-5%;

#658">(b) the Specified Denomination of the Note is 10,000,000;

#658">(c) no succession event has occurred in respect of any Reference Entity;

#658">(d) Scenario 1 (i.e. partial writedown of 700,000 following the Credit Event) has occurred;

#658">(e) the Credit Linked Note has not been previously purchased or cancelled (but has been partially written down pursuant to (d) above);

#659">(f) five Credit Events occur (with each having the same Event Determination Date) in respect of Rx; and

#659">(g) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 0%.

#660">Scenario 3: This example assumes the following:

#660">(a) an investor invests 10,000,000 in a Portfolio Tranched Credit Linked Note, with the portfolio comprising 100 equally weighted Reference Entities and the Tranche being 80-100%;

#660">(b) the Specified Denomination of the Note is 10,000,000;

#660">(c) the Credit Linked Note has not been previously redeemed in full or purchased and cancelled;

#660">(d) no succession event has occurred in respect of any Reference Entity;

#660">(e) a Credit Event (regardless of whether M(M)R Restructuring or not) occurs in respect of Rx; and

#660">(f) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 65%.

#662">Scenario 4: This example assumes the following:

#662">(a) an investor invests 10,000,000 in a Portfolio Tranched Credit Linked Note, with the portfolio comprising 100 equally weighted Reference Entities and the Tranche being 80-100%;

#662">(b) the Specified Denomination of the Note is 10,000,000;

#662">(c) no succession event has occurred in respect of any Reference Entity;

#662">(d) Scenario 3 (i.e. partial writedown of 325,000 following a Credit Event) has occurred in respect of Rx;

#662">(e) the Credit Linked Note has not been previously purchased or cancelled (but has been partially written down pursuant to (d) above);

#662">(f) 90 Credit Events occur (with each having the same Event Determination Date) in respect of Rx; and

#662">(g) "Auction Redemption" is the applicable method of redemption, with an assumed Auction Final Price of 10%.

#664">Part B: Credit Linked Conditions (2014 Reference Entity)

#664">1. Redemption of Credit Linked Notes

#664">(a) Redemption on the Scheduled Maturity Date where no Relevant Credit Event or Relevant Risk Event has occurred
#664">(b) Redemption by instalments
- #664">(i) Where the Single Name Credit Linked Notes, Local Access Single Name Credit Linked Notes or Local Access Basket Credit Linked Notes are Instalment Notes, unless the Credit Linked Notes have been previously redeemed in full or purchased and cancelle...
- #665">(ii) Where the Calculation Agent determines on or prior to an Instalment Date, in its sole and absolute discretion, that one of the circumstances set out in Credit Linked Condition 2(c) (Suspension of Interest following an Applicable DC Credit Event Q...
- #665">(iii) If the Calculation Agent determines in its sole and absolute discretion that one of the circumstances set out in Credit Linked Condition 2(d) (Payment of Suspended Interest following announcement by the DC Secretary or determination by the Calcu...
#665">(c) Redemption following the occurrence of a Relevant Credit Event or a Relevant Risk Event
- #665">(i) if the Credit Linked Notes are Single Name Credit Linked Notes, the Issuer will redeem such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 3 (Single Name Credit Linked Notes);
- #665">(ii) if the Credit Linked Notes are Nth-to-Default Basket Credit Linked Notes, the Issuer will redeem such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 4 (Nth-to-Default Basket Credit Linked Notes);
- #665">(iii) if the Credit Linked Notes are Linear Basket Credit Linked Notes, the Issuer will redeem such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 5 (Linear Basket Credit Linked Notes);
- #665">(iv) if the Credit Linked Notes are Index Untranched Credit Linked Notes, the Issuer will redeem such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 6 (Index Untranched Credit Linked Notes);
- #665">(v) if the Credit Linked Notes are Index Tranched Credit Linked Notes, the Issuer will write down such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 7 (Index Tranched Credit Linked Notes);
- #666">(vi) if the Credit Linked Notes are Portfolio Tranched Credit Linked Notes, the Issuer will write down such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 8 (Portfolio Tranched Credit Linked Notes);
- #666">(vii) if the Credit Linked Notes are Local Access Single Name Credit Linked Notes, the Issuer will redeem such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 9 (Local Access Single Name Credit Linked Notes); and
- #666">(viii) if the Credit Linked Notes are Local Access Basket Credit Linked Notes, the Issuer will redeem such Credit Linked Notes (in whole or in part) in accordance with Credit Linked Condition 10 (Local Access Basket Credit Linked Notes),
#666">(d) Early redemption other than following the occurrence of a Relevant Credit Event or a Relevant Risk Event
- #666">(i) pursuant to the Terms and Conditions;
- #666">(ii) following, if applicable, a Merger Event pursuant to Credit Linked Condition 20 (Redemption upon Merger Event); or
- #666">(iii) following, if applicable, the redemption in whole of the Reference Obligation pursuant to Credit Linked Condition 25(c) (Redemption in respect of Reference Obligation Only Series),

#667">2. Interest on Credit Linked Notes

#667">(a) Accrual of Interest where a Relevant Event Determination Date or a Relevant Risk Event Determination Date has not occurred
- #667">(i) in respect of Credit Linked Notes other than Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes, interest (if any) shall accrue on the Outstanding Aggregate Nominal Amount of the Credit Linked Notes in accorda...
- #667">(ii) in respect of Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes, the LA Interest Amount specified in respect of each Interest Payment Date in the applicable Issue Terms shall be payable in the Settlement Cur...
#667">(b) Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or Relevant Risk Event
- #667">(i) if "No Interest Accrual on Default" applies in the applicable Issue Terms:
- #667">(ii) if "Interest Accrual on Default" applies in the applicable Issue Terms, the first Business Day immediately following the Relevant Event Determination Date or Relevant Risk Event Determination Date, as applicable.
#668">(c) Suspension of Interest following an Applicable DC Credit Event Question, a potential Credit Event or a potential Risk Event
- #668">(i) an Applicable DC Credit Event Question has been submitted in respect of which a DC Resolution (including, but not limited to, a DC Credit Event Announcement, a DC No Credit Event Announcement or a DC Credit Event Question Dismissal) has not been p...
- #668">(ii) a Relevant Credit Event or Relevant Risk Event, as applicable, and corresponding Relevant Event Determination Date or Relevant Risk Event Determination Date, as applicable, could occur but no Credit Event Notice or Risk Event Notice, as applicabl...
#669">(d) Payment of Suspended Interest following announcement by the DC Secretary or determination by the Calculation Agent
- #669">(i) in connection with an Applicable DC Credit Event Question:
  - #669">(A) an Applicable DC No Credit Event Announcement occurs; or
  - #669">(B) an Applicable DC Credit Event Question Dismissal occurs or the DC Secretary announces that the Credit Derivatives Determinations Committee will not be convening to Resolve the relevant Applicable DC Credit Event Question;
- #669">(ii) the Calculation Agent determines that a Relevant Event Determination Date or a Relevant Risk Event Determination Date, as applicable, can no longer occur; or
- #669">(iii) the LA Cut-Off Date in respect of Local Access Single Name Credit Linked Notes or Local Access Basket Credit Linked Notes, as applicable, has occurred,
#670">(e) Payment of Suspended Interest and reduction of future Interest following the occurrence of a Relevant Credit Event or Relevant Risk Event
- #670">(i) where the Calculation Agent determines that the amount of interest suspended pursuant to Credit Linked Condition 2(c) (Suspension of Interest following an Applicable DC Credit Event Question, a potential Credit Event or a potential Risk Event) is ...
- #670">(ii) where the Calculation Agent determines that the amount of interest suspended pursuant to Credit Linked Condition 2(c) (Suspension of Interest following an Applicable DC Credit Event Question, a potential Credit Event or a potential Risk Event) is...
#670">(f) Accrual of Interest at Funding Interest Rate following the occurrence of a Relevant Credit Event or Relevant Risk Event
- #671">(i) the Scheduled Maturity Date;
- #671">(ii) if the relevant Credit Linked Notes are early redeeming in full, the Early Redemption Date, Optional Redemption Date or Substitution Event Date, as applicable; and
- #671">(iii) if the relevant Credit Linked Notes are redeeming in full following a Relevant Credit Event or Relevant Risk Event, as applicable, the Relevant Event Determination Date or Relevant Risk Event Determination Date, as applicable, corresponding to t...

#671">3. Single Name Credit Linked Notes

#671">(a) Introduction
#671">(b) Multiple Relevant Credit Events
#671">(c) Applicable Proportion
- #671">(i) the Outstanding Nominal Amount of such Single Name Credit Linked Note; and
- #671">(ii) (x) 100 per cent. (where the Relevant Credit Event is not an M(M)R Restructuring or no successor event has occurred); or
#671">(d) Impact of Credit Event on Accrual of Interest
- #671">(i) interest will cease to accrue on the Applicable Proportion of each Single Name Credit Linked Note in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or Relevant Ri...
- #672">(ii) interest will continue to accrue as usual on any remaining portion of each Single Name Credit Linked Note unaffected by the Relevant Credit Event in accordance with General Condition 4 (Interest and Dual Currency Note Provisions) to (but excludin...
- #672">(iii) where "Credit Payment on Maturity applies", additional interest shall accrue on the Single Name Credit Linked Notes in respect of the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Interest at Fundi...
#672">(e) Payment of Accrued Interest
- #672">(i) if "Credit Payment following Credit Event" applies, a date falling no later than 10 Business Days following the relevant Credit Event Redemption Date;
- #672">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that such date falls no later than the date on which the Notes are redeemed in full;
- #672">(iii) if the Single Name Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable; or
- #672">(iv) if "Physical Redemption" applies, a date falling no later than 10 Business Days following the first Delivery Date.
#672">(f) Redemption following a Credit Event
- #673">(i) Auction Redemption
  - #673">(A) Credit Payment following Credit Event
  - #673">(B) Credit Payment on Maturity
- #673">(ii) Cash Redemption
  - #673">(A) Credit Payment following Credit Event
  - #673">(B) Credit Payment on Maturity
- #674">(iii) Physical Redemption
- #674">(iv) Fixed Recovery Redemption

#674">4. Nth-to-Default Basket Credit Linked Notes

#674">(a) Introduction
#674">(b) Multiple Relevant Credit Events
#675">(c) Applicable Proportion
- #675">(i) the Specified Denomination of such Nth-to-Default Basket Credit Linked Note; and
- #675">(ii) (x) 100 per cent. (where the Relevant Credit Event is not an M(M)R Restructuring or no successor event has occurred); or
#675">(d) Impact of Credit Event on Accrual of Interest
- #675">(i) interest will cease to accrue on the Applicable Proportion of each Nth-to-Default Basket Credit Linked Note in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or R...
- #675">(ii) interest will continue to accrue as usual on any remaining portion of each Nth-to-Default Basket Credit Linked Note unaffected by the Relevant Credit Event in accordance with General Condition 4 (Interest and Dual Currency Note Provisions) to (bu...
- #675">(iii) where "Credit Payment on Maturity applies", additional interest shall accrue on the Nth-to-Default Basket Credit Linked Notes in respect of the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Interes...
#675">(e) Payment of Accrued Interest
- #676">(i) if "Credit Payment following Credit Event" applies, a date falling no later than 10 Business Days following the relevant Credit Event Redemption Date;
- #676">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that such date falls no later than the date on which the Notes are redeemed in full;
- #676">(iii) if the Nth-to-Default Basket Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable; or
- #676">(iv) if "Physical Redemption" applies, a date falling no later than 10 Business Days following the first Delivery Date.
#676">(f) Redemption following a Credit Event
- #676">(i) Auction Redemption
  - #676">(A) Credit Payment following Credit Event
  - #676">(B) Credit Payment on Maturity
- #677">(ii) Cash Redemption
  - #677">(A) Credit Payment following Credit Event
  - #677">(B) Credit Payment on Maturity
- #677">(iii) Physical Redemption
- #677">(iv) Fixed Recovery Redemption

#678">5. Linear Basket Credit Linked Notes

#678">(a) Introduction
#678">(b) Multiple Relevant Credit Events
#678">(c) Applicable Proportion
- #678">(i) the Specified Denomination of such Linear Basket Credit Linked Note; and
- #678">(ii) (x) an amount (expressed as a percentage) equal to (I) the Reference Entity Notional Amount outstanding in respect of the relevant Affected Reference Entity immediately prior to the Relevant Credit Event, divided by (II) the Original Aggregate No...
#679">(d) Impact of Credit Event on Accrual of Interest
- #679">(i) interest will cease to accrue on the Applicable Proportion of each Linear Basket Credit Linked Note in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or Relevant ...
- #679">(ii) interest will continue to accrue as usual on any remaining portion of each Linear Basket Credit Linked Note unaffected by the Relevant Credit Event, in accordance with General Condition 4 (Interest and Dual Currency Note Provisions) to (but exclu...
- #679">(iii) where "Credit Payment on Maturity applies", additional interest shall accrue on the Linear Basket Credit Linked Notes in respect of the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Interest at Fun...
#679">(e) Payment of Accrued Interest
- #679">(i) if "Credit Payment following Credit Event" applies, a date falling no later than 10 Business Days following the relevant Credit Event Redemption Date;
- #679">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that such date falls no later than the date on which the Notes are redeemed in full;
- #679">(iii) if the Linear Basket Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable; or
- #679">(iv) if "Physical Redemption" applies, a date falling no later than 10 Business Days following the first Delivery Date.
#680">(f) Redemption following a Credit Event
- #680">(i) Auction Redemption
  - #680">(A) Credit Payment following Credit Event
  - #680">(B) Credit Payment on Maturity
- #680">(ii) Cash Redemption
  - #680">(A) Credit Payment following Credit Event
  - #681">(B) Credit Payment on Maturity
- #681">(iii) Physical Redemption
- #681">(iv) Fixed Recovery Redemption

#681">6. Index Untranched Credit Linked Notes

#681">(a) Introduction
#682">(b) Multiple Relevant Credit Events
#682">(c) Applicable Proportion
- #682">(i) the Specified Denomination of such Index Untranched Credit Linked Note; and
- #682">(ii) (x) an amount (expressed as a percentage) equal to (I) the Reference Entity Notional Amount outstanding in respect of the relevant Affected Reference Entity immediately prior to the Relevant Credit Event, divided by (II) the Original Aggregate No...
#682">(d) Impact of Credit Event on Accrual of Interest
- #682">(i) interest will cease to accrue on the Applicable Proportion of each Index Untranched Credit Linked Note in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or Releva...
- #682">(ii) interest will continue to accrue as usual on any remaining portion of each Index Untranched Credit Linked Note unaffected by the Relevant Credit Event in accordance with General Condition 4 (Interest and Dual Currency Note Provisions) to (but exc...
- #683">(iii) where "Credit Payment on Maturity applies", additional interest shall accrue on the Index Untranched Credit Linked Notes in respect of the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Interest at ...
#683">(e) Payment of Accrued Interest
- #683">(i) if "Credit Payment following Credit Event" applies, a date falling no later than 10 Business Days following the relevant Credit Event Redemption Date;
- #683">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that such date falls no later than the date on which the Notes are redeemed in full; or
- #683">(iii) if the Index Untranched Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable.
#683">(f) Redemption following a Credit Event
- #683">(i) Auction Redemption
  - #683">(A) Credit Payment following Credit Event
  - #684">(B) Credit Payment on Maturity
- #684">(ii) Cash Redemption
  - #684">(A) Credit Payment following Credit Event
  - #684">(B) Credit Payment on Maturity
- #684">(iii) Fixed Recovery Redemption
#685">(g) Amendment to Index Annex
#685">(h) Restriction on Delivery of Credit Event Notice or Successor Notice
#685">(i) Restructurings in respect of component Reference Entities of an Index
- #685">(i) the Restructured Entity will be deemed to have been removed from the Index and the Index Annex; and
- #685">(ii) the portion of the Index Untranched Credit Linked Notes relating to such Restructured Entity will not redeem but will instead continue as Single Name Credit Linked Notes referencing the Restructured Entity with the same economic terms and conditi...
- #685">(iii) following such event, and unless Resolved otherwise by a relevant Credit Derivatives Determinations Committee, such New Single Name Credit Linked Notes (referencing solely the Restructured Entity) shall apply such that the economic terms of the ...

#686">7. Index Tranched Credit Linked Notes

#686">(a) Introduction
#686">(b) Multiple Relevant Credit Events
#686">(c) Applicable Proportion
- #686">(i) the Specified Denomination of such Index Tranched Credit Linked Note; and
- #686">(ii) an amount (expressed as a percentage) equal to (I) the relevant Principal Writedown Amount, divided by (II) the Original Aggregate Nominal Amount of the Index Tranched Credit Linked Notes.
#686">(d) Impact of Credit Event on Accrual of Interest
- #686">(i) interest will cease to accrue on the Applicable Proportion of each Index Tranched Credit Linked Note in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or Relevant...
- #687">(ii) if the Calculation Agent determines that there is an Index Tranched Incurred Loss Amount and/or an Index Tranched Incurred Recovery Amount greater than zero with respect to an Affected Reference Entity, for the purpose of calculating the interest...
- #687">(iii) interest will continue to accrue as usual on any remaining portion of each Index Tranched Credit Linked Note (after, if applicable, any writedown of the Index Tranched Credit Linked Notes by the Principal Writedown Amount in accordance with Cred...
- #687">(iv) where "Credit Payment on Maturity applies", additional interest shall accrue on the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Interest at Funding Interest Rate following the occurrence of a Rele...
#687">(e) Payment of Accrued Interest
- #687">(i) if "Credit Payment following Credit Event" applies and:
- #687">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that such date falls no later than the date on which the Notes are redeemed in full; or
- #688">(iii) if the Index Tranched Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable.
#688">(f) Redemption following a Credit Event
- #688">(i) Auction Redemption
  - #688">(A) Credit Payment following Credit Event
  - #688">(B) Credit Payment on Maturity
- #688">(ii) Cash Redemption
  - #688">(A) Credit Payment following Credit Event
  - #689">(B) Credit Payment on Maturity
- #689">(iii) Fixed Recovery Redemption
#689">(g) Amendment to Index Annex
#689">(h) Restriction on Delivery of Credit Event Notice or Successor Notice

#690">8. Portfolio Tranched Credit Linked Notes

#690">(a) Introduction
#690">(b) Multiple Relevant Credit Events
#690">(c) Applicable Proportion
- #690">(i) the Specified Denomination of such Portfolio Tranched Credit Linked Note; and
- #690">(ii) an amount (expressed as a percentage) equal to (I) the Principal Writedown Amount in respect of the relevant Affected Reference Entity, divided by (II) the Original Aggregate Nominal Amount of the Portfolio Tranched Credit Linked Notes.
#690">(d) Impact of Credit Event on Accrual of Interest
- #690">(i) interest will cease to accrue on the Applicable Proportion of each Portfolio Tranched Credit Linked Note in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or Rele...
- #690">(ii) if the Calculation Agent determines that there is a Portfolio Tranched Incurred Loss Amount and/or a Portfolio Tranched Incurred Recovery Amount greater than zero with respect to an Affected Reference Entity, for the purpose of calculating the in...
- #691">(iii) interest will continue to accrue as usual on any remaining portion of each Portfolio Tranched Credit Linked Note (after, if applicable, any writedown of the Portfolio Tranched Credit Linked Note by the Principal Writedown Amount in accordance wi...
- #691">(iv) where "Credit Payment on Maturity applies", additional interest shall accrue on the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Interest at Funding Interest Rate following the occurrence of a Rele...
#691">(e) Payment of Accrued Interest
- #691">(i) if "Credit Payment following Credit Event" applies and:
- #691">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that such date falls no later than the date on which the Notes are redeemed in full; or
- #691">(iii) if the Portfolio Tranched Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable.
#691">(f) Redemption following a Credit Event
- #692">(i) Auction Redemption
  - #692">(A) Credit Payment following Credit Event
  - #692">(B) Credit Payment on Maturity
- #692">(ii) Cash Redemption
  - #692">(A) Credit Payment following Credit Event
  - #692">(B) Credit Payment on Maturity
- #693">(iii) Fixed Recovery Redemption

#693">9. Local Access Single Name Credit Linked Notes

#693">(a) Introduction
#693">(b) Multiple Relevant Risk Events
#693">(c) Applicable Proportion
- #693">(i) the Outstanding Nominal Amount of such Local Access Single Name Credit Linked Note; and
- #693">(ii) (x) 100 per cent. (where no successor event has occurred); or
#694">(d) Impact of Risk Event on Accrual of Interest
- #694">(i) the payment of the LA Interest Amount corresponding to the LA Interest Payment Date of each Local Access Single Name Credit Linked Note will be suspended in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following ...
- #694">(ii) following the occurrence of a Relevant Risk Event Determination Date, if the Outstanding Aggregate Nominal Amount of the Local Access Single Name Credit Linked Note is not reduced to zero, the LA Interest Amount will continue to be payable on the...
- #694">(iii) where "Credit Payment on Maturity applies", additional interest shall accrue on the Local Access Single Name Credit Linked Notes in respect of the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Inte...
#694">(e) Payment of Accrued Interest
- #695">(i) if "Credit Payment following Risk Event" applies, a date falling no later than 10 Business Days following the relevant Credit Event Redemption Date, provided that interest shall be payable if, and only if, the relevant LA Interest Payment Date has...
- #695">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that interest shall be payable if, and only if, the relevant LA Interest Payment Date has occurred prior to the relevant LA Valuation Date and fur...
- #695">(iii) if the Local Access Single Name Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable, provided that interest shall be payable if, and only if, the ...
- #695">(iv) if "LA Physical Redemption" applies, a date falling no later than 10 Business Days following the first Delivery Date, provided that interest shall be payable if, and only if, the relevant LA Interest Payment Date has occurred prior to the first D...
#695">(f) Redemption following a Risk Event
- #695">(i) LA Cash Redemption
  - #695">(A) Credit Payment following Risk Event
  - #696">(B) Credit Payment on Maturity
- #696">(ii) LA Physical Redemption
- #696">(iii) LA Fixed Recovery Redemption
#697">(g) Adjustment following a Regulatory Change Event
- #697">(i) the Calculation Agent will, in its sole discretion, determine the amount by which any payment due to the Noteholders, or amount of LA Settlement Assets to be Delivered to the Noteholders, shall be reduced (provided that, such reduction amount shal...
- #697">(ii) thereafter notify the Issuer of such adjustments.
#697">(h) Tax Deduction Event … Interest
#697">(i) Tax Deduction Event … Principal
#697">(j) Underlying RMB Illiquidity

#697">10. Local Access Basket Credit Linked Notes

#698">(a) Introduction
#698">(b) Multiple Relevant Risk Events
#698">(c) Applicable Proportion
- #698">(i) the Outstanding Nominal Amount of such Local Access Basket Credit Linked Note; and
- #698">(ii) (x) if "Redemption in Full" applies to such Credit Linked Notes, 100 per cent. (where no successor event has occurred);
#698">(d) Impact of Risk Event on Accrual of Interest
- #699">(i) the payment of the LA Interest Amount corresponding to the LA Interest Payment Date of each Local Access Basket Credit Linked Note will be suspended in accordance with Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the o...
- #699">(ii) following the occurrence of a Relevant Risk Event Determination Date, if the Outstanding Aggregate Nominal Amount of the Local Access Basket Credit Linked Notes is not reduced to zero, the LA Interest Amount will continue to be payable on the rel...
- #699">(iii) where "Credit Payment on Maturity applies", additional interest shall accrue on the Local Access Basket Credit Linked Notes in respect of the Credit Payment on Maturity Amount in accordance with Credit Linked Condition 2(f) (Accrual of Interest ...
#699">(e) Payment of Accrued Interest
- #699">(i) if "Credit Payment following Risk Event" applies, a date falling no later than 10 Business Days following the relevant Credit Event Redemption Date, provided that interest shall be payable if, and only if, the relevant LA Interest Payment Date has...
- #699">(ii) if "Credit Payment on Maturity" applies, such date as determined by the Calculation Agent, provided that interest shall be payable if, and only if, the relevant LA Interest Payment Date has occurred prior to the relevant LA Valuation Date and fur...
- #700">(iii) if the Local Access Basket Credit Linked Notes are early redeeming in full, the Early Redemption Date, the Optional Redemption Date or the Substitution Event Date, as applicable, provided that interest shall be payable if, and only if, the relev...
- #700">(iv) if "LA Physical Redemption" applies, a date falling no later than 10 Business Days following the first Delivery Date, provided that interest shall be payable if, and only if, the relevant LA Interest Payment Date has occurred prior to the first D...
#700">(f) Redemption following a Risk Event
- #700">(i) LA Cash Redemption
  - #700">(A) Credit Payment following Risk Event
  - #700">(B) Credit Payment on Maturity
- #700">(ii) LA Physical Redemption
- #701">(iii) LA Fixed Recovery Redemption
#701">(g) Adjustment following a Regulatory Change Event
- #701">(i) the Calculation Agent will, in its sole discretion, determine the amount by which any payment due to the Noteholders, or amount of LA Settlement Assets to be Delivered to the Noteholders, shall be reduced (provided that, such reduction amount shal...
- #702">(ii) thereafter notify the Issuer of such adjustments.
#702">(h) Tax Deduction Event … Interest
#702">(i) Tax Deduction Event … Principal
#702">(j) Underlying RMB Illiquidity
#702">(k) Reference Registry

#703">11. Credit Event Notice, Risk Event Notice and Notice of Publicly Available Information

#703">(a) If a Credit Event Notice and, if "Notice of Publicly Available Information" is specified to be applicable in the applicable Issue Terms, an effective Notice of Publicly Available Information is required to be delivered for an effective Notice Deli...
#703">(b) If a Credit Event Notice and where applicable, a Notice of Publicly Available Information is not required to be delivered in order for an Event Determination Date to occur, the Calculation Agent shall give written notice not less than five Busines...
#703">(c) The Calculation Agent's determination of a Credit Event or Risk Event, as applicable, will, in the absence of manifest error, be final, conclusive and binding on all persons (including, without limitation, the Fiscal Agent and each Noteholder).
#703">(d) None of the Issuer, the Calculation Agent, the Fiscal Agent or one or more of their respective affiliates will have any liability whatsoever for the failure of the Calculation Agent for any reason to determine that a Credit Event or Risk Event, as...

#703">12. Relevant Time

#703">(a) Event timing
#703">(b) Payment timing

#704">13. Event Determination Date … Adjustment Payment and Ordering of Events

#704">(a) Occurrence of Event Determination Date
- #704">(i) in respect of the event specified at (ii) only, where the Credit Linked Notes have not already been redeemed or written down in full, the redemption or writedown of the Credit Linked Notes shall be cancelled and the Credit Linked Notes shall conti...
- #704">(ii) in respect of any of the events specified at (i), (ii) or (iii) above, the Calculation Agent will, in its sole and absolute discretion, determine (I) the adjustment payment, if any, that is payable to Noteholders to reflect any change that may be...
#704">(b) Ordering of Event Determination Date or Risk Event Determination Date following multiple Credit Events or Risk Events
- #704">(i) the Credit Event Resolution Request Date (provided that if a Credit Event Resolution Request Date occurs in respect of more than one such Reference Entity on the same day, the first Reference Entity in respect of which the DC Secretary announces t...
- #704">(ii) the delivery of the Credit Event Notice or Risk Event Notice, as applicable (provided that if any of the relevant Credit Event Notices or Risk Event Notices, as applicable, are delivered at the same time, in a sequential order determined by the C...
  - #704">(A) if a Notice-determined EDD is amended by the occurrence of a DC-determined EDD, the DC-determined EDD will govern;
  - #704">(B) if both (x) one or more DC-determined EDDs and (y) one or more Notice-determined EDDs occur on the same day, any such DC-determined EDD shall be deemed to have occurred prior to any such Notice-determined EDD, notwithstanding the exact time of the...
  - #705">(C) if an M(M)R Restructuring has occurred and a Credit Event Notice is delivered following a DC Credit Event Announcement, the Relevant Credit Event and related Relevant Event Determination Date shall be construed as having occurred under Credit Link...

#705">14. Scheduled Maturity Date Extension

#705">15. M(M)R Restructuring

#706">(a) Credit Event Notice after an M(M)R Restructuring
- #706">(A) if the Credit Linked Notes are Single Name Credit Linked Notes or Nth-to-Default Basket Credit Linked Notes, the Outstanding Aggregate Nominal Amount of the Credit Linked Notes immediately prior to the delivery of such Credit Event Notice; or
- #706">(B) if the Credit Linked Notes are Linear Basket Credit Linked Notes, Index Untranched Credit Linked Notes, Index Tranched Credit Linked Notes or Portfolio Tranched Credit Linked Notes, the relevant Reference Entity Notional Amount outstanding in resp...
#706">(b) Redemption of Credit Linked Notes following partial exercise
- #706">(i) the relevant provisions of Credit Linked Conditions 3 (Single Name Credit Linked Notes), 4 (Nth-to-Default Basket Credit Linked Notes), 5 (Linear Basket Credit Linked Notes), 6 (Index Untranched Credit Linked Notes), 7 (Index Tranched Credit Linke...
- #707">(ii) following any payment of a relevant Credit Event Redemption Amount or Delivery of the Physical Redemption Assets to Noteholders or any other determination made in respect of any Exercise Amount, the Outstanding Aggregate Nominal Amount or Referen...
- #707">(iii) the Calculation Agent may adjust the provisions of these Credit Linked Conditions and/or the applicable Issue Terms in such manner as it may determine to be appropriate to account for such event.
#707">(c) Subsequent Credit Events
#707">(d) Endorsement of Global Registered Note Certificate to reflect partial redemption
#707">(e) Exercise Amount

#708">16. Auction Redemption Terms

#708">(a) Fallback Redemption
- #708">(i) an Auction Cancellation Date has occurred;
- #708">(ii) a No Auction Announcement Date has occurred (and, in circumstances where such No Auction Announcement Date occurs pursuant to this Credit Linked Condition 16(a) or sub-paragraphs (b) or (c)(ii) under the definition of "No Auction Announcement Dat...
- #708">(iii) a No Auction Announcement Date has occurred but the relevant Credit Derivatives Determinations Committee has not determined that one or more Auctions will be held in accordance with any Transaction Auction Settlement Terms or, if applicable, Par...
- #708">(iv) a DC Credit Event Question Dismissal occurs; or
- #708">(v) a Relevant Event Determination Date was determined pursuant to the definition of "Standard Event Determination Date" or pursuant to sub-paragraph (a) of the definition of "Non-Standard Event Determination Date", and no Credit Event Resolution Requ...
- #708">(vi) a Relevant Event Determination Date was determined pursuant to sub-paragraph (b)(ii)(B)(II)(2) of the definition of "Non-Standard Event Determination Date",
#708">(b) Movement Option
#709">(c) Auction Final Price of the Asset Package
#709">(d) Delivery of Auction Redemption Amount Notice

#709">17. Cash Redemption Terms

#709">(a) Determination of Final Price
- #709">(i) Subject to Credit Linked Condition 22(d) (Redemption Suspension), on the Valuation Date, the Calculation Agent shall commence determination of the Final Price using the Valuation Obligation to be valued.
- #709">(ii) If:
#710">(b) Delivery of Cash Redemption Amount Notice
#710">(c) LA Cash Redemption Terms
- #710">(i) Provision of Risk Event Notice
- #710">(ii) Determination of LA Recovery Amount

#710">18. Physical Redemption Terms

#710">(a) Delivery of Physical Redemption Assets
- #711">(i) Subject to Credit Linked Condition 22(d) (Redemption Suspension) and notwithstanding anything to the contrary in General Condition 5 (Redemption and Purchase), and unless previously redeemed in full or purchased and cancelled, if (a) Physical Rede...
- #711">(ii) In respect of Credit Linked Notes that are only partially redeemed, the remaining portion of each Credit Linked Note which is not so redeemed shall be redeemed on the later of (i) the later to occur of (a) the Scheduled Maturity Date and (b) the ...
- #711">(iii) In order for the Credit Linked Notes to be redeemed in accordance with this Credit Linked Condition 18:
  - #711">(A) Upon receiving notification of the occurrence of a Relevant Credit Event and a corresponding Notice of Physical Settlement from the Calculation Agent, the Issuer shall forward the relevant Credit Event Notice and such Notice of Physical Settlement...
  - #711">(B) The Calculation Agent may, at any time, deliver to the Issuer a NOPS Amendment Notice stating that the Issuer would be replacing, in whole or in part, the Deliverable Obligations specified in the Notice of Physical Settlement or a prior NOPS Amend...
  - #711">(C) The relevant Noteholder shall deliver to the Fiscal Agent (and where the relevant Credit Linked Note is in definitive form, to the Registrar), prior to 3.00 p.m. (London) on the 10th Business Day following the date of effective delivery by the Fis...
- #712">(iv) Forms of the Deliverable Obligation Notice will be delivered to the Noteholders together with the Notice of Physical Settlement or NOPS Amendment Notice, as applicable.
- #712">(v) No Deliverable Obligation Notice may be withdrawn after receipt thereof by the Relevant Clearing System, the Issuer, the Fiscal Agent or the Registrar, as the case may be, as provided above. After delivery of a Deliverable Obligation Notice (i) su...
- #713">(vi) Failure to properly complete and deliver a Deliverable Obligation Notice may result in such notice being treated as null and void and deemed to not have been provided. Any determination as to whether such notice has been properly completed and de...
- #713">(vii) Delivery of the Physical Redemption Assets and payment of the Partial Cash Redemption Amount or Fallback Cash Redemption Amount (in each case, if any) in respect of each Noteholder shall be made by the Issuer in accordance with the details speci...
#713">(b) Physical Redemption Assets
- #713">(i) Subject to this Credit Linked Condition 18(b), the Issuer may only Deliver the Deliverable Obligations specified in the Notice of Physical Settlement or NOPS Amendment Notice, as applicable.
- #713">(ii) Until the date on which the Physical Redemption Assets have been fully Delivered, the Issuer or any other person (including the Issuer's Affiliates) will continue to be the legal holder of the Deliverable Obligations comprising the Physical Redem...
- #713">(iii) If the Calculation Agent determines that all or any part of the Physical Redemption Assets that would be required to be Delivered to a Noteholder is not a whole integral multiple of the smallest unit of transfer for any such Physical Redemption ...
#713">(c) Election to deliver alternative amount of Deliverable Obligations/Hedge Disruption Obligation
- #714">(i) the Issuer exercises its election pursuant to this Credit Linked Condition 18(c); or
- #714">(ii) the Calculation Agent determines that the Deliverable Obligations set out in the Notice of Physical Settlement or NOPS Amendment Notice, as applicable, cannot be Delivered due to an event (including, without limitation, any delay in settlement of...
#714">(d) Partial Cash Redemption due to Impossibility or Illegality
- #714">(i) the Issuer shall Deliver and the Noteholder shall take Delivery of any of the Deliverable Obligations specified in the Notice of Physical Settlement or NOPS Amendment Notice, as applicable, for which it is possible and legal to take Delivery; and
- #714">(ii) the Calculation Agent shall provide a description in reasonable detail of the facts giving rise to such impossibility or illegality and, as soon as practicable thereafter, the Issuer shall Deliver and the Noteholder shall take Delivery of the Del...
#716">(e) Partial Cash Redemption of Consent Required Loans
- #716">(i) the Deliverable Obligations specified in the Notice of Physical Settlement or NOPS Amendment Notice include Consent Required Loans that, due to the non-receipt of any requisite consents, are not, on the Physical Redemption Date, capable of being a...
- #716">(ii) "Direct Loan Participation" is not specified as a Deliverable Obligation Characteristic in the applicable Issue Terms, or "Direct Loan Participation" is specified as a Deliverable Obligation Characteristic in the applicable Issue Terms and the re...
#716">(f) Partial Cash Redemption of Assignable Loans
- #716">(i) the Deliverable Obligations specified in the Notice of Physical Settlement or NOPS Amendment Notice include Assignable Loans that, due to the non-receipt of any requisite consents, are not, on the Physical Redemption Date, capable of being assigne...
- #716">(ii) "Direct Loan Participation" is not specified as a Deliverable Obligation Characteristic in the applicable Issue Terms, or "Direct Loan Participation" is specified as a Deliverable Obligation Characteristic in the applicable Issue Terms and the re...
#716">(g) Partial Cash Redemption of Participations
#716">(h) Alternative Procedures Relating to Loans not Delivered
- #717">(i) If the Issuer has not Delivered any Deliverable Obligations specified in the Notice of Physical Settlement or any NOPS Amendment Notice, as applicable, that are Loans (other than any Loan which (i) is a Prior Deliverable Obligation which the Issue...
- #717">(ii) If the Issuer has failed to obtain the requisite consents to Deliver a Loan specified in the Notice of Physical Settlement or any NOPS Amendment Notice, as applicable, at any time after the 15th Business Day following the Loan Alternative Procedu...
#717">(i) Partial Cash Redemption Terms and Fallback Cash Redemption Terms
- #718">(i) If Cash Redemption is deemed to apply pursuant to this Credit Linked Condition, the Issuer shall pay in respect of the portion of the Physical Redemption Assets corresponding to the applicable Undeliverable Obligation, Undeliverable Loan Obligatio...
- #718">(ii) "Partial Cash Redemption Amount" means an aggregate amount calculated by the Calculation Agent in respect of all Undeliverable Deliverable Obligations, representing in respect of each Undeliverable Deliverable Obligation, an amount equal to the g...
- #718">(iii) "Partial Cash Redemption Date" and "Fallback Cash Redemption Date" means the date as selected by the Calculation Agent up to and including the date falling 10 Business Days following the Final Price Determination Date;
- #718">(iv) "Fallback Cash Redemption Amount" has the same meaning as set out in "Partial Cash Redemption Amount", provided that each reference therein to "Undeliverable Deliverable Obligation" shall be deemed to be a reference to "Undelivered Deliverable Ob...
- #718">(v) "Reference Obligation" means, in respect of the determination of the Partial Cash Redemption Amount, each Undeliverable Deliverable Obligation and in respect of the determination of the Fallback Cash Redemption Amount, each Undelivered Deliverable...
- #718">(vi) "Valuation Date" means the date that is two Business Days after the Latest Permissible Physical Settlement Date;
- #718">(vii) "Valuation Method" means Highest or, if fewer than two Full Quotations are obtained, Market Value;
- #718">(viii) "Quotation Method" means Bid;
- #718">(ix) "Quotation Amount" means, with respect to each type or issue of Undeliverable Deliverable Obligation or Undelivered Deliverable Obligation, an amount equal to the Outstanding Principal Balance or Due and Payable Amount (or, in either case, its eq...
- #719">(x) "Valuation Time" means the time specified as such in the applicable Issue Terms, or if no such time is specified, the time specified by the Calculation Agent, which shall be as close as reasonably practicable to 11:00 a.m. in the principal trading...
- #719">(xi) "Market Value" means, with respect to an Undeliverable Deliverable Obligation or an Undelivered Deliverable Obligation, as applicable, on a Valuation Date, (A) if more than three Full Quotations are obtained the arithmetic mean of such Full Quota...
- #719">(xii) "Quotation" means each Full Quotation obtained and expressed as a percentage of either (a) if the Reference Obligation is not an Asset Package, the Reference Obligation's Outstanding Principal Balance or Due and Payable Amount, as applicable, or...
  - #719">(A) The Calculation Agent shall attempt to obtain Full Quotations with respect to each Valuation Date from five or more Quotation Dealers. If the Calculation Agent is unable to obtain two or more such Full Quotations on the Valuation Date, then on the...
  - #719">(B) If the Calculation Agent is unable to obtain two or more Full Quotations on the same Business Day on or prior to the tenth Business Day following the Valuation Date, the Quotations shall be deemed to be any Full Quotation obtained from a Quotation...
  - #720">(C) All Quotations shall be obtained in accordance with the specification or determination made pursuant to Credit Linked Condition 2(b) (Suspension of Accrual of Interest following the occurrence of a Relevant Credit Event or Relevant Risk Event);
  - #720">(D) The Calculation Agent shall determine based on the then current market practice in the market of the relevant Undeliverable Obligation, Undeliverable Loan Obligation, Undeliverable Participation, Unassignable Obligation or Undelivered Deliverable ...
#720">(j) Asset Package Delivery
- #720">(i) If an Asset Package Credit Event occurs then "Asset Package Delivery" will apply unless (A) such Asset Package Credit Event occurs prior to the Credit Event Backstop Date determined in respect of the Credit Event specified in the Credit Event Noti...
- #720">(ii) If Asset Package Delivery applies, (A) Delivery of a Prior Deliverable Obligation or a Package Observable Bond forming part of the Physical Redemption Assets which is specified in the Notice of Physical Settlement or NOPS Amendment Notice, as app...
- #720">(iii) Notwithstanding the preceding sub-paragraphs of this Credit Linked Condition 18(j), the Issuer may elect in lieu of delivering all or any part of the Asset Package (such assets, the "Non-Deliverable Asset Package") as Physical Redemption Assets ...
- #721">(iv) In determining the Asset Market Value, the Calculation Agent may also deem Cash Redemption to apply pursuant to the fallback cash redemption terms in Credit Linked Condition 18(i) (Partial Cash Redemption Terms and Fallback Cash Redemption Terms)...
- #721">(v) If the Issuer has not satisfied its obligation to make Delivery of the Prior Deliverable Obligation or Package Observable Bond in part by Delivery of each Asset in the Asset Package in the correct proportion on or prior to the Latest Permissible P...
- #721">(vi) For such purpose, the entire Asset Package shall constitute an "Undelivered Deliverable Obligation" for the purposes of the application of Credit Linked Condition 18(i) (Partial Cash Redemption Terms and Fallback Cash Redemption Terms) and the Is...
#721">(k) LA Physical Redemption Terms
- #721">(i) Provision of Risk Event Notice
- #721">(ii) Delivery of LA Settlement Assets
  - #721">(A) Unless previously redeemed in full or purchased and cancelled, if LA Physical Redemption is specified as the Risk Event Redemption Method in the applicable Issue Terms, the Applicable Proportion of each Local Access Single Name Credit Linked Note ...
  - #722">(B) In order for the Local Access Single Name Credit Linked Notes or Local Access Basket Credit Linked Notes, as applicable, to be redeemed in accordance with this Credit Linked Condition 18(k)(ii), the relevant Noteholder shall deliver to the Fiscal ...
  - #723">(C) Forms of the Deliverable Obligation Notice will be delivered to the Noteholders together with the Risk Event Notice.
  - #723">(D) No Deliverable Obligation Notice may be withdrawn after receipt thereof by the Relevant Clearing System, the Issuer, the Fiscal Agent or the Registrar, as the case may be, as provided above. After delivery of a Deliverable Obligation Notice (x) su...
  - #723">(E) Failure to properly complete and deliver a Deliverable Obligation Notice may result in such notice being treated as null and void and deemed to not have been provided. Any determination as to whether such notice has been properly completed and del...
  - #723">(F) Delivery of the LA Settlement Assets and payment of the Undeliverable LA Cash Redemption Amount (if any) in respect of each Noteholder shall be made by the Issuer in accordance with the details specified in the applicable Deliverable Obligation No...
- #723">(iii) Payment of the Undeliverable LA Cash Redemption Amount (if any)
  - #723">(A) due to circumstances beyond the control of the Issuer, it is or would be impossible, illegal or in breach of any restriction (whether regulatory, fiduciary or contractual) to obtain, hold or deliver some or all of the LA Settlement Assets (includi...
  - #723">(B) due to circumstances beyond the control of the Issuer, it is or would be impracticable (whether on grounds of illiquidity or otherwise) and/or it is not commercially reasonable for the Issuer to obtain, hold or deliver some or all of the LA Settle...
  - #724">(C) due to circumstances within the control of the Noteholders (including, without limitation, the Noteholders not having opened or notified the Issuer of its specified account, given any required certifications or as a result of limb (b) of the defin...
- #724">(iv) Determination of Undeliverable LA Cash Redemption Amount

#724">19. Fixed Recovery Redemption Terms

#724">(a) Redemption Amount
- #724">(i) the Final Price shall be deemed to be determined at the Fixed Recovery Percentage (specified in the applicable Issue Terms with respect to an Affected Reference Entity and the related Relevant Event Determination Date) and the Cash Redemption Amou...
- #724">(ii) the "Final Price Determination Date" shall be the date on which the Final Price is deemed to be determined at the Fixed Recovery Percentage; and
- #724">(iii) Single Valuation Date will be deemed to have been specified as the applicable Valuation Date on which the Cash Redemption Amount or the Final Cash Redemption Amount, as applicable, shall be determined.
#724">(b) Fixed Recovery Percentage of zero

#725">20. Redemption upon Merger Event

#725">21. Payment/Delivery Failure Event

#725">(a) Payment/Delivery Failure Event … failure to pay
#725">(b) Payment/Delivery Failure Event … failure to deliver
#726">(c) No additional interest

#726">22. Effect of DC Resolutions

#726">(a) Binding nature
#726">(b) Event Determination Dates
- #726">(i) Determinations by the Calculation Agent
- #726">(ii) Reversal of DC Credit Event Announcement
- #726">(iii) Linear Basket Credit Linked Notes, Index Untranched Credit Linked Notes, Index Tranched Credit Linked Notes and Portfolio Tranched Credit Linked Notes
- #727">(iv) Multiple successor determinations
#727">(c) Determinations in respect of Successors and Substitute Reference Obligations
#727">(d) Redemption Suspension

#727">23. Successor Provisions

#727">(a) Eligible Successors
- #727">(i) either (A) the related Succession Date occurs on or after the Successor Backstop Date, or (B) such entity is a Universal Successor in respect of which the Succession Date occurred on or after 1 January 2014;
- #727">(ii) the Reference Entity had at least one Relevant Obligation outstanding immediately prior to the Succession Date and such entity succeeds to all or part of at least one Relevant Obligation of the Reference Entity;
- #727">(iii) where the Reference Entity is a Sovereign, such entity succeeded to the Relevant Obligations by way of a Sovereign Succession Event; and
- #727">(iv) in respect of Index Untranched Credit Linked Notes and Index Tranched Credit Linked Notes, the Successor is an entity identified by the relevant Index Sponsor on or following the earlier of the Effective Date and the Trade Date where the relevant...
#727">(b) Successor Determinations
#728">(c) Substitute Reference Obligations following a Successor Event
#728">(d) Transaction Types of Successor Reference Entities
#728">(e) Succession in respect of multiple Reference Entities simultaneously
#728">(f) Single Successor
#728">(g) Joint Potential Successors
#729">(h) Multiple Successors
- #729">(i) Single Name Credit Linked Notes
  - #729">(A) the Single Name Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #729">(B) each Successor will be a Reference Entity (each, a "Single Name Successor Entity") and, accordingly, more than one Relevant Event Determination Date (and, accordingly, more than one Relevant Credit Event) may occur in respect of the Single Name Cr...
  - #729">(C) where a Relevant Credit Event and related Relevant Event Determination Date occurs in respect of a Single Name Successor Entity:
  - #730">(D) if some but not all of the Single Name Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the Outstanding A...
  - #730">(E) the provisions of this Credit Linked Condition 23(h)(i) shall apply in respect of any identification by the Calculation Agent of further Successors.
- #730">(ii) Nth-to-Default Basket Credit Linked Notes
  - #730">(A) the Nth-to-Default Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #730">(B) each Successor will be a Reference Entity (each, an "Nth-to-Default Successor Entity") and the Nth-to-Default Non-Succession Reference Entities will continue to be Reference Entities;
  - #730">(C) the occurrence of a Relevant Event Determination Date with respect to any of the Nth-to-Default Non-Succession Reference Entities will, where such Nth-to-Default Non-Succession Reference Entity is the nth Reference Entity to which a Relevant Event...
  - #730">(D) where a Relevant Credit Event and related Relevant Event Determination Date has occurred in respect of the nth Reference Entity:
  - #731">(E) if a single entity would be a Reference Entity hereunder more than once, subject to Credit Linked Condition 23(h)(ii)(F) below, that Reference Entity shall be deemed to be specified only once, and such change shall have no effect on the Outstandin...
  - #731">(F) where an Nth-to-Default Non-Succession Reference Entity is identified as a Successor to any Nth-to-Default Succession Reference Entity pursuant to a succession:
  - #732">(G) if some but not all of the Nth-to-Default Basket Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the Out...
  - #732">(H) the provisions of this Credit Linked Condition 23(h)(ii) shall apply in respect of any identification by the Calculation Agent of further Successors;
- #732">(iii) Linear Basket Credit Linked Notes
  - #732">(A) the Linear Basket Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #732">(B) each Successor will be a Reference Entity (each, a "Linear Basket Successor Entity"), and the Linear Basket Non-Succession Reference Entities will continue to be Reference Entities;
  - #732">(C) where a Relevant Credit Event and related Relevant Event Determination Date occurs in respect of a Linear Basket Successor Entity:
  - #733">(D) if, as a result of a succession, a single entity would be a Reference Entity hereunder more than once, that Reference Entity shall be deemed to be a Reference Entity only once and the Reference Entity Notional Amount for such Reference Entity will...
  - #733">(E) if some but not all of the Linear Basket Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the Outstanding...
  - #733">(F) the provisions of this Credit Linked Condition 23(h)(iii) shall apply in respect of any identification by the Calculation Agent of further Successors.
- #733">(iv) Index Untranched Credit Linked Notes
  - #733">(A) the Index Untranched Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #733">(B) each Successor will be a Reference Entity (each, a "Index Untranched Successor Entity"), and the Index Untranched Non-Succession Reference Entities will continue to be Reference Entities;
  - #733">(C) where a Relevant Credit Event and related Relevant Event Determination Date occurs in respect of an Index Untranched Successor Entity:
  - #734">(D) if, as a result of a succession, a single entity would be a Reference Entity hereunder more than once, that Reference Entity shall be deemed to be a Reference Entity only once and the Reference Entity Notional Amount for such Reference Entity will...
  - #734">(E) if some but not all of the Index Untranched Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the Outstand...
  - #734">(F) the provisions of this Credit Linked Condition 23(h)(iv) shall apply in respect of any identification by the Calculation Agent of further Successors.
- #734">(v) Index Tranched Credit Linked Notes
  - #734">(A) the Index Tranched Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #734">(B) each Successor will be a Reference Entity (each, a "Index Tranched Successor Entity"), and the Index Tranched Non-Succession Reference Entities will continue to be Reference Entities;
  - #734">(C) where a Relevant Credit Event and related Relevant Event Determination Date occurs in respect of an Index Tranched Successor Entity:
  - #735">(D) if, as a result of a succession, a single entity would be a Reference Entity hereunder more than once, that Reference Entity shall be deemed to be a Reference Entity only once and the Reference Entity Notional Amount for such Reference Entity will...
  - #735">(E) if some but not all of the Index Tranched Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the Outstandin...
  - #735">(F) the provisions of this Credit Linked Condition 23(h)(v) shall apply in respect of any identification by the Calculation Agent of further Successors.
- #735">(vi) Portfolio Tranched Credit Linked Notes
  - #736">(A) the Portfolio Tranched Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #736">(B) each Successor will be a Reference Entity (each, a "Portfolio Tranched Successor Entity"), and the Portfolio Tranched Non-Succession Reference Entities will continue to be Reference Entities;
  - #736">(C) where a Relevant Credit Event and related Relevant Event Determination Date occurs in respect of a Portfolio Tranched Successor Entity:
  - #736">(D) if, as a result of a succession, a single entity would be a Reference Entity hereunder more than once, that Reference Entity shall be deemed to be a Reference Entity only once and the Reference Entity Notional Amount for such Reference Entity will...
  - #736">(E) if some but not all of the Portfolio Tranched Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the Outsta...
  - #736">(F) the provisions of this Credit Linked Condition 23(h)(vi) shall apply in respect of any identification by the Calculation Agent of further Successors.
- #736">(vii) Local Access Single Name Credit Linked Notes
  - #737">(A) the Local Access Single Name Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #737">(B) each Successor will be a Reference Entity (each, a "Local Access Single Name Successor Entity") and, accordingly, more than one Relevant Risk Event Determination Date (and accordingly, more than one Relevant Risk Event) may occur in respect of the...
  - #737">(C) where a Relevant Risk Event and related Relevant Risk Event Determination Date occurs in respect of the Local Access Single Name Successor Entity after such Succession Date:
  - #737">(D) if some but not all of the Local Access Single Name Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the ...
  - #737">(E) the provisions of this Credit Linked Condition 23(h)(vii) shall apply in respect of any identification by the Calculation Agent of further Successors.
- #737">(viii) Local Access Basket Credit Linked Notes
  - #738">(A) the Local Access Basket Succession Reference Entity will no longer be a Reference Entity unless it is also a Successor;
  - #738">(B) each Successor will be a Reference Entity (each, a "Local Access Basket Successor Entity") and the Local Access Basket Non-Succession Reference Entities will continue to be Reference Entities;
  - #738">(C) where a Relevant Risk Event and related Relevant Risk Event Determination Date occurs in respect of a Local Access Basket Successor Entity:
  - #738">(D) if, as a result of a succession, a single entity would be a Reference Entity hereunder more than once, that Reference Entity shall be deemed to be a Reference Entity only once and the Reference Entity Notional Amount for such Reference Entity will...
  - #738">(E) if some but not all of the Local Access Basket Credit Linked Notes are early redeeming in accordance with General Condition 5 (Redemption and Purchase), the relevant provisions of these Credit Linked Conditions shall continue to apply to the Outst...
  - #739">(F) the provisions of this Credit Linked Condition 23(h)(viii) shall apply in respect of any identification by the Calculation Agent of further Successors.
#739">(i) Exchange Offer

#739">24. Deliverable Obligations

#739">(a) Restructuring Maturity Limitation
#739">(b) Modified Restructuring Maturity Limitation
- #739">(i) If (A) "Physical Redemption" is specified as the Credit Event Redemption Method and "Mod Mod R" applies and (B) Restructuring is the only Credit Event specified in a Credit Event Notice delivered by Issuer, then unless the Deliverable Obligation i...
- #739">(ii) Where a "Modified Restructuring Maturity Limitation and Conditionally Transferable Obligation" applies and a Deliverable Obligation specified in the Notice of Physical Settlement (or in any NOPS Amendment Notice, if applicable) is a Conditionally...
#740">(c) Determination of Final Maturity Date
#740">(d) Multiple Holder Obligation
- #740">(i) Unless "Multiple Holder Obligation" is specified to be not applicable in the applicable Issue Terms, then none of the events described in sub-paragraphs (i) to (iv) of the definition of "Restructuring" shall constitute a Restructuring unless the O...
- #740">(ii) In respect of a Monoline Insurer Reference Entity, for the purposes of this definition, the term Obligation shall be deemed to include Insured Instruments for which the Reference Entity is acting as provider of a Qualifying Policy.
- #740">(iii) In respect of an LPN Reference Entity, Multiple Holder Obligation will be "Not Applicable" with respect to any Reference Obligation (and any Underlying Loan).

#740">25. Reference Obligation

#740">(a) Standard Reference Obligation and Non-Standard Reference Obligation
- #740">(i) If "Standard Reference Obligation" applies, then the Reference Obligation for the relevant Reference Entity will be the Standard Reference Obligation which is the obligation of the relevant Reference Entity with the relevant Seniority Level specif...
- #740">(ii) If "Standard Reference Obligation" does not apply, then the Reference Obligation(s) for the relevant Reference Entity will be the Non-Standard Reference Obligation specified in the applicable Issue Terms for such Reference Entity.
- #740">(iii) If no election is specified in the applicable Issue Terms, "Standard Reference Obligation" shall apply.
#740">(b) Substitute Reference Obligation
- #740">(i) If a Substitution Event has occurred with respect to a Non-Standard Reference Obligation, the Calculation Agent may identify a Substitute Reference Obligation in accordance with Credit Linked Condition 25(b)(iii), (iv) and (v) to replace such Non-...
- #741">(ii) If any of the events contained in paragraph (a) or (c) of the definition of "Substitution Event" have occurred with respect to a Non-Standard Reference Obligation, such Non-Standard Reference Obligation will cease to be the Reference Obligation (...
- #741">(iii) The Substitute Reference Obligation shall be an Obligation that on the Substitution Date:
  - #741">(A) is a Borrowed Money obligation of the relevant Reference Entity (either directly or as provider of a Guarantee (or, in respect of a Monoline Insurer Reference Entity, a Qualifying Policy));
  - #741">(B) satisfies the Not Subordinated Deliverable Obligation Characteristic as of the date it was issued or incurred (without reflecting any change the priority of payment after such date) and on the Substitution Date; and
    - #741">(C)
- #742">(iv) If more than one potential Substitute Reference Obligation is identified pursuant to the process described in Credit Linked Condition 25(b)(iii), the Substitute Reference Obligation will be the potential Substitute Reference Obligation that most ...
- #742">(v) If a Substitution Event has occurred with respect to the Non-Standard Reference Obligation and the Calculation Agent determines that no Substitute Reference Obligation is available for the Non-Standard Reference Obligation then or has yet to ident...
#742">(c) Redemption in respect of Reference Obligation Only Series
- #742">(i) If the event set out in paragraph (a) of the definition of "Substitution Event" occurs with respect to the Reference Obligation for a Series of Credit Linked Notes in respect of a Reference Entity to which "Reference Obligation Only" applies, the ...
- #743">(ii) Notwithstanding the definition of "Substitute Reference Obligation" (a) no Substitute Reference Obligation shall be determined in respect of the Reference Obligation for a Reference Entity to which "Reference Obligation Only" applies and such Ref...
#743">(d) DC Substitute Reference Obligation Resolution

#743">26. Calculation Agent Determination

#743">(a) The Calculation Agent is responsible for, amongst other things:
- #743">(i) determining a Successor or Successors and making any other determinations required to be made under Credit Linked Condition 23 (Successor Provisions) including if there is a Steps Plan, making appropriate adjustments required to take account of an...
- #743">(ii) determining whether (A) the aggregate amounts due under any Reference Obligation have been materially reduced by redemption or otherwise (other than due to any scheduled redemption, amortisation or prepayments), (B) any Reference Obligation is an...
- #743">(iii) identifying and determining a Substitute Reference Obligation;
- #743">(iv) in the event that multiple Credit Event Notices with respect to an M(M)R Restructuring are delivered pursuant to Credit Linked Condition 15 (M(M)R Restructuring), making any modifications required pursuant to that Credit Linked Condition 15;
- #743">(v) following the occurrence of an M(M)R Restructuring, determining the Exercise Amount of Credit Linked Notes to which such M(M)R Restructuring applies;
- #743">(vi) obtaining Quotations (and, if necessary, determining whether such Quotations shall include or exclude accrued but unpaid interest) and determining the Final Price in accordance with the applicable Valuation Method;
- #743">(vii) converting the Quotation Amount into the relevant Obligation Currency;
- #744">(viii) determining the Quotation Dealers (where none have been specified in the applicable Issue Terms) and substituting Quotation Dealers;
- #744">(ix) determining the LA Recovery Amount and the Undeliverable LA Cash Redemption Amount (if any) in respect of Local Access Single Name Credit Linked Notes or Local Access Basket Credit Linked Notes, as applicable;
- #744">(x) determining the Currency Rate and Revised Currency Rate where, in each case, it is not available at the Next Currency Fixing Time;
- #744">(xi) determining the number of Business Days in each Physical Settlement Period;
- #744">(xii) determining the Outstanding Principal Balance or Due and Payable Amount of the Deliverable Obligations to be included in the Physical Redemption Assets;
- #744">(xiii) determining any adjustments pursuant to Credit Linked Condition 9(g) (Adjustment following a Regulatory Change Event) or 10(g) (Adjustment following a Regulatory Change Event);
- #744">(xiv) determining any adjustment payment pursuant to Credit Linked Condition 13 (Event Determination Date … Adjustment Payment and Ordering of Events);
- #744">(xv) determining whether the Outstanding Principal Balance of the Valuation Obligation shall include or exclude accrued interest and if "Include Accrued Interest" is specified in the applicable Issue Terms with respect to Deliverable Obligations, dete...
- #744">(xvi) determining whether a Merger Event or Substitution Event Date has occurred;
- #744">(xvii) determining the Asset Market Value of an Asset Package;
- #744">(xviii) determining whether a "Failure to Pay" has occurred where the "2019 NTCE Supplement to the 2014 ISDA Credit Derivatives Definitions (July 15, 2019)" and "Credit Deterioration Requirement" apply (for which purpose, the Calculation Agent will ta...
- #744">(xix) determining whether a Reference Assets Liquidation Value Trigger Event or Market Value Trigger Event has occurred in respect of Local Access Single Name Credit Linked Notes or Local Access Basket Credit Linked Notes, as applicable;
- #744">(xx) determining whether an event occurring under the terms of the Reference Assets Conditions relating to Reference Assets constitutes a Non-Viability Trigger Event in respect of Local Access Single Name Credit Linked Notes or Local Access Basket Cre...
- #744">(xxi) determining the updates required to be made to the relevant Reference Registry set out in the applicable Issue Terms from time to time, in respect of Local Access Basket Credit Linked Notes;
- #744">(xxii) determining the Reference Assets FX Forward Termination Value, in respect of Local Access Single Name Credit Linked Notes and Local Access Basket Credit Linked Notes to which "FX Forward Rate" applies;
- #744">(xxiii) interpreting any Credit Derivatives Auction Settlement Terms (including any Transaction Auction Settlement Terms or Parallel Auction Settlement Terms);
- #744">(xxiv) following the occurrence of a Credit Event or a Risk Event, as applicable, with respect to Credit Linked Notes to which "Redemption by Instalments" applies and where any Instalment Redemption Amount(s) relating to the outstanding portion (if an...
#745">(b) The Calculation Agent shall as soon as practicable after making any of the determinations specified in Credit Linked Condition 26(a)(i) to notify the Issuer of such determination.
#745">(c) If any of the matters set out in this Credit Linked Condition 26 are decided and/or determined by a Credit Derivatives Determinations Committee, the Calculation Agent may follow such decision or determination to the extent such decision and/or det...
#745">(d) The Calculation Agent may from time to time, without obtaining the consent of the Noteholders, amend any provision of these Credit Linked Conditions and the applicable Issue Terms in any manner which the Calculation Agent determines (acting in a c...

#745">27. Notices

#745">(a) Interpretation
#745">(b) Notices required to be delivered
- #745">(i) a Credit Event Notice and, if applicable, a Notice of Publicly Available Information;
- #745">(ii) a Notice of Physical Settlement and, if applicable, any NOPS Amendment Notice;
- #745">(iii) a Risk Event Notice, if applicable;
- #745">(iv) a Successor Notice (provided that no Successor Notice shall be required following a determination by a Credit Derivatives Determinations Committee that a Successor has been identified);
- #745">(v) if the terms of any Linear Basket Credit Linked Notes, Index Untranched Credit Linked Notes, Index Tranched Credit Linked Notes, Portfolio Tranched Credit Linked Notes or Local Access Basket Credit Linked Notes provide for the basket or Index, as ...
- #745">(vi) the designation of any Substitute Reference Obligation (provided that (A) no such notice shall be required following a determination by a Credit Derivatives Determinations Committee of a Substitute Reference Obligation has occurred and (B) the fa...
- #746">(vii) a notice detailing the suspension of payment of interest pursuant to Credit Linked Condition 2 (Interest on Credit Linked Notes);
- #746">(viii) a notice detailing any adjustment payments required to be made by the Issuer pursuant to Credit Linked Conditions 13 (Event Determination Date … Adjustment Payment and Ordering of Events) or 9(g) (Adjustment following a Regulatory Change Event);
- #746">(ix) following the determination of the Cash Redemption Amount or the Final Cash Redemption Amount, as applicable, with respect to any Credit Linked Notes subject to the provisions of Credit Linked Condition 17 (Cash Redemption Terms), the Cash Redemp...
- #746">(x) following the determination of the Auction Redemption Amount or the Final Auction Redemption Amount, as applicable, with respect to any Credit Linked Notes subject to the provisions of Credit Linked Condition 16 (Auction Redemption Terms), the Auc...
- #746">(xi) a Notice to Exercise Movement Option;
- #746">(xii) a Repudiation/Moratorium Extension Notice;
- #746">(xiii) a Redemption Suspension Notice; and
- #746">(xiv) a Payment Failure Event Notice.
#746">(c) Effectiveness of Notices
- #746">(i) Notwithstanding this Credit Linked Condition 27, any notice required to be delivered by the Issuer to Noteholders in accordance with these Credit Linked Conditions shall be deemed to have been delivered to Noteholders upon delivery of such notice ...
- #746">(ii) Notwithstanding this Credit Linked Condition 27, a notice delivered by the Issuer to the Fiscal Agent on or prior to 3.00 p.m. (London time) on an Issuer Business Day will be effective on such Issuer Business Day. A notice delivered after 3.00 p....
- #746">(iii) Other than as specified herein, Clauses 23 (Communications) and 24 (Notices) of the Fiscal Agency Agreement shall apply to any relevant communications and notices delivered in accordance with these Credit Linked Conditions.

#747">28. Interpretation of Obligation Characteristics and Deliverable Obligation Characteristics

#747">(a) If either of the Obligation Characteristics "Listed" or "Not Domestic Issuance" is specified in the applicable Issue Terms, the applicable Issue Terms shall be construed as though the relevant Obligation Characteristic had been specified as an Obl...
#747">(b) If (i) either of the Deliverable Obligation Characteristics "Listed", "Not Domestic Issuance" or "Not Bearer" is specified in the applicable Issue Terms, the applicable Issue Terms shall be construed as though such Deliverable Obligation Character...
#747">(c) If more than one of "Assignable Loan", "Consent Required Loan" and "Direct Loan Participation" are specified as Deliverable Obligation Characteristics in the applicable Issue Terms, the Deliverable Obligations may include any Loan that satisfies a...
#747">(d) If an Obligation or a Deliverable Obligation is a Relevant Guarantee, the following will apply:
- #747">(i) For the purposes of the application of the Obligation Category or the Deliverable Obligation Category, the Relevant Guarantee shall be deemed to satisfy the same category or categories as those that describe the Underlying Obligation;
- #747">(ii) For the purposes of the application of the Obligation Characteristics or the Deliverable Obligation Characteristics, both the Relevant Guarantee and the Underlying Obligation must satisfy on the relevant date or dates each of the applicable Oblig...
- #747">(iii) For the purposes of the application of the Obligation Characteristics or the Deliverable Obligation Characteristics, only the Underlying Obligation must satisfy on the relevant date or dates each of the applicable Obligation Characteristics or t...
- #747">(iv) For the purposes of the application of the Obligation Characteristics or the Deliverable Obligation Characteristics to an Underlying Obligation, references to the Reference Entity shall be deemed to refer to the Underlying Obligor.
#747">(e) For the purposes of the application of the Deliverable Obligation Characteristic "Maximum Maturity", remaining maturity shall be determined on the basis of the terms of the Deliverable Obligation in effect at the time of making such determination ...
#747">(f) If "Financial Reference Entity Terms" and "Governmental Intervention" apply, if an obligation would otherwise satisfy a particular Obligation Characteristic or Deliverable Obligation Characteristic, the existence of any terms in the relevant oblig...
#748">(g) For the purposes of determining the applicability of Deliverable Obligation Characteristics and the requirements specified in sub-paragraph (a) of the definition of "Mod R" and sub-paragraph (a) of the definition of "Mod Mod R" to a Prior Delivera...
#748">(h) If "Subordinated European Insurance Terms" applies, if an obligation would otherwise satisfy the "Maximum Maturity" Deliverable Obligation Characteristic, the existence of any Solvency Capital Provisions in such obligation shall not cause it to fa...

#748">29. No frustration

#748">(a) any relevant Reference Entity does not exist on, or ceases to exist on or following, the Trade Date; and/or
#748">(b) the Obligation(s), the Deliverable Obligation(s) or the Reference Obligation(s) do not exist on, or cease to exist on or following, the Trade Date.

#748">30. Definitions

#829">Pro Forma Pricing Supplement

#831">Pricing Supplement dated [ ]

#889">PURPOSE OF PRICING SUPPLEMENT
#890">RESPONSIBILITY

#905">APPENDIX 1 … CREDIT LINKED NOTES

#905">(a) N-th to Default Basket Credit Linked Notes … Appendix 1

#905">(b) [Linear Basket Credit Linked Notes][Portfolio Tranched Credit Linked Notes] … Appendix 1

#906">(c) [Index Untranched Credit Linked Notes ]/[Index Tranched Credit Linked Notes] … Appendix 1

#906">(d) [Index Tranched Credit Linked Notes] … Settled Entity Matrix

#909">APPENDIX 2 … PHYSICAL SETTLEMENT MATRIX

#910">SCHEDULE [1]32F STANDARD NORTH AMERICAN CORPORATE33F

#912">SCHEDULE [2]34F [STANDARD EUROPEAN CORPORATE]/[STANDARD EUROPEAN FINANCIAL CORPORATE]/[STANDARD EUROPEAN COCO FINANCIAL CORPORATE]/[STANDARD EUROPEAN SENIOR NON PREFERRED FINANCIAL CORPORATE]/[STANDARD EUROPEAN LIMITED RECOURSE CORPORATE]35F

#915">SCHEDULE [3]37F STANDARD SUBORDINATED EUROPEAN INSURANCE CORPORATE38F

#917">SCHEDULE [4]39F STANDARD EMERGING EUROPEAN CORPORATE LPN40F

#919">SCHEDULE [5]41F STANDARD EMERGING EUROPEAN CORPORATE42F

#921">SCHEDULE [6]43F STANDARD LATIN AMERICA CORPORATE B44F

#923">SCHEDULE [7]45F STANDARD LATIN AMERICA CORPORATE BL46F

#925">SCHEDULE [8]47F [STANDARD AUSTRALIA CORPORATE]/[STANDARD AUSTRALIA FINANCIAL CORPORATE]48F

#927">SCHEDULE [9]50F [STANDARD NEW ZEALAND CORPORATE]/[STANDARD NEW ZEALAND FINANCIAL CORPORATE]51F

#929">SCHEDULE [10]53F [STANDARD JAPAN CORPORATE]/[STANDARD JAPAN FINANCIAL CORPORATE]54F

#932">SCHEDULE [11]56F [STANDARD SINGAPORE CORPORATE]/[STANDARD SINGAPORE FINANCIAL CORPORATE]57F

#934">SCHEDULE [12]59F [STANDARD ASIA CORPORATE]/[STANDARD ASIA FINANCIAL CORPORATE]60F

#936">SCHEDULE [13]62F STANDARD WESTERN EUROPEAN SOVEREIGN63F

#938">SCHEDULE [14]64F STANDARD LATIN AMERICA SOVEREIGN65F

#940">SCHEDULE [15]66F STANDARD EMERGING EUROPEAN & MIDDLE EASTERN SOVEREIGN67F

#942">SCHEDULE [16]68F STANDARD AUSTRALIA SOVEREIGN69F

#944">SCHEDULE [17]70F STANDARD NEW ZEALAND SOVEREIGN71F

#946">SCHEDULE [18]72F STANDARD JAPAN SOVEREIGN73F

#948">SCHEDULE [19]74F STANDARD SINGAPORE SOVEREIGN75F

#950">SCHEDULE [20]76F STANDARD ASIA SOVEREIGN77F

#952">SCHEDULE [21] 78F STANDARD U.S. MUNICIPAL FULL FAITH AND CREDIT79F

#954">SCHEDULE [22]80F STANDARD U.S. MUNICIPAL GENERAL FUND81F

#956">SCHEDULE [23]82F STANDARD U.S. MUNICIPAL REVENUE83F

#958">Index of Defined Terms

#973">Names, Addresses and Roles