IAN SPPI Lens — worked examples

“The Notes constitute direct, general, unconditional and unsubordinated obligations of the Issuer”Condition 3 (Status), p.30

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42

“the Notes bear interest at the rate of 4.00 per cent. per annum”Condition 4 (Interest), p.36

“Unleveraged: no gearing to the inflation outcome.”Condition 5.2 (Index Ratio), p.51

“the Index means the UK Retail Prices Index (RPI) published monthly by the Office for National Statistics”Condition 5.1 (Definitions), p.50

“Standard three-month lag; no complex or compounding adjustment.”Condition 5.2 (Index Ratio), p.51

“Simple single (foreign) currency denomination — permitted; no FX-linked adjustment.”Condition 7 (Payments), p.45

“The Notes constitute direct, general, unconditional and unsubordinated obligations of the Issuer”Condition 3 (Status), p.30

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42

“a one-way 75bps step-up applies only on failure and is not symmetric (no step-down)”Condition 4.3 (Sustainability Step-up), p.39

“The Notes constitute direct, general, unconditional and unsubordinated obligations of the Issuer”Condition 3 (Status), p.30

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42

“the Notes bear interest at the rate of 4.00 per cent. per annum”Condition 4 (Interest), p.36

“Available Revenue Receipts shall be applied on each Interest Payment Date in accordance with the Pre-Enforcement Revenue Priority of Payments”Cashflows / Priority of Payments, p.98

“the Notes are issued in Classes A, B, C, D and E; principal losses on the Mortgage Pool are borne by the Classes in reverse alphabetical order”Loss Allocation, p.104

“payments on the Notes are funded solely by collections on the Mortgage Pool and the Issuer has no other assets or recourse”The Mortgage Pool, p.61

“following a breach of the Arrears Trigger, all Available Principal Receipts shall be applied sequentially rather than pro rata”Trigger Events, p.101

“The Notes constitute direct, general, unconditional and unsubordinated obligations of the Issuer”Condition 3 (Status), p.30

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42

“the Notes bear interest at the rate of 4.00 per cent. per annum”Condition 4 (Interest), p.36

“amounts available for distribution shall be applied in accordance with the Priority of Payments (the 'Waterfall')”Condition 3 / Priority of Payments, p.90

“the Notes are issued in a series of Classes ranked by seniority; losses on the Portfolio are allocated to Classes in reverse order of seniority”Priority of Payments / Loss Allocation, p.88

“payments on the Notes depend on collections received on a diversified portfolio of senior secured loans”Collateral / Portfolio, p.72

“diversion of cash flows on breach of Overcollateralisation and Interest Coverage Tests”Coverage Tests, p.95

“The Notes constitute direct, general, unconditional and unsubordinated obligations of the Issuer”Condition 3 (Status), p.30

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42

“the Notes bear interest at the rate of 4.00 per cent. per annum”Condition 4 (Interest), p.36

“the Notes are stated to be subordinated capital instruments”Condition 3 (Status), p.32

“the Issuer may elect, in its sole and absolute discretion, to cancel any interest payment, in whole or in part; cancelled interest shall not accumulate or become payable”Condition 5 (Interest Cancellation), p.40

“the Notes are designed to absorb losses on a going-concern basis”Overview / Risk Factors, p.18

“the Notes are deeply subordinated and rank junior to all other creditors, with going-concern loss absorption”Condition 3 (Status), p.32

“the Notes convert into ordinary shares upon a Trigger Event”Condition 6 (Conversion), p.52

“the Issuer may elect, in its sole and absolute discretion, to cancel any interest payment, in whole or in part; cancelled interest shall not accumulate or become payable”Condition 5 (Interest Cancellation), p.40

“alternatively the principal amount may be written down (in whole or in part) upon a Trigger Event”Condition 6 (Write-down), p.53

“upon the occurrence of a Trigger Event (CET1 ratio below 7.0%) the Notes shall convert into ordinary shares of the Issuer”Condition 6 (Conversion), p.52

“a Trigger Event occurs if the Group's Common Equity Tier 1 ratio falls below 7.0%, or upon a Point of Non-Viability determination”Condition 6 (Trigger Event), p.52

“redeemable at the Issuer's option (subject to regulatory consent) but with no obligation ever to redeem”Condition 6 (Issuer Call), p.51

“Perpetual — no contractual maturity at which principal is due.”Condition 6 (Redemption), p.50

“the Notes are subject to the exercise of the UK Bail-in Power by the relevant Resolution Authority”Condition 20 (Bail-in), p.70

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42

“the Notes bear interest at the rate of 4.00 per cent. per annum”Condition 4 (Interest), p.36

“the rate was set by reference to the Issuer's credit standing and prevailing market rates at issue”Condition 4 (Interest), p.36

“the reference rate is multiplied by a factor of two (2 x 3-month EURIBOR)”Condition 4 (Interest), p.38

“interest = 9.00% minus 2 x 3-month EURIBOR, subject to a floor of zero”Condition 4 (Interest), p.38

“the inverse formula with a zero floor produces an asymmetric, non-linear payoff”Condition 4 (Interest), p.38

“the 2x multiplier magnifies sensitivity to changes in EURIBOR”Condition 4 (Interest), p.38

“The Notes constitute direct, general, unconditional and unsubordinated obligations of the Issuer”Condition 3 (Status), p.30

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42

“the Notes bear interest at the rate of 4.00 per cent. per annum”Condition 4 (Interest), p.36

“The margin is an insurance risk premium priced off catastrophe modelling — it does not compensate the borrower's own credit risk.”Condition 4.2 (Risk Spread) and Risk Analysis, p.37

“Noteholders bear the Event Payment in full; a reduction of the Outstanding Principal Amount does not constitute an Event of Default and may occur while the Issuer and the Ceding Insurer remain fully solvent and current on all obligations”Condition 7.4 and Risk Factors, p.20

“on each Event Payment Date the Outstanding Principal Amount shall be reduced by the Event Payment Amount calculated under the Payout Factor table, and such reduction shall be permanent and shall not be reinstated”Condition 7.3 (Principal Reduction), p.61

“an Event Payment shall become due if, during the Risk Period, a Named Storm makes landfall within the Covered Area with a Minimum Central Pressure at or below 950 millibars, or an Earthquake of Moment Magnitude 7.0 or greater occurs within the Covered Area, in each case as reported by the Reporting Agency”Condition 7.1 (Event Payment) and Annex A (Parametric Trigger), p.60

“interest on each Payment Date comprises the Collateral Return on the Permitted Investments plus the Risk Spread”Condition 4.1 (Interest), p.36

“The Notes constitute direct, general, unconditional and unsubordinated obligations of the Issuer”Condition 3 (Status), p.30

“each Note will be redeemed at its principal amount (100 per cent. of nominal) on the Maturity Date”Condition 6.1 (Redemption), p.42