REG - Paragon Mortgages 12 - Notice of Adjourned Meeting

Intercontinental ExchangeAnnouncement

25/10/2024 15:45

For best results when printing this announcement, please click on link below:
https://newsfile.refinitiv.com/getnewsfile/v1/story?guid=urn:newsml:reuters.com:20241025:nRSY5401Ja&default-theme=true

RNS Number : 5401J  Paragon Mortgages (No.12) PLC  25 October 2024

 

THIS NOTICE IS IMPORTANT AND REQUIRES THE IMMEDIATE ATTENTION OF
NOTEHOLDERS.  IF ANY NOTEHOLDER IS IN ANY DOUBT AS TO THE ACTION IT SHOULD
TAKE OR IS UNSURE OF THE IMPACT OF THE IMPLEMENTATION OF ANY EXTRAORDINARY
RESOLUTION TO BE PROPOSED AT A MEETING, IT SHOULD SEEK ITS OWN FINANCIAL AND
LEGAL ADVICE, INCLUDING AS TO ANY TAX CONSEQUENCES, IMMEDIATELY FROM ITS
STOCKBROKER, BANK MANAGER, SOLICITOR, ACCOUNTANT OR OTHER INDEPENDENT
FINANCIAL OR LEGAL ADVISER.

PARAGON MORTGAGES (NO. 12) PLC

(incorporated in England and Wales with limited liability under registered
number 5386924)

(the "Issuer")

NOTICE OF ADJOURNED MEETING

of the holders of the outstanding Notes of the Issuer (as described below)

 

 Description of Notes                    ISIN/ Common Code        Aggregate Principal Amount Outstanding(1)  Current Interest Rate

 Class A2a Notes due 2038 (the "Notes")  XS0261646136 / 26164613  £24,635,036                                Compounded Daily SONIA + Notes Interest Rate Margin

1 The aggregate principal amount outstanding takes into account any previous
amortisation of the Notes.

 

NOTICE IS HEREBY GIVEN that pursuant to the trust deed dated 20 July 2006 and
amended on 30 January 2013, 15 May 2019 and 14 February 2022 made between,
inter alios, the Issuer and Citicorp Trustee Company Limited (the "Trustee")
as trustee for the Noteholders, and constituting the Notes (the "Trust Deed")
and following the adjournment of the initial meeting held around 10:00 a.m.
(London time) on 25 October 2024 at the offices of Clifford Chance LLP at 10
Upper Bank Street, London, E14 5JJ, United Kingdom (the "Original Meeting")
due to lack of quorum, an adjourned meeting of the Noteholders will be held at
or around 10:00 a.m. (London time) on 8 November 2024 at the offices of
Clifford Chance LLP at 10 Upper Bank Street, London, E14 5JJ, United Kingdom
(the "Adjourned Meeting") for the purpose of considering and, if thought fit,
passing the applicable resolutions set out below which will be proposed as an
Extraordinary Resolution in accordance with the provisions of the Trust Deed.

The Issuer is also holding adjourned meetings of certain other noteholders of
the Class A1 Notes and the Class A2b Notes (as defined in paragraph 8 of the
Extraordinary Resolution below). The adjourned meeting (in respect of the
Class A1 Notes) will commence at 10:00 a.m. (London time) on 8 November 2024.
Subsequent adjourned meetings (including the Adjourned Meeting) in respect of
each other class of notes (in the order set out in the list of Classes in
paragraph 8 of the Extraordinary Resolution below) will be held at 5 minute
intervals thereafter or after the completion of the preceding meeting
(whichever is later).

Unless the context requires otherwise, capitalised terms used but not defined
in this Notice have the meanings given to them in the Trust Deed, the terms
and conditions of the Notes (the "Conditions") or the Consent Solicitation
Memorandum (as defined below) and references to "Meeting" in this Notice shall
mean the Adjourned Meeting.

EXTRAORDINARY RESOLUTION

IN RESPECT OF THE CLASS A2a NOTES DUE 2038

"THAT this meeting of the holders of the outstanding £145,000,000 Class A2a
Notes due 2038 (the "Notes"), issued by Paragon Mortgages (No. 12) plc (the
"Issuer") and constituted by the trust deed dated 20 July 2006 and amended on
30 January 2013, 15 May 2019 and 14 February 2022 (the "Trust Deed"), made
between, inter alios, the Issuer and Citicorp Trustee Company Limited (the
"Trustee") as trustee for the holders of the Notes (the "Noteholders"),
hereby:

1.            (subject to paragraph 7 of this Extraordinary
Resolution) assents to the modification of: (A) the terms and conditions of
the Notes (the "Conditions") to provide for the replacement of USD LIBOR with
Compounded SOFR as the reference rate for calculating interest in respect of
the USD Notes for each Interest Period (as defined in the Conditions)
commencing on or after the Effective Date, the inclusion of new fallbacks to
address the non-availability of SOFR or the replacement of SOFR (including the
corresponding amendment to the definition of "Basic Terms Modification" to
refer to such new fallbacks) and certain other related amendments so that the
relevant provisions of the Conditions will be in the form set out in the draft
Supplemental Trust Deed (as defined below); and (B) the terms of the Swap
Transaction (which hedges the currency risk in respect of the USD Notes) to
change  the floating rate option specified in the Swap Transaction from USD
LIBOR to Compounded SOFR (including corresponding and/or consequential
amendments) and the inclusion of new fallbacks to address the non-availability
of SOFR or the replacement of SOFR;

2.            (subject to paragraph 7 of this Extraordinary
Resolution) authorises, directs, requests and empowers the Issuer and the
Trustee to: (a) consent to and execute: (i) a supplemental trust deed (the
"Supplemental Trust Deed"); and (ii) the Swap Amended and Restated
Confirmation, in each case in the form or substantially in the forms of the
drafts produced to this Meeting, with such amendments thereto (if any) as the
Trustee requires or agrees to give effect to the changes referred to in
paragraph 1 of this Extraordinary Resolution and such other changes as may be
necessary in its sole opinion; and (b) execute and do all such other deeds,
instruments, acts and things as may be necessary in the Trustee's sole opinion
to carry out and to give effect to this Extraordinary Resolution and the
implementation of the modifications referred to in this Extraordinary
Resolution;

3.            (subject to paragraph 7 of this Extraordinary
Resolution) sanctions and assents to every abrogation, modification or
compromise of, or arrangement in respect of, the rights of the Noteholders
against the Issuer appertaining to the Notes and the Swap Transaction, whether
or not such rights arise under the Conditions, the Trust Deed or any other
transaction documents, involved in or resulting from or to be effected by, the
modifications referred to in paragraphs 1 and 2 of this Extraordinary
Resolution and their implementation;

4.            (a) holds harmless, discharges and exonerates the
Trustee from, and indemnifies the Trustee against, any and all liability for
which it may have become or may become responsible under the Trust Deed or the
Notes in respect of any act or omission in connection with the proposal by the
Issuer to the Noteholders to approve the modification of the Conditions and
the consequential or related amendments to certain transaction documents, in
the manner set out in the Notice (the "Proposal"), this Extraordinary
Resolution or its implementation and/or the modifications; and (b) irrevocably
waives any claim against the Issuer or the Trustee which arises as a result of
any loss or damage to the holders of the Notes suffered or incurred as a
result of the Issuer or the Trustee following the terms of this Extraordinary
Resolution (including for the avoidance of doubt, the directions and/or
instructions contained herein), even though it may subsequently be found that
there is a defect in this Extraordinary Resolution or that for any reason this
Extraordinary Resolution is not valid or binding upon the holders of the
Notes;

5.            agrees that the Trustee is not responsible for the
accuracy, completeness, validity or correctness of the statements made and
documents referred to in this Extraordinary Resolution and the Consent
Solicitation Memorandum or any omissions from this Extraordinary Resolution or
the Consent Solicitation Memorandum;

6.            confirms that the Trustee is hereby authorised and
instructed not to obtain any legal opinions in relation to, or to enquire into
the power and capacity of any person to enter into, the Supplemental Trust
Deed or the Swap Amended and Restated Confirmation or the due execution and
delivery thereof by any party thereto or the validity or enforceability
thereof and it will not be liable for any consequences resulting from this
instruction;

7.            declares that the implementation of this
Extraordinary Resolution is conditional on:

(a)            the Consent Solicitation (as defined below) not
having been terminated; and

(b)           the passing of this Extraordinary Resolution and the
passing of, and the satisfaction of any conditions referred to in, the
corresponding Extraordinary Resolution in respect of each other Class listed
in paragraph 8 of this Extraordinary Resolution; and

8.            acknowledges that the following terms, as used in
this Extraordinary Resolution, have the following meanings given below:

"Class" means each of the Class A1 Notes, the Class A2a Notes, the Class A2b
Notes, the Class A2c Notes, the Class B1a Notes, the Class B1b Notes and the
Class C1a Notes and Class C1b Notes;

"Class A1 Notes" means the U.S.$1,500,000,000 Class A1 Notes due 2038 issued
by the Issuer which, on 15 May 2019 were (simultaneously with the termination
of the currency swap A1 agreement dated 14 July 2006) converted into a GBP
Equivalent at a fixed exchange rate of USD to GBP of 1.84, producing GBP
Equivalent Initial Principal Amount of £815,217,391.30 and an A1 Note
Mandatory Transfer Price and GBP Equivalent Principal Amount Outstanding of
£317,409,456.52 in accordance with the A1 Note Conditional Purchase Agreement
and which, on 15 May 2019, were redenominated as GBP Class A1 Notes;

"Class A2a Notes" means the £145,000,000 Class A2a Notes due 2038 issued by
the Issuer;

"Class A2b Notes" means the €245,000,000 Class A2b Notes due 2038 issued by
the Issuer;

"Class A2c Notes" means the U.S.$311,000,000 Class A2c Notes due 2038 issued
by the Issuer;

"Class B1a Notes" means the £25,000,000 Class B1a Notes due 2038 issued by
the Issuer;

"Class B1b Notes" means the €126,000,000 Class B1b Notes due 2038 issued by
the Issuer;

"Class C1a Notes" means the £17,000,000 Class C1a Notes due 2038 issued by
the Issuer;

"Class C1b Notes" means the €106,000,000 Class C1b Notes due 2038 issued by
the Issuer;

"Consent Solicitation" means the invitation by the Issuer to, among others,
the Noteholders to consent to the modification of the Conditions relating to
the Notes and other related documents, as described in the Consent
Solicitation Memorandum and as the same may be amended in accordance with its
terms;

"Consent Solicitation Memorandum" means the consent solicitation memorandum
dated 3 October 2024 prepared by the Issuer in relation to the Consent
Solicitation;

"Effective Date" means the Interest Payment Date (as defined in the
Conditions) falling in November 2024;

"Notice" means the notice in relation to the adjourned meeting given by the
Issuer to Noteholders on or around 25 October 2024;

"Sterling Notes" means the Class A1 Notes, the Class A2a Notes, the Class B1a
Notes and the Class C1a Notes;

"Swap Transaction" means, in respect of the Class A2c Notes, the currency swap
transaction between the Issuer and Barclays Bank PLC with a trade date of 14
July 2006;

"Swap Amended and Restated Confirmation" means the confirmation that will
amend and restate the terms of the Swap Transaction to reflect this
Extraordinary Resolution and such other changes as may be necessary to
implement the modifications referred to in this Extraordinary Resolution; and

"USD Notes" means the Class A2c Notes."

Background

The Issuer has convened the Meeting for the purpose of enabling Noteholders to
consider and resolve, if they think fit, to pass the Extraordinary Resolution
proposed in relation to the Notes.

On 5 March 2021, the UK Financial Conduct Authority (the "FCA") confirmed that
all USD LIBOR settings would either cease to be provided by any administrator
or no longer be representative of their underlying market immediately after 30
June 2023 (the "LIBOR Announcement"). In relation to 3-month USD LIBOR in
particular (as the interest rate benchmark currently applicable to the USD
Notes), the LIBOR Announcement provided that immediately after 30 June 2023,
such LIBOR setting would no longer be representative of the underlying market
and economic reality and that such representativeness will not be restored.
Since 30 June 2023, the FCA has required LIBOR's administrator, ICE Benchmark
Administration Limited ("IBA"), to continue publishing the 3-month synthetic
USD LIBOR until 30 September 2024 in accordance with the FCA's announcement on
3 April 2023 (the "April 2023 Announcement"). The LIBOR Announcement, the
April 2023 Announcement and additional announcements made by the FCA in
relation to the cessation of USD LIBOR are available from the website of the
FCA at www.fca.org.uk (http://www.fca.org.uk) .

In light of the cessation of USD LIBOR, regulators have been urging market
participants to take active steps to implement the transition to SOFR
published by the Federal Reserve Bank of New York (the "Federal Reserve") and
other risk-free rates without undue delay.

On the basis that the final maturity date of the USD Notes falls after 30
September 2024, the Issuer has convened the Meetings for the purpose of
enabling the Noteholders to consider and resolve, if they think fit, to
approve the Proposal by way of a separate Extraordinary Resolution in relation
to each Class, implementing:

(i)           changes in the interest basis specified in the
Conditions of the USD Notes from 3-month USD LIBOR to Compounded SOFR by means
of a supplemental trust deed;

(ii)          inclusion of new fallbacks to address the
non-availability of SOFR or the replacement of SOFR based on the Alternative
Reference Rates Committee's recommendations for floating rate bonds; and

(iii)         changes in the floating rate option specified in the
Swap Transaction (which, in effect, hedges the USD Notes) from USD LIBOR to
Compounded SOFR (including corresponding and/or consequential amendments) and
the inclusion of new fallbacks to address the non-availability of SOFR or the
replacement of SOFR by means of a swap amended and restated confirmation (the
"Swap Amended and Restated Confirmation").

The Proposal constitutes a Basic Terms Modification under the Conditions, and
therefore the holders of each Class are invited to approve the Proposal, even
though only the interest rate applicable to the USD Notes (and no other Notes)
will be amended if the Proposal is implemented. If an Extraordinary Resolution
in respect of any Class is not successfully passed or (in the case of the USD
Notes) the Eligibility Condition is not satisfied, then the Issuer will not
implement the Proposal and neither the USD Notes nor any transaction documents
relating to the USD Notes will be amended (irrespective of whether or not the
relevant Extraordinary Resolution(s) for any of the other Classes passes).

The proposed revised formula for calculating interest on the USD Notes and
payments to be made by Barclays Bank plc as the currency swap provider (the
"Swap Provider") to the Principal Paying Agent under the Swap Transaction will
be as set out in Annex 1 (Compounded SOFR and Benchmark Replacement). Due to
the differences in the nature of USD LIBOR (including synthetic USD LIBOR) and
Compounded SOFR, the replacement of USD LIBOR with Compounded SOFR as the
reference rate for the USD Notes requires a corresponding credit adjustment
spread to be added to the existing Notes Interest Rate Margin payable in
respect of the USD Notes and to amounts payable under the Swap Transaction.
The Proposal uses the "5-year historical median" methodology agreed by the
International Swaps and Derivatives Association for determining this credit
adjustment spread and recommended by the Alternative Reference Rates Committee
for use in cash products such as the USD Notes. It involves taking the median
of the daily difference between USD LIBOR and SOFR in the 5 years leading up
to the date of the LIBOR Announcement. Using this methodology, the credit
adjustment spread for 3-month USD LIBOR is 0.26161 per cent., as calculated
and published by Bloomberg Index Services Limited on the date of the LIBOR
Announcement and as referenced on Bloomberg screen YUS0003M Index on the date
of the Consent Solicitation Memorandum.

The Trustee has not been involved in the formulation of the Extraordinary
Resolution and the Trustee expresses no opinion on the merits of any
Extraordinary Resolution or on whether Noteholders would be acting in their
best interests in approving the Extraordinary Resolution, and nothing in this
Notice should be construed as a recommendation to Noteholders from the Trustee
to vote in favour of, against or abstain from voting in respect of, any
Extraordinary Resolution.  Noteholders should take their own independent
financial, accounting and legal advice on the merits and on the consequences
of voting in favour of, against or abstain from voting in respect of, the
Extraordinary Resolution, including as to any tax consequences.  The Trustee
has not reviewed, nor will it be reviewing, any documents relating to the
Consent Solicitation, except those to which it will be a party and this
Notice. On the basis of the information set out in this Notice of Adjourned
Meeting (other than Annex 2 (Margin Adjustment) of this Notice which it has
not reviewed) and the Consent Solicitation Memorandum, the Trustee has
authorised it to be stated that it has no objection to the Extraordinary
Resolution being put to Noteholders for their consideration.

Before making a decision with respect to the Proposal, Noteholders should
carefully consider, in addition to the other information contained in this
Notice, the risk factors set out in Annex 1 (Compounded SOFR and Benchmark
Replacement) of this Notice and set out in "Risk Factors and Other
Considerations" of the Consent Solicitation Memorandum.

Consent Solicitation

The Issuer has invited holders of the Notes (and the other Classes) (the
"Consent Solicitation") to consent to the approval, by Extraordinary
Resolution at each relevant Meeting, of the modification of the Conditions of
the USD Notes and related transaction documents as described in the
Extraordinary Resolution as set out above, all as further described in the
Consent Solicitation Memorandum (as defined in the Extraordinary Resolution
set out above).

Eligible Noteholders may obtain, from the date of this Notice, a copy of the
Consent Solicitation Memorandum from the Consent Website subject to
eligibility confirmation and registration.  Alternatively, Noteholders may
contact the Information and Tabulation Agent, the contact details for which
are set out below.

Agreements, acknowledgements, representations, warranties and undertakings

By submitting an Electronic Voting Instruction to the relevant Clearing System
in accordance with the standard procedures of such Clearing System, the holder
of the relevant Notes and any Direct Participant submitting such Electronic
Voting Instruction on such holder's behalf will be deemed to agree to,
acknowledge, represent, warrant and undertake to the Issuer, the Solicitation
Agent, the Trustee, the Principal Paying Agent, the Reference Agent, the
Registrar and the Information and Tabulation Agent the following: (i) at the
time of submission of an Electronic Voting Instruction; (ii) on the Expiration
Deadline for the Adjourned Meeting (being 5:00 p.m. (London time) on 6
November 2024); and (iii) at the time of the Meeting and the time of any
adjourned such Meeting (if the holder of such Notes or the Direct Participant
is unable to give these acknowledgements, agreements, representations,
warranties and undertakings, such holder or Direct Participant should contact
the Information and Tabulation Agent immediately):

1.     Non-reliance:  it has received the Consent Solicitation
Memorandum, and has reviewed and accepts the terms, conditions, risk factors
and other considerations of the Consent Solicitation, all as described in the
Consent Solicitation Memorandum, and has undertaken an appropriate analysis of
the implications of the Proposal without reliance on the Issuer, the
Administrators, the Solicitation Agent, the Trustee, the Principal Paying
Agent, the Reference Agent, the Registrar or the Information and Tabulation
Agent (or any of their respective directors, officers, employees, agents or
affiliates);

2.     Identity:  by blocking the relevant Notes in the relevant Clearing
System, it will be deemed to consent, in the case of a Direct Participant, to
have such Clearing System provide details concerning its identity, including
account number, to the Information and Tabulation Agent (and for the
Information and Tabulation Agent to provide such details to the Issuer, the
Administrators and the Solicitation Agent, and their respective legal
advisers);

3.     Appointment of proxy: it gives instructions for the appointment, as
its proxy, of two or more representatives of the Information and Tabulation
Agent by the Registrar to vote in favour of, against or abstain from voting in
respect of the relevant Extraordinary Resolution at the Meeting (including any
adjourned such Meeting) (as specified in the relevant Electronic Voting
Instruction) in respect of all of the Notes within the Class in its account
blocked in the relevant Clearing System;

4.     Ratification:  it agrees to ratify and confirm each and every act
or thing that may be done or effected by the Issuer, the Trustee or any of
their respective directors, officers, employees, agents, representatives or
affiliates or any person nominated by the Issuer in the proper exercise of his
or her powers and/or authority hereunder;

5.     Further acts:  it agrees to do all such acts and things as are
necessary and execute any additional documents deemed by the Issuer or the
Trustee to be necessary or desirable, in each case to perfect any of the
authorities expressed to be given hereunder;

6.     Compliance with applicable laws:  it has observed the laws of all
relevant jurisdictions, obtained all requisite governmental, exchange control
or other required consents, complied with all requisite formalities, and paid
any issue, transfer or other taxes or requisite payments due from it in each
respect in connection with its participation in the Consent Solicitation  in
any jurisdiction and it has not taken or omitted to take any action in breach
of the terms of the Consent Solicitation or which will or may result in the
Issuer, the Administrators, the Solicitation Agent, the Information and
Tabulation Agent, the Trustee, the Principal Paying Agent, the Reference
Agent, the Registrar or any other person acting in breach of the legal or
regulatory requirements of any such jurisdiction in connection with the
Consent Solicitation;

7.     Successors and assigns:  all authority conferred or agreed to be
conferred pursuant to its acknowledgements, agreements, representations,
warranties and undertakings, and all of its obligations are binding upon its
successors, assigns, heirs, executors, trustees in bankruptcy and legal
representatives, and are not affected by, and will survive, its death or
incapacity;

8.     Information or recommendation:  none of the Issuer, the
Administrators, the Solicitation Agent, the Information and Tabulation Agent,
the Trustee, the Principal Paying Agent, the Reference Agent or the Registrar
or any of their respective affiliates, directors, officers, employees,
representatives or agents has given it any information with respect to the
Consent Solicitation save as expressly set out in the Consent Solicitation
Memorandum, nor has any of them made any recommendation to it as to whether it
should participate in the Consent Solicitation or vote on the Extraordinary
Resolution it has made its own decision with regard to participating in the
Consent Solicitation based on any legal, tax, financial or other advice it has
deemed necessary to seek;

9.     Tax consequences:  no information has been provided to it by the
Issuer, the Administrators, the Solicitation Agent, the Information and
Tabulation Agent, the Trustee, the Principal Paying Agent, the Reference Agent
or the Registrar or any of their respective directors, officers, agents,
affiliates or employees, with regard to the tax consequences for holders of
Notes arising from the participation in the Consent Solicitation or the
implementation of the Extraordinary Resolution and it acknowledges that it is
solely liable for any taxes and similar or related payments imposed on it
under the laws of any applicable jurisdiction as a result of its participation
in the Consent Solicitation or the implementation of the Extraordinary
Resolution and agrees that it will not and does not have any right of recourse
(whether by way of reimbursement, indemnity or otherwise) against the Issuer,
the Administrators, the Solicitation Agent, the Information and Tabulation
Agent, the Trustee, the Principal Paying Agent, the Reference Agent, the
Registrar or any of their respective directors, officers, agents, affiliates
or employees, or any other person in respect of such taxes and payments;

10.  No unlawful invitation:  it is not a person to whom it is unlawful to
make an invitation pursuant to the Consent Solicitation, or for it to
participate in the Consent Solicitation, under applicable securities laws, it
has not distributed or forwarded the Consent Solicitation Memorandum or any
other documents or materials relating to the Consent Solicitation to any such
person(s) and it has (before submitting, or arranging for the submission on
its behalf, as the case may be, of an Electronic Voting Instruction in respect
of its Notes) complied with all laws and regulations applicable to it for the
purposes of its participation in the Consent Solicitation;

11.  Sanctions:  it is not a Sanctions Restricted Person;

12.  Power and authority:  it has full power and authority to vote in the
Meeting (or any adjourned such Meeting);

13.  Blocking of Notes:  it holds and will hold, until the earlier of: (i)
the date on which its Electronic Voting Instruction is validly revoked; (ii)
the conclusion of the Meeting (or, if applicable, the adjourned Meeting); and
(iii) the termination of the Consent Solicitation, the relevant Notes blocked
in the relevant Clearing System and, in accordance with the requirements of,
and by the deadline required by, the relevant Clearing System, it has
submitted, or has caused to be submitted, an Electronic Voting Instruction to
the relevant Clearing System to authorise the blocking of such Notes, with
effect on and from the date of such submission so that no transfers of such
Notes may be effected until the occurrence of any of the events listed in (i),
(ii) or (iii) above;

14.  Notes Outstanding: none of the Notes that are the subject of the
Electronic Voting Instruction are held beneficially by or for the account or
benefit of the Issuer, PFPLC, PML, MTS, MTL, any Administrator or any of their
respective subsidiaries or holding companies or other subsidiaries of such
holding companies;

15.  Withdrawal or termination:  in the event of a withdrawal or termination
of the Consent Solicitation, the Electronic Voting Instructions with respect
to the relevant Notes will be deemed to be withdrawn, and the relevant Notes
will be unblocked in the Direct Participant's Clearing System account;

16.  Accuracy of information:  the information given by or on behalf of such
Noteholder in the Electronic Voting Instruction is in all respects true,
accurate and not misleading and will in all respects be true, accurate and not
misleading at the time of the implementation of the Extraordinary Resolution;
and

17.  Indemnity:  the Issuer, the Administrators, the Solicitation Agent, the
Trustee, the Principal Paying Agent, the Reference Agent, the Registrar and
the Information and Tabulation Agent will rely on the truth and accuracy of
the foregoing acknowledgements, agreements, representations, warranties and
undertakings and such holder will indemnify the Issuer, the Administrators,
the Solicitation Agent, the Trustee, the Principal Paying Agent, the Reference
Agent, the Registrar and the Information and Tabulation Agent against all and
any losses, costs, claims, liabilities, expenses, charges, actions or demands
which any of them may incur or which may be made against any of them as a
result of any breach of any of the terms of, or any of the agreements,
representations, warranties and/or undertakings given in connection with the
Consent Solicitation.

The representation set out in paragraph 11 above may not be sought or given at
any time after such representation is first made if and to the extent that it
is or would be unenforceable at the relevant time (which for the avoidance of
doubt, does not include the time of submission of the relevant Electronic
Voting Instruction) by reason of breach of: (i) any provision of Council
Regulation (EC) No 2271/1996 of 22 November 1996 (as amended) (or any law or
regulation implementing such Regulation in any member state of the European
Union); or (ii) Council Regulation (EC) No 2271/1996 as it forms part of
domestic law by virtue of the European Union (Withdrawal) Act 2018.

General

Eligible Noteholders may obtain, from the date of this Notice, a copy of the
Consent Solicitation Memorandum from the Consent Website or by contacting the
Information and Tabulation Agent, the contact details for which are set out
below. A Noteholder will be required to produce evidence satisfactory to the
Information and Tabulation Agent that he or she is a person to whom it is
lawful to send the Consent Solicitation Memorandum and to make an invitation
to participate in the Consent Solicitation under applicable laws before being
sent a copy of the Consent Solicitation Memorandum.

Copies of: (i) the Trust Deed; (ii) this Notice of Adjourned Meeting; (iii)
the Notice of Original Meeting; and (iv) the current drafts of the
Supplemental Trust Deed and the Swap Amended and Restated Confirmation as
referred to in the Extraordinary Resolution, are also available from the
Consent Website or for collection by Noteholders on and from the date of this
Notice of Adjourned Meeting up to and including the date of the Adjourned
Meeting from the Information and Tabulation Agent, the contact details for
which are set out below, during normal business hours on any weekday
(Saturdays, Sundays and public holidays excepted) up to and including the date
of the Adjourned Meeting. Any revised versions of the drafts of the
Supplemental Trust Deed and the Swap Amended and Restated Confirmation made
available as described above and marked to indicate changes to the draft made
available on the date of this Notice of Adjourned Meeting will supersede the
previous drafts of the Supplemental Trust Deed and the Swap Amended and
Restated Confirmation, and Noteholders will be deemed to have notice of any
such changes.

The attention of Noteholders is particularly drawn to the procedures for
voting, quorum and other requirements for the passing of the Extraordinary
Resolution at the Meeting or any meeting held following any adjournment of the
Meeting, which are set out in the second paragraph of "Voting and Quorum"
below.  Having regard to such requirements, Noteholders are strongly urged
either to attend the Meeting or to take steps to be represented at the Meeting
(including by way of submitting Electronic Voting Instructions in favour of
the Proposal (all such terms as defined in the Consent Solicitation
Memorandum)) as soon as possible.

Voting and Quorum

Noteholders who have submitted and not revoked a valid Electronic Voting
Instruction in respect of the Extraordinary Resolution, by which they will
have given instructions for the appointment of two or more representatives of
the Information and Tabulation Agent by the Registrar as their proxy to attend
and vote (as specified in the relevant Electronic Vote Instruction) in respect
of the Extraordinary Resolution at the Original Meeting or the Adjourned
Meeting, need take no further action to be represented at the Adjourned
Meeting. Further details on how to submit an Electronic Voting Instruction are
set out below.

Noteholders who have not submitted or have submitted and subsequently revoked
an Electronic Voting Instruction in respect of the Extraordinary Resolution
should take note of the relevant provisions set out below detailing how such
Noteholders can attend or take steps to be represented at the Adjourned
Meeting.

1.            Subject as set out below, the provisions governing
the convening and holding of a meeting of the Noteholders are set out in
Schedule 3 to the Trust Deed, a copy of which is available for inspection by
the Noteholders as referred to above.

Each person (a beneficial owner) who is the owner of a particular aggregate
Principal Amount Outstanding of the Notes through Euroclear, Clearstream, or a
person who is shown in the records of Euroclear or Clearstream as a holder of
the Notes (a "Direct Participant"), should note that a beneficial owner will
only be entitled to attend and vote at the Meeting in accordance with the
procedures set out below and where a beneficial owner is not a Direct
Participant it will need to make the necessary arrangements, either directly
or with the intermediary through which it holds its Notes, for the Direct
Participant to complete these procedures on its behalf.

A Noteholder who wishes to attend and vote at the Meeting and any adjourned
such Meeting in person must have obtained a valid Voting Certificate issued by
the Registrar.

A Noteholder may obtain a Voting Certificate in respect of its Notes
permitting such Noteholder to attend the Meeting by arranging for its Notes to
be blocked in an account with Euroclear or Clearstream (unless the Note is the
subject of a block voting instruction which has been issued and is outstanding
in respect of the Meeting or any adjourned such Meeting) not less than 48
hours before the time fixed for the Meeting (or, if applicable, any adjourned
such Meeting) and within the relevant time limit specified by Euroclear or
Clearstream, as the case may be, upon terms that the Notes will not cease to
be so blocked until the first to occur of the conclusion of the Meeting or any
adjourned such Meeting and the surrender of the Voting Certificate to the
Information and Tabulation Agent and notification by the Information and
Tabulation Agent to Euroclear or Clearstream, as the case may be, of such
surrender or the compliance in such other manner with the rules of Euroclear
or Clearstream, as the case may be.

A Noteholder not wishing to attend and vote at the Meeting may either deliver
the Voting Certificate to the person whom it wishes to attend on its behalf or
give a voting instruction (in the form of an electronic voting instruction (an
"Electronic Voting Instruction") in accordance with the standard procedures of
Euroclear or Clearstream) to, and require the Principal Paying Agent to,
include the votes attributable to its Notes in a block voting instruction
issued by the Registrar for the Meeting or any adjourned such Meeting, in
which case the Registrar will appoint a proxy to attend and vote at such
Meeting in accordance with such Noteholder's instructions.

If a Noteholder wishes the votes attributable to its Notes to be included in a
block voting instruction for the Meeting or any adjourned such Meeting, then:
(i) the Noteholder must arrange for its Notes to be blocked in an account with
Euroclear or Clearstream for that purpose; and (ii) the Noteholder or a duly
authorised person on its behalf must direct the Principal Paying Agent as to
how those votes are to be cast by way of an Electronic Voting Instruction, not
less than 48 hours before the time fixed for the Meeting (or, if applicable,
any adjourned such Meeting) and within the time limit specified by Euroclear
or Clearstream, as the case may be, upon terms that the Notes will not cease
to be so blocked until the first to occur of: (i) the conclusion of the
Meeting or any adjourned such Meeting; and (ii) not less than 24 hours before
the time for which the Meeting is convened, the notification in writing of any
revocation of a Noteholder's previous instructions to the Principal Paying
Agent and the same then being notified in writing by the Registrar to the
Issuer and the Trustee and such Notes ceasing in accordance with the
procedures of Euroclear or Clearstream, as the case may be, and with the
agreement of the Principal Paying Agent to be held to its order or under its
control.

Electronic Voting Instructions must be submitted in respect of an original
principal amount of Notes of not less than U.S.$100,000 and integral multiples
of U.S.$1,000 thereafter in respect of the USD Notes (ISIN: XS0261647027),
£50,000 and integral multiples of £1,000 thereafter in respect of the
Sterling Notes, or €50,000 and integral multiples of €1,000 thereafter in
respect of the EUR Notes. For the above purposes, instructions given by Direct
Participants to the Information and Tabulation Agent through Euroclear or
Clearstream will be deemed to be instructions given to the Principal Paying
Agent.

2.            As the proposed amendment is a Basic Terms
Modification (as defined in the Trust Deed), for the purposes of the Adjourned
Meeting two or more persons present and holding or representing greater than
25 per cent. of the aggregate GBP Equivalent Initial Principal Amount of the
Notes for the time being outstanding will form a quorum.

Voting Certificates obtained and Electronic Voting Instructions given in
respect of any Meeting (unless revoked in accordance with the terms of the
Trust Deed and, in the case of Electronic Voting Instructions, in accordance
with the procedures of the Euroclear or Clearstream, as the case may be) will
remain valid for any such adjourned Meeting.

Noteholders should note these quorum requirements and should be aware that, if
the Noteholders either present or appropriately represented at the Meeting are
insufficient to form a quorum for the Extraordinary Resolution, the
Extraordinary Resolution cannot be formally considered at such Meeting.
Noteholders are therefore encouraged either to attend the Meeting or to
arrange to be represented at the Meeting as soon as possible.

3.            Every question submitted to a Meeting will be decided
in the first instance by a show of hands and in case of equality of votes the
chairman of the Meeting will, both on a show of hands and on a poll, have a
casting vote in addition to the vote or votes (if any) to which he may be
entitled as a holder of a Voting Certificate or as a proxy or as a
representative.

Unless a poll is (before, or on the declaration of the result of, the show of
hands) demanded by the chairman of the Meeting, the chairman of the Meeting or
the Issuer or by two or more persons present holding or representing not less
than 2 per cent. of the aggregate GBP Equivalent Initial Principal Amount of
the Notes then outstanding, a declaration by the chairman of the Meeting that
a resolution has been carried or carried by a particular majority or lost or
not carried by a particular majority will be conclusive evidence of the fact
without proof of the number or proportion of the votes recorded in favour or
against (or abstentions from voting in respect of) such resolution.

On a show of hands every person who is present and is a holder of Notes or is
a proxy or representative will have one vote.  On a poll every such person
will have one vote in respect of each £1 in principal amount of the GBP
Equivalent Initial Principal Amount of the Notes then outstanding so produced
or represented by the Voting Certificate so produced or in respect of which he
is a proxy.

4.            To be passed at the Meeting, the Extraordinary
Resolution requires a majority consisting of not less than 75 per cent. of the
persons voting thereat upon a show of hands or if a poll be duly demanded then
by a majority consisting of not less than 75 per cent. of the GBP Equivalent
Initial Principal Amount of the Notes voting in such poll.  If passed, the
Extraordinary Resolution will be binding on all Noteholders, whether or not
present at the Meeting at which it is passed and whether or not voting.

This Notice is given by Paragon Mortgages (No. 12) plc.

Noteholders should contact the following for further information:

The Solicitation Agent

Lloyds Bank Corporate Markets plc

10 Gresham Street

London EC2V 7AE

 

Telephone:            +44 20 7158 1719/1726

Attention:              Liability Management Team

Email:
lbcmliabilitymanagement@lloydsbanking.com

 

The Information and Tabulation Agent

Sodali & Co

Leadenhall Building

122 Leadenhall St

City of London, EC3V 4AB

United Kingdom

 

Telephone:            +44 20 4513 6933 (U.K.) / +1 203 658 9457
(U.S.)

Email:                    paragon@investor.sodali.com

Consent Website: https://projects.sodali.com/paragon
(https://projects.sodali.com/paragon)

 

Dated: 25 October 2024

 

ANNEX 1 TO THE NOTICE OF ADJOURNED MEETING

COMPOUNDED SOFR AND BENCHMARK REPLACEMENT

 

Compounded SOFR

"Benchmark" means Compounded SOFR, which is a compounded average of daily
SOFR, as determined for each Interest Period in accordance with the specific
formula and provisions set out below.

If the Issuer or Reference Agent determines that a Benchmark Transition Event
and its related Benchmark Replacement Date have occurred in respect of
Compounded SOFR (or the daily SOFR used in the calculation hereof) prior to
the relevant SOFR Determination Time, then the provisions under the heading
"Benchmark Replacement" below will apply.

"Compounded SOFR" with respect to any Interest Period, means the rate of
return of a daily compound interest investment computed in accordance with the
following formula (and the resulting percentage will be rounded, if necessary,
to the nearest one hundred-thousandth of a percentage point, with 0.000005 per
cent. being rounded upwards to the nearest 0.00001 per cent.):

where:

"d" is the number of calendar days in the relevant Interest Period;

"D" is 360;

"d(o)" is the number of U.S. Government Securities Business Days in the
relevant Interest Period;

"i" is a series of whole numbers from one to d(o), each representing the
relevant U.S. Government Securities Business Day in chronological order from,
and including, the first U.S. Government Securities Business Day to and
including the last U.S. Government Securities Business Day in the relevant
Interest Period;

"n(i)" for any U.S. Government Securities Business Day "i" in the relevant
Interest Period, is the number of calendar days from, and including, such U.S.
Government Securities Business Day "i" to, but excluding, the following U.S.
Government Securities Business Day ("i+1");

"SOFR(i)" means the SOFR for the U.S. Government Securities Business Day
falling five U.S. Government Securities Business Days prior to the relevant
U.S. Government Securities Business Day "i";

"Interest Determination Date" means, in respect of any Interest Period, the
date falling five U.S. Government Securities Business Days prior to the
Interest Payment Date for such Interest Period (or the date falling five U.S.
Government Securities Business Days prior to such earlier date, if any, on
which the USD Notes are due and payable);

"SOFR" with respect to any U.S. Government Securities Business Day, means:

(i)           the Secured Overnight Financing Rate published for
such U.S. Government Securities Business Day as such rate appears on the SOFR
Administrator's Website at 3:00 p.m. (New York time) on the immediately
following U.S. Government Securities Business Day (the "SOFR Determination
Time"); or

(ii)          subject to adjustment in accordance with the provision
under the heading "Benchmark Replacement" below, if the rate specified in (i)
above does not so appear, the Secured Overnight Financing Rate as published in
respect of the first preceding U.S. Government Securities Business Day for
which the Secured Overnight Financing Rate was published on the SOFR
Administrator's Website;

"SOFR Administrator" means the Federal Reserve Bank of New York (or a
successor administrator of the Secured Overnight Financing Rate);

"SOFR Administrator's Website" means the website of the Federal Reserve Bank
of New York, or any successor source; and

"U.S. Government Securities Business Day" means any day except for a Saturday,
a Sunday or a day on which the Securities Industry and Financial Markets
Association recommends that the fixed income departments of its members be
closed for the entire day for purposes of trading in U.S. government
securities.

Benchmark Replacement

If the Issuer or the Reference Agent determines on or prior to the relevant
Reference Time that a Benchmark Transition Event and its related Benchmark
Replacement Date have occurred with respect to the then-current Benchmark, the
Benchmark Replacement will replace the then-current Benchmark for all purposes
relating to the USD Notes in respect of all determinations on such date and
for all determinations on all subsequent dates.  In connection with the
implementation of a Benchmark Replacement, the Issuer will have the right to
make Benchmark Replacement Conforming Changes from time to time, without any
requirement for the consent or approval of the Trustee or Noteholders and the
Trustee may, at the direction and expense of the Issuer, and having received a
certificate from the Issuer, signed by two Directors of the Issuer (upon which
the Trustee shall be entitled rely absolutely without enquiry or liability),
(i) confirming (x) that a Benchmark Transition Event has occurred, (y) the
relevant Benchmark Replacement and, (z) where applicable, any Benchmark
Replacement Adjustment and/or the specific terms of any relevant Benchmark
Replacement Conforming Changes, in each case as determined in accordance with
the benchmark replacement provisions set out herein; and (ii) certifying that
the relevant Benchmark Replacement Conforming Changes are necessary to ensure
the proper operation of such Benchmark Replacement and/or Benchmark
Replacement Adjustment, concur with the Issuer to effect such amendments to
the Conditions together with such consequential amendments to the Trust Deed
and/or the Agency Agreement as Issuer may deem appropriate in order to give
effect to Condition 19 and the Trustee shall not be liable to any person for
any consequences thereof. No consent of Noteholders shall be required in
connection with effecting such changes, including for the execution of any
documents or the taking of other steps by the Trustee, the Issuer or any of
the parties to the Agency Agreement (if required). The Trustee shall not be
obliged to agree to any amendments which in the sole opinion of the Trustee
would have the effect of (A) exposing the Trustee to any liabilities against
which it has not been indemnified and/or secured and/or pre-funded to its
satisfaction or (B) increasing the obligations or duties or decreasing the
rights or protection, of the Trustee in the documents to which it is a party
and/or the Conditions. The Agents shall give effect to Condition 19 (by
effecting such consequential amendments to the Agency Agreement or otherwise
as is necessary on the part of each Agent, provided that the Agents shall not
be obliged to give effect to any such amendments if, in the opinion of the
Agent, the same would not be operable in accordance with the terms proposed
pursuant to Condition 19 or would expose it to any additional duties or
liabilities or reduce or amend the rights and/or protective provisions
afforded to it in the Conditions and/or the Agency Agreement). The Issuer
shall promptly following the determination of any changes pursuant to
Condition 19 give notice thereof to the Trustee, the Agents and the
Noteholders in accordance with Condition 12.

Subject to the foregoing, any determination, decision or election that may be
made by the Issuer pursuant to this section, including any determination with
respect to a tenor, rate or adjustment or of the occurrence or non-occurrence
of an event, circumstance or date and any decision to take or refrain from
taking any action or any selection:

(i)           will be conclusive and binding absent manifest error;

(ii)          will be made in the sole discretion of the Issuer; and

(iii)         notwithstanding anything to the contrary in the
documentation relating to the USD Notes, shall become effective without
consent from the holders of the USD Notes or any other party.

"Benchmark" means, initially, Compounded SOFR, as such term is defined above;
provided that if the Issuer determines on or prior to the Reference Time that
a Benchmark Transition Event and its related Benchmark Replacement Date have
occurred with respect to Compounded SOFR (or the published daily SOFR used in
the calculation thereof) or the then-current Benchmark, then "Benchmark" shall
mean the applicable Benchmark Replacement;

"Benchmark Replacement" means the first alternative set forth in the order
below that can be determined by the Issuer or the Reference Agent as of the
Benchmark Replacement Date:

(i)           the sum of: (A) the alternate rate of interest that
has been selected or recommended by the Relevant Governmental Body as the
replacement for the then-current Benchmark and (B) the Benchmark Replacement
Adjustment;

(ii)          the sum of: (A) the ISDA Fallback Rate and (B) the
Benchmark Replacement Adjustment; or

(iii)         the sum of: (A) the alternate rate of interest that has
been selected by the Issuer as the replacement for the then-current Benchmark
giving due consideration to any industry-accepted rate of interest as a
replacement for the then-current Benchmark for U.S. dollar-denominated
floating rate notes at such time and (B) the Benchmark Replacement Adjustment;

"Benchmark Replacement Adjustment" means the first alternative set forth in
the order below that can be determined by the Issuer as of the Benchmark
Replacement Date:

(i)           the spread adjustment, or method for calculating or
determining such spread adjustment, (which may be a positive or negative value
or zero) that has been selected or recommended by the Relevant Governmental
Body for the applicable Unadjusted Benchmark Replacement;

(ii)          if the applicable Unadjusted Benchmark Replacement is
equivalent to the ISDA Fallback Rate, the ISDA Fallback Adjustment; or

(iii)         the spread adjustment (which may be a positive or
negative value or zero) that has been selected by the Issuer giving due
consideration to any industry-accepted spread adjustment, or method for
calculating or determining such spread adjustment, for the replacement of the
then-current Benchmark with the applicable Unadjusted Benchmark Replacement
for U.S. dollar-denominated floating rate notes at such time;

"Benchmark Replacement Conforming Changes" means, with respect to any
Benchmark Replacement, any technical, administrative or operational changes
(including changes to the timing and frequency of determining rates and making
payments of interest, rounding of amounts or tenors, and other administrative
matters) that the Issuer decides may be appropriate to reflect the adoption of
such Benchmark Replacement in a manner substantially consistent with market
practice (or, if the Issuer decides that adoption of any portion of such
market practice is not administratively feasible or if the Issuer determines
that no market practice for use of the Benchmark Replacement exists, in such
other manner as the Issuer determines is reasonably necessary);

"Benchmark Replacement Date" means the earliest to occur of the following
events with respect to the then-current Benchmark (including the daily
published component used in the calculation thereof):

(i)           in the case of clause (i) or (ii) of the definition of
"Benchmark Transition Event", the later of (a) the date of the public
statement or publication of information referenced therein and (b) the date on
which the administrator of the Benchmark permanently or indefinitely ceases to
provide the Benchmark (or such component); or

(ii)          in the case of clause (iii) of the definition of
"Benchmark Transition Event", the date of the public statement or publication
of information referenced therein;

For the avoidance of doubt, if the event that gives rise to the Benchmark
Replacement Date occurs on the same day as, but earlier than, the Reference
Time in respect of any determination, the Benchmark Replacement Date will be
deemed to have occurred prior to the Reference Time for such determination;

"Benchmark Transition Event" means the occurrence of one or more of the
following events with respect to the then-current Benchmark (including the
daily published component used in the calculation thereof):

(i)           a public statement or publication of information by or
on behalf of the administrator of the Benchmark (or such component) announcing
that such administrator has ceased or will cease to provide the Benchmark (or
such component), permanently or indefinitely, provided that, at the time of
such statement or publication, there is no successor administrator that will
continue to provide the Benchmark (or such component); or

(ii)          a public statement or publication of information by the
regulatory supervisor for the administrator of the Benchmark (or such
component), the central bank for the currency of the Benchmark (or such
component), an insolvency official with jurisdiction over the administrator
for the Benchmark (or such component), a resolution authority with
jurisdiction over the administrator for the Benchmark (or such component) or a
court or an entity with similar insolvency or resolution authority over the
administrator for the Benchmark, which states that the administrator of the
Benchmark (or such component) has ceased or will cease to provide the
Benchmark (or such component) permanently or indefinitely, provided that, at
the time of such statement or publication, there is no successor administrator
that will continue to provide the Benchmark (or such component); or

(iii)         a public statement or publication of information by the
regulatory supervisor for the administrator of the Benchmark announcing that
the Benchmark is no longer representative;

"ISDA Fallback Adjustment" means the spread adjustment (which may be a
positive or negative value or zero) that would apply for derivatives
transactions referencing the 2006 ISDA Definitions to be determined upon the
occurrence of an index cessation event with respect to the Benchmark;

"ISDA Fallback Rate" means the rate that would apply for derivatives
transactions referencing the 2006 ISDA Definitions to be effective upon the
occurrence of an index cessation date with respect to the Benchmark for the
applicable tenor excluding the applicable ISDA Fallback Adjustment;

"Reference Time" with respect to any determination of the Benchmark means (i)
if the Benchmark is Compounded SOFR, the SOFR Determination Time, and (ii) if
the Benchmark is not Compounded SOFR, the time determined by the Issuer or the
Reference Agent after giving effect to the Benchmark Replacement Conforming
Changes;

"Relevant Governmental Body" means the Federal Reserve Board and/or the
Federal Reserve Bank of New York, or a committee officially endorsed or
convened by the Federal Reserve Board and/or the Federal Reserve Bank of New
York or any successor thereto; and

"Unadjusted Benchmark Replacement" means the Benchmark Replacement excluding
the Benchmark Replacement Adjustment.

Any Benchmark Replacement, Benchmark Replacement Adjustment and the specific
terms of any Benchmark Replacement Conforming Changes, determined above will
be notified promptly by the Issuer to the Trustee, the Agents and, in
accordance with the Conditions, the Noteholders.  Such notice shall be
irrevocable and shall specify the effective date on which such changes take
effect.

If the Rate of Interest for the USD Notes cannot be determined in accordance
with the foregoing provisions, the Rate of Interest for the USD Notes shall be
that determined as at the last preceding Interest Determination Date (though
substituting, where a different Notes Interest Rate Margin is to be applied to
the relevant Interest Period from that which applied to the last preceding
Interest Period, the Notes Interest Rate Margin relating to the relevant
Interest Period, in place of the Notes Interest Rate Margin relating to that
last preceding Interest Period).

 

RISK FACTORS AND OTHER CONSIDERATIONS

Before making a decision with respect to the Extraordinary Resolution,
Noteholders should carefully consider, in addition to the other information
contained in this Notice of Adjourned Meeting, the following and the other
risk factors set out in the "Risk Factors and Other Considerations" section of
the Consent Solicitation Memorandum:

The market continues to develop in relation to SOFR as a reference rate.

SOFR differs from USD LIBOR (including synthetic USD LIBOR) in a number of
material respects, including (without limitation) that SOFR is a
backwards-looking, secured, compounded, risk-free overnight rate, whereas USD
LIBOR (including synthetic USD LIBOR) is expressed on the basis of a
forward-looking term, is unsecured and includes a risk-element based on
inter-bank lending. As such, investors should be aware that USD LIBOR
(including synthetic USD LIBOR) and SOFR may behave materially differently as
interest reference rates for the Notes and the Swap Transaction. Furthermore,
SOFR is a secured rate that represents overnight secured funding transactions,
and therefore will perform differently over time to an unsecured rate such as
USD LIBOR (including synthetic USD LIBOR).  For example, since publication of
SOFR began, daily changes in SOFR have, on occasion, been more volatile than
daily changes in comparable benchmarks or other market rates.

Publication of SOFR began in April 2018 and the rate therefore has a limited
history. The future performance of SOFR may therefore be difficult to predict
based on limited historical performance. The level of SOFR during the term of
the USD Notes may bear little or no relation to the historical level of SOFR.
Prior observed patterns, if any, in the behaviour of market variables and
their relation to SOFR such as correlations, may change in the future.

If the Proposal is implemented, interest amounts on the USD Notes and U.S.
dollar amounts payable in respect of the USD Notes to the Issuer under the
Swap Transaction will only be capable of being determined towards the end of
the relevant Interest Period and shortly prior to the relevant interest
payment date. It may be difficult for investors in the USD Notes to reliably
estimate the amount of interest which will be payable on such USD Notes or on
the cross-currency swap.

In addition, it should be noted that broadly divergent interest rate
calculation methodologies may develop and apply as between the mortgage loans,
the Notes and/or the swap agreements due to different market conventions,
variations in applicable fall-back provisions or other matters and the effects
of this are uncertain but could include a reduction in the amounts available
to the Issuer to meet its payment obligations in respect of the Notes.
Further, changes to SOFR may adversely affect the operation of the Swap
Amended and Restated Confirmation.

The administrator of SOFR may make changes that could change the value of SOFR
or discontinue SOFR.

The Issuer and the Class A2c cross-currency swap provider has no control over
the determination, calculation or publication of SOFR. There can be no
guarantee that such rates will not be discontinued, suspended or fundamentally
altered in a manner that is materially adverse to the interests of investors
in Notes which reference a SOFR rate. In particular, the Federal Reserve Bank
of New York, as administrator of SOFR may make methodological or other changes
that could change the value of SOFR, including changes related to the method
by which SOFR is calculated, eligibility criteria applicable to the
transactions used to calculate SOFR, or timing related to the publication of
SOFR. In addition, the administrator of SOFR may alter, discontinue or suspend
calculation or dissemination of SOFR (in which case a fallback method of
determining the interest rate on the USD Notes will apply). The administrator
of SOFR has no obligation to consider the interests of investors in the Notes
when calculating, adjusting, converting, revising or discontinuing SOFR.

No assurance that the Proposal will take effect and the impact of the Proposal
not being implemented.

Until each Extraordinary Resolution in relation to each Class of Notes is
passed by the holders of such Class of Notes and (in the case of the USD
Notes) the Eligibility Condition has been satisfied, no assurance can be given
that the Proposal will take effect. In particular, subject to applicable law,
the Issuer may extend, re-open, amend or terminate the Consent Solicitation at
any time before the Expiration Deadline (or, where there is an adjourned
Meeting, 48 hours before the time set for any such adjourned Meeting), as
described in the "Amendment and Termination" section of the Consent
Solicitation Memorandum.

If the Proposal is not implemented, the Rate of Interest in respect of the USD
Notes will effectively be fixed at the Rate of Interest for the last Interest
Period for which 3-month synthetic USD LIBOR was published and, pursuant to
the Swap Transaction, the Swap Provider will calculate payments to be made to
the Issuer on each Interest Payment Date after 30 September 2024 based on the
fallback rate in the definition of "USD-LIBOR-BBA" in the Annex to the 2000
ISDA Definitions, being "USD-LIBOR-Reference Banks" as defined in the Annex to
the 2000 ISDA Definitions and determined using quotes from reference banks in
the New York banking market (if available).

However, there is considerable uncertainty as to how the fallback rate for the
Swap Transaction would be determined if quotes from reference banks in the New
York banking market cannot be obtained, which could lead to the Issuer being
unhedged with respect to the currency risk in relation to the USD Notes.
Whether or not a fallback rate for the Swap Transaction can be obtained, there
is therefore likely to be a mismatch between the amounts payable by the swap
counterparty which is paid to the Issuer and the amounts which will be
calculated as payable by the Issuer in respect of those Notes. It is unclear
how this mismatch would be funded and this may lead to an interest shortfall
whereby the Issuer has insufficient funds to pay interest payments on the USD
Notes on an Interest Payment Date and an Event of Default could occur under
the USD Notes.  This will affect both the holders of the USD Notes and the
Notes denominated in Euro and Sterling with uncertain implications for the
Issuer's ability to pay amounts due under the Notes.

ANNEX 2 TO THE NOTICE OF ADJOURNED MEETING - MARGIN ADJUSTMENT

Rationale for the Noteholder Proposal and Margin Adjustment

The proposed revised formula for calculating interest on the USD Notes and
payments to be made by Barclays Bank plc as the currency swap provider to the
Principal Paying Agent under the Swap Transaction will be as set out in Annex
1 (Compounded SOFR and Benchmark Replacement) to the Notice of Adjourned
Meeting. Due to the differences in the nature of USD LIBOR (including
synthetic USD LIBOR) and Compounded SOFR, the replacement of USD LIBOR with
Compounded SOFR as the reference rate for the USD Notes requires a
corresponding credit adjustment spread to be added to the existing Notes
Interest Rate Margin payable in respect of the USD Notes and to amounts
payable under the Swap Transaction. The Proposal uses the "5-year historical
median" methodology agreed by the International Swaps and Derivatives
Association for determining this credit adjustment spread and recommended by
the Alternative Reference Rates Committee for use in cash products such as the
USD Notes. It involves taking the median of the daily difference between USD
LIBOR and SOFR in the 5 years leading up to the date of the LIBOR
Announcement. Using this methodology, the credit adjustment spread for 3-month
USD LIBOR is 0.26161 per cent., as calculated and published by Bloomberg Index
Services Limited on the date of the LIBOR Announcement and as referenced on
Bloomberg screen YUS0003M Index on the date of this Consent Solicitation
Memorandum.

If the Proposal is implemented, the Rate of Interest in respect of the USD
Notes for each Interest Period commencing on or after the Effective Date
(being the Interest Payment Date for the USD Notes falling in November 2024)
will be determined by the Reference Agent by reference to Compounded SOFR. The
first Interest Payment Date on which the amounts of interest payable on the
USD Notes will be determined by the Reference Agent by reference to Compounded
SOFR rather than 3-month synthetic USD LIBOR will be the Interest Payment Date
falling in February 2025 in respect of the Interest Period from (and
including) the Interest Payment Date falling in November 2024 up to (but
excluding) the Interest Payment Date falling in February 2025.

If the Proposal is implemented, the U.S. dollar amounts payable in respect of
the USD Notes and to  the Issuer under the Swap Transaction via the Principal
Paying Agent in respect of the USD Notes on or after the Effective Date will
be determined by reference to Compounded SOFR.

If the Proposal is not implemented, the Rate of Interest in respect of the USD
Notes will effectively be fixed at the Rate of Interest for the last Interest
Period for which 3-month synthetic USD LIBOR was published and, pursuant to
the Swap Transaction, the Swap Provider will calculate payments to be made to
the Issuer on each Interest Payment Date after 30 September 2024 based on the
fallback rate in the definition of "USD-LIBOR-BBA" in the Annex to the 2000
ISDA Definitions, being "USD-LIBOR-Reference Banks" as defined in the Annex to
the 2000 ISDA Definitions and determined using quotes from reference banks in
the New York banking market (if available).

However, there is considerable uncertainty as to how the fallback rate for the
Swap Transaction would be determined if quotes from reference banks in the New
York banking market cannot be obtained, which could lead to the Issuer being
unhedged with respect to the currency risk in relation to the USD Notes.
Whether or not a fallback rate for the Swap Transaction can be obtained, there
is therefore likely to be a mismatch between the amounts payable by the swap
counterparty which is paid to the Issuer and the amounts which will be
calculated as payable by the Issuer in respect of those Notes. It is unclear
how this mismatch would be funded and this may lead to an interest shortfall
whereby the Issuer has insufficient funds to pay interest payments on the USD
Notes on an Interest Payment Date and an Event of Default could occur under
the USD Notes.  This will affect both the holders of the USD Notes and the
Notes denominated in Euro and Sterling with uncertain implications for the
Issuer's ability to pay amounts due under the Notes.

For the avoidance of doubt, irrespective of whether or not the Proposal is
implemented, the Rate of Interest to be paid in respect of the USD Notes on
the Interest Payment Date falling on the Effective Date will continue to be
determined by reference to 3 month synthetic USD LIBOR, calculated on the
preceding Interest Determination Date by the Reference Agent.

The Margin Adjustment

In respect of the USD Notes, the Rate of Interest that will be effective from
the Effective Date will be equal to Compounded SOFR plus the New Margin.

"New Margin" means:

A.            the Current Margin; plus

B.            the Margin Adjustment,

where:

"Current Margin" means 0.22 per cent.; and

"Margin Adjustment" means 0.26161 per cent.

The detailed provisions relating to the calculation of Compounded SOFR are set
out in the Supplemental Trust Deed.

 

 

This information is provided by RNS, the news service of the London Stock Exchange. RNS is approved by the Financial Conduct Authority to act as a Primary Information Provider in the United Kingdom. Terms and conditions relating to the use and distribution of this information may apply. For further information, please contact
rns@lseg.com (mailto:rns@lseg.com)
 or visit
www.rns.com (http://www.rns.com/)
.

RNS may use your IP address to confirm compliance with the terms and conditions, to analyse how you engage with the information contained in this communication, and to share such analysis on an anonymised basis with others as part of our commercial services. For further information about how RNS and the London Stock Exchange use the personal data you provide us, please see our
Privacy Policy (https://www.lseg.com/privacy-and-cookie-policy)
.   END  NOGMZMZGVDDGDZM