"The recent mark to market moves over the last few months within credit markets has led to deterioration in valuations of the underlying assets, which in turn affects the Portfolio Notes ability to make the immediate interest payment."
However, the note's capital protection is unaffected. The company says the Interest Retention mechanism is designed to avoid needing to sell investments when the portfolio's performance falls.
Any interest not paid on the notes on a quarterly interest payment date (and consequently not paid on the corresponding quarterly interest payment date) due to an Interest Retention Event will be deferred until the maturity date.
If the portfolio value (including retained income from the Credit Investment Portfolio) at the end of the term exceeds the principal amount of the Portfolio Note, the excess will be paid to the Issuer on final redemption of the note and will, to the extent only of that excess, be available to be applied towards outstanding interest payments on PINs.
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