Key Points Proceeds at Maturity Interest Payment. The sum of the Deposit Amount and the Interest Payment

Transcription

1 $[ ] 7-YEAR MARKET-LINKED CERTIFICATES OF DEPOSIT LINKED TO AN EQUALLY- WEIGHTED BASKET OF TWO GLOBAL INDICES due August 30, 2022 Preliminary Supplement Issued July 31, 2015 (Subject to Completion) The final terms of the CDs will be determined on the Pricing Date and will be set forth in the final Supplement, which will be delivered to you after the Pricing Date. INDICATIVE TERMS CD SUMMARY Issuer Deposit Amount Minimum Bank of the West, San Francisco, California The face amount of the CD $1,000 and increments of $1,000 thereafter Our Market-linked Certificates of Deposit ( CDs ) provide the ability to participate in any appreciation of the Reference Asset over the term of the CDs. Denominations Purchasers should be willing to receive no periodic Reference Asset A basket comprised of the following indices (the Basket interest payments in exchange for the potential to Components ) with equal weightings (the Component Weightings ): receive a payment at maturity in excess of the The S&P 500 Index (ticker: SPX; Component Weighting: 50.00%) Deposit Amount depending on the quarterly average The EURO STOXX 50 Index (ticker: SX5E; Component Weighting: performance of the Reference Asset %) Redemption The sum of the Deposit Amount and the Interest Payment Key Points Proceeds at Maturity Interest Payment Rate of Return Minimum Return Final Return Weighted Average of the Component Returns Component Return The Deposit Amount multiplied by the product of (x) the Participation Rate and (y) the greater of (A) the Minimum Return and (B) the Final Return The greater of (A) the Final Return, as calculated on the Maturity Date, and (B) the Minimum Return [3.50% 5.50%], to be determined on the Pricing Date The product, expressed as a percentage, of (a) the Weighted Average of the Component Returns and (b) the Participation Rate The sum of the Component Returns multiplied by the respective Component Weighting for each Basket Component For each Basket Component, the quotient, expressed as a percentage, of (i) the Average Closing Level minus the Initial Index Level, divided by (ii) the Initial Index Level For each Basket Component, the arithmetic average of its Closing Levels on each of the Observation Dates Average Closing Level Initial Index Level For each Basket Component, its Closing Level on the Pricing Date Participation Rate 100% Observation Dates 1 November 25, May 28, February 25, August 26, May 25, November 25, August 25, February 25, November 25, May 26, February 27, August 25, May 25, November 25, August 25, February 25, November 27, May 25, February 26, August 25, May 25, November 26, August 27, February 25, November 26, May 25, February 25, August 25, 2022 FDIC Insurance The Deposit Amount, together with other deposits with the Bank held in the same right and capacity, is insured by the FDIC up to the applicable FDIC insurance limits Calculation Agent Bank of the West, San Francisco, California CUSIP 06426XNY2 CD Series Number 312 Callable by Issuer Inapplicable Estimated Value [$ $965.00] (to be set on the Pricing Date) Placement Fee Up to 3.50% of the Deposit Amount (up to $35.00 per $1, Deposit Amount) REFERENCE ASSET KEY FACTS The Reference Asset intends to represent a global market performance benchmark through an equally-weighted basket of two global indices: (i) The S&P 500 Index and (ii) The EURO STOXX 50 Index. POTENTIAL INTEREST AT MATURITY: The CDs offer an opportunity to receive a single Interest Payment at maturity based upon the return on the Reference Asset. Your participation in the appreciation of the Reference Asset is limited by the Participation Rate, but your exposure to depreciation is limited as purchasers will receive at least the Deposit Amount plus the Minimum Return at maturity. DEPOSIT RETURN: Purchasers will receive a full return of their deposits at maturity. FDIC INSURANCE: The CDs qualify for Federal Deposit Insurance Corporation ( FDIC ) coverage generally up to $250,000 in the aggregate with other deposits held with the Bank in the same right and capacity. Payments for amounts in excess of statutory limits are subject to the credit risk of the Issuer. TAX CONSEQUENCES: The CDs will be treated as contingent payment debt instruments for tax purposes. Please see page S-5 for more details. Key Dates Pricing Date: August 26, 2015 Issue Date: August 31, 2015 Valuation Date: August 25, 2022 Maturity Date: August 30, 2022 Purchasing the CDs involves a number of risks. See Risk Factors in the Disclosure Statement and Additional Risk Factors in this Supplement. S-1 Bank of the West Market-Linked CDs

2 $[ ] 7-YEAR MARKET-LINKED CERTIFICATES OF DEPOSIT LINKED TO AN EQUALLY- WEIGHTED BASKET OF TWO GLOBAL INDICES due August 30, 2022 ADDITIONAL TERMS SPECIFIC TO THE CDs Bank of the West, San Francisco, California ( we, us or the Bank ) is offering the Market-Linked Certificates of Deposit (the CDs ) described in this Supplement. Payments on the CDs will be based in part on the quarterly average performance of a basket comprised of two equally-weighted indices (collectively, the Reference Asset, and each index a Basket Component ) over the term of the CDs. The CDs are not directly linked to any underlying securities. The Component Weighting for each Basket Component shall be 50.00%. The Basket Components included in the Reference Asset are: The EURO STOXX 50 Index (ticker: SX5E; Component Weighting: 50.00%) The S&P 500 Index (ticker: SPX; Component Weighting: 50.00%) The EURO STOXX 50 Index (the SX5E ) is published by STOXX Limited ( STOXX ) and is maintained and calculated by STOXX without regard to the CDs. The SX5E is composed of 50 European blue-chip companies from within the Eurozone portion of the STOXX 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest company stocks traded on the major exchanges of 18 European countries and are organized into 19 super-sectors. The SX5E is calculated with the Laspeyres formula, as set forth under Computation of the SX5E, beginning on page S-9. The S&P 500 Index (the S&P 500 ) is calculated, maintained and published by Standard & Poor s, a division of McGraw Hill Companies, Inc. ( S&P ). The S&P 500 is intended to provide an indication of the pattern of stock price movement. As of September 16, 2005, the S&P 500 is calculated using a full float-adjusted formula, as set forth under Computation of the S&P 500, beginning on page S-12. For a more complete description of the SX5E and the S&P 500 (collectively, the Basket Component Sponsors ) and the Basket Components, see The Basket Components, beginning on page S-9. REFERENCE ASSET INFORMATION: You may review information published by the Basket Component Sponsors in respect of each of the Basket Components included in the Reference Asset. The information about the SX5E is published on the STOXX website: STOXX determines and publishes the Closing Level (as defined below) of the SX5E based, in part, on the change in price of the Index Components (as defined below). The Closing Level of the SX5E is reported by Bloomberg under the ticker symbol SX5E <Index>. The information about the S&P 500 is published on the S&P website: S&P determines and publishes the Closing Level of the S&P 500 based, in part, on the change in price of the Index Components. The Closing Level of the S&P 500 is reported by Bloomberg under the ticker symbol SPX <Index>. We are not responsible for any publication by any of the Basket Component Sponsors of any information on the Basket Components. No information published by any of the Basket Component Sponsors that refers to the Basket Components will be incorporated by reference herein or in the Disclosure Statement. None of the Bank or any of its affiliates will undertake to review the performance of the Basket Components during the term of the CDs, nor will any of them advise you of any information about the Basket Components that comes to the attention of any of them. You should read this Supplement together with the Disclosure Statement (the Disclosure Statement ) dated February 26, This Supplement and the Disclosure Statement contain the terms of the CDs and supersede all prior or contemporaneous oral statements as well as any other written materials, including preliminary or indicative pricing terms. TERMS OF ISSUANCE: The CDs will be offered by the Bank and sold by BNP Paribas Securities Corp. ( BNP Paribas Securities ) and other brokers from July 31, 2015 through 2:00 p.m. New York time on August 26, S-2 Bank of the West Market-Linked CDs

3 The CDs will price on August 26, 2015, and be issued as of August 31, The CDs will be made available in minimum denominations of $1,000 and in $1,000 increments thereafter. PAYMENTS AT MATURITY: The CDs will mature on August 30, 2022 (the Maturity Date ), subject to adjustment due to a Market Disruption Event as described below. On the Maturity Date, you will receive the amount deposited in the CD (prior to any deduction of a placement fee amount or the application of any discount, the Deposit Amount ) plus any interest payment then due (the Interest Payment ). Early withdrawal of the Deposit Amount is permitted only in the event of death or adjudication of incompetence of the beneficial owner of the CD. See Additions and Withdrawals on page 5 of the Disclosure Statement. INTEREST PAYMENT: The CDs will not pay periodic interest. A single Interest Payment will be made on the Maturity Date based on the greater of (i) the Final Return, as calculated on the Maturity Date or (ii) the Minimum Return (as defined below). The Final Return for the Reference Asset shall be the product, expressed as a percentage, of (i) the Weighted Average of the Component Returns and (ii) the Participation Rate. The Weighted Average of the Component Returns shall be the sum of the Component Returns multiplied by the respective Component Weighting for each Basket Component. For each Basket Component, the Component Return shall be the quotient of (i) the arithmetic average of its Closing Levels on each of the Observation Dates (the Average Closing Level ) minus the Closing Level on the Pricing Date (the Initial Index Level ), divided by (ii) the Initial Index Level. The Rate of Return will never be less than [3.50% 5.50%] (the Minimum Return ). The Valuation Date will be the third Trading Day (as defined below) before the Maturity Date. If a Market Disruption Event occurs or is continuing on a Valuation Date, then we will determine the Final Return using the Closing Level for each Basket Component on the immediately following Trading Day on which there is no Market Disruption Event. However, if a Market Disruption Event occurs or is continuing on each of the five Trading Days following the originally scheduled Valuation Date, then (i) that fifth Trading Day will be deemed the Valuation Date and (ii) we will determine the Closing Level of each Basket Component and the Reference Asset based upon our good faith estimate of the Closing Level on that fifth Trading Day by referencing the Closing Level or other levels determined as set forth above using the then-current method for calculating the Reference Asset. The Interest Payment, if any, will be rescheduled to the third Trading Day following any rescheduled Valuation Date, but no additional interest will accrue or be payable as a result of the rescheduling. The Closing Level for any Basket Component on any Trading Day means the closing level of the Basket Component as determined by the Calculation Agent based upon the closing level displayed on the Bloomberg page SPX <INDEX> with respect to the S&P 500 and SX5E <INDEX> with respect to the SX5E, or in each case by any successor service, as applicable. The Index Components means, with respect to each Basket Component, the constitutive securities underlying the applicable Basket Component. The Basket Component Sponsor means, (i) with respect to the SX5E, STOXX and (ii) with respect to the S&P 500, S&P, or the sponsor of any Successor Basket Component, as applicable. A Market Disruption Event means the occurrence or existence of any of the following conditions with respect to any of the Basket Components that we, as Calculation Agent, determine in our sole discretion, exercised in good faith: (i) The failure of a Basket Component Sponsor to announce or publish the level (or the information necessary for determining the level) of the relevant Basket Component, or any Successor Basket Component (as defined below), used to calculate the Closing Level; provided, that a discontinuance of publication of a Basket Component shall not constitute a Market Disruption Event if we have selected a Successor Basket Component as set forth under Consequences of Certain Market Disruption Events, beginning on page S-4. (ii) The suspension, absence or limitation of trading in futures or options contracts relating to any of the Basket Components on their respective markets. (iii) The termination, material suspension, material limitation, or material disruption in trading in Index Components constituting 20% or more, by weight, of a Basket Component on the Relevant Exchange. The Relevant Exchange means any exchange or quotation system for the stocks or other securities included in the Basket Component, where trading has a material effect (as determined by the Calculation Agent) on such Basket Component. S-3 Bank of the West Market-Linked CDs

4 (iv) The closure of the primary market for futures or options contracts relating to a Basket Component or Index Components constituting 20% or more, by weight, of a Basket Component on a Trading Day prior to the scheduled closing time of that market (without regard to after hours or any other trading outside of the regular trading session hours) unless such earlier closing time is announced by the primary market at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such primary market on such Trading Day for such primary market and (ii) the submission deadline for orders to be entered into the Relevant Exchange system for execution at the close of trading on such Trading Day for such primary market. (v) Any Trading Day on which (i) the primary markets for Index Components constituting 20% or more, by weight, of a Basket Component or (ii) the exchanges or quotation systems, if any, on which futures or options contracts on a Basket Component are traded, fails to open for trading during its regular trading session. (vi) Any other event, if the Calculation Agent determines that the event interferes with our ability or the ability of any of our affiliates to unwind all or a portion of a hedge with respect to the CDs that we or our affiliates have effected or may effect as described under Hedging in the Disclosure Statement. A Trading Day is, with respect to a Basket Component, a day, as determined by us as Calculation Agent, on which the Closing Level of the Basket Component is published by the Basket Component Sponsor, trading is generally conducted on the markets on which the securities underlying the Basket Component are traded, and a Market Disruption Event has not occurred. The Observation Dates shall be the twenty-eight days during the term of the CDs set forth in the following table, beginning on November 25, 2015 and ending on August 25, 2022, subject to adjustment as described herein: 1. November 25, May 28, February 25, August 26, May 25, November 25, August 25, February 25, November 25, May 26, February 27, August 25, May 25, November 25, August 25, February 25, November 27, May 25, February 26, August 25, May 25, November 26, August 27, February 25, November 26, May 25, February 25, August 25, 2022 CONSEQUENCES OF CERTAIN MARKET DISRUPTION EVENTS: Discontinuance of a Basket Component; Alteration of calculation method: If a Basket Component Sponsor discontinues the publication of the applicable Basket Component, and a successor or substitute index is published that we, as Calculation Agent, determine in our sole discretion to be comparable to the discontinued Basket Component, then any subsequent Closing Level of the Basket Component will be determined by reference to the Closing Level of such successor index or substitute index (the Successor Basket Component ) on each Observation Date. Upon any selection by us of a Successor Basket Component, we will promptly give notice to The Depository Trust Company ( DTC ). For a description of the role of the DTC with respect to the CDs, see Evidence of the CDs in the Disclosure Statement. If the Basket Component Sponsor discontinues the publication of the applicable Basket Component prior to, and such discontinuance is continuing on, any Observation Date and we determine that no Successor Basket Component is available at such time, then, on such Observation Date, we will determine the Closing Level of such Basket Component. The Closing Level will be computed by us in accordance with the formula for and method of calculating the applicable Basket Component last in effect prior to such discontinuance. If a Successor Basket Component is selected or we calculate a Closing Level as a substitute for the Closing Level of the discontinued Basket Component, the Successor Basket Component or Closing Level will be used as a S-4 Bank of the West Market-Linked CDs

5 substitute for such Basket Component for all purposes, including for purposes of determining whether a Market Disruption Event exists. If the method of calculating any of the Basket Components or any Successor Basket Component, or their Closing Levels, are changed in a material respect, or if any of the Basket Components or any Successor Basket Component is in any other way modified so that such Basket Component or Successor Basket Component does not, in our opinion, fairly represent the level of such Basket Component or such Successor Basket Component had such changes or modifications not been made, then we will, at the close of trading of the relevant exchanges on which the Index Components with respect to such Basket Component or such Successor Basket Component are traded on any Observation Date, make such calculations and adjustments as, in its good faith judgment, may be necessary in order to arrive at a closing level of an index comparable to such Basket Component or such Successor Basket Component, as the case may be, as if such changes or modifications had not been made. We will calculate the Closing Level of the Basket Components or such Successor Basket Component with reference to the applicable Basket Component or such Successor Basket Component, as adjusted. Therefore, if the method of calculating any of the Basket Components or a Successor Basket Component is modified so that its closing level is a fraction of what it would have been if it had not been modified (e.g., due to a split in an index), then we will adjust such Basket Component in order to arrive at a level of such Basket Component or such Successor Basket Component as if it had not been modified (for example, as if such split had not occurred). Discontinuance of all Basket Components: Upon the discontinuance of all Basket Components, we, as Calculation Agent, may determine in good faith that it is not feasible or legal to continue the CDs in current form. In such event we have the right, but not the obligation, to adjust the Interest Payment. If any adjustment is made, we will determine the price of the embedded option representing the amount above $1,000, per $1,000 principal amount CD, payable on the CDs on the Maturity Date. WEIGHTING OF THE BASKET COMPONENTS: Following the occurrence of a cancellation of a Basket Component or similar event (each, an Adjustment Event ), we as Calculation Agent will determine whether the event has a diluting or concentrative effect on the theoretical value of the relevant Reference Asset and, if so, will adjust the terms of the CDs as, in our sole discretion on a basis consistent with market practice, may be necessary in order to account for the economic effect of such event (any such change, an Anti-Dilution Adjustment ). We, as Calculation Agent, will be solely responsible for the determination of the occurrence of an Adjustment Event and the calculation or implementation of any Anti-Dilution Adjustment. Our determinations as to whether any Adjustment Event has occurred and calculations of any Anti-Dilution Adjustment will be conclusive absent manifest error. ADJUSTMENTS TO THE OBSERVATION DATES: If any scheduled Observation Date is not a Trading Day with respect to a Basket Component, then the Observation Date for that Basket Component will be the next day that is a Trading Day for that Basket Component. If a Market Disruption Event exists with respect to a Basket Component on a scheduled Observation Date, then the Observation Date for that Basket Component will be the next Trading Day for that Basket Component on which a Market Disruption Event does not exist for that Basket Component. If a Market Disruption Event exists with respect to a Basket Component on five consecutive Trading Days for that Basket Component, then that fifth Trading Day will be the Observation Date for that Basket Component, and the Calculation Agent will determine the Closing Level of that Basket Component on that date in accordance with the formula for and method of calculating that Basket Component last in effect prior to the occurrence of that Market Disruption Event, using the Relevant Exchange traded or quoted price of each security underlying that Basket Component (or if an event giving rise to a Market Disruption Event has occurred with respect to a relevant security on that fifth Trading Day, its good faith estimate of the value for the relevant security). For the avoidance of doubt, if no Market Disruption Event exists with respect to a Basket Component on a scheduled Observation Date, the determination of that Basket Component s Closing Level will be made on that day, irrespective of the existence of a Market Disruption Event with respect to one or more of the other Basket Components on that day. If the final Observation Date for any Basket Component is postponed for such reason, then the Maturity Date will also be postponed until the third Business Day following the postponed final Observation Date for that Basket Component and no interest will be payable in respect of such postponement. CERTAIN U.S. FEDERAL INCOME TAX CONSEQUENCES The following summary is a description of certain United States federal income tax consequences relating to the purchase, ownership and disposition of the CDs to U.S. Holders and Non-U.S. Holders (as those terms are defined in the accompanying Disclosure Statement under the caption Certain U.S. Federal Income Tax Consequences ) who purchase CDs from us on the issue date at their original issue price (as defined below). This discussion is for general S-5 Bank of the West Market-Linked CDs

6 information only and does not consider all aspects of federal income taxation that may be relevant to the purchase, ownership and disposition of CDs by a holder in light of such holder s personal circumstances. In particular, this discussion does not address the federal income tax consequences of ownership of CDs by depositors that do not hold the CDs as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the Code ), or the federal income tax consequences to holders subject to special treatment under the federal income tax laws, such as: dealers in securities or foreign currency; traders that elect to mark their securities to market; tax-exempt depositors; partnerships and other entities treated as partnerships for U.S. federal income tax purposes; securities corporations and any depositors therein; United States expatriates; regulated investment companies, real estate investment trusts, banks, thrifts, insurance companies or other financial institutions or financial services entities; persons that hold the CDs as a position in a straddle or as part of a synthetic security or hedge; U.S. holders (as defined below) that have a functional currency other than the U.S. dollar; controlled foreign corporations; passive foreign investment companies; foreign governments or international organizations, within the meaning of Section 892 of the Code; or retirement plans. Holders subject to the special circumstances described above may be subject to tax rules that differ significantly from those summarized below. In addition, the tax treatment of a partner or owner of an entity that holds the CDs and is treated as a partnership for U.S. federal income tax purposes generally depends on the status and situs of the partner and the activities of the partnership. Partners of partnerships considering the purchase of CDs should consult their tax advisers. This summary is based on the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations as of the date of this Supplement, changes to any of which, subsequent to the date of this Supplement, may affect the tax consequences described herein. As the law applicable to the U.S. federal income taxation of instruments such as the CDs is technical and complex, the discussion below necessarily represents only a general summary. Moreover, the Medicare tax on net investment income, the alternative minimum tax and the effects of any applicable state, local or foreign tax laws are not discussed. You should consult your tax adviser concerning the application of U.S. federal income and estate tax laws to your particular situation, as well as any tax consequences arising under the laws of any state, local or foreign jurisdictions. Certain other tax consequences of ownership of the CDs are discussed in the accompanying Disclosure Statement under the caption Certain U.S. Federal Income Tax Consequences. This summary supplements and, to the extent inconsistent, replaces the discussion under the caption Certain U.S. Federal Income Tax Consequences in the Disclosure Statement. U.S. Holders The CDs will be treated as contingent payment debt instruments for U.S. federal income tax purposes. Accordingly, the CDs will be subject to special rules that govern the tax treatment of debt obligations that are treated under applicable Treasury regulations (the contingent payment debt regulations ) as providing for contingent payments. Pursuant to the contingent payment debt regulations, a U.S. Holder of a CD will be required to accrue interest income on the CD on a constant yield basis, based on a comparable yield, as described below, regardless of whether such holder uses the cash or accrual method of accounting for U.S. federal income tax purposes. Accordingly, a U.S. Holder generally will be required to include interest in income each year in excess of any stated interest payments actually received in that year, if any. No payments on a CD are qualified stated interest payments. S-6 Bank of the West Market-Linked CDs

7 The contingent payment debt regulations provide that a U.S. Holder must accrue an amount of ordinary interest income, as original issue discount for U.S. federal income tax purposes, for each accrual period prior to and including the maturity date of a CD that equals the product of: the adjusted issue price (as defined below) of the CD as of the beginning of the accrual period, the comparable yield (as defined below) of the CD, adjusted for the length of the accrual period and the number of days during the accrual period that the U.S. Holder held the CD divided by the number of days in the accrual period. The adjusted issue price of a CD will be its issue price, increased by any interest income previously accrued, determined without regard to any adjustments to interest accruals described below, and decreased by the projected amount of any payments (in accordance with the projected payment schedule described below) previously made with respect to the CD. The term comparable yield as used in the contingent payment debt regulations means the greater of (i) the annual yield we would pay, as of the issue date, on a fixed-rate, nonconvertible debt instrument with no contingent payments, but with terms and conditions otherwise comparable to those of the CDs, and (ii) the applicable federal rate (which is published monthly by the Internal Revenue Service (the IRS )). The contingent payment debt regulations require that we provide to U.S. Holders, solely for U.S. federal income tax purposes, a schedule of the projected amounts of payments (the projected payment schedule ) on the CDs. This schedule must produce a yield to maturity that equals the comparable yield. The projected payment schedule contemplates a single payment of $1, per $1,000 principal amount of the CDs due at the Maturity Date, based on a comparable yield of 2.33%. The following table sets forth the amount of interest that will be deemed to accrue during each year over the term of the CDs (per $1,000 principal amount). Adjusted Issue Price at Beginning of Period Interest Deemed to Accrue on the MLCDs During the Period 2022 $1, $17.81 $ The comparable yield and the projected payment schedule are not used for any purpose other than to determine a U.S. Holder s interest accruals and adjustments thereto in respect of the CDs for U.S. federal income tax purposes. They do not constitute a projection or representation by us regarding the actual amounts that will be paid on the CDs. Adjustments to Interest Accruals on the CDs. If, during any taxable year, a U.S. Holder of a CD receives actual payments with respect to such CD that, in the aggregate, exceed the total amount of projected payments for that taxable year, the U.S. Holder will incur a net positive adjustment under the contingent payment debt regulations equal to the amount of such excess. The U.S. Holder will treat a net positive adjustment as additional interest income in that taxable year. If a U.S. Holder receives in a taxable year actual payments with respect to the CD that, in the aggregate, are less than the amount of projected payments for that taxable year, the U.S. Holder will incur a net negative adjustment under the contingent payment debt regulations equal to the amount of such deficit. This net negative adjustment: will first reduce the U.S. Holder s interest income on the CD for that taxable year; Total Interest Deemed to Have Accrued from Original Issue Date as of End of Period Year 2015 $1, $7.79 $ $1, $23.55 $ $1, $24.03 $ $1, $24.59 $ $1, $25.16 $ $1, $25.82 $ $1, $26.35 $ to the extent of any excess, will give rise to an ordinary loss to the extent of the U.S. Holder s interest income on the CD during prior taxable years, reduced to the extent such interest was offset by prior net negative adjustments; and S-7 Bank of the West Market-Linked CDs

8 to the extent of any excess after the application of the previous two bullet points, will be carried forward as a negative adjustment to offset future interest income with respect to the CD or to reduce the amount realized on a sale, exchange or retirement of the CD. A net negative adjustment is not subject to the two percent floor limitation on miscellaneous itemized deductions. Sale, Exchange or Retirement of the CDs. Generally, the sale, exchange or retirement of a CD will result in taxable gain or loss to a U.S. Holder. The amount of gain or loss on a sale, exchange or retirement of a CD will be equal to the difference between (a) the amount of cash plus the fair market value of any other property received by the U.S. Holder (the amount realized ), and (b) the U.S. Holder s adjusted tax basis in the CD. As discussed above, to the extent that a U.S. Holder has any net negative adjustment carryforward, the U.S. Holder may use such net negative adjustment from a previous year to reduce the amount realized on the sale, exchange or retirement of the CD. For purposes of determining the amount realized on the scheduled retirement of a CD, a U.S. Holder will be treated as receiving the projected amount of any contingent payment due at maturity. As previously discussed, to the extent that actual payments with respect to the CD during the year of the scheduled retirement are greater or lesser than the projected payments for such year, a U.S. Holder will incur a net positive or negative adjustment, resulting in additional ordinary income or loss, as the case may be. A U.S. Holder s adjusted tax basis in a CD generally will be equal to the U.S. Holder s original purchase price for the CD, increased by any interest income previously accrued by the U.S. Holder (determined without regard to any adjustments to interest accruals described above) and decreased by the amount of any projected payments that previously have been scheduled to be made in respect of the CD (without regard to the actual amount paid). Gain recognized by a U.S. Holder upon a sale, exchange or retirement of a CD generally will be treated as ordinary interest income. Any loss will be ordinary loss to the extent of the excess of previous interest inclusions over the total net negative adjustments previously taken into account as ordinary losses in respect of the CD, and thereafter capital loss (which will be long-term if the CD has been held for more than one year). The deductibility of capital losses is subject to limitations. If a U.S. Holder recognizes a loss upon a sale or other disposition of a CD and such loss is above certain thresholds, then the holder may be required to file a disclosure statement with the IRS. U.S. Holders should consult their tax advisers regarding this reporting obligation. Non-U.S. Holders Provided that amounts received by a Non-U.S. Holder with respect to a CD are not effectively connected with a U.S. trade or business conducted by such Non-U.S. Holder (as described in the accompanying Disclosure Statement under the caption Certain U.S. Federal Income Tax Consequences Tax Consequences to Non-U.S. Holders ), such Non-U.S. Holder will not include in gross income for U.S. federal income tax purpose any amounts with respect to such CD until such Non-U.S. Holder receives a payment at maturity or with respect to a sale or exchange of such CD. The amount of any such payment that exceeds the Non-U.S. Holder s adjusted tax basis for the CD will be treated as ordinary interest income and generally will not be subject to U.S. federal income or withholding tax if the U.S. Holder satisfies the requirements to receive payments of principal and interest (including original issue discount) on a CD free of U.S. federal income or withholding tax, as set forth in the accompanying Disclosure Statement under the caption Certain U.S. Federal Income Tax Consequences Tax Consequences to Non-U.S. Holders. However, under Section 871(m) of the Code and applicable Treasury Regulations, that portion of the payment that is attributable to dividend payments on the securities reflected in the Reference Asset may be subject to 30% U.S. withholding tax (or a reduced rate under an applicable tax treaty). The Internal Revenue Service issued a notice stating that it and the Treasury Department intend that, generally, such withholding tax will not be applicable to instruments like the CDs issued prior to the 90th day after final Treasury Regulations have been published. However, despite that notice, Non-U.S. Holders may be required to make representations regarding applicable conditions contained in the proposed Treasury Regulations, or any successor or final Treasury Regulations to receive the payment due at maturity without any such withholding tax. There can be no assurance that the making of such representations will permit the payment to be made at maturity to be free of U.S. withholding tax. Non-U.S. Holders should consult their tax advisors about the potential application of the 30% withholding tax. S-8 Bank of the West Market-Linked CDs

9 THE BASKET COMPONENTS Below is a description of the Basket Components. We have derived substantially all of the information contained in this Supplement regarding the Basket Components, including without limitation its make-up, method of calculation and changes in its components, from publicly available information prepared by the Basket Component Sponsors. Neither the Issuer nor any of its affiliates assumes any responsibilities for the adequacy or accuracy of information about the Basket Components. You should make your own investigation into the Basket Components. Further information regarding the SX5E can be obtained at We have not independently verified any of the information regarding the SX5E contained herein or on STOXX s website. Information on STOXX s website is not part of or incorporated by reference in this Supplement or the Disclosure Statement. Such information reflects the policies of, and is subject to change by, STOXX, the publisher of the SX5E. The SX5E is reported by Bloomberg under the ticker symbol SX5E <Index>. Purchasers of the CDs should make their own investigation into the SX5E. STOXX has no obligation to continue to compile and publish the SX5E, and may discontinue compilation or publication of the SX5E at any time in its sole discretion. The calculation agent for the SX5E is STOXX. Further information regarding the S&P 500 can be obtained at We have not independently verified any of the information regarding the S&P 500 contained herein or on S&P s website. Information on S&P s website is not part of or incorporated by reference in this Supplement or the Disclosure Statement. Such information reflects the policies of, and is subject to change by, S&P, the publisher of the S&P 500. The S&P 500 is reported by Bloomberg under the ticker symbol SPX <Index>. Purchasers of the CDs should make their own investigation into the S&P 500. S&P has no obligation to continue to compile and publish the S&P 500, and may discontinue compilation or publication of the S&P 500 at any time in its sole discretion. The calculation agent for the S&P 500 is S&P. General Description of the EURO STOXX 50 Index All information regarding the SX5E set forth herein reflects the policies of, and is subject to change by, STOXX, a company owned by Deutsche Börse AG and SIX Group AG. The SX5E is calculated, maintained and published by STOXX. The SX5E is reported by Bloomberg under the ticker symbol SX5E <Index>. It is also published in The Wall Street Journal and disseminated on the STOXX website, Composition of the SX5E The SX5E is composed of 50 European blue-chip companies from within the Eurozone portion of the STOXX 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stock traded on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles & parts, banks, basic resources, chemicals, construction & materials, financial services, food & beverage, health care, industrial goods & services, insurance, media, oil & gas, personal & household goods, real estate, retail, technology, telecommunications, travel & leisure, and utilities. Computation of the SX5E Publication of the SX5E was introduced on February 26, 1998, with a base value of 1,000 as of December 31, The SX5E is calculated with the Laspeyres formula, which measures price changes against a fixed base quantity weight, and is weighted by free float market capitalization. Each component s weight is capped at 10% of the SX5E s total free float market capitalization. Free float weights are reviewed quarterly and the SX5E composition is reviewed annually in September. Selection of Index Components Within each of the 19 SX5E Supersector indices, the component stocks are ranked by free float market capitalization. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free float market capitalization of the corresponding SX5E Total Market Index (TMI) Supersector index. If the next-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. Any remaining stocks that are current SX5E components are added to the selection list. The stocks on the selection S-9 Bank of the West Market-Linked CDs

10 list are ranked by free float market capitalization. In exceptional cases, the STOXX supervisory board may make additions and deletions to the selection list. The 40 largest stocks on the selection list are chosen as components. Any remaining current components of the SX5E ranked between 41 and 60 are added as index components. If the component number is still below 50, then the largest remaining stocks on the selection list are added until the SX5E contains 50 stocks. The SX5E has an index divisor, which is adjusted to maintain the continuity of the SX5E s value across changes due to corporate actions such as the issuance of dividends, the occurrence of stock splits, the stock repurchase by the issuer or for other reasons. Additional information on the SX5E is available on the following website: The information on this website is not part of or incorporated by reference in this Supplement or the Disclosure Statement. License Agreement The Issuer entered into a non-exclusive license agreement with STOXX whereby the Issuer, in exchange for a fee, is permitted to use the SX5E in connection with the CDs. We are not affiliated with STOXX; the only relationship between STOXX and us is any licensing of the use of STOXX s indices and trademarks relating to them. The license agreement between STOXX and the Issuer provides that the following language must be set forth herein: STOXX and its licensors (the Licensors ) have no relationship to the Issuer, other than the licensing of the EURO STOXX 50 Index and the related trademarks for use in connection with the CDs. STOXX and its Licensors do not: sponsor, endorse, sell or promote the CDs. recommend that any person invest in the CDs or any other securities. have any responsibility or liability for or make any decisions about the timing, amount or pricing of the CDs. have any responsibility or liability for the administration, management or marketing of the CDs. consider the needs of the CDs or the owners of the CDs in determining, composing or calculating the EURO STOXX 50 Index or have any obligation to do so. STOXX and its Licensors will not have any liability in connection with the CDs. Specifically, STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about: the results to be obtained by the CDs, the owner of the CDs or any other person in connection with the use of the EURO STOXX 50 Index and the data included in the EURO STOXX 50 Index; and the accuracy or completeness of the EURO STOXX 50 Index and its data; the merchantability and the fitness for a particular purpose or use of the EURO STOXX 50 Index and its data. STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50 Index or its data; Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they might occur. The licensing agreement between the Issuer and STOXX is solely for their benefit and not for the benefit of the owners of the CDs or any other third parties. Historical Data on the EURO STOXX 50 Index The following table sets forth, for each of the quarterly periods indicated, the high and low retrospective closing levels of the SX5E from January 1, 2008 to June 30, These historical and retrospective data on the SX5E are not indicative of the future performance of the SX5E or what the market value of the CDs may be. Any historical upward or downward trend in the value of the SX5E during any period set forth below is not an indication that the SX5E is more or less likely to increase or decrease at any time during the term of the CDs. S-10 Bank of the West Market-Linked CDs

11 Historical Performance of the EURO STOXX 50 Index High Low 2008 Quarter First , , Second , , Third , , Fourth , , Quarter First , , Second , , Third , , Fourth , , Quarter First , , Second , , Third , , Fourth , , Quarter First , , Second , , Third , , Fourth , , Quarter First , , Second , , Third , , Fourth , , Quarter First , , Second , , Third , , Fourth , , Quarter First , , Second , , Third , , Fourth , , Quarter First , , Second , , General Description of the S&P 500 Index All information regarding the S&P 500 set forth in this Supplement reflects the policies of, and is subject to change by, S&P. The S&P 500 is calculated, maintained and published by S&P. The S&P 500 is intended to provide an indication of the pattern of stock price movement. The daily calculation of the level of the S&P 500, discussed below in further detail, is based on the aggregate average market value of the common stocks of 500 companies as S-11 Bank of the West Market-Linked CDs

12 of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies from the beginning of 1941 through 1943 (the Base Period ). Composition of the S&P 500 S&P chooses companies for inclusion in the S&P 500 with the aim of achieving a distribution of broad industry groupings that approximates the distribution of these industry groupings in the common stock population of its database, which S&P uses as an assumed model for the composition of the total market. S&P may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500 to achieve these objectives. Relevant criteria employed by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the market value of that company s common stock is generally responsive to changes in the affairs of the respective industry and the market price and trading activity of the common stock of that company. The ten main groups of companies that comprise the S&P 500 include: consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology, materials, telecommunication services and utilities. The S&P 500 does not reflect the payment of dividends on the stocks included in the S&P 500. Because of this and for other reasons discussed in this Supplement and the Disclosure Statement, the return on the CDs will not be the same as the return you would receive if you were to purchase those stocks underlying the S&P 500 and hold them for a period equal to the term of the CDs. Computation of the S&P 500 As of September 16, 2005, S&P has used a full float-adjusted formula to calculate the S&P 500. With a floatadjusted index, the share counts used in calculating the S&P 500 will reflect only those shares that are available to investors, not all of a company s outstanding shares. The float-adjusted S&P 500 is calculated as the quotient of (1) the sum of the products of (a) the price of each common stock, (b) the total shares outstanding of each common stock and (c) the investable weight factor and (2) the index divisor. The investable weight factor is calculated by dividing (1) the available float shares by (2) the total shares outstanding. Available float shares reflect float adjustments made to the total shares outstanding. Float adjustments seek to distinguish strategic shareholders (whose holdings depend on concerns such as maintaining control rather than the economic fortunes of the company) from those holders whose investments depend on the stock s price and their evaluation of the company s future prospects. S&P defines certain groups of shareholders whose holdings are subject to float adjustment, including: holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged buyout groups; holdings by government entities, including all levels of government in the United States or foreign countries; holdings by current or former officers and directors of the company, founders of the company, or family trusts of officers, directors, or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans or other investment vehicles associated with and controlled by the company; and holdings by any individual person who controls a 5% or greater stake in a company as reported in regulatory filings. In cases where holdings in a group as described above exceeds 5% of the outstanding shares of a company, the holdings of that group are excluded from the float-adjusted count of shares to be used in the S&P 500 calculation. In addition, treasury stock, stock options, restricted shares, equity participation units, warrants, preferred stock, convertible stock, and rights are not part of the float. Shares held by mutual funds, investment advisory firms, pension funds, foundations not associated with the company and investment funds in insurance companies, shares of a U.S. company traded in Canada as exchangeable shares, shares that trust beneficiaries may buy or sell without difficulty or significant additional expense beyond typical brokerage fees, and, if a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class if such shares are convertible by shareholders without undue delay and cost, are, however, considered part of the float. Changes in a company s shares outstanding of 5.0% or more due to mergers, acquisitions, public offerings, private placements, tender offers, Dutch auctions, or exchange offers are made as soon as reasonably possible. All S-12 Bank of the West Market-Linked CDs