A: There are real risks, but the likelihood is low to very low.

For example, if NAB got into serious financial difficulty (most likely to due to large credit losses), then APRA might require that NAB convert the Notes into ordinary shares under the Non-Viability Trigger event or potentially the Common Equity trigger event. As there is a cap on the maximum number of shares that can be issued, if either of those two triggers were to be applied, there is almost no doubt that your investment would be worth a lot less than the $100 per Note that you will be paying up front.

Very unlikely, but not impossible.