SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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OVERVIEW This is a overview of (i) certain risks relating to the Series 220 EUR5,000,000 Limited Recourse Secured Floating Rate Credit-Linked Notes due 2010 (the "Securities") issued by Xenon Capital Public Limited Company (the "Issuer") and (ii) certain Conditions of the Securities (the "Overview"). This Overview should be read as an introduction to the Information Memorandum and Supplemental Information Memorandum. Although care has been taken in the preparation of this Overview, it should not be relied on for any purpose other than as a general guide and any decision to invest in the Securities should be based on consideration of the Prospectus as a whole by the Securityholders. Securityholders should rely solely on the Terms and Conditions of the Securities. Capitalised terms used in this Overview but not otherwise defined shall have the meanings given to them in the Conditions of the Securities under the Programme. Following the implementation of the relevant provisions of the Prospectus Directive in each Member State of the European Economic Area, no civil liability will attach to the responsible persons in any such Member State solely on the basis of this Overview unless it is misleading, inaccurate or inconsistent when read together with the other parts of the prospectus constituted by this Supplemental Information Memorandum. Where a claim relating to the information contained in this prospectus is brought before a court in a Member State of the European Economic Area, the claimant may, under the national legislation of the Member State where the claim is brought, be required to bear the costs of translating the Information Memorandum and Supplemental Information Memorandum before the legal proceedings are initiated. The Issuer is subject to providing further disclosure in order to comply with the Transparency Directive. Introduction On execution of the Trust Instrument relating to the Securities (i) the Securities will be constituted and secured by means of the Trust Terms Module as modified pursuant to the Trust Instrument, the terms of such Securities being set out in the section entitled "Issue Terms" of this Supplemental Information Memorandum and (ii) the Trustee, Dealer, Counterparty, Calculation Agent, Vendor, Selling Agent, Custodian and Principal Paying Agent (each as applicable) will enter into an Agency Agreement, Placing Agreement, Swap Agreement and Sale Agreement on the terms of the Agency Terms Module, Placing Terms Module, Swap Schedule Terms Module and Sale Agreement Terms Module, respectively. This Supplemental Information Memorandum under which the Securities are described, is issued in conjunction with, and incorporates by reference, the Information Memorandum dated 27th June 2008 relating to the U.S.$50,000,000,000 Limited Recourse Secured Debt Issuance Programme (the Programme) of the Issuer. Description of the structure On the Issue Date (i) the Issuer will issue the Securities to the Dealer, (ii) the Issuer will use the proceeds of such issue (being EUR5,000,000) to purchase EUR5,000,000 in aggregate principal amount of the EUR 1,500,000,000 Floating Rate Notes due 2010 issued by Merrill Lynch S.A. (ISIN: XS0231029868) (the Charged Assets) from the Vendor, (iii) the Issuer will enter into a credit default option transaction with the Counterparty (the Credit Default Swap), referencing the Reference Entity, pursuant to which (a) the Issuer will sell credit protection on the Reference Entity, in a notional amount equal to EUR5,000,000, to the Counterparty and (b) the Counterparty will pay a premium (in EUR) to the Issuer on each Fixed Rate Payer Payment Date (as defined in the Credit Default Swap) in respect of the purchase of such credit protection (the Premium) and (iv) the Issuer will enter into an interest rate swap with the Counterparty (the Interest Rate Swap) pursuant to which (a) the Issuer will pay to the Counterparty amounts scheduled to be received by the Issuer in respect of interest under the Charged Assets and amounts equal to the Premium received by the Issuer under the Credit Default Swap and (b) the Counterparty will pay to the Issuer the scheduled interest under the Securities together with, in certain circumstances specified in this Supplemental Information Memorandum, any applicable Additional Amounts (as defined in the Issue Terms). 1
Securities bear interest in EUR on their Outstanding Principal Amount on each Interest Payment Date, at a floating rate determined pursuant to the Issue Terms. In the event that a Credit Event occurs in respect of the Reference Entity, upon the satisfaction of the Conditions to Settlement during the Notice Delivery Period, the Counterparty shall (a) if Auction Settlement is applicable, pay to the Issuer the relevant Auction Redemption Amount or (b) if Fallback Settlement Method is applicable, Deliver the Portfolio and pay any positive Early Redemption Adjustment and Adjustment Rounding Amount or pay the Alternative Cash Settlement Amount to the Issuer (in each case, pursuant to the Credit Default Swap) and the Issuer shall (i) redeem the Credit Event Portion of the Securities (x) if Auction Settlement is applicable, on the Auction Redemption Date by payment of the Auction Redemption Amount to the Securityholders (apportioned pro rata among the Securityholders) or, (y) if Fallback Settlement Method is applicable, the Physical Settlement Date, the Extended Physical Settlement Date or the Alternative Cash Settlement Date by Delivery of the Portfolio and payment of any positive Early Redemption Adjustment and Adjustment Rounding Amount or payment of the Alternative Cash Settlement Amount to the Securityholders (apportioned pro rata among the Securityholders) and (ii) liquidate, to the extent necessary, Charged Assets in an amount equal to the Credit Event Portion and pay the proceeds of such liquidation to the Counterparty. The Auction Redemption Amount is an amount in EUR, subject to a minimum of zero, equal to (a) the Credit Event Portion multiplied by the Auction Final Price in respect of the Reference Entity, plus (if the Early Redemption Adjustment is positive) or minus (if the Early Redemption Adjustment is negative) the Early Redemption Adjustment. The Portfolio to be Delivered if the Fallback Settlement Method is applicable comprises Deliverable Obligations selected by the Counterparty in its sole and absolute discretion having an Outstanding Principal Balance equal to the Outstanding Principal Amount of the Securities less any negative Early Redemption Adjustment. On the Maturity Date of the Securities (unless (a) the Securities have previously been redeemed for tax reasons or mandatorily under Conditions 8(b) (Redemption for taxation reasons) or 8(c) (Mandatory Redemption) or purchased under Condition 9 (Purchase) or, as the case may be, are in the process of being so redeemed or purchased, (b) in relation to a Credit Event, the Conditions to Settlement have been satisfied in relation to the Reference Entity or (c) an Event of Default has occurred under Condition 11 (Events of Default)) the Issuer shall redeem the Securities at their Outstanding Principal Amount. In event of early redemption of the Securities for a reason other than pursuant to the occurrence of a Credit Event, the Securities will redeem at an amount in EUR equal to: (i) the proceeds of liquidation of the Charged Assets less any costs, expenses and taxes incurred in connection with such liquidation; plus (ii) the termination amount that would be payable in respect of the early termination of the Swap Agreement, as determined by the Calculation Agent (where a positive amount represents an amount owing to the Issuer by the Counterparty and where a negative amount represents an amount owing to the Counterparty by the Issuer). Main investment considerations The following investment considerations are not exhaustive and should not be relied upon. Prospective purchasers must also read the detailed information set out elsewhere in this Supplemental Information Memorandum and in the Information Memorandum and, in the light of their own financial circumstances and investment objectives, reach their own views prior to making any investment decision. Exposure to Reference Entity, Charged Assets and Counterparty The Securities are not principal protected. Because payments under the Securities upon maturity or earlier redemption depend upon, among other things, the credit performance of the Reference Entity, the occurrence 2
Page 1: SUPPLEMENTAL INFORMATION MEMORANDUM
Page 5 and 6: GENERAL This Supplemental Informati
Page 7 and 8: TABLE OF CONTENTS Risk Factors ....
Page 9 and 10: the beneficiary (whether it is acqu
Page 11 and 12: No Obligations Owing by the Calcula
Page 13 and 14: paid. There is a risk therefore tha
Page 15 and 16: Commingling of Charged Assets Prosp
Page 17 and 18: Extension of the Maturity Date The
Page 19 and 20: Terms of Series 220 EUR5,000,000 Li
Page 21 and 22: 15 (Notices). Notwithstanding Condi
Page 23 and 24: Multiple Holder Obligation: a) Not
Page 25 and 26: Deliverable Obligation Category (se
Page 27 and 28: Date. (p) Trade Date: 2 nd June, 20
Page 29 and 30: (b) Instructing Creditor: For the p
Page 31 and 32: 28. Condition 22 (Governing Law) of
Page 33 and 34: SUBSCRIPTION AND SALE The Dealer ag
Page 35 and 36: DESCRIPTION OF THE INITIAL CHARGED
Page 37 and 38: DESCRIPTION OF THE COUNTERPARTY AND
Page 39 and 40: TAXATION Investors should note that
Page 41 and 42: REGISTERED OFFICE OF THE ISSUER Xen
Page 43 and 44: Reference Entities will, unless oth
Page 45 and 46: Date". CL13 (Settlement Suspension)
Page 47 and 48: (ii) (A) If an Extension Notice has
Page 49 and 50: (I) If Auction Settlement is specif
Page 51 and 52: (i) (ii) using its reasonable endea
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amount of the Deliverable Obligatio
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(x) (y) the aggregate Outstanding P
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principal amount equal to the Exerc
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If, following the determination of
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payable upon acceleration equal to
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(b) in the case of a Reference Enti
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where, RO1 means the Portfolio Fina
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"Credit Derivatives Auction Settlem
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(a) (b) whether an event that const
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Qualifying Policy the Insured Oblig
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"Eligible Transferee" means each of
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Determination Date is deemed not to
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Entity to make, when and where due,
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days in the Grace Period after the
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each other and (ii) with respect to
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"Notice Delivery Period" means the
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"Overnight Rate" has the meaning gi
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(a) (b) (c) (d) (e) The Calculation
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"Qualifying Guarantee" means an arr
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(a) The Calculation Agent shall att
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"Repudiation/Moratorium (1999 versi
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Governmental Authority and a suffic
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date by which the Qualifying Policy
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"Substitute Reference Obligation" m
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effective and (B) in circumstances
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with the Rules (until such time, if
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"Valuation Date" means the date tha
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a "regulation" includes any regulat
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SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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