SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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(c) Interest Commencement Date: 18th June, 2009. (d) Business Day Convention: Following Business Day Convention. (e) Additional Business Centre(s): The principal financial city in the jurisdiction in which the principal place of business of the Reference Entity is located, as determined by the Calculation Agent and any day on which the Target2 System is open (f) Manner in which Rate of Interest is to be determined: ISDA Determination (i) Floating Rate Option: EUR-EURIBOR-Reuters. (ii) (iii) Designated Maturity: 3 months, except in relation to the first Interest Period which shall be subject to Linear Interpolation (which shall be construed in accordance with the ISDA 2006 Definition of such expression). Margin: plus 7.25 per cent. per annum. (g) Floating Day Count Fraction: Actual/360. (h) Cessation of interest: If an Event Determination Date occurs with respect to the Reference Entity (see paragraph 7 below), interest on the Credit Event Portion of the Securities shall cease to accrue from, and including, the Interest Payment Date immediately preceding the Event Determination Date (or, in the case of the first Interest Period, from and including the Interest Commencement Date). PROVISIONS RELATING TO REDEMPTION 5. Maturity Date: The Securities shall be redeemed at their Outstanding Principal Amount on the Scheduled Termination Date (see paragraph 6 below) unless (a) the Counterparty has given an Extension Notice, (b) 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, (c) in relation to a Credit Event, the Conditions to Settlement have been satisfied in relation to the Reference Entity or (d) an Event of Default has occurred under Condition 11 (Events of Default). The Counterparty may deliver an Extension Notice at any time prior to 11.00 a.m. (London time) on the first Business Day prior to the Scheduled Termination Date. As soon as reasonably practicable after receiving an Extension Notice from the Counterparty, the Issuer shall inform the Securityholders in accordance with Condition 19
15 (Notices). Notwithstanding Condition CL12(c)(ii) (Final Redemption and Maturity Date), if an Extension Notice has been given, the Maturity Date in respect of the Credit Event Portion of the Securities only shall be the Extended Maturity Date unless (i) the Counterparty has given a Cancellation Notice prior to the Extended Maturity Date in which case it shall be the later of (a) the date upon which the Cancellation Notice was given and (b) the Scheduled Termination Date or (ii) the Conditions to Settlement have been satisfied in relation to a Credit Event in which case the provisions of Condition CL7 (Physical Settlement) shall apply. For the avoidance of doubt, Condition CL12 (Final Redemption and Maturity Date), as amended by these Issue Terms, shall apply. 6. Scheduled Termination Date: 29th September, 2010 which shall be subject to adjustment in accordance with the Following Business Day Convention for the purposes of payment only. CREDIT-LINKED PROVISIONS 7. The Securities are Single Name Physical CLS. In the event of a Credit Event with respect to the Reference Entity and/or any Obligation of the Reference Entity which occurs on or prior to the later of the Scheduled Termination Date and the Extended Maturity Date and upon satisfaction of the Conditions to Settlement, the Issuer may settle the Credit Event Portion of the Securities (i) if Auction Settlement is applicable, by paying the Securityholders the Auction Redemption Amount or (ii) if Fallback Settlement Method is applicable, by Delivery of the Portfolio (subject to Alternative Cash Settlement) to the Securityholders, in each case, on the terms set out in the Credit-Linked Securities Conditions Module (as amended and supplemented by these Issue Terms). (a) The Reference Entity: JSC VTB Bank and any Successors thereof. For the avoidance of doubt, Condition CL9(a) (Succession Events) of the Credit-Linked Securities Conditions Module shall apply as amended by these Issue Terms. 20
Page 1 and 2: SUPPLEMENTAL INFORMATION MEMORANDUM
Page 3 and 4: Securities bear interest in EUR on
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: Terms of Series 220 EUR5,000,000 Li
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
Page 53 and 54: amount of the Deliverable Obligatio
Page 55 and 56: (x) (y) the aggregate Outstanding P
Page 57 and 58: principal amount equal to the Exerc
Page 59 and 60: If, following the determination of
Page 61 and 62: payable upon acceleration equal to
Page 63 and 64: (b) in the case of a Reference Enti
Page 65 and 66: where, RO1 means the Portfolio Fina
Page 67 and 68: "Credit Derivatives Auction Settlem
Page 69 and 70: (a) (b) whether an event that const
Page 71 and 72:
Qualifying Policy the Insured Oblig
Page 73 and 74:
"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
Page 83 and 84:
"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
Page 89 and 90:
"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
Page 105 and 106:
"Valuation Date" means the date tha
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a "regulation" includes any regulat
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