SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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Definitions Module. (g) Settlement Currency: EUR. (h) Auction Settlement: Applicable. (i) Fallback Settlement Method: Physical Settlement. (j) (k) (l) (m) Upon a Credit Event, the Issuer will redeem the Credit Event Portion of the Securities as follows: The Issuer will redeem all the Securities as follows in the case of a redemption upon a Credit Event (for the purposes of Fallback Settlement Method only): Physical Settlement Date (for the purposes of Fallback Settlement Method only): The Portfolio to be Delivered by the Issuer (for the purposes of Fallback Settlement Method only): Condition CL6(II) shall apply. The Issuer will pay the Auction Redemption Amount (as defined in paragraph 33 below) on the Auction Redemption Date (as defined in the Credit-Linked Securities Conditions Module), to be apportioned pro rata among all Securityholders in full satisfaction of its payment obligations in respect of an aggregate principal amount of the Securities equal to the Credit Event Portion. Subject to Alternative Cash Settlement being applicable, the Issuer will Deliver the Portfolio and pay the Early Redemption Adjustment (if positive) or, as the case may be, the Adjustment Rounding Amount in satisfaction of its obligations under the Swap Agreement apportioned pro rata among all the Securityholders on the Physical Settlement Date. The Physical Settlement Date means the last day of the Physical Settlement Period following satisfaction of Conditions to Settlement or such earlier date as the Calculation Agent may designate (the Initial Physical Settlement Date), provided that, if a Hedge Disruption Event (as determined by the Calculation Agent in its absolute discretion) has occurred on or prior to the Initial Physical Settlement Date, the Physical Settlement Date may be extended to the Extended Physical Settlement Date pursuant to Condition CL7(c) (Physical Settlement), where Physical Settlement Period means, with respect to a Deliverable Obligation specified in the Notice of Physical Settlement, subject to a Hedge Disruption Event, the longest number of Business Days for settlement in accordance with the then currency market practice of the relevant Deliverable Obligation, as determined by the Calculation Agent. The Portfolio to be Delivered by the Issuer will comprise Deliverable Obligations of the Reference Entity. The Deliverable Obligations shall comprise the Reference Obligation and/or any obligation of the Reference Entity (either directly or as provider of any Qualifying Guarantee) as selected by the Counterparty in its sole and absolute discretion which is included in the 23
Deliverable Obligation Category (see below) and has the Deliverable Obligation Characteristics (see below). Deliverable Category: Obligation Bond or Loan. Deliverable Obligation Characteristics: Not Subordinated. Specified Currency: Standard Specified Currencies. (n) The Portfolio of Deliverable Obligations will be calculated as follows (for the purposes of Fallback Settlement Method only): Not Domestic Law. Not Domestic Issuance. Not Contingent. Assignable Loan. Consent Required Loan. Not Bearer (Bonds only). Transferable (Bonds only). Each Reference Obligation will be a Deliverable Obligation notwithstanding anything to the contrary in the Credit Derivatives Definitions, including but not limited to Section 2.15 of the Credit Derivatives Definitions and, in particular, notwithstanding that the obligation is not an obligation of the Reference Entity For the avoidance of doubt with respect to any LPN Reference Obligation (as defined in the Additional LPN Provisions) that specifies an Underlying Loan or an Underlying Finance Instrument (each as defined in the Additional LPN Provisions), the outstanding principal balance of such LPN Reference Obligation shall be determined by reference to the Underlying Loan or Underlying Finance Instrument (as applicable) relating to such LPN Reference Obligation. The Not Subordinated Deliverable Obligation Characteristic shall be construed as if no Reference Obligation was specified in respect of the Reference Entity. The Portfolio shall comprise Deliverable Obligations selected by the Counterparty in its sole and absolute discretion, having an Outstanding Principal Balance (or the equivalent Currency Amount) on the Settlement Valuation Date equal to the aggregate Outstanding Principal Amount of the Securities then outstanding and 24
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 and 20: Terms of Series 220 EUR5,000,000 Li
Page 21 and 22: 15 (Notices). Notwithstanding Condi
Page 23: Multiple Holder Obligation: a) Not
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
Page 75 and 76:
Determination Date is deemed not to
Page 77 and 78:
Entity to make, when and where due,
Page 79 and 80:
days in the Grace Period after the
Page 81 and 82:
each other and (ii) with respect to
Page 83 and 84:
"Notice Delivery Period" means the
Page 85 and 86:
"Overnight Rate" has the meaning gi
Page 87 and 88:
(a) (b) (c) (d) (e) The Calculation
Page 89 and 90:
"Qualifying Guarantee" means an arr
Page 91 and 92:
(a) The Calculation Agent shall att
Page 93 and 94:
"Repudiation/Moratorium (1999 versi
Page 95 and 96:
Governmental Authority and a suffic
Page 97 and 98:
date by which the Qualifying Policy
Page 99 and 100:
"Substitute Reference Obligation" m
Page 101 and 102:
effective and (B) in circumstances
Page 103 and 104:
with the Rules (until such time, if
Page 105 and 106:
"Valuation Date" means the date tha
Page 107:
a "regulation" includes any regulat
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