SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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(o) Alternative Cash Settlement (for the purposes of Fallback Settlement Method only): subject to redemption, less an amount (but only where the Early Redemption Adjustment is negative) equal to the nominal amount of Deliverable Obligations (as may be selected by the Calculation Agent in its sole and absolute discretion) having a liquidation value (determined by the Calculation Agent acting in a commercially reasonable manner as of the Settlement Valuation Date) equal to the absolute value of the Early Redemption Adjustment. If the aggregate Outstanding Principal Balance (or the equivalent Currency Amount) of Deliverable Obligations to be Delivered by the Issuer in accordance with the foregoing paragraph is not equal to an authorised denomination (or integral multiple thereof) of Deliverable Obligations then the nominal amount of Deliverable Obligations to be Delivered shall, in the sole and absolute discretion of the Calculation Agent, be rounded down to the nearest authorised denomination (or multiple thereof) of the Deliverable Obligations, or, if none, zero (the amount by which the nominal amount of Deliverable Obligations to be Delivered is so rounded down being the Notional Portfolio Reduction Amount). In such circumstances, in lieu of Delivery of Deliverable Obligations in a nominal amount equal to the Notional Portfolio Reduction Amount, the Issuer shall pay to Securityholders an amount (the Adjustment Rounding Amount) determined by the Calculation Agent in its sole and absolute discretion as being equal to the liquidation value (determined by the Calculation Agent in its sole and absolute discretion) of such Deliverable Obligations in a nominal amount equal to the Notional Portfolio Reduction Amount, to be apportioned pro rata among such Securityholders. The definitions of Portfolio and Adjustment Rounding Amount as set out in the Credit-Linked Securities Definitions Module shall be amended accordingly. The liquidation value shall be converted into EUR (if necessary) at the rate determined by the Calculation Agent in its sole and absolute discretion on the Settlement Valuation Date. If the Issuer and/or the Counterparty are unable to Deliver the Portfolio on the Initial Physical Settlement Date (or the Extended Physical Settlement Date) due to a Potential Cash Settlement Event, the Issuer and/or the Counterparty shall attempt to so Deliver until the Final Delivery Date. Following such failure to Deliver, the Undeliverable Obligations will be valued two Business Days later and cash settled six Business Days after the Final Valuation 25
Date. (p) Trade Date: 2 nd June, 2009. PROVISIONS RELATING TO SECURITY If applicable, any amounts will be converted into EUR at the rate determined by the Calculation Agent in its sole and absolute discretion on or around the Business Day of valuation referred to in the immediately preceding paragraph. In determining the Final Price of the Undeliverable Obligations, Highest and Full Quotations obtained from five Dealers (and the reference to "Eligible Bidders" in the definition of "Full Quotation" shall be construed accordingly) will apply to such Deliverable Obligations. On the Alternative Cash Settlement Date, the Issuer will pay the Alternative Cash Settlement Amount to be apportioned pro rata among all Securityholders in full satisfaction of its payment obligations in respect of the Securities. Alternative Cash Settlement is more fully described in Condition CL7 (Physical Settlement) of the Credit- Linked Securities Conditions Module as modified herein. 8. Initial Charged Assets: Subject to paragraph 9 below, EUR 5,000,000 in aggregate principal amount of the EUR 1,500,000,000 Floating Rate Notes due 29th September, 2010 of Merrill Lynch S.A. with ISIN and Common Code XS0231029868 and 023102986, respectively. 9. Substitution of Initial Charged Assets: Without prejudice to paragraph 9 below, in the event that, at any time, it is proposed that the Charged Assets shall be replaced or substituted, no such replacement or substitution shall take place without the prior written consent of the holders of 100 per cent. of the outstanding principal amount of the Securities. (a) (b) At the direction of the Counterparty pursuant to Condition 4(b)(i) (Substitution at direction of Counterparty): At the direction of the Securityholders pursuant to 4(b)(ii) (Substitution at the request of Securityholders): Not Applicable. Not Applicable. 10. Charged Agreements: 26
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 and 24: Multiple Holder Obligation: a) Not
Page 25: Deliverable Obligation Category (se
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
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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
Page 107:
a "regulation" includes any regulat
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SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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