SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

of a Credit Event in relation to the Reference Entity could result in the loss of a substantial portion or all of a
Securityholder's investment in the Securities.
The ability of the Issuer to meet its obligations under the Securities will be dependent upon the payment of
principal and interest due on the Charged Assets, upon the payment of all sums due from the Counterparty or
the Swap Guarantor under the Charged Agreements, upon the Principal Paying Agent and the Custodian
making the relevant payments when received and upon all parties to the Transaction Documents (other than
the Issuer) performing their respective obligations thereunder. Securityholders will be exposed to the
creditworthiness of Merrill Lynch & Co., Inc. both in its capacity of Swap Guarantor and in its capacity as
guarantor of the Initial Charged Assets. This will increase a potential Securityholders' exposure to the
creditworthiness of Merrill Lynch & Co., Inc. in respect of the Securities.
Credit Exposure
Not all of the Credit Events require an actual default with respect to the Reference Entity's obligations.
Therefore Securityholders could bear losses based on a deterioration in the credit of the Reference Entity
short of a default. Not all Credit Events have easily ascertainable triggers and disputes can and have arisen
as to whether a specific event did or did not constitute a Credit Event. If the Counterparty exercises its right
to settlement following a Credit Event all interest payments on the Securities may cease to accrue on (but
excluding) the Interest Payment Date immediately prior to the Event Determination Date.
Early Redemption
In event of early redemption of the Securities, the proceeds of realisation of the security may be less than the
sums due to the Securityholders and the Counterparty. Securityholders are exposed to the market value risk
of the Charged Assets and the cost of terminating all or part of the Interest Rate Swap and/or the Credit
Default Swap (as applicable) and hence might not receive the entire principal amount which they paid for the
Securities.
Current Market Conditions
The current liquidity shortage and volatility in the credit markets has introduced a variety of increased risks,
which may include the inability of the Issuer to sell its assets which, among other things, may render it
unable to dispose of underperforming or defaulted assets and satisfy its obligations in respect of the
redemption of the Securities.
Limited Recourse and Subordinated Priority
Subject to certain conditions (as further described herein), the Counterparty will have a security interest
ranking in priority to that of the Securityholders. Claims against the Issuer by the Securityholders of the
Series and by the Counterparty will be limited to the security relating to such Series. The Counterparty will
be paid before the Securityholders from the net proceeds of any enforcement or realisation of the collateral
and any claims of the Securityholders remaining after the realisation of the security and application of the
proceeds shall be extinguished.
Conflicts of Interest
Each of the Counterparty, Calculation Agent and any of its affiliates is acting or may act in a number of
capacities in connection with the Securities. The Counterparty, Calculation Agent and any of its affiliates
acting in such capacities in connection with the Securities shall have only the duties and responsibilities
expressly agreed to by it in the relevant capacity and shall not, by virtue of its or any other affiliates acting in
any other capacity, be deemed to have other duties or responsibilities or be deemed to hold a standard of care
other than as expressly provided with respect to each such capacity.
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