SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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(c) In the case of a Portfolio CLS, Condition 7(b)(iv) (Determination of Rate of Interest and Interest Amounts) shall be deemed to be deleted and the following provision shall be deemed to be inserted: "The Agent Bank will, on or as soon as practicable after each time at which the Rate of Interest is to be determined, but in any event no later than the second Business Day thereafter, determine and notify the Issuer, the Trustee, the Counterparty and the Principal Paying Agent of the Rate of Interest for the relevant Interest Period. The Agent Bank will determine the amounts payable (the "Interest Amount") pertaining to an Interest Period on the last day of such Interest Period. The Interest Amount in respect of each Security shall be calculated by applying the Rate of Interest to each Specified Denomination, multiplying such sum by the applicable Day Count Fraction, and rounding the resultant figure to the nearest sub-unit of the relevant Currency of Issue, half of any such sub-unit being rounded upwards or otherwise in accordance with applicable market convention. CL5. (a) (b) SALE OF CHARGED ASSETS In the case of Credit-Linked Securities other than a Portfolio CLS, upon the occurrence of an Event Determination Date and provided that the Charged Assets have not been redeemed, the Trustee shall release the security over an aggregate principal amount of Charged Assets equal to the relevant Credit Event Portion and such Charged Assets shall be sold by the Selling Agent (in accordance with the provisions of the Agency Agreement and based on the determination of Charged Asset Quotation and Charged Asset Market Value obtained by the Calculation Agent on or around the Sale Date or in such other manner as may be specified in the Issue Terms) on any date on or prior to the Cash Settlement Date, the Auction Redemption Date or the Physical Settlement Date, as the case may be (such date, the "Sale Date") (and, for the avoidance of doubt, the Counterparty may bid for such Charged Assets). The net sale proceeds (following deduction of all costs and expenses in connection with such sale) shall be paid into the Issuer's Account and shall be applied to meet the Issuer's obligations in respect of the Securities and the Charged Agreements. In the case of a Portfolio CLS, unless otherwise specified in the Issue Terms, the Calculation Agent shall, in the event that the relevant Payable Cash Settlement Amount is greater than zero and provided that the Charged Assets have not been redeemed, determine the Portfolio Charged Asset Market Value and the Required Notional Amount on the Required Notional Amount Determination Date and shall notify the Trustee, the Principal Paying Agent and the Issuer thereof. Upon such determination on the Required Notional Amount Determination Date, the Trustee shall release the security over an amount of Charged Assets equal to the relevant Credit Event Portion and such Charged Assets shall be sold at the Portfolio Charged Asset Market Value by the Selling Agent as soon as reasonably practicable after the Required Notional Amount Determination Date and for settlement no later than the first Business Day (including any day on which securities systems are open for settlement of the Charged Assets) preceding the relevant Cash Settlement Date or Auction Redemption Date, as the case may be. (c) CL6. If there is more than one issue of securities comprising the Charged Assets, the Calculation Agent shall obtain a quotation in respect of each of the securities and will sell the securities with the highest quotation (and thereafter those with the next highest quotation and so on). CASH SETTLEMENT 47
(I) If Auction Settlement is specified as "Not Applicable" in the Issue Terms: (a) (b) Subject to CL11 (ISDA Auction), in the case of a Cash Settled CLS (other than a Portfolio CLS), upon the satisfaction of the Conditions to Settlement during the Notice Delivery Period, the Issuer shall redeem the relevant Credit Event Portion of the Securities on the Cash Settlement Date by payment of the relevant Cash Redemption Amount to the Securityholders, such amount to be apportioned pro rata among the Securityholders, rounding the resultant figure downwards to the nearest sub-unit of the relevant Currency of Issue. In the case of a Portfolio CLS, on each Cash Settlement Date, the Issuer shall redeem each Security in an amount equal to the relevant Credit Event Portion at a redemption price equal to the greater of zero and the relevant Rounding Proceeds, if any, such amount to be apportioned pro rata among the Securityholders, rounding the resultant figure downwards to the nearest sub-unit of the relevant Currency of Issue. The Issuer shall notify the Securityholders (in accordance with Condition 15 (Notices)) on or as soon as reasonably practicable after the Cash Settlement Date of the relevant Sale Notional Amount and the adjusted Outstanding Principal Amount for each Security. For the avoidance of doubt, on the Cash Settlement Date on which the Upper Band is equalled or exceeded, the Issuer shall redeem all the Securities then outstanding at a redemption price equal to the greater of zero and the relevant Rounding Proceeds, if any, such amount to be apportioned pro rata among the Securityholders, rounding the resultant figure downwards to the nearest sub-unit of the relevant Currency of Issue and such Securities so redeemed shall be cancelled. (c) If the Securities are partially redeemed, the relevant Security or, if the Securities are represented by a Global Security, such Global Security, shall be endorsed to reflect such partial redemption. (II) If Auction Settlement is specified as "Applicable" in the Issue Terms: (a) (b) in the case of a Cash Settled CLS or a Physically Settled CLS (other than a Portfolio CLS), if an Auction Final Price Determination Date occurs, the Issuer shall redeem the relevant Credit Event Portion of the Securities on the Auction Redemption Date by payment of the relevant Cash Redemption Amount to the Securityholders, such amount to be apportioned pro rata among the Securityholders, rounding the resultant figure downwards to the nearest sub-unit of the relevant Currency of Issue. In the case of a Portfolio CLS, on each Auction Redemption Date, the Issuer shall redeem each Security in an amount equal to the relevant Credit Event Portion at a redemption price equal to the greater of zero and the relevant Rounding Proceeds, if any, such amount to be apportioned pro rata among the Securityholders, rounding the resultant figure downwards to the nearest sub-unit of the relevant Currency of Issue. The Issuer shall notify the Securityholders (in accordance with Condition 15 (Notices)) on or as soon as reasonably practicable after the Auction Redemption Date of the relevant Sale Notional Amount and the adjusted Outstanding Principal Amount for each Security. 48
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 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: (ii) (A) If an Extension Notice has
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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SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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