SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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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. 3
GENERAL This Supplemental Information Memorandum under which the Series 220 EUR5,000,000 Limited Recourse Secured Floating Rate Credit-Linked Notes due 2010 are described (the Securities) is issued in conjunction with, and incorporates by reference, the Information Memorandum dated 27th June, 2008 (the Information Memorandum) relating to the U.S.$50,000,000,000 Limited Recourse Secured Debt Issuance Programme (the Programme) of Xenon Capital Public Limited Company (the Issuer) and constitutes a prospectus issued in compliance with Directive 2003/71/EC (the Prospectus Directive) and relevant laws of Ireland. It should be read together with the Information Memorandum as one document. To the extent that the Information Memorandum is inconsistent with this Supplemental Information Memorandum, this Supplemental Information Memorandum shall prevail. Terms defined in the Information Memorandum shall, unless the context otherwise requires, bear the same meanings herein. Save as disclosed herein, there has been no significant change and no new matter has arisen since publication of the Information Memorandum. The Issuer accepts responsibility for the information contained in this Supplemental Information Memorandum. To the best of the knowledge and belief of the Issuer (which has taken all reasonable care to ensure that such is the case) the information contained in this Supplemental Information Memorandum is in accordance with the facts and does not omit anything likely to affect the import of such information. The information relating to the Counterparty, the Swap Guarantor, the Initial Charged Assets, the issuer in respect of the Initial Charged Assets and the Reference Entity (as defined herein) has been accurately reproduced from information published by the Counterparty, the Swap Guarantor, the issuer in respect of the Initial Charged Assets and the Reference Entity, as set out below. In each case, such information has been accurately reproduced from such sources and, so far as the Issuer is aware and is able to ascertain from such sources, no facts have been omitted from such sources which would render the reproduced information inaccurate or misleading. Neither the delivery of this Supplemental Information Memorandum nor the offering, sale or delivery of any Securities shall in any circumstance imply that the information contained herein is correct at any time subsequent to the date hereof or that any other information supplied in connection with the Securities is correct as of any time subsequent to the date indicated in the document containing the same. Application has been made to the Irish Stock Exchange for the Securities to be admitted to the Official List and trading on its regulated market. There can be no assurance that any such admission to trading will be obtained. The Supplemental Information Memorandum has been approved by the Irish Financial Services Regulatory Authority (the Financial Regulator) as competent authority under the Prospectus Directive . The Financial Regulator only approves this prospectus as meeting the requirements imposed under Irish and EU law pursuant to the Prospectus Directive. No person is or has been authorised by the Issuer to give any information or to make any representation not contained in or not consistent with this Supplemental Information Memorandum or any other information supplied in connection with the Programme or the Securities and, if given or made, such information or representation must not be relied upon as having been authorised by the Issuer, the Trustee (as defined herein) or the Dealer (as defined herein). This Supplemental Information Memorandum does not constitute, and may not be used for the purposes of, an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not authorised or to any person to whom it is unlawful to make such offer or solicitation, and no action is being taken by the Issuer, the Trustee or the Dealer (save for the approval of this document as a prospectus by the Financial 4
Page 1 and 2: SUPPLEMENTAL INFORMATION MEMORANDUM
Page 3: Securities bear interest in EUR on
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 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
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(x) (y) the aggregate Outstanding P
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principal amount equal to the Exerc
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If, following the determination of
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payable upon acceleration equal to
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(b) in the case of a Reference Enti
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where, RO1 means the Portfolio Fina
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"Credit Derivatives Auction Settlem
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(a) (b) whether an event that const
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Qualifying Policy the Insured Oblig
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"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
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"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
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"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
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"Valuation Date" means the date tha
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a "regulation" includes any regulat
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