SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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ANNEX 2 CREDIT-LINKED SECURITIES DEFINITIONS MODULE (SERIES 220 - JUNE 2009 EDITION) 1. DEFINITIONS The following capitalised terms used in the Conditions and the Trust Instrument in respect of a Series of Credit-Linked Securities into which this Credit-Linked Securities Definitions Module is incorporated shall have the meanings set out below, except where the context otherwise requires or as may be modified and/or supplemented by the Issue Terms and/or Trust Instrument in respect of such Securities: "2002 ISDA Master Agreement" means the 2002 ISDA Master Agreement, as published by ISDA. "2005 Monoline Provisions" means the "Additional Provisions for Physically Settled Default Swaps – Monoline Insurer as Reference Entity" published on 21st January, 2005 by ISDA. "Accelerated or Matured" means an obligation under which the total amount owed, whether at maturity, by reason of acceleration, upon termination or otherwise (other than amounts in respect of default interest, indemnities, tax gross-ups and other similar amounts), is, or on or prior to the Delivery Date will be, due and payable in full in accordance with the terms of such obligation, or would have been but for, and without regard to, any limitation imposed under any applicable insolvency laws. "Accreted Amount" means, with respect to an Accreting Obligation, an amount equal to (A) the sum of (i) the original issue price of such obligation and (ii) the portion of the amount payable at maturity that has accreted in accordance with the terms of the obligation (or as otherwise described below), less (B) any cash payments made by the obligor thereunder that, under the terms of such obligation, reduce the amount payable at maturity (unless such cash payments have been accounted for in clause (A)(ii) above), in each case calculated as of the earlier of (x) the date on which any event occurs that has the effect of fixing the amount of a claim in respect of principal and (y) the Delivery Date or applicable Valuation Date, as the case may be. Such Accreted Amount shall include any accrued and unpaid periodic cash interest payments (as determined by the Calculation Agent) only if "Include Accrued Interest" is specified as being applicable in the relevant Issue Terms. If an Accreting Obligation is expressed to accrete pursuant to a straight-line method or if such Obligation’s yield to maturity is not specified in, nor implied from, the terms of such Obligation, then, for the purposes of (A)(ii) above, the Accreted Amount shall be calculated using a rate equal to the yield to maturity of such Obligation. Such yield shall be determined on a semiannual bond equivalent basis using the original issue price of such obligation and the amount payable at the scheduled maturity of such obligation, and shall be determined as of the earlier of (x) the date on which any event occurs that has the effect of fixing the amount of a claim in respect of principal and (y) the Delivery Date or applicable Valuation Date, as the case may be. The Accreted Amount shall exclude, in the case of an Exchangeable Obligation, any amount that may be payable under the terms of such obligation in respect of the value of the Equity Securities into which such obligation is exchangeable. "Accreting Obligation" means any obligation (including, without limitation, a Convertible Obligation or an Exchangeable Obligation), the terms of which expressly provide for an amount 59
payable upon acceleration equal to the original issue price (whether or not equal to the face amount thereof) plus an additional amount or amounts (on account of original issue discount or other accruals of interest or principal not payable on a periodic basis) that will or may accrete, whether or not (i) payment of such additional amounts is subject to a contingency or determined by reference to a formula or index, or (ii) periodic cash interest is also payable. "Accrued Fixed Amount" means, for the purposes of a Series of Securities, an amount, expressed in the Currency of Issue, equal to the amount which would have been payable by the Counterparty to the Issuer under the credit derivative transaction described in Section A of the Charged Agreement (based on the fixed rate, day count fraction and calculation amount as set out therein) in respect of the period from (and including) the Interest Payment Date immediately preceding the Event Determination Date (or, in the case of the first Interest Period, the Interest Commencement Date) to (but excluding) the Event Determination Date (as may be converted at the relevant spot rate, if necessary). "Adjustment Rounding Amount" means an amount (if any) equal to the difference between the absolute value of the Early Redemption Adjustment and the liquidation value of such whole number of Deliverable Obligations as are not required to be Delivered by the Counterparty pursuant to the definition of "Portfolio". "Affiliate" has the meaning ascribed to it in the 2002 ISDA Master Agreement. "Alternative Cash Settlement Amount" has the meaning given to it in Condition CL7(b) (Physical Settlement). "Alternative Cash Settlement Date" has the meaning given to it in Condition CL7(b) (Physical Settlement). "Assignable Loan" means a Loan that is capable of being assigned or novated to, at a minimum, commercial banks or financial institutions (irrespective of their jurisdiction of organisation) that are not then a lender or a member of the relevant lending syndicate, without the consent of the relevant Reference Entity or the guarantor, if any, of such Loan (or the consent of the applicable borrower if a Reference Entity is guaranteeing such Loan) or any agent, and, if specified as applicable to a Deliverable Obligation Category, the Assignable Loan Deliverable Obligation Characteristic shall be applicable only in respect of obligations within that Deliverable Obligation Category that are Loans. "Auction" has the meaning set forth in the relevant Credit Derivatives Auction Settlement Terms. "Auction Cancellation Date" means the date on which an Auction is deemed to be cancelled pursuant to the Credit Derivatives Auction Settlement Terms with respect to the relevant Reference Entity. "Auction Final Price" means the price, if any, determined to be the Auction Final Price pursuant to Section 12 of the Credit Derivatives Auction Settlement Terms with respect to the relevant Reference Entity (expressed as a percentage). "Auction Final Price Determination Date" means the day, if any, on which the Auction Final Price is determined pursuant to the Credit Derivatives Auction Settlement Terms with respect to the relevant Reference Entity. 60
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SUPPLEMENTAL INFORMATION MEMORANDUM
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Securities bear interest in EUR on
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GENERAL This Supplemental Informati
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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
Page 55 and 56: (x) (y) the aggregate Outstanding P
Page 57 and 58: principal amount equal to the Exerc
Page 59: If, following the determination of
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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