SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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"Cash Redemption Amount" means, as specified in the Issue Terms: (a) an amount equal to a specified percentage of the aggregate Outstanding Principal Amount of the Securities; or (b) an amount in the Currency of Issue equal to "CRA" as determined by the Calculation Agent in accordance with the formula below on the Valuation Date: ( CN ´ CP) - ( RA ´ ( 100% - MD) ) SS CRA = + Where: CN means an outstanding principal amount of the Charged Assets equal to the Credit Event Portion. CP means the Price of the Charged Assets (expressed as a percentage). RA means the Reference Amount in respect of the relevant Reference Entity. MD means (i) if Auction Settlement is specified as "Not Applicable" in the Issue Terms (or is deemed to be so specified pursuant to Condition CL6(II)(d)), the Final Price of the Reference Obligation and (ii) if Auction Settlement is specified as "Applicable" in the Issue Terms, the Auction Final Price. SS means the Swap Settlement Amount. Provided that: (i) (ii) CRA shall be subject to (A) a minimum of zero and (B) a maximum equal to the Credit Event Portion of the Securities and an amount equal to the interest that would have accrued from the Interest Payment Date immediately preceding the Event Determination Date to (and including) the Event Determination Date. If the currency of the Charged Assets and/or the Reference Amount and/or the Swap Settlement Amount are not the Currency of Issue, the Calculation Agent shall convert such amounts into the Currency of Issue on or around the Valuation Date for the purposes of determining the formula above. Such currency conversion shall be in the manner, mutatis mutandis, as set out in the definition of "Currency Rate" or as otherwise specified in the Issue Terms. "Cash Settled CLS" means any Credit-Linked Security which is redeemed by cash settlement upon the satisfaction of Conditions to Settlement. "Cash Settlement Amount" means an amount (converted into the Settlement Currency in a commercially reasonable manner) calculated in accordance with the formula below using the Bid quotations and Highest method as set out in the Swap Agreement (with respect to each Reference Obligation specified by the Counterparty on a Valuation Date): ( 100% - RO¹ ) ROOP Cash Settlement Amount = ´ 63
where, RO1 means the Portfolio Final Price of the relevant Reference Obligation, expressed as a percentage; ROOP means the Outstanding Principal Balance (or its equivalent in the Settlement Currency) of the relevant type or issue of Reference Obligations in the Reference Obligations Portfolio; and Portfolio Final Price shall not exceed 100 per cent. For the avoidance of doubt, in respect of each Reference Entity, the amounts referred to above shall be determined with respect to each type or issue of Reference Obligations in the Reference Obligations Portfolio and the Cash Settlement Amount shall be equal to the aggregate of the amounts so determined and for each Reference Entity, the Cash Settlement Amount may not exceed the Floating Rate Payer Calculation Amount in respect of such Reference Entity. "Cash Settlement Date" means the date on which the Securityholders of a Cash Settled CLS are to be paid following the satisfaction of Conditions to Settlement. This date may be expressed in the Issue Terms as being a specified number of days after the date on which the Final Price of the Reference Obligation or, in the case of a Portfolio CLS, the Portfolio Final Price of each Reference Obligation in the Reference Obligations Portfolio in respect of the relevant Reference Entity, is determined. "Certificate Balance" means, in the case of an Insured Instrument that is in the form of a passthrough certificate or similar funded beneficial interest, the unit principal balance, certificate balance or similar measure of unreimbursed principal investment. "Charged Asset Market Value" means, with respect to Charged Assets, the highest Charged Asset Quotation obtained by the Calculation Agent from a Dealer. The Calculation Agent shall attempt to obtain Charged Asset Quotations from at least 3 Dealers (one of who may be the Counterparty) with respect to each Event Determination Date. If no Charged Asset Quotation is obtained, the Charged Asset Market Value shall be an amount as determined by the Calculation Agent in good faith and in a commercially reasonable manner. "Charged Asset Quotation" means, in respect of Charged Assets in a principal amount equal to the relevant Credit Event Portion of the Securities, each firm quotation (being a bid quotation) (and, for the avoidance of doubt, including accrued interest thereon) obtained by the Calculation Agent from a Dealer and expressed as a percentage, with respect to an Event Determination Date. For the avoidance of doubt the Calculation Agent may (with the agreement of the Selling Agent) obtain quotations for the Charged Assets in one single tranche or in smaller tranches as it considers appropriate. "Conditionally Transferable Obligation" means a Deliverable Obligation that is either Transferable, in the case of Bonds, or capable of being assigned or novated to all Modified Eligible Transferees without the consent of any person being required, in the case of any Deliverable Obligation other than Bonds, provided, however, that a Deliverable Obligation other than Bonds will be a Conditionally Transferable Obligation notwithstanding that consent of the Reference Entity or the guarantor, if any, of a Deliverable Obligation other than Bonds (or the consent of the relevant obligor if a Reference Entity is guaranteeing such Deliverable Obligation) or any agent is required for such novation, assignment or transfer so long as the terms of such Deliverable Obligation provide 64
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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 ....
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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 and 60: If, following the determination of
Page 61 and 62: payable upon acceleration equal to
Page 63: (b) in the case of a Reference Enti
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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