SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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that such consent may not be unreasonably withheld or delayed. Any requirement that notification of novation, assignment or transfer of a Deliverable Obligation be provided to a trustee, fiscal agent, administrative agent, clearing agent or paying agent for a Deliverable Obligation shall not be considered to be a requirement for consent for purposes of this definition of "Conditionally Transferable Obligation". For purposes of determining whether a Deliverable Obligation satisfies the requirements of the definition of Conditionally Transferable Obligation, such determination shall be made as of the Delivery Date for the Deliverable Obligation, taking into account only the terms of the Deliverable Obligation and any related transfer or consent documents which have been obtained by the Counterparty. In the event that a Conditionally Transferable Obligation is a Qualifying Policy, the Insured Instrument must meet the requirements of this definition, and if the benefit of the Qualifying Policy is not transferred as part of any transfer of the Insured Instrument, the Qualifying Policy must be transferable at least to the same extent as the Insured Instrument. References in this definition to the guarantor and guaranteeing shall be deemed to include the insurer and insuring, respectively. "Conditions to Settlement" shall be deemed to be satisfied by the occurrence of an Event Determination Date to the extent that such Event Determination Date is not subsequently reversed prior to the Auction Final Price Determination Date, a Valuation Date, the Physical Settlement Date (or, if earlier, a Delivery Date), or the Scheduled Maturity Date, as applicable, unless the Securities are Physically Settled CLS (or where Physical Settlement is the Fallback Settlement Method and Condition CL6(II)(d) applies)), in which case all of the Conditions to Settlement shall be deemed to be satisfied by the delivery of a Notice of Physical Settlement that is effective on or following the occurrence of an Event Determination Date in accordance with Condition CL3(e) (Notices). "Consent Required Loan" means a Loan that is capable of being assigned or novated with the consent of the relevant Reference Entity or the guarantor, if any, of such Loan (or the consent of the relevant borrower if a Reference Entity is guaranteeing such Loan) or any agent, and, if specified as applicable to a Deliverable Obligation Category, the Consent Required Loan Deliverable Obligation Characteristic shall be applicable only in respect of obligations within the Deliverable Obligation Category that are Loans. "Convened DC" has the meaning given to that term in the Rules. "Convertible Obligation" means any obligation that is convertible, in whole or in part, into Equity Securities solely at the option of holders of such obligation or a trustee or similar agent acting for the benefit only of holders of such obligation (or the cash equivalent thereof, whether the cash settlement option is that of the issuer or of (or for the benefit of) the holders of such obligation). "Counterparty Final IRS Amount" has the meaning given to it in Condition CL4(a)(ii)(A) (Interest). "Credit Default Swap" means the relevant credit default swap transaction(s) in respect of the relevant Securities. 65
"Credit Derivatives Auction Settlement Terms" means the Credit Derivatives Auction Settlement Terms published by ISDA, in accordance with the Rules, with respect to the relevant Reference Entity (which may be amended in accordance with the Rules from time to time), and in relation to which (i) an Event Determination Date has occurred with respect to the relevant Reference Entity on or prior to the Business Day immediately preceding the Auction Final Price Determination Date, and (ii) the Calculation Agent determines acting in a commercially reasonable manner that the provisions for establishing what obligations may constitute Deliverable Obligations are substantially the same as the provisions in the relevant Credit Default Swap (such conditions (i) and (ii) constituting the "Auction Conditions"). The Calculation Agent may, at any time in its sole and absolute discretion, amend the Deliverable Obligation Category and Deliverable Obligation Characteristics to correspond with the most recently published Credit Derivatives Physical Settlement Matrix version. "Credit Derivatives Definitions" means the 2003 ISDA Credit Derivatives Definitions as supplemented by (i) the May 2003 Supplement to the 2003 ISDA Credit Derivatives Definitions, (ii) the Additional Provisions for LPN Reference Entities (published on 3 October, 2006) (the Additional LPN Provisions) and (iii) the 2009 ISDA Credit Derivatives Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives Definitions, each as published by ISDA. "Credit Derivatives Determinations Committees" means the committees established by ISDA for purposes of reaching certain DC Resolutions in connection with Credit Derivative Transactions, as more fully described in the Credit Derivatives Determinations Committees Rules set forth in Annex A to the 2009 ISDA Credit Derivatives Determinations Committees and Auction Settlement Supplement to the 2003 ISDA Credit Derivatives Definitions (published on March 12, 2009), as amended from time to time in accordance with the terms thereof (the "Rules"). "Credit Event" means one or more of Bankruptcy, Failure to Pay, Obligation Acceleration, Repudiation/Moratorium (1999 version) or Repudiation/Moratorium (2003 version) or Restructuring as specified in the Issue Terms. If an occurrence would otherwise constitute a Credit Event, such occurrence will constitute a Credit Event whether or not such occurrence arises directly or indirectly from, or is subject to a defence based upon: (i) any lack or alleged lack of authority or capacity of a Reference Entity to enter into any Obligation or, as applicable an Underlying Obligor (which, for the purposes of this definition, includes the Insured Obligor) to enter into any Underlying Obligation (which, for the purposes of this definition, shall include Insured Instruments), (ii) any actual or alleged unenforceability, illegality, impossibility or invalidity with respect to any Obligation or, as applicable, any Underlying Obligation, however described, (iii) any applicable law, order, regulation, decree or notice, however described, or the promulgation of, or any change in, the interpretation by any court, tribunal, regulatory authority or similar administrative or judicial body with competent or apparent jurisdiction of any applicable law, order, regulation, decree or notice, however described, or (iv) the imposition of, or any change in, any exchange controls, capital restrictions or any other similar restrictions imposed by any monetary or other authority, however described. "Credit Event Backstop Date" means (a) for purposes of any DC Resolution by the relevant Credit Derivatives Determinations Committee as to whether an event that constitutes a Credit Event (or with respect to Repudiation/Moratorium, the event described in sub-paragraph (ii) of the definition of Repudiation/Moratorium (2003 Version) has occurred with respect to the relevant Reference Entity or Obligation thereof, the date that is 60 calendar days prior to the Credit Event Resolution Request Date or (b) otherwise, the date that is 60 calendar days prior to the earlier of (i) the first date 66
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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
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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 and 64: (b) in the case of a Reference Enti
Page 65: where, RO1 means the Portfolio Fina
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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