SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

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the terms thereof and the Qualifying Policy continues to guarantee or insure, as applicable, the Instrument Payments that would have been required to be made absent any such limitation or reduction. "Not Derivative Obligation" means any obligation that does not arise under an ISDA master agreement. "Not Domestic Currency" means any obligation that is payable in any currency other than the Domestic Currency. "Not Domestic Issuance" means any obligation other than an obligation that was, at the time the relevant obligation was issued (or reissued, as the case may be) or incurred, intended to be offered for sale primarily in the domestic market of the relevant Reference Entity. Any obligation that is registered or qualified for sale outside the domestic market of the relevant Reference Entity (regardless of whether such obligation is also registered or qualified for sale within the domestic market of the relevant Reference Entity) shall be deemed not to be intended for sale primarily in the domestic market of the Reference Entity. "Not Domestic Law" means any obligation that is not governed by the laws of (A) the relevant Reference Entity, if such Reference Entity is a Sovereign, or (B) the jurisdiction of organisation of the relevant Reference Entity, if such Reference Entity is not a Sovereign. "Not Sovereign Lender" means any obligation that is not primarily owed to a Sovereign or Supranational Organisation, including, without limitation, obligations generally referred to as "Paris Club debt". "Not Structured Note" means any obligation that is not a credit linked security, an equity linked security, capital protected security or asset backed security (each a "Structured Note") provided that an obligation shall not be a Structured Note if it is Dividend Linked. The Not Structured Note Deliverable Obligation Characteristic shall be applicable only in respect of obligations within the Deliverable Obligation Category that are Bonds. "Not Subordinated" means an obligation that is not Subordinated to (i) the most senior Reference Obligation in priority of payment or (ii) if no Reference Obligation is specified in the Issue Terms, any unsubordinated Borrowed Money obligation of the Reference Entity; provided that, if any of the events set forth under the definition of "Substitute Reference Obligation" has occurred with respect to all of the Reference Obligations or if, pursuant to the definition of "Successor" a Substitute Reference Obligation will be determined in accordance with the definition of "Substitute Reference Obligation" with respect to the Reference Obligation (each, in each case, a "Prior Reference Obligation") and no Substitute Reference Obligation has been identified for any of the Prior Reference Obligations at the time of the determination of whether an obligation satisfies the "Not Subordinated" Obligation Characteristic or Deliverable Obligation Characteristic, as applicable, "Not Subordinated" shall mean an obligation that would not have been Subordinated to the most senior such Prior Reference Obligation in priority of payment. For purposes of determining whether an obligation satisfies the "Not Subordinated" Obligation Characteristic or Deliverable Obligation Characteristic, the ranking in priority of payment of each Reference Obligation or each Prior Reference Obligation, as applicable, shall be determined as of the date as of which the relevant Reference Obligation or Prior Reference Obligation, as applicable, was issued or incurred and shall not reflect any change to such ranking in priority of payment after such date. 81
"Notice Delivery Period" means the period from and including the Issue Date to and including the date that is 15 Business Days (or such other number of days as may be specified in the Issue Terms) after the Extension Date. "Notice of Physical Settlement" means a notice in accordance with the Charged Agreement from the Counterparty to the Issuer (copied to the Trustee, the Calculation Agent and the Principal Paying Agent) that (i) irrevocably confirms that the Counterparty will settle the credit default swap transaction comprised within the relevant Swap Agreement and require performance in accordance with the physical settlement method and (ii) contains a detailed description of each Deliverable Obligation that the Counterparty will, if Physical Settlement is applicable, Deliver to or to the order of the Issuer provided always that any Delivery of the Portfolio may be subject to reduction to take account of any negative Early Redemption Adjustment. Buyer shall deliver an effective Notice of Physical Settlement on or before the Physical Determination Date. The Counterparty may, from time to time, notify the Issuer (each such notification, a "NOPS Amendment Notice") that the Counterparty is replacing, in whole or in part, one or more Deliverable Obligations specified in the Notice of Physical Settlement or a prior NOPS Amendment Notice, as applicable, (to the extent the relevant Deliverable Obligation has not been Delivered as of the date such NOPS Amendment Notice is effective) or the detailed description(s) thereof. A NOPS Amendment Notice shall contain a revised detailed description of each replacement Deliverable Obligation that Counterparty will Deliver to or to the order of the Issuer (each, a "Replacement Deliverable Obligation") Each such NOPS Amendment Notice must be effective on or prior to the Physical Settlement Date (determined without reference to any change resulting from such NOPS Amendment Notice). Notwithstanding the foregoing, the Counterparty may correct any errors or inconsistencies in the detailed description of each Deliverable Obligation contained in the Notice of Physical Settlement or any NOPS Amendment Notice, as applicable, by notice to Issuer prior to the relevant Delivery Date; it being understood that such notice of correction shall not constitute a NOPS Amendment Notice. A Notice of Physical Settlement shall be subject to the requirements regarding notices set out in Conditions CL3 (Notices). "Notice of Publicly Available Information" means an irrevocable notice under the Charged Agreement from the Counterparty to the Issuer (copied to the Trustee, the Calculation Agent and the Principal Paying Agent) that cites Publicly Available Information confirming the occurrence of the Credit Event or Potential Repudiation/Moratorium, as applicable, described in the Credit Event Notice or Repudiation/Moratorium Extension Notice. In relation to a Repudiation/Moratorium (2003 version) Credit Event, the Notice of Publicly Available Information must cite Publicly Available Information confirming the occurrence of both clauses (i) and (ii) of the definition of Repudiation/Moratorium (2003 version). The notice must contain a copy, or a description in reasonable detail, of the relevant Publicly Available Information. If Notice of Publicly Available Information is specified as applicable in the Issue Terms and a Credit Event Notice or Repudiation/Moratorium Extension Notice, as applicable, contains Publicly Available Information, such Credit Event Notice or Repudiation/Moratorium Extension Notice will also be deemed to be a Notice of Publicly Available Information. A Notice of Publicly Available Information shall be subject to the requirements regarding notices set out in Condition CL3 (Notices). 82
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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 ....
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the beneficiary (whether it is acqu
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No Obligations Owing by the Calcula
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paid. There is a risk therefore tha
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Commingling of Charged Assets Prosp
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Extension of the Maturity Date The
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Terms of Series 220 EUR5,000,000 Li
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15 (Notices). Notwithstanding Condi
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Multiple Holder Obligation: a) Not
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Deliverable Obligation Category (se
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Date. (p) Trade Date: 2 nd June, 20
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(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 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: each other and (ii) with respect to
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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