SUPPLEMENTAL INFORMATION MEMORANDUM XENON ...

may, at its discretion, choose to retain any one or more of the Deliverable
Obligations in the Portfolio.
If the Securities are partially redeemed, the relevant Security or, if the
Securities are represented by a Global Security, such Global Security, shall be
endorsed to reflect such partial redemption.
(b)
If the Issuer and/or the Counterparty is/are unable to Deliver any portion of the
Portfolio on or prior to the Initial Physical Settlement Date due to a Potential
Cash Settlement Event, rendering it impossible or unlawful for the Issuer or the
Counterparty to Deliver or for the Issuer or for the Securityholder to take
Delivery of any portion of the Portfolio on the Physical Settlement Date, then
on such date the Issuer shall:
(i)
(ii)
Deliver or procure the Counterparty to Deliver that portion of the
Portfolio that is capable of Delivery and the Issuer shall continue to
endeavour to Deliver or procure the Counterparty to Deliver any
Deliverable Obligation which is the subject of the Potential Cash
Settlement Event (each an "Undeliverable Obligation"); and
if any Undeliverable Obligations (subject to the following subparagraph)
have not been delivered within 30 calendar days, such date
being the "Final Delivery Date", following the Physical Settlement
Date, then alternative cash settlement shall apply to such Undeliverable
Obligations based on the Final Price (as calculated in accordance with
"Highest" unless fewer than 2 Full Quotations are obtained or Weighted
Average Quotation applies in which case, Market will apply) of such
Undeliverable Obligations as determined by the Calculation Agent by
reference to Dealers' Full Quotations 2 Business Days after the Final
Delivery Date (the "Final Valuation Date").
If any Undeliverable Obligations are comprised of Loans that due to the nonreceipt
of any requisite consents are not capable on the Physical Settlement
Date of being assigned or novated, and such consents have not been obtained or
deemed given by the date falling 15 Business Days after the Physical
Settlement Date (the "Undeliverable Loan Date"), then for the purpose of
effecting alternative cash settlement in respect of such Undeliverable
Obligations the Calculation Agent shall (to the extent reasonably practicable)
determine a Final Price for such Undeliverable Obligations 2 Business Days
after the Undeliverable Loan Date (the "Undeliverable Loan Valuation
Date").
The Calculation Agent shall determine the "Alternative Cash Settlement
Amount" as an amount equal to the aggregate of all calculations of (a) Final
Price of Undeliverable Obligations, in accordance with the 2 immediately
preceding paragraphs, multiplied by (b) the relevant Outstanding Principal
Balance, Due and Payable Amount or Currency Amount, as applicable of the
relevant Undeliverable Obligation.
The Issuer shall pay the Securityholders an amount equal to the Alternative
Cash Settlement Amount to be apportioned pro rata amongst the
Securityholders on the date being 6 Business Days (unless otherwise specified
in the Issue Terms) after the calculation of the latest Final Price (the
"Alternative Cash Settlement Date").
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