Additional Shotgun Shells/Grenade Rounds
You can obtain an extra set of Shotgun Shells/Grenade Rounds (depending on whether you're playing as Leon or Claire, respectively) in the Sewage Disposal Facility when you take control of Ada/Sherry for the first time, during the search for the Club Key. This ammunition can be reached in all four scenarios.
When you take control of Ada/Sherry, head towards the door at the far end of the corridor. You'll now be outside, with two paths to choose from. One will lead to the Club Key, and the other to the ammunition. Go down the path that leads to an elevator (even though the location of the Club Key can change depending on character and scenario, the ammunition will always be in the same place) and ride down the elevator. You will be in a small storage room where the ammunition will be lying. Grab it, because you can never return to this area.
When you have retrieved the Club Key, you obviously head back to where Leon/Claire is waiting. Ada/Sherry will then proceed to throw the ammunition over as well as the Club Key.
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