INDEX OF DEFINED TERMS - Banca di Legnano

Level: 2 – From: 2 – Wednesday, July 21, 2010 – 12:12 – eprint6 – 4247 Section 06
Additional Terms and Conditions for Index Linked Notes
the value for the relevant security as of the Valuation Time on the Observation Cut-Off Date);
or
(d)
where the Index Linked Notes relate to a Basket of Indices and the applicable Final Terms
provides that “Common Scheduled Trading Days” and “Common Disrupted Days” shall be
applicable, that Observation Date shall be the first succeeding Common Scheduled Trading
Day that is not a Disrupted Day for any Index, unless each of the Common Scheduled
Trading Days immediately following the Scheduled Observation Date up to and including the
Observation Cut-Off Date is a Disrupted Day for one or more Indices. In that case, or if such
Observation Date falls on the Observation Cut-Off Date owing to the original date on which
it was scheduled to fall not being a Common Scheduled Trading Day, (i) the Observation
Cut-Off Date shall be deemed to be that Observation Date (notwithstanding the fact that such
day may be a Disrupted Day for an Index or not a Common Scheduled Trading Day) and (ii)
the Calculation Agent shall determine the relevant level or price using, in relation to each
Index for which the Observation Cut-Off Date is a Disrupted Day or is not a Common
Scheduled Trading Day, the level of that Index determined in the manner set out in the
applicable Final Terms or, if not set out or if not practicable, using the level of that Index as
of the Valuation Time on the Observation Cut-Off Date in accordance with (subject to Index
Linked Condition 4) the formula for and method of calculating that Index last in effect prior
to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of
the Valuation Time on the Observation Cut-Off Date of each security comprised in each
Index for which the Observation Cut-Off Date is a Disrupted Day or is not a Common
Scheduled Trading Day (or, if an event giving rise to a Disrupted Day (as defined in the
Share Linked Conditions in relation to a share) has occurred in respect of the relevant
security on the Observation Cut-Off Date, its good faith estimate of the value for the relevant
security as of the Valuation Time on the Observation Cut-Off Date).
“Observation Period” means, in respect of an Index:
(a)
(b)
if the consequence of “Extension” is specified in the applicable Final Terms to be applicable,
each period commencing on the Observation Period Start Date, following adjustment of such
date pursuant to these Index Linked Conditions or as specified in the applicable Final Terms,
if applicable (and including or excluding such Observation Period Start Date, as specified in
the applicable Final Terms) and ending on the immediately following Observation Period
End Date, following adjustment of such date pursuant to these Index Linked Conditions or as
specified in the applicable Final Terms, if applicable (and including or excluding such
Observation Period End Date, as specified in the applicable Final Terms); or
if the consequence of “No Extension” is specified in the applicable Final Terms to be
applicable, each period commencing on the Observation Period Start Date, prior to any
adjustment of such date pursuant to these Index Linked Conditions or as specified in the
applicable Final Terms, if applicable (and including or excluding such Observation Period
Start Date, as specified in the applicable Final Terms) and ending on the immediately
following Observation Period End Date, prior to any adjustment of such date pursuant to
these Index Linked Conditions or as specified in the applicable Final Terms, if applicable
(and including or excluding such Observation Period End Date, as specified in the applicable
Final Terms).
“Observation Period End Date” means, in respect of an Index, each date specified as such in the
applicable Final Terms, subject to adjustment in accordance with the provisions of “Observation Date”,
“Valuation Date” or otherwise as specified in the applicable Final Terms, if applicable.
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