INDEX OF DEFINED TERMS - Banca di Legnano

Level: 2 – From: 2 – Wednesday, July 21, 2010 – 12:12 – eprint6 – 4247 Section 06
shall be deemed to be the Valuation 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 Valuation 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 Valuation 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 Valuation Cut-Off Date of each security comprised in each Index for which the
Valuation 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 Valuation Cut-Off
Date, its good faith estimate of the value for the relevant security as of the Valuation Time on
the Valuation Cut-Off Date).
“Valuation Time” means:
Additional Terms and Conditions for Index Linked Notes
(a)
(b)
(c)
in respect of any Unitary Index, (i) for the purposes of determining whether an Early Closure,
an Exchange Disruption or a Trading Disruption has occurred in respect of (I) any Exchange,
the Scheduled Closing Time of the Exchange (provided that, if the relevant Exchange closes
prior to its Scheduled Closing Time, then the Valuation Time shall be such actual closing
time), and (II) any options contracts or futures contracts on such Index, the close of trading
on the Related Exchange, and (ii) in all other circumstances, the time at which the official
closing level of the Index is calculated and published by the Index Sponsor;
in respect of any Multi-Exchange Index, (i) for the purposes of determining whether an Early
Closure, an Exchange Disruption or a Trading Disruption has occurred in respect of (I) any
Component Security, the Scheduled Closing Time on the Exchange in respect of such
Component Security (provided that, if the relevant Exchange closes prior to its Scheduled
Closing Time, then the Valuation Time shall be such actual closing time), and (II) any options
contracts or futures contracts on the Index, the close of trading on the Related Exchange, and
(ii) in all other circumstances, the time at which the official closing level of the Index is
calculated and published by the Index Sponsor; and
in respect of any Proprietary Index, the time at which the Index Sponsor calculates and
publishes the official closing level of the Index.
2. Market Disruption
“Market Disruption Event” means:
(a)
in respect of any Unitary Index, the occurrence or existence of (i) a Trading Disruption, (ii)
an Exchange Disruption, which in either case the Calculation Agent determines is material, at
any time during the one hour period that ends at the relevant Valuation Time or (iii) an Early
Closure.
For the purposes of determining whether a Market Disruption Event in respect of a Unitary Index
exists at any time, if a Market Disruption Event occurs in respect of a Component Security included in the
Index at any time, then the relevant percentage contribution of such Component Security to the level of the
Index shall be based on a comparison of (x) the portion of the level of the Index attributable to such
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