INDEX OF DEFINED TERMS - Banca di Legnano

Level: 2 – From: 2 – Wednesday, July 21, 2010 – 11:55 – eprint6 – 4247 Section 02
Risk Factors
In addition, unless otherwise specified in the applicable Final Terms, in the case of Underlying
Asset Linked Notes, the Calculation Agent is an Affiliate of the Issuer and in such capacity may make
certain determinations and calculate amounts payable or deliverable to Noteholders. Under certain
circumstances, the Calculation Agent, as an Affiliate of the Issuer, and its responsibilities as calculation
agent for the Notes could give rise to potential conflicts of interest between the Calculation Agent and the
Noteholders.
In addition, a Merrill Lynch proprietary index will generally be developed, owned, calculated and
maintained by a Merrill Lynch Affiliate, which would be responsible for the composition, calculation and
maintenance of such index. In such circumstances, Merrill Lynch, as the index sponsor, would be under no
obligation to take into account the interests of the Noteholders of any Notes referenced by such index. In
such capacity as index sponsor, Merrill Lynch will have the authority to make determinations that could
materially and adversely affect the value of the Note.
A Noteholder may not receive the Entitlement relating to a Physical Delivery Note if it fails to
deliver the required notice and pay Expenses relating to such Physical Delivery Note. In order to receive
the Entitlement in respect of a Physical Delivery Note, the holder of such Note must (i) duly deliver to the
Relevant Clearing System and/or Paying Agents, as specified in the Final Terms, a duly completed Asset
Transfer Notice on or prior to the relevant time on the Cut-Off Date and (ii) pay the relevant Expenses. As
defined in the Terms and Conditions, “Expenses” includes any applicable depositary charges, transaction
or exercise charges, stamp duty, stamp duty reserve tax, issue, registration, securities transfer, and/or other
taxes arising from the redemption of such Notes and/or the delivery of the Entitlement.
Failure by a Noteholder to properly complete and deliver an Asset Transfer Notice or to procure that
its agent does so on its behalf, may result in such notice being treated as null and void. This may result in
a delay in delivery of the Entitlement, or the Issuer being unable to deliver the Entitlement. Failure to pay
the Expenses will have the same consequences to a Noteholder.
In the case of Physical Delivery Notes, settlement may be delayed or made in cash if certain
events arise. In the case of Physical Delivery Notes, if a Settlement Disruption Event occurs or exists on
the Maturity Delivery Date, settlement will be postponed until the next date on which no Settlement
Disruption Event occurs. The Issuer in these circumstances has the right to pay the Disruption Cash
Settlement Price in lieu of delivering the Entitlement. Such a determination may have an adverse effect on
the value of the relevant Notes. In addition, if “Failure to Deliver due to Illiquidity” is specified as
applying in the applicable Final Terms, and in the opinion of the Calculation Agent it is impossible or
impracticable to deliver some or all of the Relevant Assets comprising the Entitlement when due as a result
of illiquidity in the market for the Relevant Assets, the Issuer has the right to pay the Failure to Deliver
Settlement Price in lieu of delivering those Relevant Assets. Any Disruption Cash Settlement Price or
Failure to Deliver Settlement Price may be significantly less than Noteholders expected to receive prior to
such Settlement Disruption Event or Calculation Agent determination.
Noteholders have no claim against any Underlying Asset(s), and the return on an Underlying
Asset Linked Note, if any, may be less than the return on an investment directly in the Underlying
Asset(s). A Note will not represent a claim against any Underlying Asset(s) and, in the event of any loss, a
Noteholder will not have recourse under a Note to any Underlying Asset(s). The investment return on the
Notes, if any, may be less than a comparable investment directly in the Underlying Asset(s), or the
components included in any Underlying Asset(s). In contrast to an investment in the Notes, a direct
investment in the Underlying Asset(s) or the components of the Underlying Asset(s) would allow an
investor to receive the full benefit of any appreciation or depreciation, as the case may be, in the value of
these components.
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