INDEX OF DEFINED TERMS - Banca di Legnano

Level: 2 – From: 2 – Wednesday, July 21, 2010 – 11:55 – eprint6 – 4247 Section 02
As the amounts payable and/or non-cash consideration deliverable in respect of Underlying Asset
Linked Notes are linked to the performance of the relevant Underlying Asset(s), a purchaser of such a
Note must generally be correct about the direction, timing and magnitude of an anticipated change in the
value of the relevant Underlying Asset(s). Assuming all other factors are held constant, the lower the value
of such a Note and the shorter the remaining term to maturity or earlier redemption (if applicable), the
greater the risk that purchasers of such Note will lose all or part of their investment.
Underlying Asset Linked Notes may be principal protected or non-principal protected. Investors in
Underlying Asset Linked Notes that are non-principal protected may risk losing their entire investment if
the value of the relevant Underlying Asset(s) does not move in the anticipated direction. Whether or not a
Note is principal protected, all payments on such Note are subject to the Issuer’s credit risk and its ability
to pay their relevant obligations on the applicable payment dates.
POTENTIAL INVESTORS MUST REVIEW THE APPLICABLE FINAL TERMS TO
ASCERTAIN WHAT THE RELEVANT UNDERLYING ASSET(S) ARE AND TO SEE HOW THE
FINAL REDEMPTION AMOUNT OR THE ENTITLEMENT, AS THE CASE MAY BE, AND ANY
PERIODIC INTEREST PAYMENTS ARE DETERMINED AND WHEN SUCH AMOUNTS OR
ENTITLEMENTS ARE PAYABLE AND/OR DELIVERABLE, AS THE CASE MAY BE, BEFORE
MAKING ANY DECISION TO PURCHASE ANY NOTES.
Risks relating to Notes which are linked to emerging market Underlying Asset(s).
Where the terms and conditions of the Notes reference one or more emerging market Underlying
Asset(s), investors in such Notes should be aware that the political and economic situation in countries
with emerging economies or stock markets may be undergoing significant evolution and rapid
development, and such countries may lack the social, political, and economic stability characteristics of
more developed countries, including a significant risk of currency value fluctuation. Such instability may
result from, among other things, authoritarian governments, or military involvement in political and
economic decision-making, including changes or attempted changes in governments through extraconstitutional
means; popular unrest associated with demands for improved political, economic, or social
conditions; internal insurgencies; hostile relations with neighboring countries; and ethnic, religious, and
racial disaffections or conflict. Certain of such countries may have in the past failed to recognize private
property rights and have at times nationalized or expropriated the assets of private companies. As a result,
the risks from investing in those countries, including the risks of nationalization or expropriation of assets,
may be heightened. In addition, unanticipated political or social developments may affect the values of an
Underlying Asset investment in those countries. The small size and inexperience of the securities markets
in certain countries and the limited volume of trading in securities may make the emerging market
Underlying Asset(s) illiquid and more volatile than investments in more established markets. There may be
little financial or accounting information available with respect to local issuers, and as a result it may be
difficult to assess the value or prospects of the Underlying Asset(s).
Risks associated with baskets comprised of various components as Underlying Assets
Risk Factors
Exposure to performance of basket and its components. Where the Notes are linked to or reference
a basket of assets, the investors in such Notes are exposed to the performance of such basket. The investors
will bear the risk of the performance of each of the basket components. See, as applicable, the risk factors
relating to such components set out in the sections entitled “Index Linked Notes”, “Share Linked Notes”,
“GDR/ADR Linked Notes”, “FX Linked Notes”, “Commodity Linked Notes”, “Fund Linked Notes” and
“Inflation Linked Notes”.
A high correlation of basket components may have a significant effect on amounts payable. Some
Notes are linked to baskets of Underlying Assets where the performance of such Underlying Assets tends
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