INDEX OF DEFINED TERMS - Banca di Legnano

Level: 2 – From: 2 – Wednesday, July 21, 2010 – 11:55 – eprint6 – 4247 Section 02
to move in the same direction, or correlate, as a result of changes in market conditions, such as a change in
interest rates. Correlation of basket components indicates the level of interdependence among the
individual basket components with respect to their performance. If, for example, all of the basket
components originate from the same sector and the same country, a high positive correlation may generally
be assumed. Past rates of correlation may not be determinative of future rates of correlation, but investors
should be aware that, though basket components may not appear to be correlated based on past
performance, it may be that they suffer the same adverse performance following a general downturn or
other economic or political event. Where the basket components are subject to high correlation, any move
in the performance of the basket components will exaggerate the performance of the Notes.
The negative performance of a single basket component may outweigh a positive performance of
one or more other basket components. Investors in Notes must be aware that even in the case of a positive
performance of one or more basket components, the performance of the basket as a whole may be negative
if the performance of the other basket components is negative to a greater extent, subject to the terms and
conditions of the relevant Notes.
A small basket, or an unequally weighted basket, will generally leave the basket more vulnerable
to changes in the value of any particular Underlying Asset. The performance of a basket that includes a
smaller number of Underlying Assets will generally, subject to the terms and conditions of the relevant
Notes, be more affected by changes in the value of any particular Underlying Asset included therein than a
basket that includes a greater number of Underlying Assets.
The performance of a basket that gives greater weight to some Underlying Assets will generally,
subject to the terms and conditions of the relevant Notes, be more affected by changes in the value of any
such particular Underlying Asset included therein than a basket that gives relatively equal weight to each
Underlying Asset.
A change in composition of a basket may have an adverse effect on basket performance. Where
the Notes grant the Calculation Agent the right, in certain circumstances, to adjust the composition of the
basket, investors should be aware that any replacement basket component may perform differently from
the original basket component, which may have an adverse effect on the performance of the basket which
will in turn have an adverse effect on the value of the Notes.
Risks relating to Notes linked to certain Underlying Asset(s)
Index Linked Notes
Risk Factors
Factors affecting the performance of Indices may adversely affect the value of the Notes. Indices
are comprised of a synthetic portfolio of shares, bonds, currency exchange rates, commodities, property, or
other assets, and as such, the performance of an Index is dependent upon the performance of components
of such Index, which may include interest rates, currency developments, political factors, market factors
such as the general trends in capital markets or broad based indices, and (in the case of shares) companyspecific
factors such as earnings position, market position, risk situation, shareholder structure, and
distribution policy. If an Index does not perform as expected, this will materially and adversely affect the
value of Index Linked Notes.
Returns on the Notes do not reflect a direct investment in underlying shares or other assets
comprising the Index. The return payable on Notes that reference Indices may not reflect the return a
potential investor would realize if it actually owned the relevant assets comprising the components of the
Index or owned a different form of interest in the relevant Index. For example, if the components of the
Indices are shares, Noteholders will not receive any dividends paid or distributions made on those shares
and will not participate in the return on those dividends or distributions unless the relevant Index takes
such dividends into account for purposes of calculating the relevant level. Similarly, Noteholders will not
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