INDEX OF DEFINED TERMS - Banca di Legnano

Level: 2 – From: 2 – Wednesday, July 21, 2010 – 11:55 – eprint6 – 4247 Section 02
have any voting rights in the underlying shares or any other assets which may comprise the components of
the relevant Index. Accordingly, holders of Notes that reference Indices as Underlying Assets may receive
a lower payment upon redemption of such Notes than such investor would have received if he or she had
invested in the components of the Index directly or other comparable instruments linked to the Index.
A change in the composition or discontinuance of an Index could adversely affect the market
value of the Notes. The sponsor of any Index can add, delete, or substitute the components of such Index
or make other methodological changes that could change the level of one or more components. The
changing of components of any Index may affect the level of such Index as a newly added component may
perform significantly worse or better than the component it replaces, which in turn may affect the
payments made by the Issuer to the Noteholders of the Index Linked Notes. The sponsor of any such Index
may also alter, discontinue or suspend calculation or dissemination of such Index. The sponsor of an Index
will have no involvement in the offer and sale of the Index Linked Notes and will have no obligation to
any Noteholder. Accordingly, the sponsor of an Index may take any actions in respect of such Index
without regard to the interests of a Noteholder, and any of these actions could adversely affect the market
value of the Index Linked Notes.
Exposure to Index Modification, Index Cancellation, Index Disruption, and correction of Index
levels. The Calculation Agent has broad discretion to make certain determinations and adjustments, to
replace the original Underlying Asset with another and/or to cause early redemption of the Notes, any of
which may be adverse to Noteholders in connection with Index Modification, Index Cancellation, and
Index Disruption. The Calculation Agent may determine that the consequence of any such event is to make
adjustments to the Notes, or to replace such Index with another or to cause early redemption of the Notes.
The Calculation Agent may (subject to the terms and conditions of the relevant Notes) also amend the
relevant Index level due to corrections in the level reported by the Index Sponsor. The consequences of
such amendments could adversely affect the market value of the Index Linked Notes.
There are additional risks in relation to “Proprietary Indices” or “Strategies”. See “There may be
conflicts of interest between the Issuer, its Affiliates, and the Noteholders” above.
There are additional risks in relation to Commodity Indices. See “Additional risks in relation to
the “rolling” of commodity futures contracts (including commodity futures contracts which are
Components of a Commodity Index)” below.
Share Linked Notes
Risk Factors
No issuer of the relevant Share(s) will have participated in the preparation of the applicable
Final Terms or in establishing the terms of the Share Linked Notes. No issuer of the relevant Share(s)
will have participated in the preparation of the applicable Final Terms or in establishing the terms of the
Share Linked Notes and neither the Issuer nor any Dealer will make any investigation or enquiry in
connection with such offering with respect to any information concerning any such issuer of Shares
contained in such Final Terms or in the documents from which such information was extracted. The Issuer
does not control any issuer of the relevant Share(s) and is not responsible for any disclosure made by any
issuer of the relevant Share(s). Consequently, there can be no assurance that all events occurring prior to
the relevant issue date (including events that would affect the adequacy, accuracy or completeness of the
publicly available information described in this paragraph or in any applicable Final Terms) that would
affect the trading price of the relevant Share(s) will have been publicly disclosed. Subsequent disclosure of
any such events or the disclosure of or failure to disclose material future events concerning such an issuer
of relevant Share(s) could affect the trading price of the Share(s) and therefore the trading price of the
Notes.
26