INDEX OF DEFINED TERMS - Banca di Legnano

Level: 2 – From: 2 – Wednesday, July 21, 2010 – 11:55 – eprint6 – 4247 Section 02
relevant foreign currency of the underlying share, which cannot be predicted. See “Factors affecting the
performance of the relevant foreign exchange rate may adversely affect the value of the Notes” below.
FX Linked Notes
Factors affecting the performance of the relevant foreign exchange rate may adversely affect the
value of the Notes. The foreign exchange rate(s) to which the Notes are linked will affect the nature and
value of the investment return on the FX Linked Notes (or any other Notes which expose the investor to
foreign exchange risks). The performance of foreign exchange rates is dependent upon the supply and
demand for currencies in the international foreign exchange markets, which are subject to international and
domestic political factors, economic factors (including inflation rates in the countries concerned, interest
rate differences between the respective countries), economic forecasts, currency convertibility and safety of
making financial investments in the currency concerned, speculation and measures taken by governments
and central banks. Measures taken by governments and central banks include, without limitation,
imposition of regulatory controls or taxes, issuance of a new currency to replace an existing currency,
alteration of the exchange rate or exchange characteristics by devaluation or revaluation of a currency, or
imposition of exchange controls with respect to the exchange or transfer of a Specified Currency that
would affect exchange rates and the availability of a Specified Currency which would affect return on FX
Linked Note or ability of the Issuer to make delivery in the Specified Currency.
The Issuer is a major foreign exchange dealer and is subject to conflicts of interest. Investors
should note that the Issuer and its Affiliates (including Merrill Lynch International) are regular participants
in the foreign exchange markets and in the ordinary course of their business may effect transactions for
their own account or for the account of their customers and hold long and short positions in currencies and
related derivatives, including in the currencies of the relevant foreign exchange rate(s). Such transactions
may affect the relevant foreign exchange rate(s), the market price, liquidity or value of the Notes and could
be adverse to the interests of Noteholders. No Affiliate of the Issuer has any duty to enter into such
transactions in a manner which is favorable to Noteholders.
Currencies of emerging markets jurisdictions pose particular risks. FX Linked Notes linked to
emerging market currencies may experience greater volatility and less certainty as to the future levels of
such emerging market currencies or their rate of exchange as against other currencies. See “Risks relating
to Notes which are linked to emerging market Underlying Asset(s)” above.
Commodity Linked Notes
Risk Factors
An investment in Commodity Linked Notes entails significant risks in addition to those associated
with investments in a conventional debt security.
Ownership of the Notes will not entitle an investor to any rights with respect to any futures
contracts or commodities included in or tracked by the Underlying Asset(s). An investor will not own or
have any beneficial or other legal interest in, and will not be entitled to any rights with respect to, any of
the commodities or commodity futures included in such Underlying Asset(s). The Issuer will not invest in
any of the commodities or commodity futures contracts included in such Underlying Asset(s) on behalf or
for the benefit of the Noteholders.
Factors affecting the performance of Commodities may adversely affect the value of the Notes;
Commodity prices may be more volatile than other asset classes. The prices of Commodities may be
volatile and may fluctuate substantially if, for example, natural disasters or catastrophes, such as
hurricanes, fires, or earthquakes, affect the supply or production of such Commodities. Commodity prices
also fluctuate due to general macro-economic forces and general market movements. The price of
Commodities may also fluctuate substantially if conflict or war affects the supply or production of such
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