Prospectus Supplement for Index Linked Notes
"Initial Valuation Date" will be a date specified in the applicable pricing supplement, provided that if the
Initial Valuation Date is not an Exchange Business Day, the Initial Valuation Date will be the first
succeeding day that is an Exchange Business Day.
"Issue Date" will be a date, as specified in the applicable pricing supplement as the date on which the Notes
are to be issued.
"Related Exchange" means, in respect of an Index, any exchange, trading system or market quotation
system on which futures, options or other similar instruments related to the Index are listed or traded from
time to time.
"Scheduled Closing Time" means, in respect of an Exchange or Related Exchange and an Exchange
Business Day, the scheduled weekday closing time of such Exchange or Related Exchange on such
Exchange Business Day, without regard to after hours or any other trading outside of the regular trading
session hours.
"Target Index" means the index which an AR Index aims to track, subject to reduction by the Adjusted
Return Factor, or as may otherwise be described in the applicable pricing supplement for the Notes.
"Valuation Date" means, as applicable, the Initial Valuation Date or the Final Valuation Date or such other
date, or dates, including without limitation, any valuation dates relating to an automatic call feature of the
Notes in favour of the Bank or any valuation dates related to any payments that may be payable on the
Notes during the term of the Notes, as specified in the applicable pricing supplement as a valuation date.
Index Adjustments
If, during the term of the Notes, an Index: (i) ceases to be calculated and announced by the Index Sponsor
but is calculated and announced by a successor sponsor acceptable to the Calculation Agent, or (ii) is
replaced by a successor index (the "Successor Index") using, in the determination of the Calculation Agent,
the same or a substantially similar formula for and method of calculation as used in the calculation of the
Index, then in each case such Successor Index will be deemed to be the Index and such successor sponsor
will be deemed to be the Index Sponsor.
If the Calculation Agent determines that any one of the following occurs in respect of an Index during the
term of the Notes (each a "Material Index Change"):
(a)
on the Issue Date, any Valuation Date, or on any Exchange Business Day during the term of the
Notes, the Index Sponsor fails to calculate or announce the Closing Index Level;
(b) the Index Sponsor announces that it will make a material change to the formula for calculating
the Index or in any other way materially modifies the Index (other than a modification
prescribed in that formula or method to maintain the Index in the event of changes in the
underlying interests and capitalization or other routine events) or permanently cancels the
Index and no Successor Index exists; or
(c) the Bank determines, in its sole discretion, that it has ceased to have any necessary licence or
right to utilize the Index in connection with the Notes;
then the Calculation Agent may, as applicable, (A) calculate the Index Return using, in lieu of a published
value for the Closing Index Level, the value or level for the Closing Index Level as at the relevant date as
determined by the Calculation Agent in accordance with the formula for and method of calculating the
Index last in effect prior to the change, failure or cancellation, but using only the underlying interests that
comprised the Index immediately prior to that Material Index Change or Market Disruption Event, or (B)
make such adjustments to the formula for calculating the Index Return as the Calculation Agent reasonably
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