ABN
AMRO has filed a registration statement (including a Prospectus and Prospectus
Supplement) with the SEC for the offerings to which this communication relates.
Before you invest, you should read the Prospectus and Prospectus Supplement in
that registration statement and other documents ABN AMRO has filed with the SEC
and the related Pricing Supplement for more complete information about ABN AMRO
and the offerings of the Securities.
You
may get these documents for free by visiting EDGAR on the SEC website at
www.sec.gov or by visiting ABN AMRO Holding N.V. on the SEC website
at <http://www.sec.gov/cgi-bin/browse-edgar?company=&CIK=abn&filenum=&State=&SIC=&owner=include&action=get
company>. Alternatively, ABN AMRO, any underwriter or any dealer
participating in the offering will arrange to send you the Prospectus and
Prospectus Supplement if you request it by calling toll free (888)
644-2048.
These
Securities may not be offered or sold (i) to any person/entity listed on
sanctions lists of the European Union, United States or any other applicable
local competent authority; (ii) within the territory of Cuba, Sudan, Iran and
Myanmar; (iii) to residents in Cuba, Sudan, Iran or Myanmar; or (iv) to Cuban
Nationals, wherever located.
*A
credit rating (1) is subject to revision, suspension or withdrawal at any time
by the assigning rating organization, (2) does not take into account
market risk or the performance related risks of investing in the Securities, and
(3) is not a recommendation to buy, sell or hold the Securities.
iShares®
MSCI Emerging Markets Index Fund, which we refer to as the Underlying
Fund, is not an affiliate of ours and is not involved with this offering in any
way. The obligations represented by the Securities are our obligations, not
those of the Underlying Fund. Investing in the Securities is not equivalent to
investing in the Underlying Fund.
iShares is a
registered mark of Barclays Global Investors, N.A. ("BGI"). BGI has
licensed certain trademarks and tradenames of BGI to ABN AMRO Bank N.V. The
Securities are not sponsored, endorsed, sold, or promoted by BGI. BGI
makes no representations or warranties to the owners of the Securities or any
member of the public regarding the advisability of investing in the
Securities. BGI has no obligation or liability in connection with the
operation, marketing, trading or sale of the Securities.
We have entered into
an agreement with Morgan Stanley Capital International providing us and certain
of our affiliates or subsidiaries identified in that agreement with a
non-exclusive license and, for a fee, with the right to use the Underlying
Index, which is owned and published by MSCI, in connection with certain
securities, including the Notes.
The Securities are
not sponsored, endorsed, sold or promoted by MSCI. Neither MSCI nor any other
party makes any representation or warranty, express or implied to the holders of
the Securities or any member of the public regarding the advisability of
investing in securities generally or in the Securities particularly, or the
ability of the MSCI Emerging Markets Index to track general stock market
performance. MSCI is the licensor of certain trademarks, service marks and trade
names of MSCI and of the MSCI Emerging Markets Index, which index is determined,
composed and calculated by MSCI without regard to the issuer of the Notes. MSCI
has no obligation to take the needs of the issuer of the Securities or the
holders of the Securities into consideration in determining, composing or
calculating the Underlying Index. MSCI is not responsible for and has not
participated in the determination of the timing of, prices at, or quantities of
the Securities to be issued or in the determination or calculation of the
equation by which the Securities are to be converted into cash. Neither MSCI nor
any other party has any obligation or liability to holders of the Securities in
connection with the administration, marketing or trading of the
Notes.
Summary
The
following summary does not contain all the information that may be important to
you. You should read this summary together with the more detailed information
that is contained in the related Pricing Supplement and in its accompanying
Prospectus and Prospectus Supplement. You should carefully consider, among other
things, the matters set forth in “Risk Factors” in the related Pricing
Supplement, which are summarized on page 4 of this document. In
addition, we urge you to consult with your investment, legal, accounting, tax
and other advisors with respect to any investment in the
Securities.
What
are the Securities?
The
Securities are senior notes issued by us, ABN AMRO Bank N.V., and are fully and
unconditionally guaranteed by our parent company, ABN AMRO Holding N.V. The
Securities are linked to the performance of the iShares MSCI Emerging Market
Index Fund, which we refer to as the Underlying Fund. The Securities
have a maturity of 18 months. The payment at maturity of the Securities is
determined based on the performance of the Underlying Fund, as described
below. Unlike
ordinary debt securities, the Securities do not pay interest. If the
Market Price of the Underlying Fund at any time during the regular business
hours of the relevant exchange on any trading day during the period from but
excluding the pricing date to and including the determination date, which we
refer to as the relevant period, is above the Upper Barrier or below the Lower
Barrier you will be entitled to receive only the principal amount of $1,000 per
Security at maturity. In such a case, you will receive no return on
your investment and you will not be compensated for any loss in value due to
inflation and other factors relating to the value of money over
time.
What
will I receive at maturity of the Securities?
The
payment at maturity for each $1,000 principal amount of the Securities is based
on the performance of the Underlying Fund as follows:
• If the Market Price
of the Underlying Fund never rises above the Upper Barrier or falls below the
Lower Barrier at any time during the regular business hours of the relevant
exchange on any trading day during the Relevant Period, you will receive $1,000
plus the Supplemental Redemption Amount; or
• If the Market Price
of the Underlying Fund either rises above the Upper Barrier or falls below the
Lower Barrier at any time on any trading day during the regular business hours
of the relevant exchange during the Relevant Period you will receive $1000
only.
If
the Final Price is equal to the Initial Price the supplemental redemption amount
will be zero and you will not receive any return on your initial principal
investment even if the Market Price never rises above the Upper Barrier or falls
below the Lower Barrier at any time during the regular business hours of the
relevant exchange on any trading day during the Relevant Period.
What
is the supplemental redemption amount and how is it calculated?
The
supplemental redemption amount is a cash amount calculated only if the price of
a share of the Underlying Fund remains at or below the Upper Barrier and at or
above Lower Barrier at all times during the regular business hours of the
relevant exchange on each trading day during the Relevant Period. The
supplemental redemption amount is equal to the product of the (i) absolute
return times (ii) the
participation rate times (iii)
$1,000. If the closing price of a share of the Underlying Fund on the
determination date is equal to the Initial Price, then the absolute return will
be zero and the supplemental redemption amount will be zero even though the
Market Price of a share of the Underlying Fund never rose above the Upper
Barrier or fell below the Lower Barrier at any time during the life of the
Securities.
How
is the absolute return calculated?
The absolute
return is the absolute value* of:
Final Price - Initial
Price
Initial
Price
*The absolute value
is always expressed as a positive number, even if it is negative.
If
the difference between the Initial Price and the Final Price is zero, the
absolute return, and thus the supplemental redemption amount, will be
zero.
Will
I receive interest payments on the Securities?
No. You
will not receive any interest payments on the Securities.
Will
I get my principal back at maturity?
Subject to the
credit of ABN AMRO Bank, N.V. as the issuer of the Securities and ABN AMRO
Holding N.V. as the guarantor of the issuer’s obligations under the Securities,
you will receive at maturity $1,000 per $1,000 principal amount of Securities.
However, if you sell the Securities prior to maturity, you will receive the
market price for the Securities, which may or may not include the return of
$1,000 for each $1,000 principal amount of Securities. There may be
little or no secondary market for the Securities. Accordingly, you
should be willing to hold your Securities until maturity.
Can
you give me examples of the payment I will receive at maturity depending on the
performance of the Underlying Fund?
Example 1: If, for example, in
a hypothetical offering, the initial price is $150.00, the participation rate is
1.00 (or 100%), the upper barrier is equal to the initial price x 123% and the
lower barrier is equal to the initial price x 77% then the upper barrier is
$184.50 ($150.00 x 123%) and the lower barrier is $115.50 ($150.00 x
77%). If the final price is $140.00 and the market price of the
Underlying Fund never rose above the upper barrier or fell below the lower
barrier at any time during the regular business hours of the relevant exchange
on any trading day during the relevant period, at maturity you will receive back
your principal amount of $1,000 plus the supplemental redemption amount, which
is based on the absolute return (if any) on the Underlying Fund. In
such a hypothetical case, the supplemental redemption amount would be calculated
as follows:
Participation Rate x
Absolute Return x $1,000,
Where,
The
absolute return is the absolute value of:
Final Price - Initial
Price
Initial
Price
or, in this
hypothetical example,
140 - 150 =
-.0667
150
Since the absolute
value is always expressed as a positive number, even if it is negative, -.0667
becomes .0667 and the Absolute Return equals .0667 (or 6.67%).
The supplemental
redemption amount, is calculated as:
Participation Rate x
Absolute Return x $1,000,
or
1 x .0667 x $1,000 =
$66.70
Accordingly, at
maturity you would receive the sum of $1,000 plus $66.70 for a total payment of
$1,066.70 per Security. In this hypothetical example, you would have
received a 6.67% return on your Securities even though the Underlying Fund
depreciated by 6.67% over the life of the Securities
.
Example 2: If, for
example, in a hypothetical offering, the initial price is $150.00, the
participation rate is 1.00 (or 100%), the upper barrier is equal to the initial
price x 123% and the lower barrier is equal to the initial price x 77% then the
upper barrier is $184.50 ($150.00 x 123%) and the lower barrier is $115.50
($150.00 x 77%). If the final price is $170.00 and the market price of the
Underlying Fund was $184.51, which is just above the Upper Barrier, at some
point in time during the regular business hours of the relevant exchange on any
trading day during the relevant period, then at maturity you will be entitled to
receive only the principal amount of $1,000 for each $1,000 principal amount of
your Securities.
Accordingly, at
maturity you would receive the sum of $1,000 per Security and you would not be
compensated for any loss in value due to inflation and other factors relating to
the value of money over time. In this hypothetical example, you would
not have received any return on your Securities even though the Underlying Fund
appreciated by 23% over the life of the Securities.
This example
illustrates that a holder of the Securities may receive no return on the
Securities even if the Underlying Fund experiences significant appreciation (or
depreciation) in its value over the life of the Securities. This is
true even if there is only one instance where the market price was outside
(above or below) the upper or lower barrier during the relevant
period.
Example 3: Example 1: If, for example, in
a hypothetical offering, the initial price is $150.00, the participation rate is
1.00 (or 100%), the upper barrier is equal to the initial price x 123% and
the
lower barrier is equal to the initial price x 77% then the upper barrier is
$184.50 ($150.00 x 123%) and the lower barrier is $115.50 ($150.00 x
77%). If the final price is $150.00 and the market price of the
Underlying Fund never rose above the upper barrier or fell below the lower
barrier at any time during the regular business hours of the relevant exchange
on any trading day during the relevant period, at maturity you will receive back
your principal amount of $1,000 plus the supplemental redemption amount, which
is based on the absolute return (if any) on the Underlying Fund. In
such a hypothetical case, the supplemental redemption amount would be calculated
as follows:
Participation
Rate x Absolute Return x $1,000,
Where,
The
absolute return is the absolute value of:
Final Price - Initial
Price
Initial
Price
or, in this
hypothetical example,
150 - 150 =
0
150
Because the absolute
return equals zero in this hypothetical example, the supplemental redemption
amount will be zero and at maturity you would receive only your principal amount
of $1,000 for each Security and you would not be compensated for any loss in
value due to inflation and other factors relating to the value of money over
time. In this hypothetical example, you would receive no return on
your initial principal investment in the Securities even though the Market Price
of the Underlying Fund never rose above the Upper Barrier or fell below the
Lower Barrier at any time during the regular business hours of the relevant
exchange on any trading day during the relevant period.
These
examples are for illustrative purposes only and are based on a hypothetical
offering. It is not possible to predict the market price of the
Underlying Fund at any time during the life of the Securities or the closing
price on the determination date. For each offering we will set the initial price
and the upper and lower barriers (each subject to adjustment for certain events
affecting the Underlying Fund) on the date we price the Securities, which we
refer to as the pricing date.
Do
I benefit from any appreciation or depreciation in the Underlying Fund over the
life of the Securities?
Yes, but only in the
event that (1) the Market Price of the Underlying Fund remains at or below the
Upper Barrier and at or above the Lower Barrier at all times during the regular
business hours of the relevant exchange on each trading day during the relevant
period, and (2) the Final Price is different from the Initial Price, resulting
in a positive Absolute Return. If both of these conditions are met,
you will receive in cash the supplemental redemption amount in addition to the
principal amount of the Securities payable at maturity. The
supplemental redemption amount will represent a return on the Securities based
on the percentage change in the value of the Underlying Fund, or the Absolute
Return, and the applicable participation rate. That is, your return
on the Securities will be equal to the Absolute Return
times a percentage
equal to the participation rate.
Is
there a limit on how much I can earn on the Securities?
Yes, since the
Final Price cannot be greater than the Upper Barrier or less than the Lower
Barrier if a supplemental redemption is to be paid at maturity, the Absolute
Return is capped at the percentage by which the Upper Barrier and the Lower
Barrier are each either above or below the Initial Price.
For example, if in a
hypothetical offering, the upper barrier were 123% above the initial price and
the lower barrier were 77% below the initial price then your return on the
Securities in that hypothetical example could never exceed 23%. This
is because the difference between the final price and the initial price in this
hypothetical example can never be greater than 23%. Therefore, for
each $1,000 principal amount of Securities, the maximum amount payable at
maturity would be $1,230, which consists of the principal amount of $1,000 plus
the maximum supplemental redemption amount of $230 (or, $1,000 x 100% x
23%). We will set the upper and lower barriers on the pricing
date. You will not receive a return on your Securities, if any, until
maturity.
What
is the Underlying Fund?
The
Underlying Fund is an exchange traded fund of iShares®, Inc.
which is a registered investment company that consists of numerous separate
investment portfolios. The iShares® MSCI
Emerging Market Index Fund seeks to provide investment results that correspond
generally to the price and yield performance, before fees and expenses, of
publicly traded securities in emerging markets, as measured by the MSCI Emerging
Markets Index. The MSCI Emerging Market Index is a free-float adjusted average
of the U.S. dollar values of all of the equity securities constituting the MSCI
indices for selected emerging market countries.
The MSCI Emerging
Market Index was developed by Morgan Stanley Capital International Inc. which we
refer to as MSCI as an equity benchmark for international stock performance. The
MSCI Emerging Market Index is designed to measure equity market performance in
the global emerging markets.
Shares of the
Underlying Fund are traded on the NYSE the symbol “EEM”.
You should read
“Description of the Underlying Fund” and “Public Information Regarding the
Underlying Fund” in the accompanying Pricing Supplement for additional
information regarding the Underlying Fund and the MSCI Emerging Market Index and
to learn how to obtain public information regarding the Underlying Fund and
other important information.
What
if I have more questions?
You should read
“Description of Securities” in the related Pricing Supplement for a detailed
description of the terms of the Securities. ABN AMRO has filed a
registration statement (including a Prospectus and Prospectus Supplement) with
the SEC for the offering to which this communication relates. Before
you invest, you should read the Prospectus and Prospectus Supplement in that
registration statement and other documents ABN AMRO has filed with the SEC for
more complete information about ABN AMRO and the offering of the
Securities. You may get these documents for free by visiting EDGAR on
the SEC web site at www.sec.gov. Alternatively, ABN AMRO, any
underwriter or any dealer participating in the offering will arrange to send you
the Prospectus and Prospectus Supplement if you request it by calling toll free
(888) 644-2048.
RISK
FACTORS
You
should carefully consider the risks of the Securities to which this
communication relates and whether these Securities are suited to your particular
circumstances before deciding to purchase them. It is important that
prior to investing in these Securities you read the Pricing Supplement related
to such Securities and the accompanying Prospectus and Prospectus Supplement to
understand the actual terms of and the risks associated with the
Securities. In addition, we urge you to consult with your investment,
legal, accounting, tax and other advisors with respect to any investment in the
Securities.
Credit
Risk
The Securities are
issued by ABN AMRO Bank N.V. and guaranteed by ABN AMRO Holding N.V., ABN AMRO
Bank N.V.’s parent. As a result, you assume the credit risk of ABN
AMRO Bank N.V. and that of ABN AMRO Holding N.V. in the event that ABN AMRO Bank
N.V. defaults on its obligations under the Securities. Any obligations or
Securities sold, offered, or recommended are not deposits of ABN AMRO Bank N.V.
and are not endorsed or guaranteed by any bank or thrift, nor are they insured
by the FDIC or any governmental agency.
Market
Risk
The Securities do
not pay any interest. The rate of return, if any, will depend on the performance
of the Underlying Fund. If the market price of the Underlying Fund either falls
below the Lower Barrier or rises above the Upper Barrier at any time during the
regular business hours of the relevant exchange on any trading day during the
relevant period, you will be entitled to receive only the principal amount of
$1,000 per Security at maturity. In addition, even if the market
price of the Underlying Fund remains above the Lower Barrier and below the Upper
Barrier at all times during the regular business hours of the relevant exchange
on each trading day during the relevant period, the supplemental redemption
amount payable at maturity will be zero if the Final Price is equal to the
Initial Price. In each such case, you will receive no return on your investment
and you will not be compensated for any loss in value due to inflation and other
factors relating to the value of money over time.
Investment
in the Securities is Not the Same as a Direct Investment in the MSCI Emerging
Markets Index or the Stocks that Comprise the iShares® MSCI Emerging Markets
Index Fund
An investment in the
Securities is not the same as a direct investment in the stocks (or any other
securities) that comprise the MSCI Emerging Markets Index or in the iShares®
MSCI Emerging Markets Index Fund. The return on your Securities could be less
than if you had invested directly in the Underlying Fund or a product that
tracks the return of the MSCI Emerging Markets Index because of the barrier
feature and the method by which the supplemental redemption is
calculated. In addition, your return may be limited because the
calculation of the supplemental redemption amount and the return on the
Securities does not account for the return associated with the reinvestment of
dividends that you would have received if you had invested directly in the
stocks (or any other securities) comprising the Underlying Fund or in the
Underlying Fund directly. You will not receive any payment of dividends on any
of the stocks (or any other securities) comprising the Underlying Fund or any
dividends paid by the Underlying Fund.
Liquidity
Risk
ABN AMRO Bank N.V.
does not intend to list the Securities on any securities
exchange. Accordingly, there may be little or no secondary market for
the Securities and information regarding independent market pricing of the
Securities may be limited. The value of the Securities in the secondary market,
if any, will be subject to many unpredictable factors, including then prevailing
market conditions.
It
is important to note that many factors will contribute to the secondary market
value of the Securities, and you may not receive your full principal back if the
Securities are sold prior to maturity. Such factors include, but are not
limited to, time to maturity, the Market Price of the Underlying Fund at any
time, volatility and interest rates.
In addition, the
price, if any, at which we or another party are willing to purchase Securities
in secondary market transactions will likely be lower than the issue price,
since the issue price included, and secondary market prices are likely to
exclude, commissions, discounts or mark-ups paid with respect to the Securities,
as well as the cost of hedging our obligations under the
Securities.
Tax
Risk
The Securities will
be treated as "contingent payment debt instruments" for U.S. federal income tax
purposes. Accordingly, U.S. taxable investors, regardless of their method of
accounting, will be required to accrue as ordinary income amounts based on the
“comparable yield” of the Securities, as determined by us, even though they will
receive no payment on the Securities until maturity. In addition, any gain
recognized upon a sale, exchange or retirement of the Securities will generally
be treated as ordinary interest income for U.S. federal income tax
purposes.
Investors
should review the “Taxation” section in the related Pricing Supplement and the
section entitled “United States Federal Taxation” (in particular the sub-section
entitled “United States Federal Taxation—Contingent Payment Debt Instruments”)
in the accompanying Prospectus Supplement. Additionally, investors are urged to
consult their tax advisor regarding the tax treatment of the Securities and
whether a purchase of the Securities is advisable in light of the tax treatment
and their particular situation.
This
tax summary was written in connection with the promotion or marketing by ABN
AMRO Bank N.V. and the placement agent of the Securities,
and cannot be used by any investor for the purpose of avoiding penalties that
may be asserted against the investor under the Internal
Revenue Code. You should seek your own advice based on your particular
circumstances from an independent tax advisor.
6