Filed pursuant to Rule 433
July 7, 2009
Relating to Preliminary Pricing
Supplement No. 892 to
Registration Statement Nos. 333-137691,
333-137691-02
Dated September 29,
2006
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ABN AMRO Bank N.V.
Buffer
Notes
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Preliminary Pricing Sheet – July 7, 2009
24 M
ONTH, DIGITAL BUFFER SECURITIES DUE
JULY 29, 2011
LINKED TO THE
PERFORMANCE OF THE S&P 500
INDEX®
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SUMMARY
INFORMATION
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Issuer:
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ABN AMRO Bank N.V. (Senior Long
Term Debt Rating: Moody's Aa2, S&P
A+)**
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Lead Selling
Agent:
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ABN AMRO
Incorporated
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Offering:
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24 Month, Digital Buffer
Securities linked to the performance of the S&P 500 Index due July 29,
2011 (the “Securities”)
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Underlying
Index:
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The S&P 500 Index® (Ticker:
SPX)
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Coupon:
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None. The Securities do not pay
interest.
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Denominations:
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$1,000
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Issue Size:
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TBD
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Issue
Price:
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100%
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Payment at
Maturity:
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At maturity, you will receive for
each $1,000 principal amount of Securities a cash amount calculated as
follows:
(1) if the index return is 0% or
positive, $1,000 plus the Digital Return;
(2) if the index return is less
than 0% up to and including -20%, $1,000; and
(3) if the index return is less
than -20%, $1,000 plus [(index return + 20%) x
$1,000].
If the index
return is less than -20% you could lose up to 80% of your initial
principal investment. In addition, if the index return is 0% or
positive, you will never
receive a payment at maturity greater than the Maximum Redemption at
Maturity of $1,170.
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Index
Return:
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The index return is the percentage
change in the value of the Underlying Index, calculated as
follows:
Final
Index Value -
Initial Index Value
Initial Index
Value
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Initial Index
Value:
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100% of the closing value of the
Underlying Index on the Pricing Date, subject to certain adjustments as
described in the preliminary pricing supplement for the
Securities.
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Final Index
Value:
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The closing value of the
Underlying Index on the determination date.
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Buffer
Level:
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20% buffer. An index return equal
to or less than 0% up to and including -20% will not result in the loss of
any principal. An index return of less than -20% will result in
a loss of principal which could be up to 80% of your initial principal
investment.
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Digital
Return:
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$170 (or 17.00%) per $1,000
principal amount of Securities.
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Maximum Redemption at
Maturity:
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$1,170 per $1,000 principal amount
of Securities. Regardless of how much the Underlying Index may
appreciate above the Initial Index Value you will never receive more than
$1,170 per $1,000 principal amount of Securities, at
maturity.
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Indicative Secondary Pricing:
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• Internet at: www.s-notes.com
• Bloomberg at: PIPN
<GO>
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Status:
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Unsecured, unsubordinated
obligations of the Issuer
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CUSIP
Number:
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00083JDN5
ISIN Code: US00083JDN54
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Trustee:
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Wilmington Trust
Company
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Securities
Administrator:
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Citibank,
N.A.
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Settlement:
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DTC, Book Entry,
Transferable
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Selling
Restrictions:
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Sales in the European Union must
comply with the Prospectus Directive.
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Pricing
Date:
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July 28, 2009, subject to certain
adjustments as described in the preliminary pricing supplement for the
Securities.
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Settlement
Date:
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July 31,
2009
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Determination
Date:
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July 26, 2011, subject to certain
adjustments as described in the preliminary pricing
supplement for the Securities
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Maturity
Date:
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July 29, 2011 (24
Months)
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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.
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.
We
reserve the right to withdraw, cancel or modify any offering and to reject
orders in whole or in part.
**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.
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 5 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 performance of the S&P 500 Index which we refer to as the
Underlying Index. The Securities have a maturity of 24 Months. The payment at
maturity of the Securities is determined based on the performance of the
Underlying Index, subject to a maximum amount, as described below. Unlike ordinary debt securities, the
Securities do not pay interest. If the index return is less than 0% up to and
including -20% 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. If the
index return is less than -20% you will suffer a loss and you could lose up to
80% of your initial principal investment. If the index return is 0% or positive
you will receive the maximum redemption at maturity per security of $1,170.00
which represents a return of 17.00%. If the index return is positive, your
return on the Securities will be equal to the digital return of 17.00%
regardless of how much or how little the value of the Underlying Index may
appreciate above the initial index value.
What
will I receive at maturity of the Securities?
At
maturity you will receive, for each $1,000 principal amount of Securities, a
cash payment calculated as follows:
(1) If the
index return is 0% or positive, $1000 plus the digital return; or
(2) If the
index return is less than 0% up to and including -20%, $1,000; or
(3) If the
index return is less than -20%, then $1,000 plus [(index return + 20%) x
1,000].
Accordingly,
if the index return is less than -20%, at maturity you will receive less than
the principal amount of $1,000 per Security and you could lose up to 80% of your
initial principal investment. If the index return is 0% or positive, you will
never receive a payment at maturity greater than the maximum redemption at
maturity of $1,170.00 per $1,000 principal amount of Securities.
What
is the index return, the digital return and the maximum redemption at maturity
and how are they calculated?
The index return is
the percentage change in the index value, over the term of the Securities,
calculated as:
Final
Index Level - Initial Index Level
Initial Index
Level
where,
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the initial
index value is the closing value of the Underlying Index on the pricing
date; and
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the final
index value is the closing value of the Underlying Index on the
determination date.
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The digital return
is $170 (or 17.00%) per $1,000 principal amount of Securities.
The maximum
redemption at maturity is $1,170.00 per $1,000 principal amount of Securities
which is equivalent to a return of 17.00% on your initial principal investment.
The digital return is fixed so that regardless of how much or how little the
index return may appreciate above the initial index value, you will never
receive more than $1,170.00 per $1,000 principal amount of Securities at
maturity. Similarly, if the final index value is equal to the initial index
value you will receive $1,170.00 per $1,000 principal amount of Securities at
maturity.
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?
The Securities are
not fully principal protected. 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 at least
$200 per $1,000 principal amount of Securities, regardless of the closing value
of the Underlying Index on the Determination Date. If the index return is less
than -20% over the term of the Securities, you will lose some of your initial
principal investment and you could lose as much as 80% of your initial principal
investment. However, if you sell the Securities prior to maturity, you will
receive the market price for the Securities, which could be zero. 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 Index?
Example 1: If, for example, in
a hypothetical offering, the initial index value is 840, the final index value
is 1,000 and the digital return is $170.00, then the index return would be
calculated as follows:
Final
Index Value - Initial Index Value
Initial Index
Value
or
In
this hypothetical example, the index return is positive. Therefore, the payment
at maturity will be $1000 plus the digital return of $170.00 or a total payment
of $1,170 per $1,000 principal amount of Securities. In this hypothetical
example, the index return was 19.05% but you would have received a return of
17.00% over the term of the Securities.
Example 2: If, for example, in
a hypothetical offering, the initial index value is 840, the final index value
is 850 and the digital return is $170.00, then the index return would be
calculated as follows:
Final
Index Value - Initial Index Value
Initial Index
Value
or
In
this hypothetical example, the index return is positive. Therefore, the payment
at maturity will be $1000 plus the digital return of $170.00 or a total payment
of $1,170 per $1,000 principal amount of Securities.
In
this hypothetical example, the index return was 1.19% but you would have
received a return of 17.00% over the term of the Securities. If the index return
is positive, you will receive the digital return regardless of how much or how
little the index return appreciates over the initial index value. Similarly, if
the index return is 0% you will receive the digital return.
Example 3: If, for example, in
a hypothetical offering, the initial index value is 840 and the final index
value is 714, then the index return would be calculated as follows:
Final
Index Value - Initial Index Value
Initial Index
Value
or
In
this hypothetical example, the index return is negative. Since the index return
is less than 0% but more than -20% you would receive, at maturity, the principal
amount of $1,000 per Security.
In
this hypothetical example, the index return was -15.00% and you would not have
lost any of your initial principal investment because the index return was
negative but not less than -20%. In this hypothetical example you would not have
received any return on your initial principal investment 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.
Example 4: If, for example, in
a hypothetical offering, the initial index value is 840 and the final index
value is 500, then the index return would be calculated as follows:
Final
Index Value - Initial Index Value
Initial Index
Value
or
In
this hypothetical example, the index return is negative and is less than -20%.
Therefore, payment at maturity will be calculated as:
$1,000 + [(index
return + 20%) x $1,000]
or
$1,000 + [(-40.48%
+ 20%) x $1,000] = $795.20
Therefore, in this
hypothetical example, you would receive at maturity a total payment of $795.20
for each $1,000 principal amount of Securities. In this hypothetical example,
the index return was -40.48% but you would have lost 20.48% of your initial
principal investment over the term of the Securities.
These
examples are for illustrative purposes only. It is not possible to predict the
final value of the Underlying Index on the determination date or at any other
time during the term of the Securities. The initial index value is subject to
adjustment as set forth in “Description of Securities –Adjustment Events;
–Discontinuance of the Underlying Index; Alteration of Method of Calculation” in
the related Pricing Supplement.
Is
there a limit on how much I can earn over the term of the
Securities?
Yes. If the
Securities are held to maturity and the Underlying Index is unchanged or
appreciates, the total amount payable at maturity per Security is capped at
$1,170.00. This means that if the final index value is equal to the initial
index value you will receive the digital return. If the Underlying Index
appreciates, no matter how much the Underlying Index may appreciate, your return
on the Securities will
never exceed 17.00%.
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
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 or guaranteed
by the FDIC or any governmental agency.
Market
Risk
The Securities do
not pay interest. The rate of return, if any, will depend on the performance of
the Underlying Index. If the Index Return of the Underlying Index is negative up
to and including -20% 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. If the
Index Return is less than -20% you will suffer a loss and you could lose up to
80% of your initial principal investment. If the Index Return is 0% or positive,
you will never receive a payment at maturity greater than $1,170.00 regardless
of how much the Underlying Index may appreciate above the initial index
value.
Principal
Risk
Return of principal
on the Securities is only guaranteed up to 20%, subject to our credit and the
credit of Holding. If the closing value of the Underlying Index on the
determination date is less than 20% below the initial value of the Underlying
Index, the amount of cash paid to you at maturity will be less than the
principal amount of the Securities and you could lose up to 80% of your initial
principal investment.
Liquidity
Risk
The Securities will
not be listed 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 very limited or non-existent. 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 value the Underlying Index, 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
Pursuant to the
terms of the Securities, we and every holder of a Security agree (in the absence
of an administrative determination or judicial ruling to the contrary) to
characterize each Security for all U.S. tax purposes as a single financial
contract with respect to the Underlying Index.
Significant aspects
of the U.S. federal income tax treatment of the Securities are uncertain, and no
assurance can be given that the Internal Revenue Service will accept, or a court
will uphold, the tax treatment described above. In particular, on December 7,
2007, the U.S. Treasury and the Internal Revenue Service released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments.
The notice focuses
in particular on whether to require holders of instruments such as the
Securities to accrue constructive income over the term of their investment in
the Securities. It also asks for comments on a number of related topics,
including how the IRS characterizes income or loss with respect to these
instruments; the relevance to such characterization of factors such as the
exchange-traded status of the instrument and the nature of the underlying
property to which the instrument is linked; and whether these instruments are or
should be subject to the “constructive ownership” regime, which very generally
can operate to recharacterize certain long-term capital gains as ordinary income
that is subject to an interest charge.
While the notice
requests comments on appropriate transition rules and effective dates, Treasury
regulations or other forms of guidance, if any, issued after consideration of
these issues could materially and adversely affect the tax consequences of
ownership and disposition of the Securities, possibly on a retroactive
basis.
Investors should
consult their own tax advisor regarding the notice and its potential
implications for an investment in the Securities.
This summary is
limited to the federal tax issues addressed herein. Additional issues may exist
that are not addressed in this summary and that could affect the federal tax
treatment of the transaction.
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 it cannot be used
by any investor for the purpose of avoiding penalties that may be asserted by
the investor under the Internal Revenue Code. Investors should seek their own
advice based on their particular circumstances from an independent tax
advisor.