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TERM SHEET
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Term Sheet No. 002 to
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(TO PRODUCT SUPPLEMENT NO. 1-I DATED SEPTEMBER 29, 2009,
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Registration Statement
Nos. 333-162193 and 333-162193-01
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PROSPECTUS SUPPLEMENT DATED
SEPTEMBER 29, 2009
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Dated October 5, 2009
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AND PROSPECTUS DATED SEPTEMBER
29, 2009)
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Rule 433
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| ABN AMRO Bank N.V. Reverse
Exchangeable Securities |
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13.00% (ANNUALIZED) ONE YEAR INTERCONT
INENTALEXCHANGE,
INC.
KNOCK-IN REXSM SECURITIES
DUE OCTOBER
29, 2010
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OFFERING
PERIOD: OCTOBER
5, 2009 – OCTOBER
27, 2009
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Issuer:
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ABN AMRO Bank N.V.
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Lead Agent:
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RBS Securities Inc.
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Underlying
Shares
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Ticker
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Annualized Coupon
Rate
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Annualized Interest
Rate
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Annualized Put
Premium
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Knock-In Level
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CUSIP
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ISIN
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IntercontinentalEx
change, Inc.
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ICE
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13.00%
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1.11%
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11.89%
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70%
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00083JHL5
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US00083JHL52
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Offering:
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13.00% (Per Annum), One Year Knock-in Reverse Exchangeable Securities
due October 29, 2010 linked to the Underlying Shares
set forth in the table above.
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Coupon Payment Dates:
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Coupons on the Securities are
payable monthly in arrears on the last day of each month starting on November
30, 2009 and ending on the maturity
date.
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Denomination/Face Amount:
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$1,000
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Issue Price:
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100%
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Payment at Maturity:
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The payment at maturity for each
Security is based on the performance of the Underlying Shares linked to
such Security:
(i) If the closing price of the
Underlying Shares has not fallen below the knock-in level on any trading day from
but not including the
Pricing Date to and including the determination date, we will pay you the face amount of
each Security in cash.
(ii) If the closing price of the
Underlying Shares has fallen below the knock-in level on any trading day from
but not including the Pricing Date to and including the
determination date:
(a)
we will deliver
to you a number of the Underlying Shares equal to the redemption
amount, in the event that the closing
price of the Underlying Shares on the determination date is below the
initial price;
or
(b)
we will pay you
the face amount of each Security in cash, in the event that the closing
price of the Underlying Shares on the determination date is at or above
the initial price.
You will receive cash in lieu of
fractional shares.
If due to events
beyond our reasonable
control, as determined by us in our sole
discretion,
Underlying Shares are
not available for delivery at maturity we may pay you, in lieu of the redemption
amount, the cash value of the redemption
amount, determined by multiplying the
redemption amount by
the closing price of the Underlying Shares on the determination
date.
Any payment at maturity is subject
to the creditworthiness of ABN AMRO Bank N.V. and ABN AMRO Holding N.V., as guarantor.
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Initial Price:
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100% of the closing price
of the Underlying
Shares on the Pricing Date, subject to adjustment as described
in the accompanying Product Supplement.
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Redemption Amount:
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For each $1,000 face amount of a
Security,
a number of the
Underlying Shares linked to such Security equal to $1,000 divided by the initial
price.
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Knock-in Level:
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A percentage of the initial
price, as set forth in the table
above.
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Status:
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Unsecured, unsubordinated obligations of the
Issuer and fully and unconditionally guaranteed by the Issuer’s parent company, ABN AMRO Holding N.V.
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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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Proposed Pricing Date:
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October 27, 2009
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Proposed Settlement
Date:
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October 30, 2009
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Determination Date:
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October 26, 2010, subject to certain adjustments as
described in the accompanying Product
Supplement
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Maturity Date:
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October 29, 2010 (One Year)
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PRICE:
$1,000 PER SECURITY
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Price to
Public
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Agent’s
Commissions(1)
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Proceeds to ABN AMRO Bank
N.V.
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IntercontinentalExchange, Inc.
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100%
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2.75%
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97.25%
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Total
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(1) For additional information see
“Plan of Distribution (Conflicts of Interest)” in this Term Sheet The
Securities are not bank deposits and are not insured or guaranteed by the
Federal Deposit Insurance Corporation, the Deposit Insurance Fund or any other
governmental agency, nor are they obligations of, or guaranteed, by a
bank. The Securities are
not guaranteed under the Federal Deposit Insurance Corporation’s
Temporary Liquidity Guarantee Program
Investing
in the Securities involves a number of risks. See “Risk Factors”
beginning on page PS-9 of the accompanying Product Supplement No. 2-I and “Risk
Factors” beginning on page 5 of this Term Sheet.
The Securities and
Exchange Commission and state securities regulators have not approved or
disapproved these Securities, or determined if this Term Sheet or the
accompanying Product Supplement, Prospectus Supplement or Prospectus are
truthful or complete. Any representation to the contrary is a criminal
offense.
The agents are not
obligated to purchase the Securities but have agreed to use reasonable efforts
to solicit offers to purchase the Securities. To the extent the full aggregate face
amount of the Securities being offered by this Term Sheet is not purchased by
investors in the offering, one or more of our affiliates may agree to purchase a
part of the unsold portion, which may constitute up to 15% of the total
aggregate face amount of the Securities, and to hold such Securities for
investment purposes. See “Holdings of the Securities by Our
Affiliates and Future Sales” under the heading “Risk Factors” and “Plan of
Distribution (Conflicts of Interest)” in this Term Sheet. This Term Sheet
and the accompanying Product Supplement, Prospectus Supplement and Prospectus
may be used by our affiliates in connection with offers and sales of the
Securities in market-making transactions.
Where
You Can Find More Information
ABN AMRO BANK N.V.,
or ABN AMRO, has filed a registration statement (including a Prospectus and
Prospectus Supplement) with the Securities and Exchange Commission, or SEC, for
the offering to which this Term Sheet relates. Before you invest, you should
read the Prospectus and Prospectus Supplement in that registration statement and
other documents, including the applicable Product Supplement, related to this
offering that 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 without cost by visiting EDGAR on the SEC website at www.sec.gov.
Alternatively, ABN AMRO, any underwriter or any dealer participating in the
offering will arrange to send you the Prospectus, Prospectus Supplement and
Product Supplement No. 2-I if you request by calling toll free (866)
747-4332.
You should read
this Term Sheet together with the Prospectus dated October 5, 2009, as
supplemented by the Prospectus Supplement dated October 5, 2009 relating to our
ABN NotesSM of
which these Securities are a part, and the more detailed information contained
in Product Supplement No. 2-I dated October 5, 2009. This Term Sheet, together with the
documents listed below, contains the terms of the Securities and supersedes all
other prior or contemporaneous oral statements as well as any other written
materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, fact sheets,
brochures or other educational materials of ours. You should
carefully consider, among other things, the matters set forth in “Risk Factors”
in the accompanying Product Supplement No. 2-I, as the Securities involve risks
not associated with conventional debt securities. We urge you to
consult your investment, legal, tax, accounting and other advisors before you
invest in the Securities.
You may access
these documents on the SEC website at www.sec.gov as follows (or if such address
has changed, by reviewing our filings for the relevant date on the SEC
website):
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Product
Supplement No. 2-I dated October 5,
2009:
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Prospectus Supplement dated
October 5, 2009:
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Prospectus dated October
5, 2009:
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Our Central Index Key, or CIK, on the
SEC website is 897878. As used in this Term Sheet, the �Company,� �we,� �us� or
�our� refers to ABN AMRO Bank N.V.
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 of Cuba, Sudan, Iran or Myanmar; or (iv) to Cuban
Nationals, wherever located.
We reserve the
right to withdraw, cancel or modify any offering of the Securities and to reject
orders in whole or in part prior to their issuance.
SUMMARY
This
Term Sheet relates to one offering of Securities. The purchaser of any offering
will acquire a Security linked to the Underlying Shares.
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 Product Supplement No. 2-I and in the accompanying
Prospectus and Prospectus Supplement. You should carefully consider, among other
things, the matters set forth in “Risk Factors” in the Product Supplement No.
2-I, which are summarized on page 5 of this Term Sheet. 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
non-principal protected securities 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 will pay periodic cash payments at a fixed
rate. We refer to the payments as the coupon or coupon payments and
the fixed rate as the coupon rate. The Securities are senior notes of
ABN AMRO Bank N.V. These
Securities combine certain features of debt and equity by offering a fixed
coupon rate on the face amount while the payment at maturity is determined based
on the performance of the common stock, which we refer to as the Underlying
Shares of an Underlying Company. Therefore your principal is at risk but you
have no opportunity to participate in any appreciation of the Underlying
Shares.
Any payment on the
Securities is subject to the creditworthiness of ABN AMRO Bank N.V. and ABN AMRO
Holding N.V. as guarantor
What
will I receive at maturity of the Securities?
The payment at
maturity of the Securities will depend on (i) whether or not the closing price
of the Underlying Shares fell below the knock-in level on any trading day during
the knock-in period, and if so, (ii) the closing
price of the Underlying Shares on the determination date. Except in
certain circumstances described under “Description of Securities — Closing
Price” in the accompanying Product Supplement, we will usually determine the
closing price for any listed Underlying Shares by reference to the last reported
sale price, during regular trading hours (or if listed on The NASDAQ Stock
Market LLC, the official closing price), on the primary U.S. securities exchange
on which the Underlying Shares are traded.
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If the
closing price per Underlying Share has not fallen below the knock-in level
on any trading day during the knock-in period, we will pay you the face
amount of each Security in cash.
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If the
closing price per Underlying Share has fallen below the knock-in level on
any trading day during the knock-in period, we will
either:
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deliver to
you the redemption amount, in exchange for each Security, in the event
that the closing price of the Underlying Shares on the determination date
is below the closing price on the pricing date (subject to adjustment),
which we refer to as the initial price (the market value of the redemption
amount on the determination date will always be less than the face amount
of $1,000 per Security); or
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pay you the
face amount of each Security in cash, in the event that the closing price
of the Underlying Shares is at or above the initial price on the
determination date.
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If due to events
beyond our reasonable control, as determined by us in our sole discretion,
Underlying Shares are not available for delivery at maturity we may pay you, in
lieu of the redemption amount, the cash value of the redemption amount,
determined by multiplying the redemption amount by the closing price of the
Underlying Shares on the determination date.
The “redemption
amount” is equal to $1,000 divided by the initial price of the Underlying
Shares. The initial price and
consequently the redemption amount may be adjusted for certain corporate events,
such as a stock split,
affecting the Underlying Company.
The payment at
maturity is further subject to adjustment in certain circumstances, such as a
stock split or merger, which we describe in “Description of Securities —
Adjustment Events” in the accompanying Product Supplement No. 2-I.
Any payment at
maturity is subject to the creditworthiness of ABN AMRO Bank N.V. and ABN AMRO
Holding N.V., as guarantor.
Why
is the coupon rate on the Securities higher than the interest rate payable on
your conventional debt securities with the same maturity?
The Securities
offer a higher coupon rate than the yield that would be payable on a
conventional debt security with the same maturity issued by us or an issuer with
a comparable credit rating because you, the investor in the Securities,
indirectly sell a put option to us on the Underlying Shares. The premium due to
you for this put option is combined with a market interest rate on our senior
debt to produce the higher coupon rate on the Securities. As
explained below under “What are the consequences of the indirect put option that
I have sold you?” you are being paid the premium for taking the risk that you
may receive Underlying Shares with a market value less than the face amount of
your Securities at maturity, which would mean that you would lose some or all of
your initial principal investment.
What
are the consequences of the indirect put option that I have sold
you?
The put option you
indirectly sell to us creates the feature of exchangeability. This feature could
result in the delivery of Underlying Shares to you, at maturity, with a market
value which is less than the face amount of $1,000 per Security. If the closing
price of the Underlying Shares falls below the knock-in level on any trading day
during the knock-in period, and on the determination date the closing price of
the Underlying Shares is less than the initial price, you will receive the
redemption amount. The market value of the Underlying Shares on the
determination date will be less than the face amount of the Securities and could
be zero. Therefore you are not guaranteed to receive any return of principal at
maturity. If the price of the Underlying Shares rises above the
initial price you will not participate in any appreciation in the price of the
Underlying Shares.
How
is the redemption amount determined?
The redemption
amount for each $1,000 face amount of any Security is equal to $1,000 divided by
the initial price of the Underlying Shares linked to such Security. The value of
any fractional shares of the Underlying Shares that you are entitled to receive,
after aggregating your total holdings of the Securities linked to the Underlying
Shares, will be paid in cash based on the closing price of the Underlying Shares
on the determination date.
Do
I get all my principal back at maturity?
You are not
guaranteed to receive any return of principal at maturity. If the closing price
of Underlying Shares falls below the knock-in level on any trading day during
the knock-in period, and the closing price of the Underlying Shares is below the
initial price on the determination date, we will deliver to you Underlying
Shares. The market value of the Underlying Shares on the determination date will
be less than the face amount of the Securities and could be zero. Accordingly, you may lose some or all
of your initial principal investment in the Securities.
What
coupon payments can I expect on the Securities?
The coupon rate is
fixed at issue and is payable in cash on each coupon payment date, irrespective
of whether the Securities are redeemed at maturity for cash or
shares.
Any coupon payment
is subject to the creditworthiness of ABN AMRO Bank N.V. and ABN AMRO
Holding N.V. as
guarantor.
Can
you give me an example of the payment at maturity?
If, for example, in
a hypothetical offering, the coupon rate was 10% per annum, the initial price of
the Underlying Shares was $45.00 per share and the knock-in level for such
offering was 80%, then the redemption amount would be 22.222 Underlying Shares,
or $1,000 divided by $45.00, and the knock-in level would be $36.00, or 80% of
the initial price.
If the closing
price of the hypothetical Underlying Shares fell below the knock-in level of
$36.00 on any trading day during the knock-in period, then the payment at
maturity would depend on the closing price of the Underlying Shares on the
determination date. In this case, if the closing price of the Underlying Shares
on the determination date is $30.00 per share, which is below the initial price,
you would receive 22.222 Underlying Shares for each $1,000 face amount of the
Securities. (In actuality, because we cannot deliver fractions of a share, you
would receive on the maturity date for each $1,000 face amount of the
Securities, 22 Underlying Shares plus $6.66 cash in lieu of 0.222 fractional
shares, determined by multiplying 0.222 by $30.00, the closing price of the
Underlying Shares on the determination date.) In addition, over the term of the
Securities you would have received coupon payments at a rate of 10% per annum.
In this hypothetical example,
the market value of those 22 Underlying Shares (including the cash paid in lieu
of fractional shares) that we would deliver to you at maturity for each $1,000
face amount of Security would be $666.66, which is less than the face amount of
$1,000, and you would have lost a portion of your initial investment. If,
on the other hand, the closing price of the Underlying Shares on the
determination date is $50.00 per share, which is above the initial price, you
will receive $1,000 in cash for each $1,000 face amount of the Securities
regardless of the knock-in level having been breached. In addition, over the
term of the Securities you would have received coupon payments at a rate of 10%
per annum.
Alternatively, if
the closing price of the Underlying Shares never falls below $36.00, which is
the knock-in level, on any trading day during the knock-in period, at maturity
you will receive $1,000 in cash for each Security you hold regardless of the
closing price of the Underlying Shares on the determination date. In addition,
over the term of the Securities you would have received coupon payments at a
rate of 10% per annum.
This example is for illustrative
purposes only and is based on a hypothetical offering. It is not
possible to predict the closing price of the Underlying Shares on the
determination date or at any time during the term of the
Securities. For each offering, we will set the initial price,
knock-in level and redemption amount on the Pricing Date.
In this Term Sheet,
we have also provided under the heading “Hypothetical Sensitivity Analysis of
Total Return of the Securities at Maturity” the total return of owning the
Securities through maturity for various closing prices of the Underlying Shares
on the determination date.
Do
I benefit from any appreciation in the Underlying Shares over the term of the
Securities?
No. The amount paid
at maturity for each $1,000 face amount of the Securities will never exceed
$1,000.
What
is the minimum required purchase?
You may purchase
Securities in minimum denominations of $1,000 or in integral multiples
thereof.
Is
there a secondary market for Securities?
The Securities will
not be listed on any securities exchange. Accordingly, there may be little or no
secondary market for the Securities and, as such, information regarding
independent market pricing for
the Securities may
be extremely limited. You should be willing to hold your Securities until the
maturity date.
Although it is not
required to do so, we have been informed by our affiliate that when this
offering is complete, it intends to make purchases and sales of the Securities
from time to time in off-exchange transactions. If our affiliate does
make such a market in the Securities, it may stop doing so at any
time.
In connection with
any secondary market activity in the Securities, our affiliate may post
indicative prices for the Securities on a designated website or via Bloomberg.
However, our affiliate is not required to post such indicative prices and may
stop doing so at any time. Investors are advised that any prices
shown on any website or Bloomberg page are indicative prices only and, as such,
there can be no assurance that any trade could be executed at such
prices. Investors should contact their brokerage firm for further
information.
In addition, the
issue price of the Securities includes the selling agents’ commissions paid with
respect to the Securities and the cost of hedging our obligations under the
Securities. The cost of hedging includes the profit component that
our affiliate has charged in consideration for assuming the risks inherent in
managing the hedging the transactions. The fact that the issue price
of the Securities includes these commissions and hedging costs is expected to
adversely affect the secondary market prices of the Securities. See “Risk
Factors — The Inclusion of Commissions and Cost of Hedging in the Issue Price is
Likely to Adversely Affect Secondary Market Prices” and “Use of Proceeds” in the
accompanying Product Supplement No. 2-I.
What
is the relationship between ABN Amro Bank N.V., ABN Amro Holding N.V. and RBS
Securities Inc.?
RBS Securities
Inc., which we refer to as RBSSI, is an affiliate of ABN AMRO Bank N.V. and ABN
AMRO Holding N.V. RBSSI will act as calculation agent for the Securities, and is
acting as agent for this offering. RBSSI will conduct this offering in
compliance with the requirements of NASD Rule 2720 of the Financial Industry
Regulatory Authority, which is commonly referred to as FINRA, regarding a FINRA
member firm’s distribution of the securities of an affiliate. See “Risk Factors
— Potential Conflicts of Interest between Holders of Securities and the
Calculation Agent” and “Plan of Distribution (Conflicts of Interest)” in the
accompanying Product Supplement No. 2-I.
Where
can I find out more about the Underlying Company?
Because the
Underlying Shares are registered under the Securities Exchange Act of 1934, as
amended, the Underlying Company is required to file periodically certain
financial and other information specified by the Commission which is available
to the public. You should read “Public Information Regarding the Underlying
Shares” in this Term Sheet to learn how to obtain public information regarding
the Underlying Shares and other important information. The historical highest
intra-day price, lowest intra-day price and last day closing price of the
Underlying Shares are set forth under the heading “Public Information Regarding
the Underlying Shares” in this Term Sheet.
What
if I have more questions?
You should read
“Description of Securities” in the accompanying Product Supplement No. 2-I 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 (866) 747-4332.
RISK
FACTORS
You
should carefully consider the risks of the Securities to which this Term Sheet
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 Product Supplement No. 2-I 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 and guaranteed by ABN AMRO Holding N.V., ABN AMRO’s parent
company. As a result, investors in the Securities assume the credit risk of ABN
AMRO and that of ABN AMRO Holding N.V. in the event that ABN AMRO defaults on
its obligations under the Securities. Any obligations or Securities sold,
offered, or recommended are not deposits of ABN AMRO and are not endorsed or
guaranteed by any bank or thrift, nor are they insured by the FDIC or any
governmental agency. The Securities are not
guaranteed under the Federal Deposit Insurance Corporation’s Temporary Liquidity
Guarantee Program.
Principal
Risk
The Securities are
not ordinary debt securities: they are not principal protected. In
addition, if the closing price of the Underlying Shares falls below the knock-in
level on any trading day during the knock-in period, investors in the Securities
will be exposed to any decline in the price of the Underlying Shares below the
closing price of the Underlying Shares on the date the Securities were
priced. Accordingly,
you may lose some or all of your initial principal investment in the
Securities.
Limited
Return
The amount payable
under the Securities will never exceed the original face amount of the
Securities plus the applicable aggregate fixed coupon payment investors earn
during the term of the Securities. This means that you will not benefit from any
price appreciation in the Underlying Shares, nor will you receive dividends paid
on the Underlying Shares, if any. Accordingly, you will never receive
at maturity an amount greater than a predetermined amount per Security,
regardless of how much the price of the Underlying Shares may increase during
the term of the Securities or on the determination date. The return
on a Security may be significantly less than the return on a direct investment
in the Underlying Shares to which the Security is linked during the term of the
Security.
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 price of the Underlying Shares, 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.
Holdings
of the Securities by Our Affiliates and Future Sales
Certain of our
affiliates may agree to purchase for investment the portion of the Securities
that has not been purchased by investors in a particular offering of Securities,
which initially they intend to hold for investment purposes. As a result, upon
completion of such an offering, our affiliates may own up to 15% of the
aggregate face amount of the Securities. Circumstances may occur in
which our interests or those of our affiliates could be in conflict with your
interests. For example, our affiliates may attempt to sell the
Securities that they had been holding for investment purposes at the same time
that you attempt to sell your Securities, which could depress the price, if any,
at which you can sell your Securities. Moreover, the liquidity of the
market for the Securities, if any, could be substantially reduced as a result of
our affiliates holding the Securities. In addition, our affiliates could have
substantial influence over any matter subject to consent of the security
holders.
Potential
Conflicts of Interest
We and our
affiliates play a variety of roles in connection with the issuance of the
Securities, including acting as calculation agent. In performing
these duties, the economic interests of the calculation agent and other
affiliates of ours are potentially adverse to your interests as an investor in
the Securities. We and our affiliates may carry out hedging activities that
minimize our risks related to the Securities, including trading in the
Underlying Shares. In particular, on or prior to the date of this Term Sheet,
we, through our affiliates, may have hedged our anticipated exposure in
connection with the Securities by taking positions in the Underlying Shares,
options contracts on Underlying Shares listed on major securities markets,
and/or other instruments that we deemed appropriate in connection with such
hedging. Our purchase activity, however, could potentially have increased the
initial price of the Underlying Shares, and therefore increased the knock-in
level, below which we would be required to deliver to you at maturity Underlying
Shares, which, in turn, would have a value less than the face amount of your
Securities.
No
Affiliation with the Underlying Company
The Underlying
Company 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 Company. Investing in the Securities is not equivalent
to investing in the Underlying Shares. Neither we nor Holding nor any of our
affiliates have any affiliation with the Underlying Company, and are not
responsible for the Underlying Company’s public disclosure of information,
whether contained in SEC filings or otherwise.
Uncertain
Tax Treatment
You should review
carefully the section of the accompanying Product Supplement entitled “U.S.
Federal Income Tax Consequences.” Although the tax consequences of an investment
in the Securities are unclear, we believe that it is reasonable to treat a
Security for U.S. federal income tax purposes as a put option (the “Put Option”), written by you
to us with respect to the Underlying Shares, secured by a cash deposit equal to
the face amount of the Security (the “Deposit”). Under this
treatment, less than the full amount of each coupon payment will be attributable
to the interest on the Deposit, and the excess of each coupon payment over the
portion of the coupon payment attributable to the interest on the Deposit will
represent a portion of the option premium attributable to your grant of the Put
Option (the “Put
Premium,” and collectively for all coupon payments received, “Put Premiums”). Interest on
the Deposit generally will be treated as ordinary income on indebtedness while
the Put Premium will not be taken into account prior to sale, exchange or
maturity of the Securities. The cover of this Term Sheet reflects our
preliminary determination of the rate of interest paid on the Deposit and the
amount of the Put Premiums.
Due to the absence
of authorities that directly address instruments that are similar to the
Securities, significant aspects of the U.S. federal income tax consequences of
an investment in the Securities are uncertain. We do not plan to request a
ruling from the Internal Revenue Service (the “IRS”), and the IRS or a court
might not agree with the tax treatment described in this Term Sheet and the
accompanying Product Supplement. If the IRS were successful in asserting an
alternative treatment for the Securities,
the tax
consequences of the ownership and disposition of the Securities could be
affected materially and adversely.
In December 2007,
the Treasury and the IRS released a notice requesting comments on various issues
regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the Securities would be
viewed as similar to the typical prepaid forward contract described in the
notice, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax
consequences of an investment in the Securities, possibly with retroactive
effect.
Both
U.S. and non-U.S. holders should consult their tax advisers regarding all
aspects of the U.S.
federal tax consequences of investing in the Securities (including possible
alternative treatments and the issues presented by the December 2007 notice), as
well as any tax consequences arising under the laws of any state, local or
non-U.S. taxing jurisdiction.
Reverse
Exchangeable is a Service Mark of ABN AMRO Bank N.V.
Hypothetical
Sensitivity Analysis of Total Return
of
the Securities at Maturity
The following
tables set out the total return to maturity of a Security, based on the
assumptions outlined below and several variables, which include (a) whether the
closing price of the Underlying Shares has fallen below the knock-in level on
any trading day during the knock-in period and (b) several hypothetical closing
prices for the Underlying Shares on the determination date. The information in
the tables is based on hypothetical market values for the Underlying Shares. We
cannot predict the market price or the closing price of the Underlying Shares on
the determination date or at any time during the term of the Securities. The assumptions
expressed below are for illustrative purposes only and the returns set forth in
the table may or may not be the actual rates applicable to a purchaser of the
Securities.
Assumptions
|
Initial
Price:
|
$91.32
(indicative price only, the initial price will be set on the pricing date;
the closing price on October 2, 2009 was $91.32)
|
|
Knock-In
Level:
|
$63.92 (70%
of the initial price)
|
|
Annual
Coupon on the Securities:
|
13.00%
|
|
Term
of the Securities:
|
1
Year
|
|
Exchange
Factor:
|
1.0 (we have
assumed that no Market Disruption Event occurs and the Calculation Agent
does not need to adjust the Exchange Factor for any adjustment event
during the term of the Securities).
|
Payment at maturity if the closing
price of the Underlying Shares falls below the knock-in level on any trading day
during the knock-in period: Assumed
|
Assumed Underlying
Shares closing price on determination date
|
Value of
Payment at
Maturity(a)
|
Twelve Monthly
Coupon
Payments(c)
|
Total Return(b)
$
|
%
|
|
$91.32 or above
|
$1,000.00
|
$130.00
|
$1,130.00
|
13.00%
|
|
|
$89.04
|
$ 975.08
|
$130.00
|
$1,105.08
|
10.51%
|
|
|
$84.93
|
$ 930.07
|
$130.00
|
$1,060.07
|
6.01%
|
|
|
$83.10
|
$ 910.03
|
$130.00
|
$1,040.03
|
4.00%
|
|
|
$74.79
|
$ 819.03
|
$130.00
|
$ 949.03
|
-5.10%
|
|
|
$65.82
|
$ 720.79
|
$130.00
|
$ 850.79
|
-14.92%
|
|
|
$52.66
|
$ 576.68
|
$130.00
|
$ 706.68
|
-29.33%
|
|
|
$36.86
|
$ 403.65
|
$130.00
|
$ 533.65
|
-46.64%
|
|
|
$18.43
|
$ 201.83
|
$130.00
|
$ 331.83
|
-66.82%
|
|
|
$ 9.22
|
$ 100.97
|
$130.00
|
$ 230.97
|
-76.90%
|
|
|
$ 0.00
|
$
0.00 |
$130.00
|
$ 130.00
|
-87.00%
|
|
Payment
at maturity if the closing price of the Underlying Shares never falls below the
knock-in level
on any trading day during the knock-in period:
|
Assumed Underlying
Shares closing price
on
determination
date
|
Value of
Payment at
Maturity(a)
|
Six Monthly
Coupon Payments(c)
|
Total Return(b)
|
|
$
|
%
|
|
$91.32 or above
|
$1,000.00
|
$130.00
|
$1,130.00
|
13.00%
|
|
$82.19
|
$1,000.00
|
$130.00
|
$1,130.00
|
13.00%
|
|
$78.08
|
$1,000.00
|
$130.00
|
$1,130.00
|
13.00%
|
|
$63.92
|
$1,000.00
|
$130.00
|
$1,130.00
|
13.00%
|
|
(a)
|
Based on the
assumptions set forth above, if the closing price of the Underlying Shares
falls below $63.92 on any trading day during the knock-in period and, in
addition, the closing price of the Underlying Shares is less than $91.32
on the determination date, the payment at maturity will be made in
Underlying Shares. For determining the value of the payment at maturity,
we have assumed that the closing price of the Underlying Shares will be
the same on the maturity date as on the determination
date.
|
|
(b)
|
The total
return presented is exclusive of any tax consequences of owning the
Securities. You should consult your tax advisor regarding whether owning
the Securities is appropriate for your tax situation. See the sections
titled “Risk Factors” in this Term Sheet and the accompanying Product
Supplement No. 2-I and “United States Federal Taxation” and “Taxation in
the Netherlands” in the accompanying Prospectus
Supplement.
|
|
(c)
|
Coupons on
the Securities will be computed on the basis of a 360-day year of twelve
30-day months or, in the case of an incomplete month, the number of actual
days elapsed. Accordingly, depending on the number of days in any monthly
coupon payment period, the coupon payable in such period and,
consequently, the total coupons payable over the term of the Securities,
may be less than the amount reflected in this
column.
|
|
(d)
|
Based on the
assumptions set forth above, if the closing price of the Underlying Shares
never falls below $63.92 on any trading day during the knock-in period,
the payment at maturity will be made in
cash.
|
PUBLIC
INFORMATION REGARDING THE UNDERLYING SHARES
According to
publicly available documents, IntercontinentalExchange, Inc., which we refer to
as IntercontinentalExchange or the Underlying Company, is a regulated global
futures exchange and overthe-counter, or OTC, market operator operating an
electronic futures and OTC marketplace for trading energy, soft agricultural and
agricultural commodities, credit default swaps and financial
products.
The Underlying
Shares are shares of the Common Stock of IntercontinentalExchange, $0.01 par
value. The Underlying Shares are registered under the Securities Exchange Act of
1934, as amended, which we refer to as the “Exchange Act.” Companies
with securities registered under the Exchange Act are required periodically to
file certain financial and other information specified by the Securities and
Exchange Commission, which we refer as the “Commission.” Information
provided to or filed with the Commission can be inspected and copied at the
public reference facilities maintained by the Commission at 100 F Street, N.E.,
Washington, D.C. 20549. Copies of this material can also be obtained
from the Public Reference Room of the Commission at 100 F Street, N.E.,
Washington, D.C. 20549 at prescribed rates. Please call the Commission at
1-800-SEC-0330 for further information about the Public Reference Room. In
addition, information provided to or filed with the Commission electronically
can be accessed through a website maintained by the Commission. The address of
the Commission’s website is http://www.sec.gov. Information provided to or filed
with the Commission by IntercontinentalExchange pursuant to the Exchange Act can
be located by reference to the Commission file number 001-32671.
In addition,
information regarding IntercontinentalExchange may be obtained from other
sources including, but not limited to, press releases, newspaper articles and
other publicly disseminated documents. We make no representation or warranty as
to the accuracy or completeness of such reports.
This
Term Sheet relates only to the Securities offered by us and does not relate to
the Underlying Shares or other securities of the Underlying
Company. We will derive all disclosures contained in this Term Sheet
regarding the Underlying Company from the publicly available documents described
above. Neither we nor Holding nor the agents have participated in the
preparation of such documents or made any due diligence inquiry with respect to
the Underlying Company in connection with the offering of the Securities.
Neither we nor Holding nor the agents make any representation that such publicly
available documents or any other publicly available information regarding the
Underlying Company are accurate or complete. Furthermore, neither we nor Holding
can give any assurance that all events occurring prior to the date of this Term
Sheet (including events that would affect the accuracy or completeness of the
publicly available documents described above) that would affect the trading
price of the Underlying Shares (and therefore the initial price and the knock-in
level and redemption amount) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future
events concerning the Underlying Company could affect the value you will receive
on the maturity date with respect to the Securities and therefore the trading
prices of the Securities. Neither we nor Holding nor any of our affiliates have
any obligation to disclose any information about the Underlying Company after
the date of this Term Sheet.
Neither
we nor Holding nor any of our affiliates makes any representation to you as to
the performance of the Underlying Shares.
We and/or our
affiliates may presently or from time to time engage in business with the
Underlying Company, including extending loans to, or making equity investments
in, or providing advisory services to the Underlying Company, including merger
and acquisition advisory services. In the course of such business, we and/or our
affiliates may acquire non-public information with respect to the Underlying
Company and, in addition, one or more of our affiliates may publish research
reports with respect to the Underlying Company. The statement in the preceding
sentence is not intended to affect the rights of holders of the Securities under
the securities laws. As a
prospective purchaser of a Security, you should undertake such independent
investigation of the Underlying Company as in your judgment is appropriate to
make an informed decision with respect to an investment in the Underlying
Shares.
The Underlying
Shares are traded on the NYSE under the symbol “ICE.” The following table sets
forth the published quarterly highest intra-day price, lowest intra-day price
and last day closing price of the Underlying Shares since the fourth quarter of
2005, when the Underlying Shares were first traded. The closing price for each
share of common stock on October 2, 2009 was $91.32. We obtained the prices
listed below from Bloomberg Financial Markets without independent verification.
You should not take the historical prices of the Underlying Shares as an
indication of future performance. Neither we nor Holding can give any
assurance that the price of the Underlying Shares will not decrease, such that
we will deliver Underlying Shares at
maturity.
|
Period
|
|
High Intra-day Price
|
|
|
Low Intra-day Price
|
|
|
Last Day
closing
price
|
|
|
2005
|
|
|
|
|
|
|
|
|
|
|
Fourth
Quarter
|
|
$ |
43.90 |
|
|
$ |
31.27 |
|
|
$ |
36.35 |
|
|
2006
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
$ |
73.57 |
|
|
$ |
36.00 |
|
|
$ |
69.05 |
|
|
Second
Quarter
|
|
$ |
82.35 |
|
|
$ |
45.27 |
|
|
$ |
57.94 |
|
|
Third
Quarter
|
|
$ |
77.90 |
|
|
$ |
51.77 |
|
|
$ |
75.07 |
|
|
Fourth
Quarter
|
|
$ |
113.85 |
|
|
$ |
72.15 |
|
|
$ |
107.90 |
|
|
2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
$ |
167.00 |
|
|
$ |
109.00 |
|
|
$ |
122.21 |
|
|
Second
Quarter
|
|
$ |
162.47 |
|
|
$ |
120.56 |
|
|
$ |
147.85 |
|
|
Third
Quarter
|
|
$ |
174.11 |
|
|
$ |
117.25 |
|
|
$ |
151.90 |
|
|
Fourth
Quarter
|
|
$ |
194.92 |
|
|
$ |
151.76 |
|
|
$ |
192.50 |
|
|
2008
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
$ |
193.58 |
|
|
$ |
110.33 |
|
|
$ |
130.50 |
|
|
Second
Quarter
|
|
$ |
167.28 |
|
|
$ |
113.99 |
|
|
$ |
114.00 |
|
|
Third
Quarter
|
|
$ |
116.38 |
|
|
$ |
61.00 |
|
|
$ |
80.68 |
|
|
Fourth
Quarter
|
|
$ |
92.96 |
|
|
$ |
49.69 |
|
|
$ |
82.44 |
|
|
2009
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Quarter
|
|
$ |
85.00 |
|
|
$ |
50.10 |
|
|
$ |
74.47 |
|
|
Second
Quarter
|
|
$ |
121.59 |
|
|
$ |
72.06 |
|
|
$ |
114.24 |
|
|
Third
Quarter
|
|
$ |
115.26 |
|
|
$ |
83.00 |
|
|
$ |
97.19 |
|
|
Fourth Quarter (through October 2, 2009)
|
|
$ |
99.00 |
|
|
$ |
91.02 |
|
|
$ |
91.32 |
|
Neither we nor ABN
AMRO Holding N.V. make any representation as to the amount of dividends, if any,
that IntercontinentalExchange will pay in the future. In any event, as a holder
of a Security, you will not be entitled to receive dividends, if any, that may
be payable on the Underlying Shares.
PLAN
OF DISTRIBUTION (CONFLICTS OF INTEREST)
We have appointed
RBS Securities Inc. (“RBSSI”) as agent for this offering. RBSSI has agreed to
use reasonable efforts to solicit offers to purchase the Securities. We will pay
RBSSI, in connection with sales of the Securities resulting from a solicitation
such agent made or an offer to purchase such agent received, a commission of
2.75% of the initial offering price of the Securities. RBSSI has informed us
that, as part of its distribution of the Securities, it intends to reoffer the
Securities to other dealers who will sell the Securities. Each such dealer
engaged by RBSSI, or further engaged by a dealer to whom RBSSI reoffers the
Securities, will purchase the Securities at an agreed discount to the initial
offering price of the Securities. RBSSI has informed us that such discounts may
vary from dealer to dealer and that not all dealers will purchase or repurchase
the Securities at the same discount. You can find a general description of the
commission rates payable to the agents under “Plan of Distribution” in the
accompanying Product Supplement No. 2-I.
RBSSI is an
affiliate of ours and ABN AMRO Holding N.V. RBSSI will conduct this offering in
compliance with the requirements of NASD Rule 2720 of the Financial Industry
Regulatory Authority, which is commonly referred to as FINRA, regarding a FINRA
member firm’s distributing the securities of an affiliate. Following the initial
distribution of any of these Securities, RBSSI may offer and sell those
Securities in the course of its business as a broker-dealer. RBSSI may act as
principal or agent in those transactions and will make any sales at varying
prices related to prevailing market prices at the time of sale or otherwise.
RBSSI may use this Term Sheet and the accompanying Prospectus, Prospectus
Supplement and Product Supplement No. 2-I in connection with any of those
transactions. RBSSI is not obligated to make a market in any of these Securities
and may discontinue any market-making activities at any time without
notice.
RBSSI or an
affiliate of RBSSI will enter into one or more hedging transactions with us in
connection with this offering of Securities. See “Use of Proceeds” in the
accompanying Product Supplement No. 2-I.
To the extent that
the total aggregate face amount of the Securities being offered by this Term
Sheet is not purchased by investors in the offering, one or more of our
affiliates has agreed to purchase the unsold portion, and to hold such
Securities for investment purposes. See “Holdings of the Securities by our
Affiliates and Future Sales” under the heading “Risk Factors” in this Term
Sheet.