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Equity Structured

Products Manual
Introduction

Equity Structured products have been very popular with private investors in recent years as they offer multiple pay-
offs based on equity underlyings. The appeal of these products lies in their ability to deliver customised returns for
investors. Structured Products can be customised to investors needs and requirements using a variety of equity
underlyings from recognised benchmark indices, customised indices, baskets of stocks to single stock underlyings.

This manual highlights the range of structured equity products and is intended to provide private wealth managers
and private investors with an overview of the different range of equity structured products that are available.

Equity structured products are flexible by nature enabling a product to be tailored to specific investment objectives
and requirements. Investors will be able to determine which equity structured product is suitable to meet their
investment objectives and risk appetite. Additionally the building blocks used to create each structured product are
included in this manual.

ABN AMRO has won numerous awards for structured products and can assist investors not only with creation of
equity structured products but also secondary market servicing. ABN AMRO has a team dedicated to the purchase
and re-sale of structured products. Prices, trade details and product updates for structured products can be found on
www.abnamromarkets.com.

Key Advantages of Equity Structured Products


Highly Customised: Structured equity products can be
tailored to investors’ diverse requirements and can create
risk return profiles that would normally be inaccessible
to the private investor.

Enhanced Yield: Structured equity products allow


investors to achieve higher returns on their investments,
by expressing a view and accepting certain risks, than
they would receive with traditional products.

Convenience: Structured equity products allow


investors to create risk-return pay-offs in one structure
that can be difficult or expensive to create in traditional
markets.

This Equity Structured Products Manual ("Manual") is designed to help distributors of financial products identify an investment approach and
product range that could generally suit their clients. The Manual is intended as a summary only and the information contained therein is not
intended to be exhaustive. The information provided is for general consideration only and the Manual in no way constitutes investment advice
or a recommendation from ABN AMRO Bank N.V. Distributors should ensure that investors are fully aware of the risks involved in the purchase
of investment products and should comply with all prevailing law. This material is for information purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any particular security. Past performance is not a guarantee of future performance. For further
disclaimer information please see page 39 of this Manual.

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Table of Contents

Equity Structured Products 4

Theme-Based Products 6

Notes: Building Block 8

Performance Tracking Certificates 10


Leveraged Certificates (also known as MINIs or Turbo’s) 12
Warrants 16
Capital Protection Notes (CPN) 20
Reverse Exchangeable (REX) 22
Discount Certificates 24
Bonus Certificates 26
Airbag Certificates 28
Double-Up Certificates 30
Outperformance Certificates 32
Autocallable Notes 34
Look-back Notes 36

Disclaimer 38

Contacts 39

3
Equity Structured Products

What is a Structured Product? Who uses Structured Products?


Structured products are financial instruments designed Structured Products can be attractive to most investors
to meet specific investor requirements. They are due to capital protection features, fixed returns, access
“packaged” products, comprised of elements, such to exotic markets and in some cases favourable tax
as options and bonds. Structured products can offer treatment. Potential clients may be private investors,
exposure to a range of underlyings, such as global asset managers, private banks, corporate clients, insurance
equities, commodities, funds including hedge funds, companies or pension funds. For any additional information,
or indices. ABN AMRO also offers structured products please contact your local sales representative.
linked to interest rates, credit, foreign exchange and
inflation. They can be tailored to incorporate a wealth
of features, such as capital protection and leverage. What kind of Structured Products
can we offer?
What are the uses of Structured Structured Products can be categorised within the
Products? following general categories to suit investors and their
risk appetite:
Structured products are highly versatile and can be
constructed with features that may help investors to Performance Tracking Structures are intended for
achieve a specific goal profiting from their market view medium to longer term investors who want to invest
or a projected scenario. By taking a specific view and in a specific market, sector, theme or underlying.
accepting a certain level of risk, an above market return
can be achieved. Risks that an investor wishes to avoid Capital Protection Structures suit risk averse investors.
can be incorporated and offset in the structure. For The investor can benefit from various degrees of protection
example, investors can be protected from the downside and gain exposure to a wide range of underlying assets.
of an underlying, interest rate risk, credit risk or currency
risk. Leverage Structures have a high risk-return profile, and
offer self-directed active investors accelerated exposure
Structured Products can be used to facilitate bullish to an underlying asset.
(rising market), stagnant (range bound) as well as
bearish (falling market) views. Yield Enhancement Structures may be desirable to
investors when markets are stable or range bound. The
yield potential can be above market, however the capital
may be at risk.

Actively Managed Structures utilize the expertise of


an active manager taking decisions with the aim of
increasing returns.

4
Fees Structured Product forms
There are two ways to purchase Structured Products, ABN AMRO is a leading issuer of Structured Products
namely: for institutions and private investors and has won
numerous awards.
Purchase via Subscription: The product is not yet live,
but in subscription and investors might be subject to There is a wide range of ABN AMRO Structured
upfront fees. Products and Products are regularly issued and can be
tailored to an investor’s specific investment objective or
Purchase via Secondary Market: Investors can view.
purchase Structured Products via exchanges or product
providers and generally will be subject to a bid/offer Structured Products are usually in the form of
spread. “Certificates”, “Warrants” or “Notes”:

> Some products may be subject to a trailer management/ Certificates are financial instruments that track the
protection fee which is charged over the life of the performance of an underlying asset. Certificates often
product. track underlying assets equally (less fees) but can also
include leverage (gearing) to increase exposure to the
> Some products may be subject to Early Redemption underlying.
Fees.
Warrants are exchange traded products, and can be
either call or put options. They provide the holder the
right to purchase (call) or sell (put) a specific amount
of an underlying asset at a predetermined price, at a
specific date (expiry date). Warrants can be traded daily
via the exchange until the expiry date.

Notes generally provide both a level of capital


protection and exposure to a wide range of underlying
assets, such as equities, commodities, currencies and
Fixed Income.

5
Theme-Based Products

Products based on investment themes often prove attractive to investors. Over the past years, ABN AMRO
has launched a wide variety of themed products based on a wide variety of investment themes. On the themes
ABN AMRO has issued different types of Structured Products. Some of the themes are:

Commodities Water
Over the past years commodity prices have grown Water demand is growing significantly due to increasing
significantly to the extent that the oil price reached over global population, agriculture and industrialisation. It
USD 135 per barrel during 2008. Other commodities is life’s most valuable commodity and will have to be
such as gold, silver and copper have also witnessed treasured and managed efficiently, as if it were oil or
strong growth. To enable investors to profit from these gold. Investment in water is essential to combat the
developments ABN AMRO has regularly launched significant threat of scarcity. ABN AMRO has established
commodity products such as: a number of Structured Products around this theme.
In association with Standard & Poor’s®, ABN AMRO
RICI Products created a Water Index comprised of leading water
The RICI® Index is a commodity index, created by the related companies.
legendary Jim Rogers, which aims to “reflect the costs
of our daily life and survival”. It is comprised of agricultural
products, cattle, energy, industrial and precious metals. ABN AMRO Alpha Indices
A RICI® Enhanced Index version has also been created.
ABN AMRO has launched Certificates, Actively Managed ABN AMRO Alpha Indices are revolutionary investment
Certificates, Capital Protected Notes and CPPI Notes on strategies of investing in underlying indices using a
the index. proven strategy which has up to 80 years of successful
backtests. The strategy is to only invest in the market at
Energy/Oil/New Energy certain times, such as at the month-end and before public
ABN AMRO has issued a wide range of Structured holidays which historically have had higher returns.
Products linked to various energy sectors. Examples are
oil, solar energy and wind energy. Many investors are Currently ABN AMRO Alpha Index open-end Certificates
concerned with their level of exposure to oil and other cover most of the world's major stock indices, including:
fossil fuels, and consequently ABN AMRO has launched
products which provide an alternative to traditional S&P 500® Index
energy investments and give investors the opportunity DJ EURO STOXX 50® Index
to participate in current developments in renewable Nikkei 225 Index
energy. DAX® Index
FTSE 100® Index

Alpha Indices are all managed by Standard & Poor's®.

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Islamic Investor Products ABN AMRO Awards
ABN AMRO has launched Islamic Investor Products (“IIP”) ABN AMRO has been awarded and recognised as one
to enable investors to participate in the performance of of the major Derivatives houses in different countries.
multi-asset class Shariah compliant underlying references.
IIPs are endorsed by ABN AMRO’s Shariah Advisory Board The Netherlands
and are issued from the same platform as all other ABN Gouden Tak Awards 2008
AMRO Structured Products, providing total asset coverage. Best Issuer
Best Website
Public Choice
ABN AMRO Africa Indices Best Product
Best Risk/Return Profile
Over the past years Africa has developed and is having Most Original Product
an increasingly significant role in the global economy.
The North profits mainly from the developed trade and Benelux
tourism and has been closely linked to the economies Structured Products Europe
in Europe and Middle East. South Africa is by far the Awards 2007
continent’s wealthiest state, mainly because of its gold. Best in Benelux
The African continent has huge commodity reserves
which remain largely untapped. Consequently ABN AMRO Germany
has issued some structures linked to this continent. Zertifikate Journal Awards
2007
Best Index Certificates Issuer
ABN AMRO Emerging Market Indices Best Guaranteed Certificates Issuer

The Emerging Market countries are characterised by a Switzerland


spectacular economic growth – and most of them may Swiss Derivatives Awards
keep their dynamic momentum for the next years. Some 2008
economic researches suggest that the current six largest Participation Products
world economies - the US, Japan, the UK, Germany, Italy
and France - could be overtaken, in terms of GDP, by the Italy
largest emerging countries Brazil, Russia, China and India Certificate Journal Awards 2008
(BRIC countries) within 40 years. To enable investors to Best Issuer of Leverage Products
profit from these developments ABN AMRO has regularly Certificate Journal Special Award
launched products on Emerging Markets such as BRIC, Best Innovative Underlying
Next 7 or Eastern Europe countries. Certificate of the Year

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Notes: Building Block

Notes usually contain a fixed-income element, often in the form of a zero coupon bond, and an option or a future that
provides the investor with exposure to an underlying asset. The choice of option or future is a crucial determinant for
the behaviour of the note.

Zero-Coupon Bond Example


Zero-Coupon Bonds are bonds that do not receive Call Option gives the investor the right to purchase the
coupon payments over their term. In order to compensate underlying at a certain price at a certain date. Suitable
for the lack of coupon payments they are purchased at for expressing a bullish view.
a discount and their value increases to 100 at maturity.
Thus, in a capital protected structure, if the underlying Put Option gives the investor the right to sell the
option expires worthless the investor will receive the underlying at a certain price at a certain date. Suitable
initial investment at maturity as the value of the Zero- for expressing a bearish view.
Coupon Bond will have reached 100.
Exotic Options can have different features: barrier,
This means that during the life of a structure an increase laggard underlying, knock-in, knock-out, best of, or many
in interest rates will decrease the value of the Zero- other variants.
Coupon Bond and so of the Note. This makes Capital
Protected Notes sensitive to interest rate movements. In order to relate options to the price of the underlying
at any given time, options are classified as in-the-
money, out-of-the-money or at-the-money.
Options
Options give the right, but not the obligation, to buy Most Popular Styles
(call) or sell (put) a given underlying at a predefined
Strike Price on a fixed date in the future. European-style Options can only be exercised on a
specified date (exercise date) prior to its expiration.
Three different types of option contracts exist:
American-style Options can be exercised by the
Standard Options: traded on derivatives exchanges, holder at any time between the purchase date and the
fixed specifications, no counterparty risk. expiration date.

OTC Options: agreement between two parties, user- Asian-style Options payoff depends on the average
defined specifications, counterparty risk. value of the underlying over a specified period.

Warrants: issued by banks, traded on ordinary


exchanges, issuer risk. The price of an option is affected by the price of the
underlying, the strike, the time remaining for the option
At maturity, the value of an option is always the to be exercised, the volatility of the underlying, interest
difference between the strike and the value of the rates and dividends (if the underlying pays out any
underlying. The main option categories are described dividends at all).
next.

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Call Put

Price of the Underlying


in-the-money out-of-the-money
is above the Strike Price

Price of the Underlying


is equal to the Strike Price at-the-money at-the-money

Price of the Underlying


out-of-the-money in-the-money
is below the Strike Price

Certificates Types of Open End Certificates


Certificates track the performance of an underlying Certificates usually replicate the performance of an
asset after fees. ABN AMRO Certificates usually have underlying reference on a 1:1 basis (before fees). The price
no fixed maturity and as such are often referred to as of a Certificate therefore corresponds to the value of the
“Open End Certificates”. underlying reference, after taking account of the conversion
ratio and deduction of any fees payable. Transparency,
They are suitable for investors who want to benefit simplicity and low costs are features of Certificates.
from the performance of a certain asset class such as
equities, commodities, currencies, or fixed income for Certain Certificates known as Quantos protect investors
example. Investors can easily purchase or sell listed from exchange rate risks if the underlying asset is traded
certificates and can determine the timing of the exit in a currency that differs to that of the Certificate.
as they would with a fund or single stock.
To obtain currency protection investors will be charged or
ABN AMRO offers a large number of Open End receive Quanto fees. Depending on the currency pair, the
Certificates based on a wide range of underlying assets. Quanto fee can be positive or negative. If the interest differential
This gives investors the opportunity to invest in the is in the investor’s favour, the Quanto fee will be added
assets of their choice. on a daily basis to the Certificate value, and vice versa.

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Performance Tracking Certificates

Description
ABNAMROMARKETS currently offer certificates on
single stocks, indices, sectors, themes, commodities,
interest rates, currencies, actively managed funds
and is constantly expanding the underlying range.
The investment performance of these certificates will
be the same (minus fees) as the performance of the
underlying asset. Performance Tracking Products are
intended for medium to longer-term investors.

Some certificates issued on international underlyings


carry currency risk. To resolve this, an investor can
purchase Quanto Certificates that are designed to
reduce this currency risk by enabling the investor to
participate in international markets in their own currency
while avoiding currency fluctuations (see explanation for
further details on Quantos in “Notes: Building Block”).

Advantages
Availability, Flexibility and Convenience: Easy access
to a large variety of investment alternatives. Small
denominations, low transaction costs and tranparent
fees facilitate investor participation in the world markets.

Transparency: Certificate prices are transparent, they


move in tandem with the underlying asset (before
accounting for fees).

Liquidity: ABN AMRO is committed to maintaining


a two-way secondary market throughout the life of a
Certificate. Additionally, many Certificates are listed
and can be traded on different exchanges.

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Selecting the Right Product Risks
Certificates are suitable for investors who: The risk related to investing in ABN AMRO Certificates is
comparable to a direct investment in the underlying. If the
> Expect a rise in the price of the underlying asset (i.e. underlying decreases, the value of the Certificate decreases.
single stock, index, commodity or currency) In the worst case, the investor can lose their entire investment.

> Want to have medium to long-term exposure to a


particular market or sector Example - Quanto Certificates
> Want to participate in the price movement of the Assumptions
market by investing in small denominations Comparison between an S&P 500® Index direct
investment (assume an investor could buy the S&P
> Want to get an easy access to a large range of underlyings 500® Index) and an S&P 500® Index Quanto Certificate.

> Want to take advantage of the flexibility and low The investor is based in Europe and has EUR 1,000 to invest.
transaction costs associated with these products

S&P 500® Index Certificate Open-end Certificate on


S&P 500® Index (in EUR Quanto)
Price USD 1,000 EUR 1,000
Number of units per EUR 1,000 1.5 as USD/EUR exchange rate is USD 1.50 per EUR 1
®
S&P 500 Index goes up by 20% profit in USD terms, 20% profit in EUR terms
20% unclear what happens in EUR terms
What happens in EUR terms
when USD/EUR exchange rate Profit changes to 12.5% due to currency loss Profit remains at 20%
changes to USD 1.60 per EUR?

Example - Performance Tracking Certificates (non Quanto)

Underlying Certificate
Price behaviour: markets up Up Up
Price behaviour: markets down Down Down
Secondary market Yes Yes
Easy access Not all underlyings are accessible to private clients Yes (through stock exchanges)
Depends on underlying content (e.g. to buy the Very simple (e.g. one investment in the S&P 500®
Simplicity of trade S&P 500® Index, the client needs to buy 500 Index Certificate can buy all the 500 shares of the
individual shares) S&P 500® Index
Transaction costs Can be very high (see example above) Low
May be low and can be difficult to oversee High (only one price)
Transparency
(see example above)

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Leveraged Certificates (also known as MINIs or Turbo’s)

Description
Leveraged certificates are suitable for investors who have
a directional view on a specific Underlying and wish
to monetise their view, whilst ensuring they know the
maximum possible loss on the position (the “Stop-Loss”).

Leveraged Long certificates are developed to benefit


investors with a bullish view on the price of the Underlying,
whereas Leveraged Short certificates benefit those with
a bearish view on the price of the Underlying.

Due to the leveraged nature of leveraged certificates, the


products are mainly suitable for experienced investors.

Advantages
> Leveraged earnings potential

> Certainty about maximum loss (equal to premium)

> No volatility element in the price of a Leveraged


Certificate

> High pricing transparency

> No margin requirements

> Access to many underlyings in different asset classes


(shares, indices, bonds, FX, commodities) and different
regions

> Built-in stop-loss

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Basics Stop Loss
The investor investing in a leveraged certificate receives Leveraged Certificates are open-ended (no maturity
the full increase or decrease in the price of the underlying, date). However they do have a stop-loss level, which
but only finances part of the underlying, the rest is financed can trigger redemption. This Stop-Loss level is put in
by ABN AMRO (this creates the leverage). The level of place to ensure that the investor cannot lose more than
the leverage shows the larger price variation of the the price initially paid for the Leveraged Certificate.
leveraged certificate in comparison to the underlying. For If the price of the underlying hits or breaches the Stop-
example, if an index moves by 1%, a leveraged certificate Loss level, the Leveraged Certificate will terminate and
with a leverage of 5 will move by 5%. Likewise, a leveraged the investor will receive the difference, if any, between
certificate with a leverage of 10 would have moved by the termination value (as calculated by ABN AMRO) and
10%. The higher the leverage, the more sensitive the the financing level multiplied by the entitlement and
leveraged certificate is for price movements of the adjusted for exchange rates. This termination value will
underlying. This works for both increases and decreases, always be greater than or equal to the financing level,
so a drop of 1% with a leverage of 10 would result in so the investor will always receive an amount greater
a 10% loss for the leveraged certificate. However, the than or equal to 0.
investor cannot lose more than the initial investment
when purchasing the leveraged certificate. On a monthly basis, the stop-loss levels are reset to
match the then prevailing financing level, plus (in case
of a leveraged certificate long) or minus (in case of a
Financing Level leveraged certificate short) the stop loss premium.
This is unique to the underlying and dependent on its
An investor who buys a leveraged certificate only liquidity and volatility. Rolling of futures and dividend
finances part of the underlying, the rest is financed by payments can also trigger adjustments to the Stop-Loss
ABN AMRO. The part financed by ABN AMRO is called level.
the financing level. When buying a leveraged certificate
long, the investor will pay interest on the financing
level. When buying a leveraged certificate short, the Leveraged Certificate Valuation
investor will, in general, receive interest dependent on
the overnight interest rates and the type of underlying. The theoretical value of a leveraged Certificate is the
The interest paid or received will change the financing difference between the price of the underlying and
level on a daily basis. Also, possible dividends paid by the financing level, multiplied by the entitlement (the
underlying securities will affect the financing level. For “amount” of underlying an investor partially buys when
leveraged certificates that reference bonds or commodities, buying one leveraged Certificate) and adjusted by the
the underlying is a futures contract. Rolling into a new applicable FX-rate (in case the currency of the underlying
futures contract can also affect the financing level. is different from that of the leveraged Certificate).

For example, when the price of a share is EUR 25, the


financing level is EUR 20 and the entitlement is 1, the
price of the leveraged Certificate is (25 - 20) x 1 = EUR 5.

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Risks
For underlyings that are trading at a high level (e.g. the
Dow Jones) or a low level (e.g. EUR/USD exchange- Leveraged Certificates are by definition highly leveraged
rate), the entitlement will not be equal to one, to avoid investments, where buyers risk losing their entire invested
having very high or low prices of the leveraged Certificate capital. A stop-loss event will result in the position being
itself. An entitlement of 0.01 for instance means that an unwound and the investor receiving the residual value,
investor who buys one leveraged Certificate effectively which is dependent on market circumstances and could
buys exposure to 1% of the difference between the be zero. If used for hedging, a stop-loss may result in
price and the financing level for the underlying. the hedged portfolio becoming unhedged.

Assumptions
Dow Jones level: 12,000
EUR/USD: 1.50
Financing level: 13,000

The value of a EUR-denominated Leveraged Certificate


Short with an entitlement of 0.01 will now be:
(13,000 – 12,000)/1,5 x 0,01 = EUR 6.67.

Example - MINI-Long Certificate


Assumptions
Comparison between a MINI-Long Certificate and an
Open-ended Certificate to show the leverage effect.

XYZ share stands at 3,650.

XYZ Open-ended Certificate XYZ MINI-Long Certificate


Financing Level = 3,000
Product price EUR 3,650 Premium = 3,650 - 3,000= 650
MINI-Long Certificate price = EUR 650
Leverage 1 (no leverage) 5.62 x (3,650/650)

Assumptions
Comparison between a MINI-Long Certificate and an
Open-ended Certificate.

XYZ share increases to 3,800.

(financing level change due to handling cost is not taken


into consideration in this example).

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XYZ Open-ended Certificate XYZ MINI-Long Certificate
Financing Level = 3,000
Product price EUR 3,800 Premium = 3,800 - 3,000= 800
MINI-Long Certificate price = EUR 800
Price increase EUR 150 EUR 150
Performance 4.11% 23.08% (150/650)

As financing costs will be added to the Financing Level, the investor only pays the financing cost for the period the
product is held.

Example - MINI-Short Certificate


Assumptions
Comparison between a MINI-Short Certificate and an
Open-ended Certificate to show the leverage effect.

XYZ share stands at 3,500.

XYZ Open-ended Certificate XYZ MINI-Short Certificate


Financing Level = 4,000
EUR 3,500 Premium = 4,000 - 3,500= 500
Product price
MINI-Short Certificate price = EUR 500
No interest premium
Leverage 1 (no leverage) 7 x (3,500/500)

Assumptions
Comparison between a MINI-Short Certificate and an
Open-ended Certificate.

XYZ share decreases to 3,250.

XYZ Open-ended Certificate XYZ MINI-Short Certificate


Financing Level = 4,000
Product price EUR 3,250 Premium = 4,000 - 3,250= 750
MINI-Short Certificate price = EUR 750
Price increase EUR 250 EUR 250
Performance 7.14% 50% (250/500)

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Warrants

Description
Warrants are certificates issued by ABN AMRO that
give the investor the option to buy or sell a certain
amount of an underlying at a specific price before or
on a predetermined date.

Call Warrants enable investors to profit from rising


market prices. Put Warrants enable investors to profit
from falling market prices. Warrants are typically issued
on shares, baskets of shares, commodities, foreign
exchange, indices and bonds.

Advantages
> High yield potential

> Small initial investment

> Risk limited to a moderate initial investment

> Opportunity to hedge an existing portfolio

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Price Behaviour Parameters
The market value of the Warrant at expiry should The following two main variables determine the value of
typically equal its intrinsic value. Generally, the value of a Warrant:
a Call Warrant will increase as the price of the underlying
security increases and the value of a Put Warrant will Time to Maturity: the longer this time, the higher the
increase as the price of the underlying security decreases, time value
all the other factors remaining constant.
Volatility: the measure calculating the price movement
Warrants are classified as American style if they can of the underlying. The higher the volatility, the higher
be exercised at any time during the life of the Warrant, the time value
or European style if they can only be exercised on the
expiry date.
Risks
Value Components Warrants are highly leveraged investments, which means
that buyers risk losing their entire invested capital. Investors
The price of a Warrant is made up of two components - should be aware that the price of Warrants can be volatile
the intrinsic value and the time value of the Warrant. The and that they experience time decay throughout their
intrinsic value is the amount by which a Warrant is in lifespan. The rate of this decay accelerates for Warrants
the money. The intrinsic value of a Warrant is calculated near expiry and they can expire worthless. In the worst
in the following manner: case, the investor can lose their entire investment.

Intrinsic Value for a Call Warrant


Underlying security’s price - Strike price of Warrant
(Cannot be negative)

Intrinsic Value for a Put Warrant


Strike price of Warrant - Underlying security’s price
(Cannot be negative)

The time value is generally the difference between the


price of the Warrant and its intrinsic value. If the Warrant
has no intrinsic value, then the price of the Warrant is
equal to the Warrant’s time value.

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Example - Call Warrant Example - Put Warrant
An investor assumes that the share XYZ will increase in An investor expects that the share XYZ will decrease in
value. He can either buy the share or a Call Warrant. value. He can either sell the share or buy a Put Warrant.

Assumptions Assumptions
XYZ share price is EUR 10. XYZ share price is EUR 10.

A Call Warrant on share XYZ with a Strike price of EUR A Put Warrant on share XYZ with a Strike price of EUR
10 will cost the investor EUR 1.50. 10 will cost the investor EUR 1.50.

Intrinsic value is EUR 0 and time value is EUR 1.50. Scenario 1


At maturity the share price of XYZ is EUR 7.
Scenario 1
At maturity the share price of XYZ is EUR 15. In this case, the investor will have the right to sell a share at
EUR 10 resulting in a gain of EUR 3. In ROI terms (EUR 1.50
In this case the investor will exercise his Call Warrant. He for the Warrant) the investor would have made a gain of
will buy the share at the Strike price of EUR 10 and make a 100%.
gain of EUR 5 for a cost of EUR 1.50. If he had short sold a share instead of buying the Warrant,
In terms of return on investment (ROI), the EUR 1.50 paid he would have made a gain of EUR 3.
for the Warrant gives the investor a gain of 233% (gain of
EUR 3.50 relative to a EUR 1.50 investment). If the investor Scenario 2
had purchased the share instead of the Call Warrant, he At maturity the share price of XYZ is EUR 15.
would have made a profit of EUR 5. The ROI from
purchasing the underlying shares would only have been In this case, the holder of the Warrant will not exercise
50% (gain of EUR 5 relative to a EUR 10 investment). his Put Warrant. He will make a loss limited to the Warrant
price, EUR 1.50.
Scenario 2 If he had short sold a share instead of buying a Warrant, he
At maturity the share price of XYZ is EUR 5. would have incurred a loss of EUR 5.

In this case, the holder of the Warrant will not exercise his Scenario 3
Call Warrant. He will make a loss limited to the Warrant At maturity the share price of XYZ is EUR 11.
price, EUR 1.50.
If he had purchased a share instead of buying a Warrant, he In this case, the holder of the Warrant will not exercise
would have incurred a loss of EUR 5. his Put Warrant. He will make a loss limited to the Warrant
price, EUR 1.50.
Scenario 3 If he had short sold a share instead of buying a Warrant, he
At maturity the share price of XYZ is EUR 9. would have incurred a loss of EUR 1.

In this case, the holder of the Warrant will not exercise his
Call Warrant. He will make a loss limited to the Warrant
price, EUR 1.50.
If he had purchased a share instead of buying a Warrant, he
would have incurred a loss of EUR 1.

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Comparison between MINI Certificates and Warrants

MINI-Long Certificate MINI-Short Certificate Call Warrants Put Warrants

Underlying goes down Value goes down Value goes up Value goes down Value goes up

Underlying goes up Value goes up Value goes down Value goes up Value goes down

Time decay No No Yes Yes

Price is volatility depending No No Yes Yes

Stop-loss before maturity Possible Possible No No

Secondary-markets Yes Yes Yes Yes

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Capital Protection Notes (CPN)

Description
These products protect a portion of the invested capital.
Capital protected products offer a defensive investment
and are a suitable way to invest in financial markets
with little or no capital risk.

Advantages
> Capital (partially or fully) protected at maturity

> Higher potential return than fixed income investments

> Participation possible in a broad range of underlyings

Choice of Capital Protection Levels


> 100% of your invested capital

> Less than 100% (in this case investors will generally get
a higher participation rate)

> Greater than 100% (in this case investors will generally
get a lower participation rate)

Choice of Participation Type


> Participation can vary according to the structure
features, such as maturity or level of capital protection

> Different payoffs are available, such as capped upside to


increase the participation

20
Structure Components Additional Features
> Long Zero Coupon Bond To optimise the structure, a worst-of feature can be
added, to increase the participation in the upside of the
> Long Call Option (Strike at Strike price), multiplied by underlying or increase the protection level. In that case,
participation level the price considered for the payoff calculation is the
one of the worst performing underlying, within the
basket of underlyings.
Risks
Another way to increase the participation on the upside
On the secondary market, the price of the Capital or the protection level is the use of Asian options. Instead
Protected Note fluctuates in relation to several of considering the level of the underlying at maturity
parameters, such as the price of the underlying, the (for the final price), the final level is taken as an average
volatility level of the underlying and the level of interest of the underlying level at multiple dates over the
rates. Investors should be aware that the capital product’s life.
protection only applies at maturity.

Example - Capital Protection Note


Redemption in %

150

2
Assumptions
XYZ share price is EUR 10.
Strike price is EUR 10. 100 1
Capital Protection is 100%.
Participation level on the upside is 80%.

Scenario 1
50
XYZ share is above Strike price at maturity, for example
EUR 15 (meaning a EUR 5 increase).
The investor will receive EUR 10 + (80% x EUR 5) =
EUR 14.
0
Scenario 2 0 50 100 150 200
Final Level in %
XYZ share is below Strike price at maturity, for example Underlying
EUR 7. Capital Protected Note Payoff (with 80% Participation)
The investor is fully protected and will receive EUR 10.

21
Reverse Exchangeable (REX)

Description
Reverse Exchangeables are securities that pay above
market coupons. In return for this coupon, there is no
guarantee that investors will recover the full amount of
invested capital. At maturity, the price of the underlying
is compared to the price set at the time of issue (known
as the Strike price, usually 100% of the underlying price).

Advantages
> During the life of the investment investors receive a
coupon higher than the risk free rate at issue

> The high coupon(s) received may offset potential capital


losses if the underlying asset price falls slightly below
the reference price

Price Behaviour
The price of the Reverse Exchangeable rises as the
underlying asset price rises. The higher the price of the
underlying, the greater the chance that investors will
receive the full amount of invested capital at maturity.
Similar to ordinary bonds, as interest rates fall, the price
of the Reverse Exchangeable will rise by varying degrees,
depending on time to maturity. There are two ways of
settlement for a Reverse Exchangeable: cash or physical
settlement at maturity.

In addition to the coupon, Reverse Exchangeables offer


two possible payouts at maturity:

> If the price of the underlying share is above or equal to


the Strike price, an amount corresponding to 100% of
the nominal amount.

> If the price of the underlying is below the Strike price,


the investor suffers a loss, receiving units of the
underlying (equal to nominal amount over Strike price)
or a (below Par) cash settlement.

22
Structure Components Example - Reverse Exchangeable
> Long Zero Coupon Bond Assumptions
Comparison between a direct investment and Reverse
> Short Put (Strike at Strike price) Exchangeable.

XYZ share price at the beginning of the trade is EUR 10.


Risks
The Reverse Exchangeable has a coupon of 10%.
If at maturity the underlying fixes below the Strike Maturity of 1 year.
price, redemption will be below Par. In the worst case, Strike price of EUR 10.
the investor can lose their entire investment (but will be
paid the coupon in any case).

Price at maturity Direct investment in XYZ share Reverse Exchangeable on XYZ share

Scenario 1 EUR 12 Profit of 20% Profit of 10% (coupon)

Scenario 2 EUR 10.8 Profit of 8% Profit of 10% (coupon)


EUR 9 Loss of 10% Profit/loss of 0 (10% loss on share price
Scenario 3
10% profit from coupon)
EUR 7 Loss of 30% Loss of 20% (30% loss on share
Scenario 4
10% profit from coupon)

Additional Features
Redemption in %

150

To obtain a certain level of protection in case of a falling


+ 10% Coupon 2 1 underlying, a barrier option can be used. In that case,
100 in addition to the coupon, the investor fully recovers
their initial investment if the underlying price is above
the barrier. The barrier can me monitored continuously,
during the whole life of the structure (American style)
3 or at maturity only (European style).
50

0
0 50 100 150 200
Final Level in %
Underlying
Reverse Exchangeable Payoff
Gain

23
Discount Certificates

Description
Discount Certificates enable investors to purchase
an instrument at a discount. Their gain is capped at
a certain level. Discount certificates are particularly
convenient in a neutral or slightly bullish/bearish market.

Advantages
> The ability to acquire an instrument at a discount
compared to the underlying assets’ market price

> Discount received can offset potential losses if the


underlying asset price slightly declines

> Short term structure

24
Price Behaviour Example - Discount Certificate
When Discount Certificates are purchased, investors Assumptions
acquire an underlying instrument at a discount and Comparison between a direct investment and Discount
agree on a cap on the potential profit (Cap level). If Certificate.
the price of the underlying is above the Cap level at
expiry, investors receive a cash amount corresponding XYZ share price is EUR 10.
to the Cap level. By limiting the upside potential of the Strike price is EUR 8.50.
investment, the instrument can be offered at a discount Cap level is EUR 10.
compared to the underlying assets’ market price.

Discount Certificates offer two possible payouts at


Redemption in %
150
maturity:

> Underlying price is equal to or larger than the Cap level


Investors receive a cash amount equal to Cap level at 100 2 1
maturity. 15% Discount

> Underlying price is smaller than the Cap level.


Investors receive a cash amount equal to the underlying
50 3
price at maturity.

Structure Components
0
> Long Zero Coupon Bond 0 50 85 100 150 200
Final Level in %
Underlying
> Short Put (Strike at 100% of Initial Level) Discount Certificate Payoff
Discount

Risks
If at maturity the underlying fixes below the Strike
price, redemption will be below Par. In the worst case,
the investor can lose their entire investment.

Price at maturity Direct investment in XYZ share Discount Certificate

Scenario 1 EUR 12 Profit of 20% Profit of 17.65% (Cap level is EUR 10)

Scenario 2 EUR 9 Loss of 10% Profit of 5.88%

Scenario 3 EUR 7 Loss of 30% Loss of 17.65%

25
Bonus Certificates

Description
Bonus Certificates are suitable for investors who want
a certain level of security and target high returns. A
bonus will be paid as long as the underlying price does
not fall below a Barrier level.

The Bonus level and the Barrier level are defined on the
issue date. The Bonus level is set above the initial price
and the Barrier level is set below.

The barrier can apply continuously, during the whole life


of the structure (American style) or at maturity only
(European style). If the Barrier level is not breached,
investors will receive at maturity the greater of the
Bonus level or underlying price. If the Barrier level is
breached, the investors have an ordinary certificate that
pays out the price of the underlying at maturity.

Advantages
> Bonus payments - above average returns if the
underlying is stagnant or falls slightly

> Reduced risk - bonus is paid even when the underlying


price falls to a certain level

> Unlimited profit opportunity. 100% participation if the


underlying rises above the Bonus level

26
Price Behaviour Example - Bonus Certificate
Bonus Certificates offer the following three possible Assumptions
payouts at maturity (description given for an American XYZ share price is EUR 10.
barrier): Barrier level is EUR 8 and monitored continuously
(American style).
> Underlying price has never breached the Barrier level Bonus level is EUR 13.
and is above the Bonus level. Strike price is EUR 10.
Investors receive a cash payment equal to the final level
of the underlying. Scenario 1
During the life of the XYZ share, the price of the
> Underlying price has never breached the Barrier level underlying has not breached the Barrier level and at
but is below the Bonus level. maturity the share trades at EUR 16.
Investors receive an amount equal to the Bonus level. The investor will receive EUR 16.

> Underlying price has at least once breached the Barrier Scenario 2
level. Barrier level is not breached and XYZ share trades
Investors receive the final level of the underlying and below Bonus level, let's assume at EUR 9.
the bonus mechanism will no longer be active. The investor will receive EUR 13, which is the Bonus
level.

Structure Components Scenario 3


Barrier level has been breached, the investor will
> Long Underlying (excluding dividends) receive the value of the XYZ share at maturity, e.g.
EUR 9 in scenario 2, or EUR 16 in scenario 1.
> Long Knock-Out Put Option (Strike at 100% + Bonus
Redemption in %

150
level, Knock Out at Barrier level) 1
2

30% Profit
Risks
100

The Bonus Certificate converts into a normal certificate


when the Barrier level is breached. In that case, the risk
related to investing in the Bonus Certificate is comparable
to a direct investment in the underlying. If the underlying 50
decreases, the value of the Certificate decreases. In the 3
worst case, the investor can lose their entire investment.

0
0 50 80 100 130 150 200
Bonus Strike+ Final Level in %
Floor Bonus
Underlying
Bonus Certificate Payoff (equal to underlying if barrier is breached)

27
Airbag Certificates

Description
Airbag Certificates are sometimes referred to as partial
protected products. Instead of providing 100% capital
protection, an Airbag Certificate only protects against
a certain percentage of a downward movement in the
underlying price. Investors are not guaranteed any
redemption for the invested capital. As a result, Airbag
Certificates offer a much higher participation in the
increase of the price of the underlying than a Capital
Protected Note. At maturity Investors receive a
minimum of 100% of invested capital if the underlying
price is higher than the Airbag level, otherwise they are
exposed to a loss in capital.

Advantages
> Initial decrease in the price of the underlying will not
reduce the redemption value of the certificate at
maturity, as long as the barrier is not breached.

> Higher participation on the increase of the underlying,


compared to a Capital Protected Note (due to a
potential downside risk of the underlying).

> The value of the Airbag will stay above the value of the
underlying (dividends excluded) if the underlying falls
below the Airbag level, at a level equal to (100% divided
by Airbag level) x underlying level.

28
Structure Components Example - Airbag Certificate
> Long Zero Coupon Bond Assumptions
XYZ share price is EUR 10.
> Long Call Option (Strike at 100% of Initial Level), Airbag level is EUR 6.
multiplied by the participation level Strike price is EUR 10.
Participation level on the upside is 100%.
> Short (100%/Airbag Level) Put Option (Strike at Airbag
level) i.e. the investor is short a leveraged put at the Scenario 1
airbag level At maturity, XYZ share price is EUR 16.
The investor will receive EUR 16.

Risks Scenario 2
At maturity, XYZ share price trades below Strike price,
If at maturity the underlying fixes below the Airbag for example EUR 7.
level, redemption will be below Par. In the worst case, The investor will still be protected and receive EUR 10.
the investor can lose their entire investment.
Scenario 3
Redemption in %

150
At maturity, XYZ share price trades below Aibag level,
1 for example EUR 5.
The investor will receive (Strike price / Airbag level) x
2 Final price = (10/6) x EUR 5 = EUR 8.33.
100

50
3

0
0 50 60 100 150 200
Airbag Final Level in %
Level
Underlying
Airbag Certificate Payoff

29
Double-up Certificates

Description
Double-up Certificates provide exposure to a certain
underlying asset (stock or index) and offer a 200% return
rate on the capital appreciation up to a certain level.
These Certificates could be attractive for investors with
moderate positive market expectations. The maximum
payout of this product is twice the difference between
the Cap level and Strike price. On the other hand,
investors are not guaranteed any protection for the
invested capital in the event the price of the underlying
decreases. In such an event, the payoff is similar to a
direct investment in the underlying (excluding dividends).

Advantages
> Double participation in the underlying price increase,
until Cap level

> Same risk as investing in the underlying in case of


decreasing price (excluding dividends)

> Suitable for investors with moderate bullish market


views

30
Price Behaviour Example - Double-up Certificate
Double-up Certificates offer investors the possibility of Assumptions
earning twice as much compared to an investment in XYZ share price is EUR 10.
the underlying (excluding dividends). However, it should Cap level is EUR 12.
be noted that this double earning is capped at a certain Strike price is EUR 10.
level (Cap level).
Scenario 1
Double-up Certificates offer the following three possible XYZ share is above the Cap level, for example EUR 16.
payouts at maturity: The investor will receive 2 times the difference between
Strike price and Cap level (EUR 4) plus the value of
> Underlying price is equal or larger than the Cap level. Strike price, which equals EUR 14 (maximum payoff).
The investor receives twice the difference between Cap
level and Strike price, in addition to the initial investment. Scenario 2
This scenario is the maximum payout of this product. XYZ share is between the Strike price and the Cap
level, for example EUR 11.
> Underlying price is between Strike price and Cap level. Payoff will be EUR 12, corresponding to a double up of
The investor receives twice the difference between the EUR 1 increase.
underlying price and Strike price, in addition to the initial
investment. Scenario 3
XYZ share is below the Strike price, for example EUR 9.
> Underlying price is equal or smaller than the Strike price. The investor will receive one share with value EUR 9, or
The investors receives the underlying, or a cash amount EUR 9 in cash, depending on the terms that were fixed
equal to the value of the underlying at maturity. at the launch of the structure.
Redemption in %

150
Structure Components 1

2
> Long Underlying (excluding dividends) Double Up

100
> Long Call Option (Strike at 100% of Initial Level)
3
> Short 200% out-of-the-money Call Options (Strike at
Cap level)
50

Risks
The risk related to investing in Double-up Certificates is 0
comparable to a direct investment in the underlying. If 0 50 100 120 150 200
Cap Final Level in %
the underlying decreases, the value of the Certificate Underlying Level
decreases. In the worst case, the investor can lose their Double Up Certificate Payoff
entire investment.

31
Outperformance Certificates

Description
Outperformance certificates allow investors to
participate in the increase of the underlying with a
high level of participation and without any cap. Investors
receive more than 100% participation in the increase
of the underlying. On the other hand, investors are not
guaranteed any protection for the invested capital in the
event the price of the underlying decreases. In such an
event, the payoff is similar to a direct investment in the
underlying (excluding dividends).

Advantages
> The investor will be able to outperform the underlying in
a rising market

> Maximum gain is unlimited

32
Price Behaviour Example - Outperformance Certificate
Outperformance Certificates offer investors the Assumptions
possibility of an unlimited upside and higher XYZ share price is EUR 10.
participation level compared to investing in the Strike price is EUR 10.
underlying itself. However it should be noted that in the Participation level is 140%.
event the underlying falls the investor may suffer a loss
which can be as much as the entire investment. Scenario 1
XYZ share has increased to EUR 15.
Outperformance Certificates offer the following two The investor outperforms the underlying and will receive
possible payouts at maturity: EUR 10 x (100% + 140% x ([EUR 15 / EUR 10] - 1))
= EUR 17.
> Underlying price is higher than the Strike price.
The investor outperforms the underlying and receives Scenario 2
the initial investment + a participation in the increase of XYZ share has fallen and is below the Strike price, say
the underlying which is above 100%. at EUR 8.
The investor makes a loss and the payoff will be EUR 8
> Underlying price is below the Strike price. (same in this case as with a direct investment in the
The investor suffers a loss and receives the Final level underlying, excluding dividends).
of the underlying.
Redemption in %

150

1
Structure Components
> Long Underlying (excluding dividends) 100

> Long Call Option (Strike at Outperformance Level) 2

50
Risks
The risk related to investing in Outperfomance
Certificates is comparable to a direct investment in the
underlying. If the underlying decreases, the value of the 0
Certificate decreases. In the worst case, the investor 0 50 100 150 200
Final Level in %
can lose their entire investment. Underlying
Outperformance Certificate Payoff

33
Autocallable Notes

Description
Autocallable notes have a potential high yield and a variable
tenor. The note is redeemed early if the underlying is at a
certain level on pre-set valuation dates. This feature enables
the investor to potentially achieve a very attractive yield. If
a coupon is not paid for a specific year, it comes in addition
to the potential coupon for the following year. At maturity,
if the Note is below the Strike price but has not breached
the Barrier level, the Note is redeemed at 100%. However if
the underlying price falls below the Barrier level (monitoring
is continuous for an American barrier, and only at maturity
for a European barrier), the investor may suffer a loss
which can be equivalent to the entire investment.

Advantages
> Potential early redemption with a high yield realised
over a short tenor

> Potential high coupon with memory mechanism

> Protection at maturity up to a certain level

Price Behaviour
AutoCallable Notes offer the following possible redemption
payouts (based on a 3-Year AutoCallable Note):

Year 1: If the underlying level is equal to or above the Strike


price, the structure is redeemed and the investor receives
100% of the initial investment AND 1 x YY% Coupon.
Otherwise, the structure continues and the coupon is
accumulated for the following year.

Year 2: If the underlying level is equal to or greater than


the Strike price in year 2, but was below the Strike price in
year 1, the structure is redeemed and the investor receives
100% of the initial investment AND 2 x YY% Coupon.
Otherwise, if the underlying level is below the Strike
price for year 1 and year 2 the structure continues again
and the coupon is accumulated for the following year.

34
Example - AutoCallable Note
Year 3a: If the underlying level is equal to or greater than the
Strike price, but was below the Strike price in Year 1 and Assumptions
Year 2, the structure is redeemed and the investor receives 3-year AutoCallable Note on the XYZ share.
100% of the initial investment AND 3 x YY% Coupon. XYZ share price is EUR 100.
Strike price is EUR 100.
Year 3b: If the underlying level is above the Barrier level Coupon is 10% x Number of years
(during the whole life of the structure if the barrier is Barrier level is 80%.
American, at maturity only if the barrier is European),
the investor fully recovers their capital. Scenario 1
At the end of year 1, underlying level is EUR 105.
Year 3c: If the underlying level is below Barrier level The level is above Strike price.
(during the whole life of the structure if the barrier is The Structure is redeemed early.
American, at maturity only if the barrier is European), The investor receives EUR 100 + EUR 10 x 1 = EUR 110.
the investor suffers a loss and receives the Final price
of the underlying (capped at 100% of the Initial price) Scenario 2
in shares or in cash, depending on the terms that were At the end of year 1, underlying level is EUR 85.
fixed at the launch of the structure. No early redemption occurs for this year.
At the end of year 2, underlying is EUR 100.
The Structure is redeemed early.
Structure Components The investor receives EUR 100 + EUR 10 x 2 = EUR 120.

> Long Zero Coupon Bonds with different maturities Scenario 3


(corresponding to the periods) Underlying level is below Strike price at the end of year
1 and year 2 (no early redemption).
> Long Digitals The Final price is EUR 85.
The investor benefits from the protection and receives
> Short Knock-In Put Option (Strike at Strike price, knock- their entire capital back = EUR 100.
in at Barrier level)
Scenario 4
Underlying level is below Strike price at the end of year
Risks 1 and year 2 (no early redemption).
The Final price is EUR 75.
If the structure is not redeemed early and if the Barrier The Final level is below the Barrier level, so the protection
level is breached by the underlying, the risk related to is no longer available. The investor suffers a loss and receives
investing in the Autocallable Notes is comparable to a one share with value EUR 75, or EUR 75 in cash, depending
direct investment in the underlying. If the underlying on the terms agreed at the launch of the structure.
decreases, the value of the Certificate decreases. In the
worst case, the investor can lose their entire investment.
Additional Features
Auto-callability can be as well semi-annual, quarterly or
monthly. A worst of feature can be added to enhance
the coupon.

35
Look-back Notes

Description
Look-back structures enable an investor to “look back”
over a designated period of time (for example one
month) and set the Strike price at the lowest closing
price of this period. The return will consequently be
improved by comparing the Final price to a potentially
lower Initial level. Look-back structures also offer
protection on the invested capital (up to 100%).

Advantages
> Look-back feature allowing to strike at a potential lower
level

> A certain level of capital protection at maturity, up to


100%

36
Price Behaviour Example - Look-back Note
The Look-back feature fixes the Strike price at the Assumptions
lowest price of the underlying over a specific period of 3-year Look-back Note on XYZ share.
time. For example, if the period is set at 30 days and 30-day lowest/Strike price is EUR 85.
the underlying has closing prices ranging between EUR Initial level is EUR 100.
70 and EUR 120, the Strike price is EUR 70. This can be Capital Protection is 100%.
at the investor’s advantage, for example if the underlying Participation level is 80%.
is currently trading at EUR 100, the option is already in-
the-money by EUR 30, and thus the Look-back feature Scenario 1
may optimise the structures return. Investors should be XYZ share has increased to EUR 120.
aware that the capital protection only applies at maturity. The investor will receive EUR 100 x [100% + 80% x
([EUR 120 / EUR 85] – 1 )] = EUR 133.
Look-back Notes offer the following two possible
payouts at maturity: Scenario 2
XYZ share has fallen and is below the Initial level but
> Final price is higher than Strike price. higher than the Strike price, say at EUR 95.
The investor receives the initial investment + a The investor will receives EUR 100 x [100% + 80% x
participation in the increase compared to the Strike ([EUR 95 / EUR 85] – 1)] = EUR 109.4., compared to a
price. EUR 5 loss in case of a direct investment in the
underlying.
> Final Price is below Strike price.
The investor receives the capital protection level (up to Scenario 3
100% of invested capital). XYZ share has fallen to EUR 70 and is below the Strike
price.
The investor is fully protected and receives their initial
Structure Components investment (EUR 100).

> Long Zero Coupon Bond


Additional Features
> Long Variable Strike Call Option (Strike at Strike price)
The Look-back mechanism can also be used in a different
way, using the highest level of the underlying instead
Risks of the lowest, to determine the Final price (instead of
Initial level). The return will consequently be improved
The price of the Look-Back Note fluctuates in relation to by comparing a higher Final level to the Initial level.
several parameters, such as the price of the underlying,
the volatility level of the underlying and the level of The Look-back mechanism can also be used in another
interest rates. Investors should be aware that the way, using the highest level of the underlying to fix the
capital protection only applies at maturity. Strike price, instead of the lowest. This will improve the
participation level on the upside.

37
Disclaimer

This document has been prepared for distributors and institutional clients by ABN AMRO Bank N.V. and its affiliates
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an offer, nor invitation to offer, nor a solicitation or recommendation to enter into any transaction, nor is it an official
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38
Contacts

Sales Products
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Liz Hui +852 2700 5707 Amsterdam
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Italy
Luca Morello +44 207 678 1677 Hong Kong
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Latin America & Portugal
Luis dos Santos +44 207 678 7605 New York
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Nordics
Michael Nelskyla +44 207 085 2641

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Brian Jones +1 212 409 6037

South Asia
Garry Frenklah +852 2966 2734

South Korea
Sung Kap Hong +852 2700 5358

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Herve Rietzler +44 207 678 3598

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Hsin Chiao +886 2 8722 5396

UK
Zak de Mariveles +44 207 085 0929

39
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