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.

2
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?
Structured products are financial instruments designed
to meet specific investor requirements. They are
“packaged” products, comprised of elements, such
as options and bonds. Structured products can offer
exposure to a range of underlyings, such as global
equities, commodities, funds including hedge funds,
or indices. ABN AMRO also offers structured products
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 are the uses of Structured
Products?
Structured products are highly versatile and can be
constructed with features that may help investors to
achieve a specific goal profiting from their market view
or a projected scenario. By taking a specific view and
accepting a certain level of risk, an above market return
can be achieved. Risks that an investor wishes to avoid
can be incorporated and offset in the structure. For
example, investors can be protected from the downside
of an underlying, interest rate risk, credit risk or currency
risk.
Structured Products can be used to facilitate bullish
(rising market), stagnant (range bound) as well as
bearish (falling market) views.
4
Who uses Structured Products?
Structured Products can be attractive to most investors
due to capital protection features, fixed returns, access
to exotic markets and in some cases favourable tax
treatment. Potential clients may be private investors,
asset managers, private banks, corporate clients, insurance
companies or pension funds. For any additional information,
please contact your local sales representative.
What kind of Structured Products
can we offer?
Structured Products can be categorised within the
following general categories to suit investors and their
risk appetite:
Performance Tracking Structures are intended for
medium to longer term investors who want to invest
in a specific market, sector, theme or underlying.
Capital Protection Structures suit risk averse investors.
The investor can benefit from various degrees of protection
and gain exposure to a wide range of underlying assets.
Leverage Structures have a high risk-return profile, and
offer self-directed active investors accelerated exposure
to an underlying asset.
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.
 Fees
There are two ways to purchase Structured Products,
namely:
Purchase via Subscription: The product is not yet live,
but in subscription and investors might be subject to
upfront fees.
Purchase via Secondary Market: Investors can
purchase Structured Products via exchanges or product
providers and generally will be subject to a bid/offer
spread.
> Some products may be subject to a trailer management/
protection fee which is charged over the life of the
product.
> Some products may be subject to Early Redemption
Fees.
Structured Product forms
ABN AMRO is a leading issuer of Structured Products
for institutions and private investors and has won
numerous awards.
There is a wide range of ABN AMRO Structured
Products and Products are regularly issued and can be
tailored to an investor’s specific investment objective or
view.
Structured Products are usually in the form of
“Certificates”, “Warrants” or “Notes”:
Certificates are financial instruments that track the
performance of an underlying asset. Certificates often
track underlying assets equally (less fees) but can also
include leverage (gearing) to increase exposure to the
underlying.
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
Over the past years commodity prices have grown
significantly to the extent that the oil price reached over
USD 135 per barrel during 2008. Other commodities
such as gold, silver and copper have also witnessed
strong growth. To enable investors to profit from these
developments ABN AMRO has regularly launched
commodity products such as:
RICI Products
The RICI® Index is a commodity index, created by the
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.
A RICI® Enhanced Index version has also been created.
ABN AMRO has launched Certificates, Actively Managed
Certificates, Capital Protected Notes and CPPI Notes on
the index.
Energy/Oil/New Energy
ABN AMRO has issued a wide range of Structured
Products linked to various energy sectors. Examples are
oil, solar energy and wind energy. Many investors are
concerned with their level of exposure to oil and other
fossil fuels, and consequently ABN AMRO has launched
products which provide an alternative to traditional
energy investments and give investors the opportunity
to participate in current developments in renewable
energy.
6
Water
Water demand is growing significantly due to increasing
global population, agriculture and industrialisation. It
is life’s most valuable commodity and will have to be
treasured and managed efficiently, as if it were oil or
gold. Investment in water is essential to combat the
significant threat of scarcity. ABN AMRO has established
a number of Structured Products around this theme.
In association with Standard & Poor’s®, ABN AMRO
created a Water Index comprised of leading water
related companies.
ABN AMRO Alpha Indices
ABN AMRO Alpha Indices are revolutionary investment
strategies of investing in underlying indices using a
proven strategy which has up to 80 years of successful
backtests. The strategy is to only invest in the market at
certain times, such as at the month-end and before public
holidays which historically have had higher returns.
Currently ABN AMRO Alpha Index open-end Certificates
cover most of the world's major stock indices, including:
S&P 500® Index
DJ EURO STOXX 50® Index
Nikkei 225 Index
DAX® Index
FTSE 100® Index
Alpha Indices are all managed by Standard & Poor's®.
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

7
 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
Zero-Coupon Bonds are bonds that do not receive
coupon payments over their term. In order to compensate
for the lack of coupon payments they are purchased at
a discount and their value increases to 100 at maturity.
Thus, in a capital protected structure, if the underlying
option expires worthless the investor will receive the
initial investment at maturity as the value of the Zero-
Coupon Bond will have reached 100.
This means that during the life of a structure an increase
in interest rates will decrease the value of the Zero-
Coupon Bond and so of the Note. This makes Capital
Protected Notes sensitive to interest rate movements.
Options
Options give the right, but not the obligation, to buy
(call) or sell (put) a given underlying at a predefined
Strike Price on a fixed date in the future.
Three different types of option contracts exist:
Standard Options: traded on derivatives exchanges,
fixed specifications, no counterparty risk.
OTC Options: agreement between two parties, user-
defined specifications, counterparty risk.
Warrants: issued by banks, traded on ordinary
exchanges, issuer risk.
At maturity, the value of an option is always the
difference between the strike and the value of the
underlying. The main option categories are described
next.
8
Example
Call Option gives the investor the right to purchase the
underlying at a certain price at a certain date. Suitable
for expressing a bullish view.
Put Option gives the investor the right to sell the
underlying at a certain price at a certain date. Suitable
for expressing a bearish view.
Exotic Options can have different features: barrier,
laggard underlying, knock-in, knock-out, best of, or many
other variants.
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.
Most Popular Styles
European-style Options can only be exercised on a
specified date (exercise date) prior to its expiration.
American-style Options can be exercised by the
holder at any time between the purchase date and the
expiration date.
Asian-style Options payoff depends on the average
value of the underlying over a specified period.
The price of an option is affected by the price of the
underlying, the strike, the time remaining for the option
to be exercised, the volatility of the underlying, interest
rates and dividends (if the underlying pays out any
dividends at all).

Price of the Underlying
is above the Strike Price
Price of the Underlying
is equal to the Strike Price
Price of the Underlying
out-of-the-money
is below the Strike Price
Certificates
Certificates track the performance of an underlying
asset after fees. ABN AMRO Certificates usually have
no fixed maturity and as such are often referred to as
“Open End Certificates”.
They are suitable for investors who want to benefit
from the performance of a certain asset class such as
equities, commodities, currencies, or fixed income for
example. Investors can easily purchase or sell listed
certificates and can determine the timing of the exit
as they would with a fund or single stock.
ABN AMRO offers a large number of Open End
Certificates based on a wide range of underlying assets.
This gives investors the opportunity to invest in the
assets of their choice.
Call Put
in-the-money out-of-the-money
at-the-money at-the-money
in-the-money
Types of Open End Certificates
Certificates usually replicate the performance of an
underlying reference on a 1:1 basis (before fees). The price
of a Certificate therefore corresponds to the value of the
underlying reference, after taking account of the conversion
ratio and deduction of any fees payable. Transparency,
simplicity and low costs are features of Certificates.
Certain Certificates known as Quantos protect investors
from exchange rate risks if the underlying asset is traded
in a currency that differs to that of the Certificate.
To obtain currency protection investors will be charged or
receive Quanto fees. Depending on the currency pair, the
Quanto fee can be positive or negative. If the interest differential
is in the investor’s favour, the Quanto fee will be added
on a daily basis to the Certificate value, and vice versa.
9
 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.

10
 Selecting the Right Product
Certificates are suitable for investors who:
> Expect a rise in the price of the underlying asset (i.e.
single stock, index, commodity or currency)
Risks
The risk related to investing in ABN AMRO Certificates is
comparable to a direct investment in the underlying. If the
underlying decreases, the value of the Certificate decreases.
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
> Want to participate in the price movement of the
market by investing in small denominations
> Want to get an easy access to a large range of underlyings
Example - Quanto Certificates
Assumptions
Comparison between an S&P 500® Index direct
investment (assume an investor could buy the S&P
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

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

Example - Performance Tracking Certificates (non Quanto)

Price behaviour: markets up
Price behaviour: markets down
Secondary market
Easy access
Simplicity of trade
Transaction costs
Transparency
Underlying Certificate
Up Up
Down Down
Yes Yes
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®
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
Can be very high (see example above) Low
May be low and can be difficult to oversee High (only one price)
(see example above)

11
 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

12
Basics
The investor investing in a leveraged certificate receives
the full increase or decrease in the price of the underlying,
but only finances part of the underlying, the rest is financed
by ABN AMRO (this creates the leverage). The level of
the leverage shows the larger price variation of the
leveraged certificate in comparison to the underlying. For
example, if an index moves by 1%, a leveraged certificate
with a leverage of 5 will move by 5%. Likewise, a leveraged
certificate with a leverage of 10 would have moved by
10%. The higher the leverage, the more sensitive the
leveraged certificate is for price movements of the
underlying. This works for both increases and decreases,
so a drop of 1% with a leverage of 10 would result in
a 10% loss for the leveraged certificate. However, the
investor cannot lose more than the initial investment
when purchasing the leveraged certificate.
Financing Level
An investor who buys a leveraged certificate only
finances part of the underlying, the rest is financed by
ABN AMRO. The part financed by ABN AMRO is called
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
investor will, in general, receive interest dependent on
the overnight interest rates and the type of underlying.
The interest paid or received will change the financing
level on a daily basis. Also, possible dividends paid by
underlying securities will affect the financing level. For
leveraged certificates that reference bonds or commodities,
the underlying is a futures contract. Rolling into a new
futures contract can also affect the financing level.
Stop Loss
Leveraged Certificates are open-ended (no maturity
date). However they do have a stop-loss level, which
can trigger redemption. This Stop-Loss level is put in
place to ensure that the investor cannot lose more than
the price initially paid for the Leveraged Certificate.
If the price of the underlying hits or breaches the Stop-
Loss level, the Leveraged Certificate will terminate and
the investor will receive the difference, if any, between
the termination value (as calculated by ABN AMRO) and
the financing level multiplied by the entitlement and
adjusted for exchange rates. This termination value will
always be greater than or equal to the financing level,
so the investor will always receive an amount greater
than or equal to 0.
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
leveraged certificate short) the stop loss premium.
This is unique to the underlying and dependent on its
liquidity and volatility. Rolling of futures and dividend
payments can also trigger adjustments to the Stop-Loss
level.
Leveraged Certificate Valuation
The theoretical value of a leveraged Certificate is the
difference between the price of the underlying and
the financing level, multiplied by the entitlement (the
“amount” of underlying an investor partially buys when
buying one leveraged Certificate) and adjusted by the
applicable FX-rate (in case the currency of the underlying
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.
13

For underlyings that are trading at a high level (e.g. the
Dow Jones) or a low level (e.g. EUR/USD exchange-
rate), the entitlement will not be equal to one, to avoid
having very high or low prices of the leveraged Certificate
itself. An entitlement of 0.01 for instance means that an
investor who buys one leveraged Certificate effectively
buys exposure to 1% of the difference between the
price and the financing level for the underlying.
Risks
Leveraged Certificates are by definition highly leveraged
investments, where buyers risk losing their entire invested
capital. A stop-loss event will result in the position being
unwound and the investor receiving the residual value,
which is dependent on market circumstances and could
be zero. If used for hedging, a stop-loss may result in
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).

14
 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)

15
 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

16
Price Behaviour
The market value of the Warrant at expiry should
typically equal its intrinsic value. Generally, the value of
a Call Warrant will increase as the price of the underlying
security increases and the value of a Put Warrant will
increase as the price of the underlying security decreases,
all the other factors remaining constant.
Warrants are classified as American style if they can
be exercised at any time during the life of the Warrant,
or European style if they can only be exercised on the
expiry date.
Value Components
The price of a Warrant is made up of two components -
the intrinsic value and the time value of the Warrant. The
intrinsic value is the amount by which a Warrant is in
the money. The intrinsic value of a Warrant is calculated
in the following manner:
Parameters
The following two main variables determine the value of
a Warrant:
Time to Maturity: the longer this time, the higher the
time value
Volatility: the measure calculating the price movement
of the underlying. The higher the volatility, the higher
the time value
Risks
Warrants are highly leveraged investments, which means
that buyers risk losing their entire invested capital. Investors
should be aware that the price of Warrants can be volatile
and that they experience time decay throughout their
lifespan. The rate of this decay accelerates for Warrants
near expiry and they can expire worthless. In the worst
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.

17
 Example - Call Warrant
An investor assumes that the share XYZ will increase in
value. He can either buy the share or a Call Warrant.
Assumptions
XYZ share price is EUR 10.
A Call Warrant on share XYZ with a Strike price of EUR
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 15.
In this case the investor will exercise his Call Warrant. He
will buy the share at the Strike price of EUR 10 and make a
gain of EUR 5 for a cost of EUR 1.50.
In terms of return on investment (ROI), the EUR 1.50 paid
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
had purchased the share instead of the Call Warrant, he
would have made a profit of EUR 5. The ROI from
purchasing the underlying shares would only have been
50% (gain of EUR 5 relative to a EUR 10 investment).
Scenario 2
At maturity the share price of XYZ is EUR 5.
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 5.
Scenario 3
At maturity the share price of XYZ is EUR 9.
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.
18
Example - Put Warrant
An investor expects that the share XYZ will decrease in
value. He can either sell the share or buy a Put Warrant.
Assumptions
XYZ share price is EUR 10.
A Put Warrant on share XYZ with a Strike price of EUR
10 will cost the investor EUR 1.50.
Scenario 1
At maturity the share price of XYZ is EUR 7.
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
for the Warrant) the investor would have made a gain of
100%.
If he had short sold a share instead of buying the Warrant,
he would have made a gain of EUR 3.
Scenario 2
At maturity the share price of XYZ is EUR 15.
In this case, the holder of the Warrant will not exercise
his Put Warrant. He will make a loss limited to the Warrant
price, EUR 1.50.
If he had short sold a share instead of buying a Warrant, he
would have incurred a loss of EUR 5.
Scenario 3
At maturity the share price of XYZ is EUR 11.
In this case, the holder of the Warrant will not exercise
his Put Warrant. He will make a loss limited to the Warrant
price, EUR 1.50.
If he had short sold a share instead of buying a Warrant, he
would have incurred a loss of EUR 1.
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

19
 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
> Long Zero Coupon Bond
> Long Call Option (Strike at Strike price), multiplied by
participation level
Risks
On the secondary market, the price of the Capital
Protected Note fluctuates in relation to several
parameters, such as the price of the underlying, the
volatility level of the underlying and the level of interest
rates. Investors should be aware that the capital
protection only applies at maturity.
Additional Features
To optimise the structure, a worst-of feature can be
added, to increase the participation in the upside of the
underlying or increase the protection level. In that case,
the price considered for the payoff calculation is the
one of the worst performing underlying, within the
basket of underlyings.
Another way to increase the participation on the upside
or the protection level is the use of Asian options. Instead
of considering the level of the underlying at maturity
(for the final price), the final level is taken as an average
of the underlying level at multiple dates over the
product’s life.

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

Structure Components Scenario 3

> Long Underlying (excluding dividends)
> Long Knock-Out Put Option (Strike at 100% + Bonus
Barrier level has been breached, the investor will
receive the value of the XYZ share at maturity, e.g.
EUR 9 in scenario 2, or EUR 16 in scenario 1.
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

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
Year 2, the structure is redeemed and the investor receives
100% of the initial investment AND 3 x YY% Coupon.
Year 3b: If the underlying level is above the Barrier level
(during the whole life of the structure if the barrier is
American, at maturity only if the barrier is European),
the investor fully recovers their capital.
Year 3c: If the underlying level is below Barrier level
(during the whole life of the structure if the barrier is
American, at maturity only if the barrier is European),
the investor suffers a loss and receives the Final price
of the underlying (capped at 100% of the Initial price)
in shares or in cash, depending on the terms that were
fixed at the launch of the structure.
Structure Components
> Long Zero Coupon Bonds with different maturities
(corresponding to the periods)
> Long Digitals
> Short Knock-In Put Option (Strike at Strike price, knock-
in at Barrier level)
Risks
If the structure is not redeemed early and if the Barrier
level is breached by the underlying, the risk related to
investing in the Autocallable Notes is comparable to a
direct investment in the underlying. If the underlying
decreases, the value of the Certificate decreases. In the
worst case, the investor can lose their entire investment.
Example - AutoCallable Note
Assumptions
3-year AutoCallable Note on the XYZ share.
XYZ share price is EUR 100.
Strike price is EUR 100.
Coupon is 10% x Number of years
Barrier level is 80%.
Scenario 1
At the end of year 1, underlying level is EUR 105.
The level is above Strike price.
The Structure is redeemed early.
The investor receives EUR 100 + EUR 10 x 1 = EUR 110.
Scenario 2
At the end of year 1, underlying level is EUR 85.
No early redemption occurs for this year.
At the end of year 2, underlying is EUR 100.
The Structure is redeemed early.
The investor receives EUR 100 + EUR 10 x 2 = EUR 120.
Scenario 3
Underlying level is below Strike price at the end of year
1 and year 2 (no early redemption).
The Final price is EUR 85.
The investor benefits from the protection and receives
their entire capital back = EUR 100.
Scenario 4
Underlying level is below Strike price at the end of year
1 and year 2 (no early redemption).
The Final price is EUR 75.
The Final level is below the Barrier level, so the protection
is no longer available. The investor suffers a loss and receives
one share with value EUR 75, or EUR 75 in cash, depending
on the terms agreed at the launch of the structure.
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
The Look-back feature fixes the Strike price at the
lowest price of the underlying over a specific period of
time. For example, if the period is set at 30 days and
the underlying has closing prices ranging between EUR
70 and EUR 120, the Strike price is EUR 70. This can be
at the investor’s advantage, for example if the underlying
is currently trading at EUR 100, the option is already in-
the-money by EUR 30, and thus the Look-back feature
may optimise the structures return. Investors should be
aware that the capital protection only applies at maturity.
Look-back Notes offer the following two possible
payouts at maturity:
> Final price is higher than Strike price.
The investor receives the initial investment + a
participation in the increase compared to the Strike
price.
> Final Price is below Strike price.
The investor receives the capital protection level (up to
100% of invested capital).
Structure Components
> Long Zero Coupon Bond
> Long Variable Strike Call Option (Strike at Strike price)
Risks
The price of the Look-Back Note fluctuates in relation to
several parameters, such as the price of the underlying,
the volatility level of the underlying and the level of
interest rates. Investors should be aware that the
capital protection only applies at maturity.
Example - Look-back Note
Assumptions
3-year Look-back Note on XYZ share.
30-day lowest/Strike price is EUR 85.
Initial level is EUR 100.
Capital Protection is 100%.
Participation level is 80%.
Scenario 1
XYZ share has increased to EUR 120.
The investor will receive EUR 100 x [100% + 80% x
([EUR 120 / EUR 85] – 1 )] = EUR 133.
Scenario 2
XYZ share has fallen and is below the Initial level but
higher than the Strike price, say at EUR 95.
The investor will receives EUR 100 x [100% + 80% x
([EUR 95 / EUR 85] – 1)] = EUR 109.4., compared to a
EUR 5 loss in case of a direct investment in the
underlying.
Scenario 3
XYZ share has fallen to EUR 70 and is below the Strike
price.
The investor is fully protected and receives their initial
investment (EUR 100).
Additional Features
The Look-back mechanism can also be used in a different
way, using the highest level of the underlying instead
of the lowest, to determine the Final price (instead of
Initial level). The return will consequently be improved
by comparing a higher Final level to the Initial level.
The Look-back mechanism can also be used in another
way, using the highest level of the underlying to fix the
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
(“ABN AMRO”) for information and discussion purposes only. It shall not be construed as, and does not form part of
an offer, nor invitation to offer, nor a solicitation or recommendation to enter into any transaction, nor is it an official
or unofficial confirmation of terms. No representation, warranty or assurance of any kind, express or implied, is made
as to the accuracy or completeness of the information contained herein. ABN AMRO accepts no obligation to any
recipient to update or correct any such information. No act or omission of ABN AMRO or any of its directors, officers,
employees or agents in relation to the information contained herein shall constitute, or be deemed to constitute, a
representation, warranty or undertaking of or by ABN AMRO or any such person. Any person who subsequently
acquires securities or other financial interests mentioned herein must only rely on the terms of the definitive Offering
Circular to be issued in connection herewith, on the basis of which alone subscriptions for securities or other financial
interests may be made. This document does not constitute an Offering Circular and is not intended to provide the
sole basis for any evaluation of transactions in securities or financial interests mentioned herein.

ABN AMRO may act or have acted as market-maker in the securities or other financial instruments discussed in this
material. ABN AMRO or its officers, directors, employee benefit programmes or employees, including persons involved
in the preparation or issuance of this material may from time to time have long or short positions in securities or
other financial instruments referred to in this material. ABN AMRO is not acting as a financial adviser or in a fiduciary
capacity in respect of any transaction or the securities or other obligations referred to herein. ABN AMRO makes no
representation and gives no advice in respect of any tax, legal or accounting matters in any applicable jurisdiction.

This document is not intended for distribution to, or use by private customers or any person or entity in any
jurisdiction or country where such distribution or use would be contrary to local law or regulation. The information
contained herein is proprietary to ABN AMRO is provided upon request to selected recipients and may not be given
(in whole or in part) or otherwise distributed to any other third party without the written permission of ABN AMRO.

Distribution of the document in the United States or to US persons is intended to be solely to major institutional
investors as defined in Rule 15a-6(a)(2) under the US Securities Act of 1934. All US persons that receive this
document by their acceptance thereof represent and agree that they are a major institutional investor and
understand the risks involved in executing transactions in securities. Any US recipient of this document wanting
additional information or to effect any transaction in any security or financial instrument mentioned herein, must do
so by contacting a registered representative of ABN AMRO Incorporated, Park Avenue Plaza, 55 East 52nd Street,
New York, N.Y. 10055, US, tel +1 212 409 1000, fax +1 212 409 5222.

ABN AMRO is authorised by De Nederlandsche Bank and by the Financial Services Authority; regulated by the
Financial Services Authority for the conduct of UK business. This document may only be distributed in the United
Kingdom to market counterparties and professional clients as defined by the Financial Services Authority.

The contents of this document have not been reviewed by any regulatory authority in the countries in which this
document is distributed. If you are in any doubt about any contents of this document, you should obtain
independent professional advice.

38
Contacts

Sales Products
Benelux London
Elvera Siemons +31 20 383 6886 Pieter-Reinier Maat +44 207 678 2994
Laurence Black +44 207 678 0656
China Vincenzo Catanese +44 207 678 9668
Andrew Chiang +852 2700 5112 Maarten de Widt +44 207 678 7466
Wenjing Zhong +44 207 678 7289
Germany & Austria Michael Benhamou +44 207 678 1393
Andrea Sozzi Sabatini +44 207 678 6581 Gurpreet Kharaud +44 207 678 7824
Christian Probst +44 207 678 4827
Hong Kong
Liz Hui +852 2700 5707 Amsterdam
Rob Soentken +31 20 383 6518
Italy
Luca Morello +44 207 678 1677 Hong Kong
Samuel Ng +852 2700 5522
Latin America & Portugal
Luis dos Santos +44 207 678 7605 New York
Dawn Evans +1 212 409 6934
Middle East
Ruggiero Lomonaco +44 207 678 4729

Nordics
Michael Nelskyla +44 207 085 2641

North America
Brian Jones +1 212 409 6037

South Asia
Garry Frenklah +852 2966 2734

South Korea
Sung Kap Hong +852 2700 5358

Switzerland & France

Herve Rietzler +44 207 678 3598

Taiwan
Hsin Chiao +886 2 8722 5396

UK
Zak de Mariveles +44 207 085 0929

39
For further information on ABN AMRO products:

www.abnamromarkets.com
UK Branch ABN AMRO Bank N.V.
+44 20 7678 7667 250 Bishopsgate
London EC2M 4AA

info@abnamromarkets.com