FWP 1 cpi5fwp.htm CPI NO. 5
 
Filed pursuant to Rule 433
June 23, 2006
Relating to Preliminary Pricing Supplement No. 335 to
Registration Statement No. 333-89136
Dated September 17, 2003

ABN AMRO Bank N.V. CPI-Linked Notes
PRELIMINARY PRICING SHEET – JUNE 23, 2006

CPI-LINKED SECURITIES DUE JULY 7, 2016

SUMMARY INFORMATION  
Issuer: ABN AMRO Bank N.V. (Senior Long Term Debt Rating: Moody’s Aa3, S&P AA-)
Lead Selling Agent: ABN AMRO Incorporated
Offering: CPI-Linked Securities due July 7, 2016 (the “Securities”)
Coupon: The interest rate on the Securities will be linked to changes in the Consumer Price Index (CPI) and will be determined on each Interest Reset Date based on the following formula:

where:
CPIt = CPI for the third calendar month prior to the calendar month of the applicable Interest Payment Date, as reported on the relevant Bloomberg page, which third calendar month we refer to as the reference month;
CPIt-12 = CPI for the twelfth month prior to the applicable reference month, as reported on the relevant Bloomberg page; and
TIPS Rate = %, the yield to maturity on Treasury Inflation-Protected Securities due January 15, 2016, as reported on Bloomberg page PX1 designated as TII 10YR, at 11:00 am New York time on the pricing date. The TIPS Rate is set on the pricing date only and remains constant over the term of the Securities.
In no case, however, will the interest rate for the Securities for any monthly Interest Payment Period be less than 2.25% or greater than 7.25% per annum.

Interest will be paid monthly in arrears and will be calculated on the basis of a 360-day year consisting of twelve 30-day months.
Interest Reset Dates: The first day of each Interest Payment Period, commencing on July 7, 2006.
Interest Payment Period: Monthly, commencing on and including one Interest Payment Date to but excluding the next following Interest Payment Date; provided that the initial Interest Payment Period will commence on, and include, the Settlement Date.
Interest Payment Dates: The 7th calendar day of each month, beginning August 7, 2006 and ending on the Maturity Date.
Denomination/Principal: USD 1,000
Issue Size: TBD
Issue Price: 100%
CPI: The non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers reported monthly by the Bureau of Labor Statistics of the U.S. Department of Labor and reported on Bloomberg page CPURNSA <Index> or any successor service.
Status: Unsecured, unsubordinated obligations of the Issuer
CUSIP: 00079FRM6                                       ISIN: US00079FRM67
Trustee & Paying Agent: JPMorgan Chase & Co.
Settlement: DTC, Book Entry, Transferable
Selling Restrictions: No sales into The Netherlands or to Dutch persons
Trade Date: June 29, 2006
Settlement Date: July 7, 2006
Maturity Date: July 7, 2016 (10 years)

ABN AMRO has filed a registration statement (including a Prospectus and Prospectus Supplement) with the SEC for the offering to which this communication relates. Before you invest, you should read the Prospectus and Prospectus Supplement in that registration statement and other documents ABN AMRO has filed with the SEC for more complete information about ABN AMRO and this offering of the Securities.

You may get these documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, ABN AMRO, any underwriter or any dealer participating in the offering will arrange to send you the Prospectus and Prospectus Supplement if you request it by calling toll free (888) 644-2048.

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SUMMARY

     The following summary does not contain all the information that may be important to you. You should read this summary together with the more detailed information that is contained in the related Pricing Supplement and in its accompanying Prospectus and Prospectus Supplement. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the related Pricing Supplement, which are summarized on page 3 of this document. In addition, we urge you to consult with your investment, legal, accounting, tax and other advisors with respect to any investment in the Securities.

What are the Securities?

     The Securities are interest paying securities issued by us, ABN AMRO Bank N.V., and are fully and unconditionally guaranteed by our parent company, ABN AMRO Holding N.V. The Securities are medium-term notes of ABN AMRO Bank N.V. and have a maturity of ten years. The Securities are variable rate debt securities paying a variable interest rate linked to changes in the Consumer Price Index, which we refer to as the CPI. The CPI for purposes of the Securities is the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers reported monthly by the Bureau of Labor Statistics of the U.S. Department of Labor and reported on Bloomberg CPURNSA<Index> or any successor service.

What will I receive at maturity of the Securities?

     For each $1,000 principal amount of Securities, at maturity you will receive a cash payment equal to $1,000, plus accrued and unpaid interest (if any).

What interest payments can I expect on the Securities?

     Interest will accrue on the Securities at a variable rate linked to the CPI as described below under “How is the interest rate calculated?” The variable rate will never be less than 2.25% or greater than 7.25% per annum for any monthly interest payment period, regardless of changes in the CPI. Because the variable rate is tied to changes in the CPI, you are bearing the risk that the variable rate in any monthly interest payment period could be as low as 2.25% per annum, which is equal to an actual payment of 0.188% or $1.88 for that month. In addition, regardless of how high the percentage increase in the year-over-year CPI may be in any one or more interest payment periods over the term of the Securities, you will never receive an interest payment of more than 7.25% per annum, which is equal to an actual payment of 0.604% or $6.04 for that month.

     Interest will be paid monthly on the 7th calendar day of each month, beginning August 7, 2006. Interest on any interest payment date is payable in arrear and will be calculated on the basis of a 360-day year consisting of twelve 30-day months.

How is the interest rate calculated?

     The interest rate for any interest payment period will be calculated on the first day of each interest payment period, which day we call an interest reset date, in accordance with the following formula:

where:

 

CPIt = CPI for the third calendar month prior to the calendar month of the applicable interest payment date, as reported on Bloomberg CPURNSA<Index>, which third calendar month we refer to as the reference month;

CPIt-12 = CPI for the twelfth month prior to the applicable reference month, as reported on Bloomberg CPURNSA<Index>; and

TIPS Rate = %, the yield to maturity on Treasury Inflation-Protected Securities due January 15, 2016 (CUSIP:912828ET3) as reported on Bloomberg Page PX1 designated as TII 10 YR, at 11:00 a.m. New York Time on the pricing date. The TIPS Rate is set on the pricing date only and remains constant over the term of the Securities.

In no case, however, will the interest rate for the Securities for any monthly interest payment period be less than 2.25% or greater than 7.25% per annum.

What is the TIPS Rate and what is the effect of the addition of the TIPS Rate and 0.0015 in the interest rate equation?

     Treasury Inflation-Protected Securities (TIPS) are securities issued by the U.S. Treasury whose principal is adjusted by changes in the Consumer Price Index. The coupon rate on TIPS is constant, but generates a different amount of interest when multiplied by the inflation-adjusted principal, thus protecting the holder against inflation. The TIPS Rate referenced in the interest rate equation is the yield to maturity on Treasury Inflation-Protected Securities due January 15, 2016 (CUSIP:912828ET3) as reported on Bloomberg page PX1 designated as TII 10 YR, at 11:00 a.m. New York time on the pricing date. The TIPS Rate is set on the pricing date and is constant throughout the term of the Securities.

     The addition of the TIPS Rate and the factor of 0.0015 (or 0.15%) in the interest rate equation allows the investor to receive an enhanced return on the Securities above the year-over-year percentage change in the CPI, provided that the interest rate for the Securities for any monthly interest payment period will never be less than 2.25% or greater than 7.25% per annum.

Will I get my principal back at maturity?

     Subject to the credit of ABN AMRO Bank N.V. as the issuer of the Securities and ABN AMRO Holding N.V. as the guarantor of the Bank’s obligations under the Securities, you will receive your principal back at maturity of the Securities. However, if you sell the Securities prior to maturity, you will receive the market price for the Securities, which may or may not include the return of your full principal amount. There may be little or no secondary market for the Securities. Accordingly, you should be willing to hold your Securities until maturity.


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Is there a limit on how much interest I can earn over the term of the Securities?

     Yes. The interest rate for any monthly interest payment period will never exceed 7.25% per annum and may be as low as 2.25% per annum. This means that even if the year-over-year percentage increase in the CPI (plus the fixed TIPS Rate plus 0.15%) is significantly above 7.25% in some or all of the interest payment periods over the term of the Securities, you will never receive a return in excess of 7.25% per annum in any such period.

     As a result, you will never earn more than $725 in simple interest per $1,000 principal amount of Securities over the life of the Securities (or, $1,000 x 0.0725 x 10 years). You could also earn as little as $225 in interest over this period (or, $1,000 x 0.0225 x 10 years).

What is the CPI and how has it performed historically?

     The CPI for purposes of the Securities is the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers reported monthly by

 

the Bureau of Labor Statistics of the U.S. Department of Labor and reported on Bloomberg page CPURNSA <Index> or any successor service. You should read “Public Information Regarding the CPI” in the related Pricing Supplement for additional information regarding the CPI.

What if I have more questions?

     You should read the “Description of Securities” in the related Pricing Supplement for a detailed description of the terms of the Securities. ABN AMRO has filed a registration statement (including a Prospectus and Prospectus Supplement) with the SEC for the offering to which this communication relates. Before you invest, you should read the Prospectus and Prospectus Supplement in that registration statement and other documents ABN AMRO has filed with the SEC for more complete information about ABN AMRO and the offering of the Securities. You may get these documents for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, ABN AMRO, any underwriter or any dealer participating in the offering will arrange to send you the Prospectus and Prospectus Supplement if you request it by calling toll free (888) 644-2048.

     
     
     
     

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RISK FACTORS

Investors should carefully consider the risks of the Securities to which this communication relates and whether these Securities are suited to their particular circumstances before deciding to purchase them. It is important that prior to investing in these Securities investors read the Pricing Supplement related to such Securities and the accompanying Prospectus and Prospectus Supplement to understand the actual terms of and the risks associated with the Securities. In addition, we urge investors to consult with their investment, legal, accounting, tax and other advisors with respect to any investment in the Securities. This section describes the most significant risks relating to the Securities and should be read in conjunction with the section entitled “Risk Factors” in the Pricing Supplement related to the Securities.

Credit Risk

The Securities are issued by ABN AMRO Bank N.V. and guaranteed by ABN AMRO Holding N.V., ABN AMRO Bank N.V.’s parent. As a result, investors assume the credit risk of ABN AMRO Bank N.V. and that of ABN AMRO Holding N.V. in the event that ABN AMRO Bank N.V. defaults on its obligations under the Securities. Any obligations or Securities sold, offered, or recommended are not deposits on ABN AMRO Bank N.V. and are not endorsed or guaranteed by any bank or thrift, nor are they insured by the FDIC or any governmental agency.

CPI Risk

Because the interest rate payable on the Securities is linked to the CPI, if the level of the CPI decreases or does not increase sufficiently, you may receive only a minimal amount of interest at a rate of 2.25% per annum for one or more interest payment periods. Additionally, if the Bureau of Labor Statistics changes the way the CPI is calculated, this may also result in lower interest payments on the Securities. The interest rate paid on the Securities and consequently the value of the Securities may be less than the rate on variable rate debt securities with the same maturity issued by us or an issuer with a comparable credit rating.

Liquidity Risk

ABN AMRO Bank N.V. does not intend to list the Securities on any securities exchange. Accordingly, there may be little or no secondary market for the Securities and information regarding independent market pricing of the Securities may be limited. The value of the Securities in the secondary market, if any, will be subject to many unpredictable factors, including then prevailing market conditions.

It is important to note that many factors will contribute to the secondary market value of the Securities, and investors may not receive their full principal back if the Securities are sold prior to maturity. Such factors include, but are not limited to, time to maturity, the value of the CPI, volatility and interest rates.

In addition, the price, if any, at which we or another party are willing to purchase Securities in secondary market transactions will likely be lower than the issue price, since the issue price included, and secondary market prices are likely to exclude, commissions, discounts or mark-ups paid with respect to the Securities, as well as the cost of hedging our obligations under the Securities.

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