PRICING SUPPLEMENT PRICING SUPPLEMENT NO. 803 TO
(TO PROSPECTUS DATED SEPTEMBER 29, 2006 REGISTRATION STATEMENT NOS. 333-137691,
AND PROSPECTUS SUPPLEMENT 333-137691-02
DATED SEPTEMBER 29, 2006) DATED NOVEMBER 21, 2008
CUSIP: 00083GZ64 RULE 424(b)(2)
[ABN AMRO LOGO]
$4,350,000
ABN AMRO BANK N.V.
ABN NOTES(SM)
SENIOR FIXED RATE NOTES
FULLY AND UNCONDITIONALLY GUARANTEED BY
ABN AMRO HOLDING N.V.
----------------
15.00% (ANNUALIZED) THREE MONTH KNOCK-IN REVERSE EXCHANGEABLE SECURITIES LINKED
TO THE SPDR TRUST SERIES 1 DUE FEBRUARY 26, 2009
THE SECURITIES DO NOT GUARANTEE ANY RETURN OF PRINCIPAL AT MATURITY. Instead,
the payout at maturity will be based on the performance of the shares of the
SPDR Trust, Series 1, which we refer to as the Underlying Fund, during the life
of the Securities, and in certain circumstances described below, we will
exchange each Security at maturity for a predetermined number of the shares of
the Underlying Fund rather than the principal amount of the Securities. THE
MARKET VALUE OF THOSE SHARES OF THE UNDERLYING FUND WILL BE LESS THAN THE
PRINCIPAL AMOUNT OF EACH SECURITY AND COULD BE ZERO.
SECURITIES 15.00% (Annualized) Three Month Knock-in Reverse
Exchangeable Securities linked to the SPDR Trust
Series 1 due February 26, 2009.
PRINCIPAL AMOUNT $4,350,000
UNDERLYING FUND The SPDR Trust Series 1, an exchange traded fund
which we refer to as the Underlying Fund.
INTEREST RATE 15.00% per annum, payable monthly in arrears on
the 26th day of each month commencing on December
26, 2008 and ending on the maturity date.
ISSUE PRICE 100%
SETTLEMENT DATE November 26, 2008
PRICING DATE November 21, 2008
MATURITY DATE February 26, 2009
INITIAL PRICE $79.52, 100% of the closing price per share of
the Underlying Fund on the pricing date. (The
initial price is subject to adjustment for
certain corporate events affecting the Underlying
Fund, which we describe in "Description of
Securities --Discontinuance of the Underlying
Fund; Alteration of Method of Calculation").
FINAL PRICE 100% of the closing price per share of the
Underlying Fund on the determination date.
KNOCK-IN LEVEL $47.71, 60% of the initial price.
REDEMPTION AMOUNT 12.575 shares of the Underlying Fund for each
$1,000 principal amount of Securities, which is
equal to $1,000 divided by the initial price.
DETERMINATION DATE February 23, 2009, subject to adjustment in
certain circumstances which we describe in
"Description of the Securities -- Determination
Date."
PAYMENT AT MATURITY The payment at maturity, if any, is based on the
performance of the Underlying Fund, and will
consist of an amount in cash as follows:
(i) if the closing price of the Underlying
Fund on the primary U.S. exchange or market for
the Underlying Fund has not fallen below the
knock-in level on any trading day from but not
including the pricing date to and including the
determination date, we will pay you the principal
amount of each Security in cash.
(ii) if the closing price of the Underlying
Fund on the primary U.S. exchange or market for
such Underlying Fund has fallen below its
knock-in level on any trading day from but not
including the pricing date to and including the
determination date:
a) if the closing price of the Underlying
Fund on the determination date is at or
above the initial price of the Underlying
Fund, we will pay you the principal amount
of each Security in cash; or
b) if the closing price of the Underlying
Fund on the determination date is below the
initial price of the Underlying Fund, we
will deliver to you a number of shares of
the Underlying Fund equal to the Redemption
Amount.
If due to events beyond our reasonable control,
as determined by us in our sole discretion,
shares of the Underlying Fund are not available
for delivery at maturity we may pay you, in lieu
of the Redemption Amount, the cash value of the
Redemption Amount, determined by multiplying the
Redemption Amount by the Closing Price of the
Underlying Fund on the Determination Date.
IF WE DELIVER SHARES OF THE UNDERLYING FUND AT
MATURITY, THE MARKET VALUE OF THOSE SHARES WILL
BE LESS THAN THE PRINCIPAL AMOUNT OF EACH
SECURITY AND COULD BE ZERO. IN SUCH A CASE, YOU
WILL LOSE SOME OR ALL OF YOUR INITIAL PRINCIPAL
INVESTMENT.
The payment at maturity is subject to adjustment
in certain circumstances as described in
"Description of the Securities in this pricing
supplement.
GUARANTEE The Securities will be fully and unconditionally
guaranteed by ABN AMRO Holding N.V.
DENOMINATIONS The Securities may be purchased in denominations
of $1,000 and integral multiples thereof.
NO AFFILIATION WITH The SPDR Trust Series 1, which we refer to as the
SPDRS Underlying Fund is not an affiliate of ours and
is not involved with this offering in any way.
The obligations represented by the Securities are
our obligations, not those of the Underlying
Fund. Investing in the Securities is not
equivalent to investing in the Underlying Fund.
We are not affiliated with the sponsor of the
Underlying Fund and the sponsor of the Underlying
Fund is not involved with this offering in any
way. The obligations represented by the
Securities are our obligations, not those of the
Underlying Fund or the sponsor of the Underlying
Fund.
LISTING We do not intend to list the Securities on any
securities exchange.
THE SECURITIES ARE NOT INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR
ANY OTHER FEDERAL AGENCY.
THE SECURITIES INVOLVE RISKS NOT ASSOCIATED WITH AN INVESTMENT IN CONVENTIONAL
DEBT SECURITIES. SEE "RISK FACTORS" BEGINNING ON PS-8.
The Securities and Exchange Commission and state securities regulators have not
approved or disapproved these Securities, or determined if this Pricing
Supplement or the accompanying Prospectus Supplement or Prospectus is truthful
or complete. Any representation to the contrary is a criminal offense.
The agents are not obligated to purchase the Securities but have agreed to use
reasonable efforts to solicit offers to purchase the Securities. TO THE EXTENT
THE FULL AGGREGATE PRINCIPAL AMOUNT OF THE SECURITIES BEING OFFERED BY THIS
PRICING SUPPLEMENT IS NOT PURCHASED BY INVESTORS IN THE OFFERING, ONE OR MORE
OF OUR AFFILIATES HAS AGREED TO PURCHASE THE UNSOLD PORTION, WHICH MAY
CONSTITUTE A SUBSTANTIAL PORTION OF THE TOTAL AGGREGATE PRINCIPAL AMOUNT OF THE
SECURITIES, AND TO HOLD SUCH SECURITIES FOR INVESTMENT PURPOSES.
SEE "HOLDING OF THE SECURITIES BY OUR AFFILIATES AND FUTURE SALES" UNDER THE
HEADING "RISK FACTORS" AND "PLAN OF DISTRIBUTION." This Pricing Supplement and
the accompanying Prospectus Supplement and Prospectus may be used by our
affiliates in connection with offers and sales of the Securities in
market-making transactions.
PRICE $1,000 PER SECURITY
PROCEEDS TO
PRICE TO PUBLIC AGENT'S COMMISSIONS(1) ABN AMRO BANK N.V.
Non-Principal Protected
Securities 100% 1.50% 98.50%
Total $4,350,000 $65,250 $4,284,750
(1) For additional information see "Plan of Distribution" in this pricing
supplement.
ABN AMRO INCORPORATED
In this Pricing Supplement, the "Bank," "we," "us" and "our" refer to ABN
AMRO Bank N.V. and "Holding" refers to ABN AMRO Holding N.V., our parent
company. We refer to the Securities offered hereby and the related guarantees
as the "Securities" and to each individual security offered hereby as a
"Security."
Reverse Exchangeable(SM) and ABN Notes(SM) are service marks of ABN AMRO
Bank N.V.
ANY SECURITIES ISSUED, SOLD OR DISTRIBUTED PURSUANT TO THIS PRICING
SUPPLEMENT MAY NOT BE OFFERED OR SOLD (i) TO ANY PERSON/ENTITY LISTED ON
SANCTIONS LISTS OF THE EUROPEAN UNION, UNITED STATES OR ANY OTHER APPLICABLE
LOCAL COMPETENT AUTHORITY; (ii) WITHIN THE TERRITORY OF CUBA, SUDAN, IRAN AND
MYANMAR; (iii) TO RESIDENTS IN CUBA, SUDAN, IRAN OR MYANMAR; OR (iv) TO CUBAN
NATIONALS, WHEREVER LOCATED.
PS-2
SUMMARY
THE FOLLOWING SUMMARY ANSWERS SOME QUESTIONS THAT YOU MIGHT HAVE REGARDING
THE SECURITIES IN GENERAL TERMS ONLY. IT DOES NOT CONTAIN ALL THE INFORMATION
THAT MAY BE IMPORTANT TO YOU. YOU SHOULD READ THE SUMMARY TOGETHER WITH THE
MORE DETAILED INFORMATION THAT IS CONTAINED IN THE REST OF THIS PRICING
SUPPLEMENT AND IN THE ACCOMPANYING PROSPECTUS AND PROSPECTUS SUPPLEMENT. YOU
SHOULD CAREFULLY CONSIDER, AMONG OTHER THINGS, THE MATTERS SET FORTH IN "RISK
FACTORS." 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, non-principal protected securities
issued by us, ABN AMRO Bank N.V. and are fully and unconditionally guaranteed
by our parent company, ABN AMRO Holding N.V. The Securities are senior notes of
ABN AMRO Bank N.V. and have a maturity of three months. These Securities
combine certain features of debt and equity by offering a fixed interest rate
on the principal amount while the payment at maturity is determined based on
the performance of the SPDR Trust Series 1, which we refer to as the Underlying
Fund. THEREFORE YOUR INITIAL PRINCIPAL INVESTMENT IS AT RISK.
The Securities have certain features that make them what we refer to as
"Knock-in Reverse Exchangeable Securities." This means that if the closing
price of the Underlying Fund on the primary U.S. securities exchange or
organized market for the Underlying Fund, which we refer to as the relevant
exchange, never falls below a certain price level, which we call the knock-in
level, on any trading day from but not including the pricing date to and
including the determination date (such period, the "Knock-in Period"), then we
will pay you in cash the principal amount of each Security at maturity. On the
other hand, if the closing price of the Underlying Fund on the relevant
exchange falls below its knock-in level on any trading day during the Knock-in
Period, then the payment at maturity will depend on the closing price of the
Underlying Fund on the determination date. In this latter case, if the closing
price of the Underlying Fund on the determination date is equal to or greater
than the initial price, we will pay you in cash the principal amount of each
Security you hold; if the closing price of the Underlying Fund on the
determination date is less than the initial price, we will deliver to you, in
exchange for each $1,000 principal amount of Securities, a number of shares of
the Underlying Fund equal to the Redemption Amount.
WHY IS THE INTEREST RATE ON THE SECURITIES HIGHER THAN THE INTEREST RATE
PAYABLE ON YOUR CONVENTIONAL DEBT SECURITIES WITH THE SAME MATURITY?
The Securities offer a higher interest rate than the yield that would be
payable on a conventional debt security with the same maturity issued by us or
an issuer with a comparable credit rating. This is because the investor in the
Securities, indirectly sells a put option to us on the Underlying Fund shares.
The premium due to you for this put option is combined with a market interest
rate on our senior debt to produce the higher interest rate.
WHAT ARE THE CONSEQUENCES OF THE INDIRECT PUT OPTION THAT I HAVE SOLD YOU?
The put option you indirectly sell to us creates the feature of
exchangeability. If the closing price of the Underlying Fund on the relevant
exchange falls below the knock-in level on any trading day during the Knock-in
Period, and on the determination date the closing price per shares of the
Underlying Fund is less than the initial price, you will receive a fixed number
of shares of the Underlying Fund for each Security you hold, which we call the
redemption amount. On the other hand, if the closing price of the Underlying
Fund on the relevant exchange falls below the knock-in level, and on the
determination date the closing price per Underlying Share is equal to or
greater than the initial price, you will receive $1,000 for each Security you
hold. Because of the exchangeability of the Securities, and because we will
determine whether you will receive cash or Underlying Fund shares by reference
to the closing price of the Underlying Fund on the determination date, such
securities are generally referred to as "reverse exchangeable securities."
However, because this feature of exchangeability is created only if the closing
price of the Underlying Fund on the relevant exchange falls below the knock-in
level on any trading day during the Knock-in Period, we call the Securities
"Knock-in Reverse Exchangeable Securities."
PS-3
WHAT WILL I RECEIVE AT MATURITY OF THE SECURITIES AND HOW IS THIS AMOUNT
CALCULATED?
The payment, if any, you will receive at maturity for each $1,000
principal amount of Securities, is based on the performance of the Underlying
Fund, and will consist of a cash payment calculated as follows:
i) If the closing price of the Underlying Fund on the primary U.S. exchange or
market for such Underlying Fund has not fallen below the knock-in level on any
trading day from but not including the pricing date to and including the
determination date, we will pay you the principal amount of each Security in
cash.
ii) If the closing price of the Underlying Fund on the primary U.S. exchange or
market for such Underlying Fund has fallen below the knock-in level on any
trading day from but not including the Pricing Date to and including the
Determination Date:
a) in the event that the closing price of the Underlying Fund on the
determination date is at or above the initial price, we will pay you the
principal amount of each Security in cash; or
b) in the event that the closing price of the Underlying Fund on the
determination date is below the initial price we will deliver to you a
number of shares of the Underlying Fund equal to the Redemption Amount.
If due to events beyond our reasonable control, as determined by us in our
sole discretion, shares of the Underlying Fund are not available for delivery
at maturity we may pay you, in lieu of the Redemption Amount, the cash value of
the Redemption Amount, determined by multiplying the Redemption Amount by the
Closing Price of the Underlying Fund on the Determination Date.
The payment at maturity is subject to adjustment in certain circumstances,
which we describe in "Description of Securities -- Adjustment Events."
HOW ARE THE REDEMPTION AMOUNT AND KNOCK-IN LEVEL DETERMINED?
The Redemption Amount for each $1,000 principal amount of the Securities
is equal to $1,000 divided by the initial price. Since shares of the Underlying
Fund are held in book entry form, no stock certificates are issued.
Accordingly, any shares of the Underlying Fund which are delivered to you will
be delivered in book entry form and will include any fractional shares you are
entitled to receive, after aggregating your total holdings of the Securities
based on the closing price of the Underlying Fund on the determination date.
The knock-in level is 60% of the initial price.
The initial price and consequently the redemption amount and knock-in
level are subject to adjustment for certain corporate events affecting the
Underlying Fund, which we describe in "Description of Securities -- Adjustment
Events."
WHAT INTEREST PAYMENTS CAN I EXPECT ON THE SECURITIES?
The Securities pay interest at a rate of 15.00% per annum. The interest
rate is fixed at issue and is payable monthly in arrears. This means that
irrespective of whether the Securities are exchanged at maturity for cash or
the stock redemption amount, you will be entitled to monthly interest payments
on the full principal amount of the Securities you hold, payable in cash.
Interest on the Securities will be computed and accrue on the basis of a
360-day year of twelve 30-day months, or in the case of an incomplete month,
the actual number of days elapsed from and including the most recent interest
payment date, or if no interest has been paid, from the issue or other interest
accrual date, to but excluding the earlier of the next interest payment date or
the maturity date.
CAN YOU GIVE ME EXAMPLES OF THE PAYMENT I WILL RECEIVE AT MATURITY DEPENDING ON
THE PERFORMANCE OF THE UNDERLYING FUND?
If, for example, in a hypothetical offering, the interest rate was 10% per
annum, the initial price of the underlying fund was $145.00 per share and the
knock-in level for such offering was 80% then the knock-in level would be
$116.00 per share or 80% of the initial price and the redemption amount would
be 6.897 shares of the Underlying Fund, or $1,000 divided by $145.00.
If the hypothetical closing price of that underlying fund had fallen below
its knock-in level of $116.00 on any trading day from but not including the
pricing date to and including the determination date, then payment at maturity
would depend on the closing price of the Underlying Fund on the determination
date. In this case, if the closing price of the Underlying Fund on the
determination date is
PS-4
$136.00 per share, which is below the initial price, you would receive 6.897
shares of the underlying fund for each $1,000 principal amount of the
securities. Since shares of the Underlying Fund are held in book entry form we
would deliver shares of the Underlying Fund in book entry form which allows us
to deliver fractions of a share. You would receive on the maturity date for
each $1,000 principal amount of the securities 6.897 shares of the underlying.
In addition, over the life of the securities you would have received interest
payments at a rate of 10% per annum.
IN THIS HYPOTHETICAL EXAMPLE, THE MARKET VALUE OF THOSE 6.897 SHARES OF
THE UNDERLYING FUND THAT WE WOULD DELIVER TO YOU AT MATURITY FOR EACH $1,000
PRINCIPAL AMOUNT OF SECURITY WOULD BE $937.99, WHICH IS LESS THAN THE PRINCIPAL
AMOUNT OF $1,000, AND YOU WOULD HAVE LOST A PORTION OF YOUR INITIAL INVESTMENT.
If, on the other hand, the closing price of the underlying fund on the
determination date is $150.00 per share, which is above the initial price
level, you will receive $1,000 in cash for each $1,000 principal amount of the
securities regardless of the knock-in level having been breached. In addition,
over the life of the Securities you would have received interest payments at a
rate of 10% per annum.
Alternatively, if the closing price of the underlying fund never falls
below its knock-in price on any trading day from but not including the pricing
date to and including the determination date, at maturity you would receive
$1,000 in cash for each $1,000 principal amount of the Securities you hold
regardless of the closing price of the underlying fund on the determination
date. In addition, over the life of the Securities you would have received
interest payments of 10% per annum.
THESE EXAMPLES ARE FOR ILLUSTRATIVE PURPOSES ONLY AND ARE BASED ON A
HYPOTHETICAL OFFERING. IT IS NOT POSSIBLE TO PREDICT THE CLOSING PRICE OF THE
UNDERLYING FUND ON THE DETERMINATION DATE OR AT ANY TIME DURING THE LIFE OF THE
SECURITIES. FOR EACH OFFERING WE WILL SET THE INITIAL PRICE AND KNOCK-IN LEVEL
AND REDEMPTION AMOUNT (SUBJECT TO ADJUSTMENT FOR CERTAIN EVENTS AFFECTING THE
UNDERLYING FUND) ON THE DATE WE PRICE THE SECURITIES, WHICH WE REFER TO AS THE
PRICING DATE. IT IS NOT POSSIBLE, HOWEVER, TO PREDICT THE CLOSING PRICE OF THE
UNDERLYING FUND ON THE DETERMINATION DATE OR AT ANY TIME DURING THE LIFE OF THE
SECURITIES.
In this Pricing Supplement, we have provided under the heading
"Hypothetical Sensitivity Analysis of Total Return of the Securities at
Maturity" the total return of owning the Securities through maturity for
various hypothetical closing prices of the Underlying Fund on the determination
date in the case where the knock-in level has been breached and in the case
where the knock-in level has not been breached.
DO I GET ALL MY PRINCIPAL BACK AT MATURITY?
YOU ARE NOT GUARANTEED TO RECEIVE ANY RETURN OF PRINCIPAL AT MATURITY. If the
closing price of the Underlying Fund falls below the knock-in level on any
trading day during the Knock-in Period, and the closing price of the Underlying
Fund is below the initial price on the determination date, we will deliver to
you shares of the Underlying Fund at maturity. The market value of those shares
of the Underlying Fund at the time you receive those shares will be less than
the principal amount of the Securities and could be zero.
IS THERE A LIMIT TO HOW MUCH I CAN EARN OVER THE LIFE OF THE SECURITIES?
Yes. The amount payable under the terms of the Securities will never
exceed the principal amount of the Securities payable at maturity plus interest
payments you earn over the life of the Securities.
DO I BENEFIT FROM ANY APPRECIATION IN THE UNDERLYING FUND OVER THE LIFE OF THE
SECURITIES?
No. The amount paid at maturity for each $1,000 principal amount of the
Securities will not exceed $1,000. As a result, if the Underlying Fund has
appreciated above its price level on the pricing date, the payment you receive
at maturity will not reflect that appreciation. UNDER NO CIRCUMSTANCES WILL YOU
RECEIVE A PAYMENT AT MATURITY GREATER THAN THE PRINCIPAL AMOUNT OF THE
SECURITIES THAT YOU HOLD AT THAT TIME.
WHAT IS THE MINIMUM REQUIRED PURCHASE?
You can purchase Securities in $1,000 denominations or in integral
multiples thereof.
IS THERE A SECONDARY MARKET FOR THE SECURITIES?
We do not intend to list the Securities on any securities exchange.
Accordingly, there may be little or no secondary market for the Securities and,
as such, information regarding independent market pricing for the Securities
may be limited. You should
PS-5
be willing to hold your Securities until the maturity date.
Although it is not required to do so, we have been informed by our
affiliate that when this offering is complete, it intends to make purchases and
sales of the Securities from time to time in off-exchange transactions. If our
affiliate does make such a market in the Securities, it may stop doing so at
any time.
In connection with any secondary market activity in the Securities, our
affiliate may post indicative prices for the Securities on a designated website
or via Bloomberg. However, our affiliate is not required to post such
indicative prices and may stop doing so at any time. INVESTORS ARE ADVISED THAT
ANY PRICES SHOWN ON ANY WEBSITE OR BLOOMBERG PAGE ARE INDICATIVE PRICES ONLY
AND, AS SUCH, THERE CAN BE NO ASSURANCE THAT ANY TRADE COULD BE EXECUTED AT
SUCH PRICES. Investors should contact their brokerage firm for further
information.
In addition, the issue price of the Securities includes the selling
agents' commissions paid with respect to the Securities and the cost of hedging
our obligations under the Securities. The cost of hedging includes the profit
component that our affiliate has charged in consideration for assuming the
risks inherent in managing the hedging of the transactions. The fact that the
issue price of the Securities includes these commissions and hedging costs is
expected to adversely affect the secondary market prices of the Securities. See
"Risk Factors--The Inclusion of Commissions and Cost of Hedging in the Issue
Price is Likely to Adversely Affect Secondary Market Prices" and "Use of
Proceeds."
TELL ME MORE ABOUT ABN AMRO BANK N.V. AND ABN AMRO BANK N.V.
ABN AMRO Bank N.V. is an international banking group offering a wide range
of banking products and financial services worldwide through our network of
offices and branches. ABN AMRO Holding N.V. is the parent company of ABN AMRO
Bank N.V. Holding's main purpose is to own the Bank and its subsidiaries. All
of the Securities issued by the Bank hereunder are fully and unconditionally
guaranteed by Holding.
On November 2, 2007 a consortium (the "Consortium") of the Royal Bank of
Scotland Group plc, Fortis SA/NV and Fortis N.V. (collectively, "Fortis"), and
Banco Santander Central Hispano SA, which had made a tender offer for the
shares of Holding, announced that approximately 98.8% of the shares of Holding
had been tendered to the Consortium as of October 31, 2007. On September 22,
2008 the Consortium acquired the remaining shares of Holding. On October 3,
2008 Holding jointly announced with the Dutch Minister of Finance (the
"Minister") that on that date the Minister acquired all shares of Fortis Bank
Nederland (Holding) NV from Fortis, which effectively transferred Fortis' share
in Holding to the State of the Netherlands.
Holding is no longer listed on Euronext or the New York Stock Exchange but
files periodic reports with the SEC. ABN AMRO Bank N.V. is rated AA- by
Standard & Poor's and Aa2 by Moody's. "See "Risk Factors--Changes to Our Credit
Ratings May Affect the Market Value of Your Securities."
WHERE CAN I FIND OUT MORE ABOUT THE UNDERLYING FUND?
Because the Underlying Fund is an investment company registered under the
Investment Company Act of 1940, as amended, the Underlying Fund is required to
file periodically certain financial and other information specified by the
Commission which is available to the public. You should read "Public
Information Regarding the Underlying Fund" in this Pricing Supplement to learn
how to obtain public information regarding the Underlying Fund and other
important information. The historical highest intra-day price, lowest intra-day
price and last day closing price of the Underlying Fund for each quarter since
2003 are set forth under the heading "Public Information Regarding the
Underlying Fund" in this Pricing Supplement.
WHO WILL DETERMINE WHETHER THE CLOSING PRICE OF THE UNDERLYING FUND HAS FALLEN
BELOW ITS KNOCK-IN LEVEL, THE CLOSING PRICE OF THE UNDERLYING FUND ON THE
DETERMINATION DATE, THE REDEMPTION AMOUNT AND THE INITIAL PRICE?
We have appointed ABN AMRO Incorporated, which we refer to as AAI, to act
as calculation agent for Wilmington Trust Company, the trustee for the
Securities and Citibank, N.A., the securities administrator. As calculation
agent, AAI will determine whether the closing price of the Underlying Fund has
fallen below the knock-in level, the closing price of the Underlying Fund on
the determination date, redemption amount and the initial price. The
calculation agent may adjust the initial price of the Underlying Fund and
consequently the redemption amount and knock-in level, which we describe in the
section called "Description of
PS-6
Securities -- Discontinuance of the Underlying Fund; Alteration of Method of
Calculation."
WHO INVESTS IN THE SECURITIES?
The Securities are not suitable for all investors. The Securities might be
considered by investors who:
o seek a higher interest rate than the current dividend yield on the
Underlying Fund or the yield on a conventional debt security with the same
maturity issued by us or an issuer with a comparable credit rating;
o are willing to accept the risks associated with owning equity in the form
of an exchange traded fund in general and shares of the Underlying Fund in
particular and the risk that they could lose their entire investment;
o do not expect to participate in any appreciation in the price of the
Underlying Fund; and
o and are willing to hold the Securities until maturity.
You should carefully consider whether the Securities are suited to your
particular circumstances before you decide to purchase them. 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 SOME OF THE RISKS IN OWNING THE SECURITIES?
Investing in the Securities involves a number of risks. We have described
the most significant risks relating to the Securities under the heading "Risk
Factors" in this Pricing Supplement which you should read before making an
investment in the Securities.
Some selected risk considerations include:
o CREDIT RISK. Because you are purchasing a security from us, you are
assuming our credit risk. In addition, because the Securities are fully
and unconditionally guaranteed by Holding, you are assuming the credit
risk of Holding in the event that we fail to make any payment or delivery
required by the terms of the Securities.
o PRINCIPAL RISK. The Securities are not principal protected, which means
there is no guaranteed return of principal. If the closing price of the
Underlying Fund falls below the knock-in level on any trading day during
the Knock-in Period and the closing price of the Underlying Fund on the
determination date is less than its initial price, we will deliver to you
a fixed number of shares of the Underlying Fund with a market value less
than the principal amount of the Securities which value may be zero.
o LIQUIDITY AND MARKET RISK. We do 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 for 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.
WHAT IF I HAVE MORE QUESTIONS?
You should read "Description of Securities" in this Pricing Supplement for
a detailed description of the terms of the Securities. The Securities are
senior notes issued as part of our ABN Notes(SM) program and guaranteed by
Holding. The Securities offered by the Bank will constitute the Bank's
unsecured and unsubordinated obligations and rank pari passu without any
preference among them and with all our other present and future unsecured and
unsubordinated obligations. The guarantee of Holding will constitute Holding's
unsecured and unsubordinated obligations and rank pari passu without any
preference among them and with all Holding's other present and future unsecured
and unsubordinated obligations. You can find a general description of our ABN
Notes(SM) program in the accompanying Prospectus Supplement. We also describe
the basic features of this type of note in the sections called "Description of
Notes" and "Notes Linked to Commodity Prices, Single Securities, Baskets of
Securities or Indices".
You may contact our principal executive offices at Gustav Mahleraan 10,
1082 PP Amsterdam, The Netherlands. Our telephone number is (31-20) 628-9393.
PS-7
RISK FACTORS
This section describes the most significant risks relating to the
Securities. For a discussion of certain general risks associated with your
investment in the Securities, please refer to the section entitled "Risk
Factors" beginning on page S-3 of the accompanying prospectus supplement. YOU
SHOULD CAREFULLY CONSIDER WHETHER THE SECURITIES ARE SUITED TO YOUR PARTICULAR
CIRCUMSTANCES BEFORE YOU DECIDE TO PURCHASE THEM. IN ADDITION, WE URGE YOU TO
CONSULT WITH YOUR INVESTMENT, LEGAL, ACCOUNTING, TAX AND OTHER ADVISORS WITH
RESPECT TO ANY INVESTMENT IN THE SECURITIES.
THE SECURITIES ARE NOT ORDINARY SENIOR NOTES; THERE IS NO GUARANTEED RETURN OF
PRINCIPAL
The Securities combine limited features of debt and equity. The terms of
the Securities differ from those of ordinary debt securities in that we will
not pay you a fixed principal amount in cash at maturity if the closing price
of the Underlying Fund has fallen below the knock-in level on any trading day
during the Knock-in Period and, in addition, the closing price of the
Underlying Fund is below the initial price on the determination date. In such
event, we will exchange each Security you hold for a number of shares of the
Underlying Fund equal to the redemption amount. Such shares will have a market
value of less than the principal amount of the Securities, and such value may
be zero. You cannot predict the future performance of the Underlying Fund based
on its historical performance. ACCORDINGLY, YOU COULD LOSE SOME OR ALL OF YOUR
INITIAL PRINCIPAL INVESTMENT IN THE SECURITIES.
INVESTMENT IN THE SECURITIES IS NOT THE SAME AS A DIRECT INVESTMENT IN THE
STOCKS THAT COMPRISE THE S&P 500 INDEX(R) OR IN THE S&P 500 INDEX(R) OR IN THE
SPDR TRUST, SERIES 1
An investment in the Securities is not the same as a direct investment in
the stocks (or any other securities) that comprise the S&P 500 Index(R) or in
the S&P 500 Index(R) or in the SPDR Trust, Series 1. This is due in part to the
fact that the calculation agEnt does not adjust the valuation of the Underlying
Fund, and therefore the return on the Securities, for the payment of cash
dividends on the stocks (or any other securities) that comprise the S&P 500
Index(R) or the stocks held by the SPDR Trust, Series 1. In addition, the
return on your Securities could be less than if you had invested directly in
the stocks (or any other securities) comprising the S&P 500 Index(R) or held by
the Underlying Fund because you will only participate in the change in the
value of the Underlying Fund over the term of the Securities, the return on the
Securities does not account for the return associated with the reinvestment of
dividends that you would have received if you had invested directly in the
stocks (or any other securities) comprising the Underlying Fund and because
there are management fees charged by the Underlying Fund. You will not receive
any payment of dividends on any of the stocks (or any other securities)
comprising the Underlying Fund.
ADJUSTMENTS TO THE UNDERLYING FUND COULD ADVERSELY AFFECT THE VALUE OF THE
SECURITIES
The objective of the Underlying Fund is to provide investment results that
correspond generally to the price and yield performance, before fees and
expenses, of the S&P 500 Index(R). The Underlying Fund at any time will consist
of as many stocks which comprise the S&P 500 Index(R), which we refer to as
Index Securities, as is practicable. Periodically, S&P may (i) determine that
total shares outstanding have changed in one or more component Index Securities
due to secondary offerings, repurchases, conversions or other corporate
actions; (ii) determine that the available float shares of one or more of the
Index Securities may have changed due to corporate actions, purchases or sales
of securities by holders or other events, or (iii) replace one or more Index
Securities due to mergers, acquisitions, bankruptcies, or other market
conditions, or if the issuers of such Index Securities fail to meet the
criteria for inclusion in the S&P 500 Index(R). The Underlying Fund aggregates
certain of these adjustments and changes the composition of the Underlying Fund
at least monthly. Any of these actions could adversely affect the prices of the
Index Securities and/or the Underlying Fund and, consequently, the value of the
Securities.
THE SECURITIES WILL NOT PAY MORE THAN THE STATED PRINCIPAL AMOUNT AT MATURITY
The amount paid at maturity of the Securities in cash or Underlying Fund
shares will not exceed the principal amount of the Securities. If the closing
price of the Underlying Fund on the determination date is equal to or exceeds
the initial price (regardless of whether the knock-in level has been previously
breached), you will receive the principal amount of the Securities irrespective
of any appreciation in the share price of the Underlying Fund. You will not
receive Underlying Fund shares or any other asset equal to the value of the
shares of the Underlying Fund. As a result, if the Underlying Fund has
appreciated above its closing price level on the pricing date, the payment you
PS-8
receive at maturity will not reflect that appreciation. UNDER NO CIRCUMSTANCES
WILL YOU RECEIVE A PAYMENT AT MATURITY GREATER THAN THE PRINCIPAL AMOUNT OF THE
SECURITIES THAT YOU HOLD AT THAT TIME.
WE DO NOT INTEND TO LIST THE SECURITIES ON ANY SECURITIES EXCHANGE; SECONDARY
TRADING MAY BE LIMITED
You should be willing to hold your Securities until the maturity date. We
do 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 for the Securities may be limited. Even if
there is a secondary market, it may not provide enough liquidity to allow you
to trade or sell the Securities easily. Upon completion of the offering, our
affiliate has informed us that it intends to purchase and sell the Securities
from time to time in off-exchange transactions, but it is not required to do
so. If our affiliate does make such a market in the Securities, it may stop
doing so at any time. In addition, the total principal amount of the Securities
being offered is not being purchased by investors in the offering, and one or
more of our affiliates has agreed to purchase the unsold portion. Such
affiliate or affiliates intend to hold the Securities for investment purposes,
which may affect the supply of Securities available for secondary trading and
therefore adversely affect the price of the Securities in any secondary
trading. If a substantial portion of any Securities held by our affiliates were
to be offered for sale following this offering, the market price of such
Securities could fall, especially if secondary trading in such Securities is
limited or illiquid.
MARKET PRICE OF THE SECURITIES INFLUENCED BY MANY UNPREDICTABLE FACTORS
The value of the Securities may move up and down between the date you
purchase them and the determination date when the calculation agent determines
the amount, if any, to be paid to the holders of the Securities on the maturity
date.
Several factors, many of which are beyond our control, will influence the
value of the Securities, including:
o the market price of the Underlying Fund, in particular, whether the
market price of the Underlying Fund has fallen below the knock-in
level;
o the volatility (frequency and magnitude of changes) in the price of
the Underlying Fund;
o the dividend rate on the Underlying Fund and the equity securities
held by the Underlying Fund. While dividend payments, if any, on the
Underlying Fund and the equity securities held by the Underlying Fund
are not paid to holders of the Securities, such payments may have an
influence on the market price of the Underlying Fund and therefore on
the Securities;
o interest and yield rates in the market;
o economic, financial, political and regulatory or judicial events that
affect the stock markets generally and which may affect the closing
prices of the Underlying Fund and/or the Securities;
o the time remaining to the maturity of the Securities; and
o the creditworthiness of the Bank as issuer of the Securities and
Holding as the guarantor of the Bank's obligations under the
Securities. Any person who purchases the Securities is relying upon
the creditworthiness of the Bank and Holding and has no rights
against any other person. The Securities constitute the general,
unsecured and unsubordinated contractual obligations of the Bank and
Holding.
Some or all of these factors will influence the price that you will
receive if you sell your Securities in the secondary market, if any, prior to
maturity. For example, you may have to sell your Securities at a substantial
discount from the principal amount if at the time of sale the market price of
the Underlying Fund is at, below, or not sufficiently above its knock-in level.
See "Risk Factors--The Inclusion of Commissions and Cost of Hedging in the
Issue Price is Likely to Adversely Affect Secondary Market Prices."
PS-9
THE UNDERLYING FUND IS NOT ACTIVELY MANAGED
The Underlying Fund is not actively managed by traditional methods, and
therefore the adverse financial condition of one or more issuers of stocks
which comprise the S&P 500 Index(R) will not result in the elimination of such
stock or stocks from the UnderlyinG Fund unless such stock or stocks are
removed from the S&P 500 Index(R). Because payment, if any, at maturity of the
Securities iS linked to the performance of the Underlying Fund, this may
adversely affect the value of the Securities and the return, if any, on the
Securities.
THE UNDERLYING FUND MAY NOT ALWAYS BE ABLE EXACTLY TO REPLICATE THE PERFORMANCE
OF THE S&P 500 INDEX
It is possible that, for a short period, the Underlying Fund may not fully
replicate the performance of the S&P 500 Index due to the temporary
unavailability of certain Index Securities in the secondary market or due to
other extraordinary circumstances. In addition, the Underlying Fund is not able
to replicate exactly the performance of the S&P 500 Index because the total
return generated by the Underlying Fund is reduced by its expenses and
transaction costs incurred in adjusting the actual balance of the Underlying
Fund. Because payment, if any, at maturity of the Securities is linked to the
performance of the Underlying Fund, this may adversely affect the value of the
Securities and the return, if any, on the Securities.
CHANGES TO OUR CREDIT RATINGS MAY AFFECT THE MARKET VALUE OF YOUR SECURITIES
ABN AMRO Bank N.V. is rated AA- by Standard & Poor's and Aa2 by Moody's.
Our credit ratings are an assessment of our ability to pay our obligations,
including those under the Securities. Credit ratings are subject to revision,
suspension or withdrawal at any time by the assigning rating organization.
Consequently, actual or anticipated changes to our credit ratings may affect
the market value of the Securities. However, because the return on the
Securities is dependent upon factors in addition to our ability to pay our
obligations under the Securities, an improvement in our credit ratings will not
necessarily increase the market value of the Securities and will not reduce
market risk and other investment risks related to the Securities. See "Risk
Factors--Market Price of the Securities Influenced by Many Unpredictable
Factors"
THE INCLUSION OF COMMISSIONS AND COST OF HEDGING IN THE ISSUE PRICE IS LIKELY
TO ADVERSELY AFFECT SECONDARY MARKET PRICES
Assuming no change in market conditions or any other relevant factors, the
price, if any, at which the selling agents 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 paid with respect to the Securities, as well as the profit
component included in the cost of hedging our obligations under the Securities.
In addition, any such prices may differ from values determined by pricing
models used by the selling agents, as a result of dealer discounts, mark-ups or
other transaction costs.
AN INCREASE IN THE VALUE OF THE UNDERLYING FUND WILL NOT INCREASE THE RETURN ON
YOUR INVESTMENT
Owning the Securities is not the same as owning the Underlying Fund.
Accordingly, the market value of your Securities may not have a direct
relationship with the market price of the Underlying Fund, and changes in the
market price of the Underlying Fund may not result in a comparable change in
the market value of your Securities. If the price per share of Underlying the
Fund increases above its initial price, the market value of the Securities may
not increase. It is also possible for the price of the Underlying Fund to
increase while the market price of the Securities declines.
WE MAY NOT BE ABLE TO DELIVER SHARES OF THE UNDERLYING FUND AT MATURITY
If due to events beyond our reasonable control, as determined by us in our
sole discretion, shares of the Underlying Fund are not available for delivery
at maturity we may pay you, in lieu of the Redemption Amount, the cash value of
the Redemption Amount, determined by multiplying the Redemption Amount by the
Closing Price of the Underlying Fund on the Determination Date. Accordingly, if
you have sold Underlying Fund shares and your sale is to settle on the maturity
date or you have otherwise agreed to deliver Underlying Fund shares on the
maturity date, your trade may fail in the event we do not deliver shares of the
Underlying Fund to you.
PS-10
POTENTIAL CONFLICTS OF INTEREST; NO SECURITY INTEREST IN SHARES OF THE
UNDERLYING FUND HELD BY US
We and our affiliates may carry out hedging activities that minimize our
risks related to the Securities, including trading in shares of the Underlying
Fund. In particular, on or prior to the date of this Pricing Supplement, we,
through our affiliates, hedged our anticipated exposure in connection with the
Securities by taking positions in the Underlying Fund, futures or options
contracts on Underlying Fund listed on major securities markets, and/or other
instruments that we deemed appropriate in connection with such hedging. Such
hedging is carried out in a manner designed to minimize any impact on the price
of the Underlying Fund. Our purchase activity, however, could potentially have
increased the initial price of the Underlying Fund, and therefore inadvertently
increased the level below which we would deliver to you at maturity cash in an
amount less than the principal amount of your Securities.
Through our affiliates, we are likely to modify our hedge position
throughout the life of the Securities by purchasing and selling shares of the
Underlying Fund, futures or options contracts on the Underlying Fund listed on
major securities markets or positions in other securities or instruments that
we may wish to use in connection with such hedging. Although we have no reason
to believe that our hedging activity or other trading activities that we, or
any of our affiliates, engage in or may engage in has had or will have a
material impact on the price of the Underlying Fund, we cannot give you any
assurance that we have not or will not affect such price as a result of our
hedging or trading activities. It is possible that we or one of more of our
affiliates could receive substantial returns from these hedging activities
while the value of the Securities may decline. We or one or more of our
affiliates may also engage in trading shares of the Underlying Fund and other
investments relating to the Underlying Fund on a regular basis as part of our
or its general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for
customers, including block transactions. Any of these activities could
adversely affect the price of the Underlying Fund and, therefore, the value of
the Securities. We or one or more of our affiliates may also issue or
underwrite other securities or financial or derivative instruments with returns
linked or related to changes in the value of the Underlying Fund. By
introducing competing products into the marketplace in this manner, we or one
or more of our affiliates could adversely affect the value of the Securities.
It is also possible that any advisory services that we or our affiliates
provide in the course of any business with the issuers of any of the stocks
which comprise the Underlying Fund or their affiliates could lead to actions on
the part of an issuer of any of the stocks that comprise the Underlying Fund
which might adversely affect the value of the Underlying Fund.
The indenture governing the Securities does not contain any restrictions
on our ability or the ability of any of our affiliates to sell, pledge or
otherwise convey all or any portion of the shares of the Underlying Fund
acquired by us or our affiliates. Neither we nor Holding nor any of our
affiliates will pledge or otherwise hold shares of the Underlying Fund for the
benefit of holders of the Securities in order to enable the holders to exchange
their Securities for shares of the Underlying Fund under any circumstances.
Consequently, in the event of a bankruptcy, insolvency or liquidation involving
us or Holding, as the case may be, any shares of the Underlying Fund that we or
Holding own will be subject to the claims of our creditors or Holding's
creditors generally and will not be available specifically for the benefit of
the holders of the Securities.
NO SHAREHOLDER RIGHTS IN THE UNDERLYING FUND
As a holder of the Securities, you will not have voting rights or rights
to receive dividends or other distributions or other rights that holders of
shares of the Underlying Fund would have.
Because neither we nor Holding nor any of our affiliates are affiliated
with the sponsor or trustee of the Underlying Fund, we have no ability to
control or predict the actions of such entities, including any actions of the
type that would require the calculation agent to adjust the initial price and
consequently the knock-in level and payment at maturity, and have no ability to
control the public disclosure of these actions or any other events or
circumstances affecting such entities. NEITHER THE UNDERLYING FUND NOR THE
SPONSOR OF THE UNDERLYING FUND IS INVOLVED IN THE OFFER OF THE SECURITIES IN
ANY WAY AND HAVE ANY OBLIGATION TO CONSIDER YOUR INTEREST AS A HOLDER OF THE
SECURITIES IN TAKING ANY CORPORATE ACTIONS THAT MIGHT AFFECT THE VALUE OF YOUR
SECURITIES. NONE OF THE MONEY YOU PAY FOR THE SECURITIES WILL GO TO THE
UNDERLYING FUND OR THE SPONSOR OF THE UNDERLYING FUND.
PS-11
INFORMATION REGARDING THE UNDERLYING FUND
Neither we nor Holding nor any of our affiliates assume any responsibility
for the accuracy or adequacy of the information about the Underlying Fund
contained in this Pricing Supplement or in any of its publicly available
filings. AS AN INVESTOR IN THE SECURITIES, YOU SHOULD MAKE YOUR OWN
INVESTIGATION INTO THE UNDERLYING FUND. NEITHER WE NOR HOLDING NOR ANY OF OUR
AFFILIATES HAVE ANY AFFILIATION WITH THE UNDERLYING FUND, AND ARE NOT
RESPONSIBLE FOR ITS PUBLIC DISCLOSURE OF INFORMATION, WHETHER CONTAINED IN SEC
FILINGS OR OTHERWISE.
LIMITED ANTIDILUTION PROTECTION
AAI, as calculation agent, will adjust the initial price and consequently
the payment at maturity and knock-in level for certain events affecting the
Underlying Fund. The calculation agent is not required to make an adjustment
for every corporate action which affects the Underlying Fund. IF AN EVENT
OCCURS THAT DOES NOT REQUIRE THE CALCULATION AGENT TO ADJUST THE AMOUNT PAYABLE
AT MATURITY, THE MARKET PRICE OF THE SECURITIES MAY BE MATERIALLY AND ADVERSELY
AFFECTED.
HOLDINGS OF THE SECURITIES BY OUR AFFILIATES AND FUTURE SALES
Certain of our affiliates have agreed to purchase for investment the
portion of the Securities that has not been purchased by investors in this
offering, which initially they intend to hold for investment purposes. As a
result, upon completion of this offering, our affiliates may own a substantial
portion of the aggregate principal amount of the Securities. Circumstances may
occur in which our interests or those of our affiliates could be in conflict
with your interests.
POTENTIAL CONFLICTS OF INTEREST BETWEEN HOLDERS OF SECURITIES AND THE
CALCULATION AGENT
As calculation agent, AAI will calculate the payout, if any, to you at
maturity of the Securities. AAI and other affiliates may carry out hedging
activities related to the Securities, including trading in shares of the
Underlying Fund, as well as in other instruments related to the Underlying
Fund. AAI and some of our other affiliates also trade the Underlying Fund on a
regular basis as part of their general broker dealer businesses. Any of these
activities could influence AAI's determinations as calculation agent and any
such trading activity could potentially affect the price of the Underlying Fund
and, accordingly could affect the payout on the Securities. AAI IS AN AFFILIATE
OF ABN AMRO BANK N.V.
In addition, if certain events occur as defined under "Description of
Securities -- Discontinuance of the Underlying Fund; Alteration of Method of
Calculation" the calculation agent may adjust the initial price and
consequently the knock-in level and amount, if any, payable at maturity to
reflect such event. The calculation agent's adjustment to the Securities may be
influenced by, among other things, our or our affiliates' hedging transactions
with respect to the Securities and our or their ability to hedge our
obligations under the Securities following those reorganization events. While
we do not currently anticipate the occurrence of such an event, there can be no
assurance that such an event will not occur or that the calculation agent's
adjustments upon such an event will not adversely affect the value of the
Securities.
Moreover, the issue price of the Securities includes the agents'
commissions and certain costs of hedging our obligations under the Securities.
Our affiliates through which we hedge our obligations under the Securities
expect to make a profit. Since hedging our obligations entails risk and may be
influenced by market forces beyond our affiliates' control, such hedging may
result in a profit that is more or less than initially projected.
TAX TREATMENT
You should also consider the tax consequences of investing in the
Securities. Significant aspects of the tax treatment of the Securities are
uncertain. We do not plan to request a ruling from the U.S. Internal Revenue
Service (the "IRS") or from the Dutch authorities regarding the tax treatment
of the Securities, and the IRS, the Dutch authorities or a court may not agree
with the tax treatment described in the accompanying Prospectus Supplement or
this Pricing Supplement. Please read carefully the sections entitled "United
States Federal Taxation" below and
PS-12
"Taxation in the Netherlands" in the accompanying Prospectus Supplement. You
should consult your tax advisor about your own situation.
THE SPDR TRUST, SERIES 1 DISCLAIMER
The Securities are not sponsored, endorsed, sold or promoted by the
Underlying Fund, the Sponsor or the Trustee of the Underlying Fund or any of
its or their affiliates (together referred to as the Fund Parties) and none of
the Fund Parties makes any representation or warranty, express or implied,
regarding the advisability of investing in securities generally or the
Securities particularly. None of the Fund Parties has any obligation to take
the needs of the holders of the Securities into consideration in determining,
comprising or calculating the Underlying Fund. None of the Fund Parties is
responsible for and has not participated in any determination or calculation
made with respect to issuance or redemption of the Securities. None of the Fund
Parties has any obligation or liability in connection with the administration,
marketing or trading of the Securities.
"Standard & Poor's(R)", "S&P(R)", "Standard & Poor's 500 Composite Stock Price
Index(R)", "S&P 500 Index(R)", "Standard & Poor's 500(R)", "Standard & Poor's
Depositary Receipts(R)" and "SPDRs(R)" are trademarks of The McGraw-Hill
Companies, Inc. State Street Global Markets, LLC is permitted to use these
trademarks pursuant to a License Agreement with Standard & Poor's, a division
of The McGraw-Hill Companies, Inc., and SPDR Trust, Series 1, is permitted to
use these trademarks pursuant to a sublicense from State Street Global Markets,
LLC. SPDR Trust, Series 1 is not, however, sponsored by or affiliated with
Standard & Poor's or The McGraw-Hill Companies, Inc. THESE TRADEMARKS AND
SERVICE MARKS HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY ABN AMRO BANK
N.V. THE SECURITIES HAVE NOT BEEN PASSED ON BY ANY OF THE FOREGOING ENTITIES.
THE SECURITIES ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY ANY OF THE
FOREGOING ENTITIES AND NONE OF THE ABOVE MAKES ANY WARRANTIES OR BEARS ANY
LIABILITY WITH RESPECT TO THE SECURITIES.
NONE OF THE FUND PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS
TO BE OBTAINED BY HOLDERS OF THE SECURITIES OR ANY OTHER PERSON OR ENTITY FROM
THE USE OF THE SHARE PRICE OF THE UNDERLYING FUND.
PS-13
HYPOTHETICAL TOTAL RETURN OF THE SECURITIES AT MATURITY
The following tables set out the total return to maturity of a Security,
based on the assumptions outlined below and several variables, which include
(a) whether the closing price of the Underlying Fund has fallen below the
knock-in level on any trading day during the Knock-in Period and (b) several
hypothetical closing prices for the Underlying Fund on the determination date.
The information in the tables is based on hypothetical market values for the
Underlying Fund. We cannot predict the market price or the closing price of the
Underlying Fund on the determination date or at any time during the life of the
Securities. THE ASSUMPTIONS EXPRESSED BELOW ARE FOR ILLUSTRATIVE PURPOSES ONLY
AND THE RETURNS SET FORTH IN THE TABLE MAY OR MAY NOT BE THE ACTUAL RATES
APPLICABLE TO A PURCHASER OF THE SECURITIES.
ASSUMPTIONS
Initial Price: $79.52 (the closing price on the day we
priced the Securities)
Knock-in level: $47.71 (60% of the Initial Price)
Annual Interest on the Securities: 15.00%
Term of the Securities: 3 months
PAYMENT AT MATURITY IF THE CLOSING PRICE OF THE UNDERLYING FUND FALLS BELOW THE
KNOCK-IN LEVEL ON ANY TRADING DAY DURING THE KNOCK-IN PERIOD:
-------------------------------------------------------------------------------
ASSUMED THREE
UNDERLYING FUND VALUE OF MONTHLY TOTAL RETURN(b)
CLOSING PRICE ON PAYMENT AT INTEREST ------------------------
DETERMINATION DATE MATURITY(a) PAYMENTS(c) $ %
-------------------------------------------------------------------------------
$79.52 or above $1,000.00 $37.50 $1,037.50 3.75%
$77.53 $ 974.94 $37.50 $1,012.44 1.24%
$73.95 $ 929.92 $37.50 $ 967.42 -3.26%
$72.36 $ 909.93 $37.50 $ 947.43 -5.26%
$65.12 $ 818.88 $37.50 $ 856.38 -14.36%
$57.31 $ 720.67 $37.50 $ 758.17 -24.18%
$45.85 $ 576.56 $37.50 $ 614.06 -38.59%
$32.10 $ 403.66 $37.50 $ 441.16 -55.88%
$16.05 $ 201.83 $37.50 $ 239.33 -76.07%
$ 8.03 $ 100.98 $37.50 $ 138.48 -86.15%
$ 0.00 $ 0.00 $37.50 $ 37.50 -96.25%
-------------------------------------------------------------------------------
PS-14
PAYMENT AT MATURITY IF THE CLOSING PRICE OF THE UNDERLYING FUND NEVER FALLS
BELOW THE KNOCK-IN LEVEL ON ANY TRADING DAY DURING THE KNOCK-IN PERIOD:
-------------------------------------------------------------------------------
ASSUMED THREE
UNDERLYING FUND VALUE OF MONTHLY TOTAL RETURN(b)
CLOSING PRICE ON PAYMENT AT INTEREST ------------------------
DETERMINATION DATE MATURITY(d) PAYMENTS(c) $ %
-------------------------------------------------------------------------------
$79.52 or above $1,000.00 $37.50 $1,037.50 3.75%
$71.57 $1,000.00 $37.50 $1,037.50 3.75%
$67.99 $1,000.00 $37.50 $1,037.50 3.75%
$47.71 $1,000.00 $37.50 $1,037.50 3.75%
-------------------------------------------------------------------------------
----------------
(a) Based on the assumptions set forth above, if the closing price of the
Underlying Fund falls below $47.71 on any trading day during the Knock-in
Period and, in addition, the closing price of the Underlying Fund is less
than $79.52 on the determination date, the payment at maturity will be made
in shares of the Underlying Fund. For determining the value of the payment
at maturity, we have assumed that the closing price of the Underlying Fund
will be the same on the maturity date as on the determination date.
(b) The total return presented is exclusive of any tax consequences of owning
the Securities. You should consult your tax adviser regarding whether
owning the Securities is appropriate for your tax situation. See the
sections titled "Risk Factors" in this Pricing Supplement and "United
States Federal Taxation" and "Taxation in the Netherlands" in the
accompanying Prospectus Supplement.
(c) Interest on the Securities will be computed on the basis of a 360-day year
of twelve 30-day months or, in the case of an incomplete month, the number
of actual days elapsed. Accordingly, depending on the number of days in any
monthly interest payment period, the coupon payable in such period and,
consequently, the total interest payable over the life of the Securities,
may be less than the amount reflected in this column.
(d) Based on the assumptions set forth above, if the closing price of the
Underlying Fund never falls below $47.71 on any trading day during the
Knock-in Period, the payment at maturity will be made in cash.
PS-15
INCORPORATION OF DOCUMENTS BY REFERENCE
Holding is subject to the informational requirements of the Securities
Exchange Act of 1934, as amended (the "Exchange Act"), and in accordance
therewith, Holding files reports and other information with the Securities and
Exchange Commission (the "Commission"). You may read and copy these documents
at the SEC Headquarters Public Reference Room at 100 F Street, N.E.,
Washington, D.C. 20549 (tel: 202-551-8090), and at the SEC's regional offices
at Northeast Regional Office, 3 World Financial Center, Suite 400, New York, NY
10281 (tel: 212-336-1100) and Midwest Regional Office, 175 W. Jackson
Boulevard, Suite 900, Chicago, Illinois 60604. Copies of this material can also
be obtained from the Public Reference Room of the Commission at 100 F Street,
N.E., Washington, D.C. 20549 at prescribed rates. Please call the Commission at
1-800-SEC-0330 for further information about the Public Reference Room. The
Commission also maintains an Internet website that contains reports and other
information regarding Holding that are filed through the Commission's
Electronic Data Gathering, Analysis and Retrieval (EDGAR) System. This website
can be accessed at www.sec.gov. You can find information Holding has filed with
the Commission by reference to file number 1-14624.
This Pricing Supplement is part of a registration statement that we and
Holding filed with the Commission. This Pricing Supplement omits some
information contained in the registration statement in accordance with
Commission rules and regulations. You should review the information and
exhibits in the registration statement for further information on us and
Holding and the securities we and Holding are offering. Statements in this
prospectus concerning any document we and Holding filed as an exhibit to the
registration statement or that Holding otherwise filed with the Commission are
not intended to be comprehensive and are qualified by reference to these
filings. You should review the complete document to evaluate these statements.
The Commission allows us to incorporate by reference much of the
information that we and Holding file with them, which means that we can
disclose important information to you by referring you to those publicly
available documents. The information that we and Holding incorporate by
reference in this Pricing Supplement is considered to be part of this Pricing
Supplement. Because we and Holding are incorporating by reference future
filings with the Commission, this Pricing Supplement is continually updated and
those future filings may modify or supersede some of the information included
or incorporated in this Pricing Supplement. This means that you must look at
all of the Commission filings that we and Holding incorporate by reference to
determine if any of the statements in this Pricing Supplement or in any
document previously incorporated by reference have been modified or superseded.
This Pricing Supplement incorporates by reference all Annual Reports on Form
20-F filed by Holding since September 29, 2006, and any future filings that we
or Holding make with the Commission (including any Form 6-K's that we or
Holding subsequently file with the Commission) under Section 13(a), 13(c), 14
or 15(d) of the Exchange Act, that are identified in such filing as being
specifically incorporated by reference into Registration Statement Nos.
333-137691 or 333-137691-02, of which this Pricing Supplement is a part, until
we and Holding complete our offering of the Securities to be issued hereunder
or, if later, the date on which any of our affiliates cease offering and
selling these Securities.
You may request, at no cost to you, a copy of these documents (other than
exhibits not specifically incorporated by reference) by writing or telephoning
us at: ABN AMRO Bank N.V., ABN AMRO Investor Relations Department,
Hoogoorddreef 66-68, P.O. Box 283, 1101 BE Amsterdam, The Netherlands
(Telephone: (31-20) 628 3842).
PS-16
PUBLIC INFORMATION REGARDING THE UNDERLYING FUND
SPDRS ARE OWNERSHIP INTERESTS IN THE SPDR TRUST
SPDR Trust, Series 1, which we refer to as the Underlying Fund is a unit
investment trust that issues securities called "Standard & Poor's Depositary
Receipts" or "SPDRs." The Underlying Fund is called an exchange traded fund
because its ownership interests or SPDRs trade on the American Stock Exchange
like other equity securities. The price quotation from market information
services for the ticker symbol "SPY" is the price of one SPDR or one share of
the Underlying Fund. The Underlying Fund is organized under New York law and is
governed by an amended and restated trust agreement between State Street Bank
and Trust Company ("Trustee") and PDR Services LLC ("the Fund Sponsor"), dated
as of January 1, 2004 and effective as of January 27, 2004, as amended. The
Underlying Fund is an investment company registered under the Investment
Company Act of 1940. SPDRs represent an undivided ownership interest in a
portfolio of all of the common stocks of the Standard & Poor's 500 Composite
Stock Price Index ("S&P 500 Index(R)").
The Underlying Fund has made filings with the SEC, You may read and copy
these documents at the SEC Headquarters Public Reference Room at 100 F Street,
N.E., Washington, D.C. 20549 (tel: 202-551-8090), and at the SEC's regional
offices at Northeast Regional Office, 3 World Financial Center, Suite 400, New
York, NY 10281 (tel: 212-336-1100) and Midwest Regional Office, 175 W. Jackson
Boulevard, Suite 900, Chicago, Illinois 60604. Copies of this material can also
be obtained from the Public Reference Room of the Commission at 100 F Street,
N.E., Washington, D.C. 20549 at prescribed rates. Please call the Commission at
1-800-SEC-0330 for further information about the Public Reference Room. The
Commission also maintains an Internet website that contains reports and other
information regarding Holding that are filed through the Commission's
Electronic Data Gathering, Analysis and Retrieval (EDGAR) System. This website
can be accessed at www.sec.gov. You can find information the Underlying Fund
has filed with the Commission by reference to Securities Act of 1933 File No.
33-46080 and Investment Company Act of 1940 File No. 811-7330.
SPDRS ARE DESIGNED TO CLOSELY TRACK THE VALUE OF THE STOCKS INCLUDED IN THE S&P
500 INDEX(R)
SPDRs intend to provide investment results that, before expenses,
generally correspond to the price and yield performance of the S&P 500
Index(R). Current information regarding the value of the S&P 500 Index(R) is
available from market information servicEs. Standard & Poor's, a division of
The McGraw-Hill Companies, Inc. ("S&P") obtains information for inclusion in,
or for use in the calculation of, the S&P 500 Index(R) from sources S&P
considers reliable. None of S&P, the Sponsor, the Underlying Fund or us acceptS
responsibility for or guarantees the accuracy and/or completeness of the S&P
500 Index(R) or any data included in the S&P 500 Index(R). The Underlying Fund
holds stocks and cash and is not actively managed by traditional methods, which
typically involve effecting changes in the holdings of stocks and cash on the
basis of judgments made relating to economic, financial and market
considerations. To maintain the correspondence between the composition and
weightings of stocks held by the Underlying Fund and component stocks of the
S&P 500 Index(R) which we refer to as Index Securities, the Trustee adjusts the
holdings of the Underlying Fund from time to time to conform to periodic
changes in the identity and/or relative weightings of Index Securities. The
Trustee aggregates certain of these adjustments and makes changes to the
holdings of the Underlying Fund at least monthly or more frequently in the case
of significant changes to the S&P 500 Index(R). Any change in the identity or
weighting of an Index Security will result in a corresponding adjustment to the
prescribed holdings of the Underlying Fund effective on any day that the New
York Stock Exchange, LLC is open for business following the day on which the
change to the S&P 500 Index(R) takes effect after the close of the market. The
value of SPDRs fluctuates in relation to changes in the value of the holdings
of the Underlying Fund. The market price of each individual SPDR may not be
identical to the net asset value of such SPDR but, historically, these two
valuations have been very close.
NEITHER WE NOR HOLDING NOR ANY OF OUR AFFILIATES MAKES ANY REPRESENTATION TO
YOU AS TO THE PERFORMANCE OF THE UNDERLYING FUND.
PS-17
HISTORICAL INFORMATION
The shares of the Underlying Fund are traded on the AMEX under the symbol
"SPY". The following table sets forth the published highest intra-day price for
the quarter, lowest intra-day price for the quarter and last day closing price
for the quarter of the shares of the Underlying Fund since 2003. We obtained
the prices listed below from Bloomberg Financial Markets without independent
verification. You should not take the historical prices of the Underlying Fund
as an indication of future performance. NEITHER WE NOR HOLDING CAN GIVE ANY
ASSURANCE THAT THE PRICE OF THE SHARES OF THE UNDERLYING FUND WILL NOT
DECREASE, SUCH THAT WE WILL DELIVER LESS THAN THE PRINCIPAL AMOUNT OF EACH
SECURITY AT MATURITY.
HIGH LOW LAST DAY
INTRA-DAY INTRA-DAY CLOSING
PERIOD PRICE PRICE PRICE
------ ----- ----- -----
2003
First Quarter.......................... $ 93.57 $ 79.17 $ 84.49
Second Quarter......................... $101.87 $ 84.74 $ 97.34
Third Quarter.......................... $104.39 $ 96.07 $ 99.65
Fourth Quarter......................... $111.18 $ 99.92 $110.95
2004
First Quarter.......................... $116.60 $108.53 $112.83
Second Quarter......................... $115.05 $107.77 $114.19
Third Quarter.......................... $114.04 $106.29 $111.43
Fourth Quarter......................... $121.65 $109.06 $120.87
2005
First Quarter.......................... $123.25 $116.25 $117.96
Second Quarter......................... $121.94 $113.55 $119.18
Third Quarter.......................... $124.74 $118.26 $123.04
Fourth Quarter ........................ $128.09 $116.91 $124.51
2006
First Quarter.......................... $131.47 $124.40 $129.83
Second Quarter......................... $132.80 $122.36 $127.28
Third Quarter ......................... $133.97 $122.39 $133.58
Fourth Quarter......................... $143.24 $132.66 $141.69
2007
First Quarter ......................... $146.38 $136.75 $142.00
Second Quarter......................... $154.40 $141.48 $150.43
Third Quarter.......................... $155.52 $137.28 $152.58
Fourth Quarter ........................ $157.51 $140.67 $146.21
2008
First Quarter ......................... $146.96 $126.10 $131.97
Second Quarter......................... $144.22 $127.05 $127.98
Third Quarter.......................... $131.50 $110.97 $115.99
Fourth Quarter (November 21, 2008) .... $116.80 $ 74.40 $ 79.52
Neither we nor Holding make any representation as to the amount of
dividends, if any, that the Underlying Fund will pay in the future. In any
event, as a holder of a Security, you will not be entitled to receive
dividends, if any, that may be payable on the Underlying Fund.
PS-18
DESCRIPTION OF SECURITIES
Capitalized terms not defined herein have the meanings given to such terms
in the accompanying Prospectus Supplement. The term "Security" refers to each
$1,000 principal amount of our 15.00% (Annualized) Three Month Knock-in
Securities linked to the SPDR Trust, Series 1 due February 26, 2009 and fully
and unconditionally guaranteed by Holding.
The Offering................. 15.00% (Annualized) Three Month Knock-in Reverse
Exchangeable Securities linked to the SPDR Trust,
Series 1 due February 26, 2009
Principal Amount:............ $4,350,000
Underlying Fund.............. The Securities are linked to the SPDR Trust,
Series 1 exchange traded fund.
Proposed Settlement Date..... November 26, 2008
Proposed Pricing Date........ November 21, 2008
Issue Price.................. 100%
Initial Price................ $79.52 per share of the Underlying Fund. The
Initial Price is the Closing Price per share of
the Underlying Fund on the Pricing Date. The
Initial Price may be adjusted for certain events
affecting the Underlying Fund.
Knock-in Level............... 60% of the Initial Price, which will be
determined by the Calculation Agent. The Initial
Price and consequently the Knock-in Level may be
adjusted for certain events affecting the
Underlying Fund. See "Discontinuance of the
Underlying Fund; Alteration of Method of
Calculation"
Maturity Date................ February 26, 2009
Specified Currency........... U.S. Dollars
CUSIP........................ 00083GZ64
Denominations................ The Securities may be purchased in denominations
of $1,000 and integral multiples thereof.
Form of Securities........... The Securities will be represented by a single
registered global security, deposited with the
Depository Trust Company.
Guarantee.................... The payment and delivery obligations of ABN AMRO
Bank N.V. under the Securities, when and as they
shall become due and payable, whether at maturity
or upon acceleration, are fully and
unconditionally guaranteed by ABN AMRO Holding
N.V.
Interest Rate................ 15.00% per annum, payable monthly in arrears on
the 26th of each month commencing on December 26,
2008 and ending on the Maturity Date, which shall
represent: (a) an interest coupon of 2.12% and
(b) an option premium of 12.88%, per annum.
Payment at Maturity.......... The payment at maturity, if any, for each
Security is based on the performance of the
Underlying Fund and will consist of an amount in
cash as follows:
i) If the closing price of the Underlying Fund on
the primary U.S. exchange or market for such
Underlying Fund has not fallen below the Knock-In
Level on any trading day from but not including
the Pricing Date to and including the
Determination Date, we will pay you the principal
amount of each Security in cash.
ii) If the closing price of the Underlying Fund
on the primary U.S. exchange or market for such
Underlying Fund has fallen below the Knock-In
Level on any trading day from but not including
the Pricing
PS-19
Date to and including the Determination Date:
a) in the event that the closing price of the
Underlying Fund on the Determination Date is
at or above the Initial Price, we will pay
you the principal amount of each Security in
cash; or
b) in the event that the closing price of the
Underlying Fund on the Determination Date is
below the Initial Price we will deliver to
you a number of shares of the Underlying
Fund equal to the Redemption Amount.
If due to events beyond the Issuer's reasonable
control, as determined by the Issuer in its sole
discretion, Underlying Shares are not available
for delivery at maturity the Issuer may deliver,
in lieu of the Stock Redemption Amount, the cash
value of the Stock Redemption Amount, determined
by multiplying the Stock Redemption Amount by the
Closing Price of the Underlying Shares on the
Determination Date.
The amount payable at maturity is further subject
to adjustment as described below under "--
Adjustment Events and -- Discontinuance of the
Underlying Fund; Alteration of Method of
Calculation."
Redemption Amount............ The Calculation Agent will determine the
Redemption Amount on the Determination Date by
dividing $1,000 by the Initial Price of the
Underlying Fund. The Initial Price and
consequently the Redemption Amount may be
adjusted for certain corporate events affecting
the Underlying Fund. The interest payment on the
Securities at maturity will be paid in cash.
Determination Date........... February 23, 2009; provided that if such day is
not a Trading Day, or if a Market Disruption
Event has occurred on such a Trading Day, the
Determination Date shall be the immediately
succeeding Trading Day; provided, further, that
the Determination Date shall be no later than the
second scheduled Trading Day preceding the
Maturity Date, notwithstanding the occurrence of
a Market Disruption Event on such second
scheduled Trading Day.
Closing Price................ If the Underlying Fund (or any other security for
which a closing price must be determined) is
listed on a U.S. securities exchange registered
under the Exchange Act, or is included in the OTC
Bulletin Board Service, which we refer to as the
OTC Bulletin Board (operated by the Financial
Industry Regulatory Authority), the Closing Price
for one share of the Underlying Fund (or one unit
of any such other security) on any Trading Day
means (i) the last reported sale price, regular
way, in the principal trading session on such day
on the principal securities exchange on which the
shares of the Underlying Fund (or any such other
security) are listed or admitted to trading or
(ii) if not listed or admitted to trading on any
such securities exchange or if such last reported
sale price is not obtainable (even if the shares
of the Underlying Fund, or other such security,
are listed or admitted to trading on such
securities exchange), the last reported sale
price in the principal trading session on the
over-the-counter market as reported on the
Relevant Exchange or OTC Bulletin Board on such
day. If the last reported sale price is not
available pursuant to clause (i) or (ii) of the
preceding sentence, the Closing Price for any
Trading Day shall be the mean, as determined by
the Calculation Agent, of the bid prices for
shares of the Underlying Fund (or any such other
security) obtained from as many
PS-20
dealers in such security (which may include AAI
or any of our other affiliates), but not
exceeding three, as will make such bid prices
available to the Calculation Agent. The term "OTC
Bulletin Board Service" shall include any
successor service thereto.
Relevant Exchange............ The primary U.S. securities organized exchange or
market of trading for the Underlying Fund.
Trading Day.................. A day, as determined by the Calculation Agent, on
which trading is generally conducted on the
Relevant Exchange.
Book Entry Note or
Certificated Note.......... Book Entry
Trustee...................... Wilmington Trust Company
Securities Administrator..... Citibank, N.A.
Market Disruption Event...... Means, with respect to the Underlying Fund:
(i) either:
(x) any suspension or absence or limitation
imposed on trading in stocks then
constituting 20% or more of the level of
such Underlying Fund by the primary exchange
therefor or otherwise and whether by reason
of movements in price exceeding limits
permitted by such exchange or otherwise or
by any exchange or quotation system on which
trading in futures or options contracts
relating to stocks then constituting 20% or
more of the level of such Underlying Fund is
executed, or
(y) any event (other than an event described
in clause (z) below) that disrupts or
impairs (as determined by the Calculation
Agent) the ability of market participants in
general (1) to effect transactions in or
obtain market values for stocks then
constituting 20% or more of the level of
such Underlying Fund on the primary exchange
therefor or (2) to effect transactions in or
obtain market values for futures or options
contracts relating to stocks then
constituting 20% or more of the level of
such Underlying Fund on any other exchange,
or
(z) the closure on any Trading Day of the
primary exchange(s) for stocks then
constituting 20% or more of the level of
such Underlying Fund, or any exchange or
quotation system on which trading in future
or options relating the such stocks is
executed, prior to its scheduled closing
time unless such earlier closing time is
announced by such exchange at least one hour
prior to the earlier of (1) the actual
closing time for the regular trading session
on such exchange on such Trading Day and (2)
the submission deadline for orders to be
entered into such exchange for execution on
such Trading Day; and
(ii) a determination by the Calculation Agent in
its sole discretion that the event described
in clause (i) above materially interfered
with our ability or the ability of any of
our affiliates to unwind or adjust all or a
material portion of the hedge with respect
to the Securities.
For the purpose of determining whether a Market
Disruption Event exists with respect to the
Underlying Fund at any time, if trading in a
security included in such Underlying Fund is
materially suspended or materially limited at
that time, or there occurs an event that disrupts
or impairs the ability of market participants in
general to effect transactions in or obtain
market values for such security, then the
relevant percentage contribution
PS-21
of that security to the level of the such
Underlying Fund shall be based on a comparison of
(i) the portion of the level of such Underlying
Fund attributable to that security relative to
(ii) the overall level of such Underlying Fund,
in each case immediately before the occurrence of
that suspension, limitation or other market
disruption, as the case may be.
For purposes of determining whether a Market
Disruption Event has occurred: (1) a limitation
on the hours or number of days of trading will
not constitute a Market Disruption Event if it
results from an announced change in the regular
business hours of the relevant exchange or
market, (2) a decision permanently to discontinue
trading in the relevant futures or options
contract will not constitute a Market Disruption
Event, (3) limitations pursuant to the rules of
any relevant exchange similar to NYSE Rule 80A
(or any applicable rule or regulation enacted or
promulgated by any other self-regulatory
organization or any government agency of similar
scope as determined by the Calculation Agent) on
trading during significant market fluctuations
will constitute a suspension, absence or material
limitation of trading, (4) a suspension of
trading in a futures or options contract on the
Underlying Fund by the primary securities market
related to such contract by reason of (x) a price
change exceeding limits set by such exchange or
market, (y) an imbalance of orders relating to
such contracts or (z) a disparity in bid and ask
quotes relating to such contracts will constitute
a suspension, absence or material limitation of
trading in futures or options contracts related
to such Underlying Fund and (5) a suspension,
absence or material limitation of trading on any
relevant exchange or on the primary market on
which futures or options contracts related to
such Underlying Fund are traded will not include
any time when such market is itself closed for
trading under ordinary circumstances.
The Calculation Agent shall as soon as reasonably
practicable under the circumstances notify the
Issuer, the Trustee, the Securities
Administrator, the Depository Trust Company and
the Agents of the existence or occurrence of a
Market Disruption Event with respect to the
Underlying Fund on any day that but for the
occurrence or existence of a Market Disruption
Event would have been the Determination Date for
such Underlying Fund.
Exchange Factor.............. The Exchange Factor will be set initially at 1.0,
but will be subject to adjustment upon the
occurrence of certain corporate events affecting
the Underlying Fund. See "Adjustment Events"
below.
Adjustment Events............ If the shares of the Underlying Fund are subject
to a stock split or reverse stock split, then
once such split has become effective, the
Exchange Factor will be adjusted to equal the
product of the prior Exchange Factor and the
number of shares issued in such stock split or
reverse stock split with respect to one share of
the underlying Fund.
No adjustments to the Exchange Factor shall be
required unless such adjustment would require a
change of at least 0.1% in the Exchange Factor
then in effect. The Exchange Factor resulting
from any of the adjustments specified above shall
be rounded to the nearest one hundred-thousandth
with five one-millionths being rounded upward.
No adjustments to the Exchange Factor or method
of calculating the Exchange Factor shall be
required other than those specified above.
However, the Bank may, at its sole discretion,
cause the Calculation Agent to make additional
changes to the Exchange Factor upon the
occurrence of
PS-22
corporate or other similar events that affect or
could potentially affect market prices of, or
shareholders' rights in, the Underlying Fund (or
other Exchange Property) but only to reflect such
changes, and not with the aim of changing
relative investment risk. The adjustments
specified above do not cover all events that
could affect the Market Price or the Closing
Price of the Underlying Fund.
The Calculation Agent will provide information as
to any adjustments to the Exchange Factor or
method of calculating the Exchange Factor upon
written request by any holder of the Securities.
Discontinuance of
the Underlying Fund;
Alteration of Method of
Calculation.................. If the Underlying Fund is liquidated or otherwise
terminated and the Fund Sponsor or another entity
establishes and maintains a successor or
substitute fund that AAI as the Calculation Agent
determines, in its sole discretion, to be
comparable to the discontinued Underlying Fund
(such fund being referred to herein as a
"Successor Fund"), then the Final Value with
respect to such Underlying Fund will be
determined by reference to the value of such
Successor Fund at the close of trading on the
relevant exchange or market for such Successor
Fund on the applicable Determination Date.
Upon any selection by the Calculation Agent of a
Successor Fund, the Calculation Agent will cause
written notice thereof to be furnished to us, the
Trustee, the Securities Administrator and the
Depository Trust Company as the holder of the
Securities within three Trading Days of such
selection.
If the Fund Sponsor liquidates or otherwise
terminates the Underlying Fund prior to, and such
liquidation or termination is continuing on, the
Determination Date, and AAI as the Calculation
Agent determines that no Successor Fund is
available with respect to such Underlying Fund at
such time, then the Calculation Agent will
determine the Final Value with respect to the
Underlying Fund. Such Final Value will be
computed by the Calculation Agent in accordance
with the formula for and method of calculating
the Underlying Fund last in effect prior to such
liquidation or termination, using the closing
price (or, if trading in the relevant securities
has been materially suspended or materially
limited, its good faith estimate of the closing
price that would have prevailed but for such
suspension or limitation) on the Determination
Date for the Underlying Fund of each security
most recently comprising the Underlying Fund.
Notwithstanding these alternative arrangements,
liquidation or termination of the Underlying Fund
may adversely affect the value of the Securities.
If at any time the method of calculating the
price of a share of the Underlying Fund or a
Successor Fund, or the value thereof, is changed
in a material respect, or if the Underlying Fund
or a Successor Fund is in any other way modified
so that such fund does not, in the opinion of
AAI, as the Calculation Agent, fairly represent
the value of the Underlying Fund or such
Successor Fund had such changes or modifications
not been made, then the Calculation Agent will,
at the close of business in New York City on the
Determination Date with respect to the Underlying
Fund make such calculations and adjustments to
the terms of the Securities as, in the good faith
judgment of the Calculation Agent, may be
necessary in order to arrive at a value of a fund
comparable to the Underlying Fund or Successor
Fund, as the case may be, as if such changes or
modifications had not been made, and on the
applicable Determination Date make each relevant
PS-23
calculation with reference to the Underlying Fund
or Successor Fund, as adjusted. Accordingly, if
the method of calculating the price of a share of
the Underlying Fund or a Successor Fund is
modified so that the value of such fund is a
fraction of what it would have been if it had not
been modified, then the Calculation Agent will
adjust such fund in order to arrive at a value of
the Underlying Fund or Successor Fund as if it
had not been modified.
Alternate Exchange
Calculation in case
of an Event of Default..... In case an Event of Default with respect to the
Securities shall have occurred and be continuing,
the amount declared due and payable upon any
acceleration of any Security shall be determined
by AAI, as Calculation Agent, and shall be equal
to the principal amount of the Security plus any
accrued interest to, but not including, the date
of acceleration.
Calculation Agent............ AAI. All determinations made by the Calculation
Agent will be at the sole discretion of the
Calculation Agent and will, in the absence of
manifest error, be conclusive for all purposes
and binding on you and on us.
Additional Amounts........... Subject to certain exceptions and limitations
described in "Description of Debt Securities --
Payment of Additional Amounts" in the
accompanying Prospectus, we will pay such
additional amounts to holders of the Securities
as may be necessary in order that the net payment
of the principal of the Securities and any other
amounts payable on the Securities, after
withholding for or on account of any present or
future tax, assessment or governmental charge
imposed upon or as a result of such payment by
The Netherlands (or any political subdivision or
taxing authority thereof or therein) or the
jurisdiction of residence or incorporation of any
successor corporation (other than the United
States), will not be less than the amount
provided for in the Securities to be then due and
payable.
Book Entry................... The indenture for the Securities permits us at
anytime and in our sole discretion to decide not
to have any of the Securities represented by one
or more registered global securities. DTC has
advised us that, under its current practices, it
would notify its participants of our request, but
will only withdraw beneficial interests from the
global security at the request of each DTC
participant.
Record Date.................. The "record date" for any interest payment date
is the calendar day prior to that interest
payment date, whether or not that date is a
business day.
PS-24
USE OF PROCEEDS
The net proceeds we receive from the sale of the Securities will be used
for general corporate purposes and, in part, by us or one or more of our
affiliates in connection with hedging our obligations under the Securities. The
issue price of the Securities includes the selling agents' commissions (as
shown on the cover page of the accompanying Prospectus Supplement) paid with
respect to the Securities and the cost of hedging our obligations under the
Securities. The cost of hedging includes the projected profit that our
affiliates expect to realize in consideration for assuming the risks inherent
in managing the hedging transactions. Since hedging our obligations entails
risk and may be influenced by market forces beyond our or our affiliates'
control, such hedging may result in a profit that is more or less than
initially projected, or could result in a loss. See also "Risk Factors--The
Inclusion of Commissions and Cost of Hedging in the Issue Price is Likely to
Adversely Affect Secondary Market Prices" and "Potential Conflicts of Interest;
No Security Interest in the Shares of the Underlying Fund Held by Us" and "Plan
of Distribution" in this Pricing Supplement and "Use of Proceeds" in the
accompanying Prospectus.
TAXATION
Please review carefully the sections entitled "United States Federal
Taxation" below and "Taxation in the Netherlands" in the accompanying
Prospectus Supplement. Prospective purchasers of the Securities should consult
their own tax advisers as to the tax consequences of acquiring, holding and
disposing of the Securities under the tax law of any state, local or foreign
jurisdiction.
On December 7, 2007, the U.S. Treasury and the Internal Revenue Service
released a notice requesting comments on the U.S. federal income tax treatment
of "prepaid forward contracts" and similar instruments. While it is not
entirely clear whether the Securities are among the instruments described in
the notice, it is possible that any Treasury regulations or other guidance
issued after consideration of the issues raised in the notice could materially
and adversely affect the tax consequences of ownership and disposition of the
Securities, possibly on a retroactive basis.
The notice indicates that it is possible the IRS may adopt a new position
with respect to how the IRS characterizes income or loss (including, for
example, whether the option premium might be currently included as ordinary
income) on the Securities for U.S. holders of the Securities.
You should consult your tax advisor regarding the notice and its potential
implications for an investment in the Securities.
UNITED STATES FEDERAL TAXATION
Please review carefully the sections entitled "United States Federal
Taxation" (and in particular the subsection entitled "--Mandatorily
Exchangeable Notes--Reverse Exchangeable and Knock-in Reverse Exchangeable
Securities") and "Taxation in the Netherlands" in the accompanying Prospectus
Supplement. Prospective purchasers of the Securities should consult their own
tax advisers as to the tax consequences of acquiring, holding and disposing of
the Securities under the tax law of any state, local and foreign jurisdiction.
PS-25
PLAN OF DISTRIBUTION
We have appointed ABN AMRO Incorporated ("AAI") as agent for this
offering. AAI has agreed to use reasonable efforts to solicit offers to
purchase the Securities. We will pay AAI, in connection with sales of the
Securities resulting from a solicitation such agent made or an offer to
purchase such agent received, a commission of 1.50% of the initial offering
price of the Securities. AAI has informed us that, as part of its distribution
of the Securities, it intends to reoffer the Securities to other dealers who
will sell the Securities. Each such dealer engaged by AAI, or further engaged
by a dealer to whom AAI reoffers the Securities, will purchase the Securities
at an agreed discount to the initial offering price of the Securities. AAI has
informed us that such discounts may vary from dealer to dealer and that not all
dealers will purchase or repurchase the Securities at the same discount. You
can find a general description of the commission rates payable to the agents
under "Plan of Distribution" in the accompanying Prospectus Supplement.
AAI is a wholly owned subsidiary of the Bank. AAI will conduct this
offering in compliance with the requirements of NASD Rule 2720 of the Financial
Industry Regulatory Authority (the successor to the National Association of
Securities Dealers, Inc.) which is commonly referred to as FINRA, regarding a
FINRA member firm's distributing the securities of an affiliate. When the
distribution of the Securities is complete, AAI may offer and sell those
Securities in the course of its business as broker-dealer. AAI may act as
principal or agent in those transactions and will make any sales at prevailing
secondary market prices at the time of sale. AAI may use this Pricing
Supplement and the accompanying Prospectus and Prospectus Supplement in
connection with any of those transactions. AAI is not obligated to make a
market in the Securities and may discontinue any purchase and sale activities
with respect to the Securities at any time without notice.
To the extent that the total aggregate principal amount of the Securities
being offered by this Pricing Supplement is not purchased by investors in the
offering, one or more of our affiliates has agreed to purchase the unsold
portion, and to hold such Securities for investment purposes. See "Holding of
the Securities by our Affiliates and Future Sales" under the heading "Risk
Factors."
PS-26
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YOU SHOULD RELY ONLY ON THE INFORMATION CONTAINED OR INCORPORATED BY REFERENCE
IN THIS PRICING SUPPLEMENT, THE PROSPECTUS SUPPLEMENT AND THE PROSPECTUS. WE
HAVE NOT AUTHORIZED ANYONE ELSE TO PROVIDE YOU WITH DIFFERENT OR ADDITIONAL
INFORMATION. WE ARE OFFERING TO SELL THESE SECURITIES AND SEEKING OFFERS TO BUY
THESE SECURITIES ONLY IN JURISDICTIONS WHERE OFFERS AND SALES ARE PERMITTED.
NEITHER THE DELIVERY OF THIS PRICING SUPPLEMENT OR THE ACCOMPANYING PROSPECTUS
SUPPLEMENT AND PROSPECTUS, NOR ANY SALE MADE HEREUNDER AND THEREUNDER SHALL,
UNDER ANY CIRCUMSTANCES, CREATE ANY IMPLICATION THAT THERE HAS BEEN NO CHANGE
IN THE AFFAIRS OF ABN AMRO BANK N.V. OR ABN AMRO HOLDING N.V. SINCE THE DATE
HEREOF OR THAT THE INFORMATION CONTAINED OR INCORPORATED BY REFERENCE HEREIN IS
CORRECT AS OF ANY TIME SUBSEQUENT TO THE DATE OF SUCH INFORMATION.
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TABLE OF CONTENTS
PRICING SUPPLEMENT
PAGE
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Summary of Pricing Supplement............... PS-3
Risk Factors................................ PS-8
Hypothetical Sensitivity Analysis of
Total Return of the Securities
at Maturity............................... PS-14
Incorporation of Documents by Reference..... PS-16
Public Information Regarding the
Underlying Fund........................... PS-17
Description of Securities................... PS-19
Use of Proceeds............................. PS-25
Taxation.................................... PS-25
Plan of Distribution........................ PS-26
PROSPECTUS SUPPLEMENT
PAGE
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About This Prospectus Supplement............ S-1
Risk Factors................................ S-2
Description of Notes........................ S-4
Taxation in the Netherlands................. S-24
United States Federal Taxation.............. S-25
Plan of Distribution........................ S-34
Legal Matters............................... S-36
PROSPECTUS
PAGE
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About This Prospectus....................... 1
Where You Can Find Additional Information... 2
Cautionary Statement on Forward-Looking
Statements................................ 3
Consolidated Ratios of Earnings to Fixed
Charges................................... 4
ABN AMRO Bank N.V... ....................... 5
ABN AMRO Holding N.V. ...................... 6
Use of Proceeds............................. 7
Description of Debt Securities.............. 8
Forms of Securities......................... 19
The Depositary.............................. 20
Plan of Distribution........................ 22
Legal Matters............................... 25
Experts..................................... 26
Benefit Plan Investor Considerations........ 27
Enforcement of Civil Liabilities............ 28
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ABN AMRO BANK N.V.
$4,350,000
FULLY AND UNCONDITIONALLY GUARANTEED BY
ABN AMRO HOLDING N.V.
15.00% (ANNUALIZED) THREE MONTH KNOCK-IN
SECURITIES LINKED TO THE SPDR TRUST, SERIES 1
DUE FEBRUARY 26, 2009
PRICING SUPPLEMENT
(TO PROSPECTUS DATED
SEPTEMBER 29, 2006 AND
PROSPECTUS SUPPLEMENT
DATED SEPTEMBER 29, 2006)
ABN AMRO INCORPORATED
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