SUBJECT TO COMPLETION OR AMENDMENT, DATED APRIL 7, 2009
PRICING SUPPLEMENT Pricing Supplement No. 854 to
(TO PROSPECTUS DATED SEPTEMBER 29, 2006 Registration Statement
AND PROSPECTUS SUPPLEMENT Nos. 333-137691,333-137691-02
DATED SEPTEMBER 29, 2006) Dated April, 2009
CUSIP: 00083G7E8
[ABN AMRO LOGO]
$
ABN AMRO BANK N.V.
ABN NOTES(SM)
FULLY AND UNCONDITIONALLY GUARANTEED BY ABN AMRO HOLDING N.V.
---------------
18 MONTH, DIGITAL BUFFER SECURITIES DUE OCTOBER 29, 2010 LINKED TO THE
PERFORMANCE OF THE S&P 500 INDEX(R)
Each Security will entitle the holder to receive at maturity an amount linked
to the performance of the S&P 500 Index(R), which we refer to as the Underlying
Index, as described below. THE SECURITIES DO NOT PAY INTEREST. PAYMENT AT
MATURITY IS EXPOSED TO ANY DECLINE IN THE VALUE OF THE UNDERLYING INDEX ON THE
DETERMINATION DATE, SUBJECT TO A MINIMUM RETURN OF $200 PER $1,000 PRINCIPAL
AMOUNT OF SECURITIES. ACCORDINGLY, IF THE INDEX RETURN IS LESS THAN -20% OVER
THE TERM OF THE SECURITIES, YOU COULD LOSE AS MUCH AS 80% OF YOUR INITIAL
PRINCIPAL INVESTMENT. IF THE INDEX RETURN IS POSITIVE, YOU WILL NEVER RECEIVE A
PAYMENT AT MATURITY GREATER THAN THE MAXIMUM REDEMPTION AT MATURITY OF $1,170
PER $1,000 PRINCIPAL AMOUNT OF SECURITIES.
SECURITIES 18 Month, Digital Buffer Securities due October
29, 2010 Linked to the Performance of the S&P 500
Index(R)
PRINCIPAL AMOUNT $
UNDERLYING INDEX The S&P 500 Index(R)
ISSUE PRICE 100%
PROPOSED PRICING DATE April 28, 2009
PROPOSED ORIGINAL April 30, 2009
ISSUE DATE
MATURITY DATE October 29, 2010
PAYMENT AT MATURITY At maturity, you will receive for each $1,000
principal amount of Securities a cash amount
calculated as follows:
(1) if the index return is positive, $1,000 plus
the digital return;
(2) if the index return is equal to or less than
0% up to and including -20%, $1,000; and
(3) if the index return is less than -20%, $1,000
plus [(index return + 20%) x $1,000].
IF THE INDEX RETURN IS LESS THAN -20% YOU COULD
LOSE UP TO 80% OF YOUR INITIAL PRINCIPAL
INVESTMENT. IN ADDITION, YOU WILL NEVER RECEIVE A
PAYMENT AT MATURITY GREATER THAN $1,170.00 PER
$1,000 PRINCIPAL AMOUNT OF SECURITIES.
INDEX RETURN: The index return for the Securities is the
percentage change in value of the Underlying Index
calculated as follows:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
INITIAL INDEX VALUE: [ ] (the closing value of the Underlying Index on
the pricing date) subject to adjustment in certain
circumstances which we describe in "Description of
Securities-- Discontinuance of the Underlying
Index; Alteration of Method of Calculation".
FINAL INDEX VALUE: 100% of the closing value of the Underlying Index
on the determination date subject to the terms and
provisions which we describe in "--Discontinuance
of the Underlying Index; Alteration of Method of
Calculation."
DIGITAL RETURN: $170.00 per $1,000 principal amount of Securities,
representing a maximum return on the Securities of
17%
MAXIMUM REDEMPTION $1,170.00, per $1,000 principal amount of
AT MATURITY: Securities, which is equal to $1,000 plus the
digital return. Regardless of how much the
Underlying Index may appreciate above the Initial
Index Value you will never receive more than
$1,170.00 per $1,000 principal amount of
Securities, at maturity.
BUFFER LEVEL: 20% buffer. A decrease in the index return of 20%
or less will not result in the loss of principal
by holders of the Securities. A decrease in the
index return of more than 20% could result in the
loss of up to 80% of principal by holders of the
Securities.
DETERMINATION DATE: October 26, 2010, subject to adjustment as
described in "Description of the Securities -
Determination Date."
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.
LISTING The Securities will not be listed on any
securities exchange.
THE SECURITIES ARE NOT INSURED OR GUARANTEED 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 APPLICABLE OFFERING,
ONE OR MORE OF OUR AFFILIATES HAVE AGREED TO PURCHASE THE UNSOLD PORTION, WHICH
MAY CONSTITUTE A SUBSTANTIAL PORTION OF THE TOTAL AGGREGATE PRINCIPAL AMOUNT OF
THE SECURITIES LINKED TO SUCH UNDERLYING INDEX, AND TO HOLD SUCH SECURITIES FOR
INVESTMENT PURPOSES. SEE "HOLDINGS OF THE SECURITIES BY OUR AFFILIATES AND
FUTURE SALES" UNDER THE HEADING "RISK FACTORS" AND "PLAN OF DISTRIBUTION."
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
PRICE TO PUBLIC AGENT'S COMMISSIONS(1) PROCEEDS TO ABN AMRO BANK N.V.
Digital Buffer Securities 100% 2.50% 97.50%
Total $ $ $
(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."
The S&P 500 was developed and is calculated and maintained by Standard &
Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"). We refer to S&P
as the "Index Sponsor." The Index Sponsor 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 Index Sponsor. Investing in
the Securities is not equivalent to investing in the Underlying Index.
"Standard & Poor's," "S&P," "S&P 500," "Standard & Poor's 500," and "500"
are trademarks of S&P. 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 S&P. THE SECURITIES ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED
BY S&P AND NONE OF THE ABOVE MAKES ANY WARRANTIES OR BEARS ANY LIABILITY WITH
RESPECT TO THE SECURITIES.
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 UNDER THE
HEADING "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 senior notes of ABN AMRO Bank N.V. and are fully and
unconditionally guaranteed by our parent company, ABN AMRO Holding N.V. The
Securities have a maturity of 18 months. The payment at maturity on the
Securities is determined based on the performance of the S&P 500 Index(R),
which we refer to as the Underlying Index, on the determination date as
described below under "What will I receive at maturity of the Securities and
how is this amount calculated?" IN ADDITION, UNLIKE ORDINARY DEBT SECURITIES,
THE SECURITIES ARE NOT FULLY PRINCIPAL PROTECTED AND DO NOT PAY INTEREST. IF
THE INDEX RETURN IS LESS THAN -20% OVER THE TERM OF THE SECURITIES, YOU COULD
LOSE AS MUCH AS 80% OF YOUR INITIAL PRINCIPAL INVESTMENT. IF THE INDEX RETURN
IS POSITIVE YOU WILL NEVER RECEIVE MORE THAN $1,170.00 PER $1,000 PRINCIPAL
AMOUNT OF SECURITIES WHICH REPRESENTS A MAXIMUM 17% RETURN.
WHAT WILL I RECEIVE AT MATURITY OF THE SECURITIES AND HOW IS THIS AMOUNT
CALCULATED?
At maturity you will receive, for each $1,000 principal amount of
Securities, a cash payment calculated as follows:
(1) If the index return is positive, $1,000 plus the digital return; or
(2) If the index return is equal to or less than 0% and up to and including
-20%, $1,000; or (3) If the index return is less than -20%, then $1,000 plus
[(index return + 20%) x 1,000].
ACCORDINGLY, THE SECURITIES ARE NOT FULLY PRINCIPAL PROTECTED. IF THE
INDEX RETURN IS LESS THAN -20% YOU COULD LOSE UP TO 80% OF YOUR INITIAL
PRINCIPAL INVESTMENT. IN ADDITION, YOU WILL NEVER RECEIVE A PAYMENT AT MATURITY
GREATER THAN $1,170.00.
WHAT IS THE INDEX RETURN, THE DIGITAL RETURN AND THE MAXIMUM REDEMPTION AT
MATURITY AND HOW ARE THEY CALCULATED?
The index return is the percentage change in the value of the Underlying
Index during the period from but excluding the pricing date to and including
the determination date, calculated as shown below under "How is the index
return calculated?"
The digital return is $170.00 per $1,000 principal amount of Securities.
The maximum redemption at maturity is $1,170 per $1,000 principal amount
of Securities.
We call the Securities "Digital Buffer Securities due October 29, 2010
Linked to the Performance of the S&P 500 Index(R)" because of the limited
buffer against a negative index return of up to and including -20%. If the
index return is equal to or less than 0% and up to and including -20%, you will
only receive your principal amount at maturity. If the index return is less
than -20%, you could lose up to 80% of your initial principal investment. If
the index return is positive you will receive $1,000 plus the digital return.
The digital return is a fixed amount which is payable regardless of how much or
how little the index return appreciates. We refer to this as a digital return
because the digital return is either payable in full or it is not payable at
all, like a digital switch that is either fully on or fully off.
HOW IS THE INDEX RETURN CALCULATED?
The index return will be equal to:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
The initial index value is 100% of the closing value of the Underlying
Index on the pricing date.
The final index value is 100% of the closing value of the Underlying Index
on the determination date.
PS-3
CAN YOU GIVE ME EXAMPLES OF THE PAYMENT I WILL RECEIVE AT MATURITY DEPENDING ON
THE PERFORMANCE OF THE UNDERLYING INDEX?
EXAMPLE 1: If, for example, in a hypothetical offering, the initial index value
is 840, the final index value is 1,000 and the digital return is $170.00, then
the index return would be calculated as follows:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
or
1000 - 840 = 19.05%
----------
840
In this hypothetical example, the index return is positive. Therefore, the
payment at maturity will be $1000 plus the digital return of $170.00 or a total
payment of $1,170 per $1,000 principal amount of Securities. In this
hypothetical example, the index return was 19.05% but you would have received a
return of 17.00% over the term of the Securities.
EXAMPLE 2: If, for example, in a hypothetical offering, the initial
index value is 840, the final index value is 850 and the digital return is
$170.00, then the index return would be calculated as follows:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
or
850 - 840 = 1.19%
---------
840
In this hypothetical example, the index return is positive. Therefore, the
payment at maturity will be $1000 plus the digital return of $170.00 or a total
payment of $1,170 per $1,000 principal amount of Securities.
In this hypothetical example, the index return was 1.19% but you would have
received a return of 17.00% over the term of the Securities. If the index
return is positive, you will receive the digital return regardless of how much
or how little the index return appreciates over the initial index value.
EXAMPLE 3: If, for example, in a hypothetical offering, the initial index
value is 840 and the final index value is 714, then the index return would be
calculated as follows:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
or
714 - 840 = -15.00%
---------
840
In this hypothetical example, the index return is negative. Since the index
return is less than 0% but more than -20% you would receive, at maturity, the
principal amount of $1,000 per Security.
In this hypothetical example, the index return was -15.00% and you would
not have lost any of your initial principal investment because the index return
was between 0% and -20%. In this hypothetical example you would not have
received any return on your initial principal investment and you would not be
compensated for any loss in value due to inflation and other factors relating
to the value of money over time.
EXAMPLE 4: If, for example, in a hypothetical offering, the initial index
value is 840 and the final index value is 500, then the index return would be
calculated as follows:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
or
500 - 840 = -40.48%
---------
840
In this hypothetical example, the index return is negative and is less than
-20%. Therefore, payment at maturity will be calculated as:
$1,000 + [(index return + 20%) x $1,000]
or
$1,000 + [(-40.48% + 20%) x $1,000] = $795.20
Therefore, in this hypothetical example, you would receive at maturity a
total payment of $795.20 for each $1,000 principal amount of Securities. In
this hypothetical example, the index return was -40.48% but you would have lost
20.48% of your initial principal investment over the term of the Securities.
THESE EXAMPLES ARE FOR ILLUSTRATIVE PURPOSES ONLY. IT IS NOT POSSIBLE TO
PREDICT THE FINAL VALUE OF THE UNDERLYING INDEX ON THE DETERMINATION DATE OR AT
ANY OTHER TIME DURING THE TERM OF THE SECURITIES. THE INITIAL INDEX VALUE IS
SUBJECT TO ADJUSTMENT AS SET FORTH IN "DESCRIPTION OF SECURITIES -ADJUSTMENT
EVENTS; -DISCONTINUANCE
PS-4
OF THE UNDERLYING INDEX; ALTERATION OF METHOD OF CALCULATION" IN THE RELATED
PRICING SUPPLEMENT.
In this Pricing Supplement, we have also provided under the heading
"Hypothetical Return Analysis of the Securities at Maturity" the total return
of owning the Securities through maturity for various closing values of the
Underlying Index on the determination date.
WILL I RECEIVE INTEREST PAYMENTS ON THE SECURITIES?
No. You will not receive any interest on the Securities.
WILL I GET MY PRINCIPAL BACK AT MATURITY?
The Securities are not fully principal protected. Subject to the credit of
ABN AMRO Bank, N.V. as the issuer of the Securities and ABN AMRO Holding N.V. as
the guarantor of the issuer's obligations under the Securities, you will receive
at maturity at least $200 per $1,000 principal amount of Securities, regardless
of the closing value of the Underlying Index on the Determination Date. If the
index return is less than -20% over the term of the Securities, you will lose
some of your initial principal investment and you could lose as much as 80% of
your initial principal investment.
HOWEVER, IF YOU SELL THE SECURITIES PRIOR TO MATURITY, YOU WILL RECEIVE THE
MARKET PRICE FOR THE SECURITIES, WHICH MAY OR MAY NOT INCLUDE ANY RETURN AND
COULD BE ZERO. There may be little or no secondary market for the Securities.
Accordingly, you should be willing to hold your securities until maturity.
IS THERE A LIMIT ON HOW MUCH I CAN EARN OVER THE TERM OF THE SECURITIES?
Yes. If the Securities are held to maturity and the Underlying Index
appreciates, the total amount payable at maturity per Security will be
$1,170.00 regardless of how much the Underlying Index may appreciate above its
closing value on the pricing date.
WHAT IS THE MINIMUM REQUIRED PURCHASE?
You may purchase Securities in minimum denominations of $1,000 or in
integral multiples thereof.
IS THERE A SECONDARY MARKET FOR SECURITIES?
The Securities will not be listed on any securities exchange. Accordingly,
there may be little or no secondary market for the Securities and, as such,
information regarding independent market pricing for the Securities may be
extremely limited. You should be willing to hold your Securities until the
maturity date.
Although it is not required to do so, we have been informed by our
affiliate that when this offering is complete, it intends to make purchases and
sales of the Securities from time to time in off-exchange transactions. If our
affiliate does make such a market in the Securities, it may stop doing so at
any time.
In connection with any secondary market activity in the Securities, our
affiliate may post indicative prices for the Securities on a designated website
or via Bloomberg. However, our affiliate is not required to post such
indicative prices and may stop doing so at any time. INVESTORS ARE ADVISED THAT
ANY PRICES SHOWN ON ANY WEBSITE OR BLOOMBERG PAGE ARE INDICATIVE PRICES ONLY
AND, AS SUCH, THERE CAN BE NO ASSURANCE THAT ANY TRADE COULD BE EXECUTED AT
SUCH PRICES. Investors should contact their brokerage firm for further
information.
In addition, the issue price of the Securities includes the selling agents'
commissions paid with respect to the Securities and the cost of hedging our
obligations under the Securities. The cost of hedging includes the profit
component that our affiliate has charged in consideration for assuming the
risks inherent in managing the hedging the transactions. The fact that the
issue price of the Securities includes these commissions and hedging costs is
expected to adversely affect the secondary market prices of the Securities. See
"Risk Factors--The Inclusion of Commissions and Cost of Hedging in the Issue
Price is Likely to Adversely Affect Secondary Market Prices" and "Use of
Proceeds."
WHAT IS THE UNDERLYING INDEX AND HOW HAS IT PERFORMED HISTORICALLY?
The S&P 500 Index(R) is a 500-stock benchmark that includes a
representative sample of leading U.S. companies across broad industry
groupings. You should read "Public Information Regarding the Underlying Index"
in this Pricing Supplement for additional information regarding the Underlying
Index. The information concerning certain historical values of the Underlying
Index is set forth under the heading "Public Information Regarding the
Underlying Index" in this Pricing Supplement. Past performance of the
Underlying Index, however, is not necessarily indicative of how the Underlying
Index will perform in the future.
PS-5
TELL ME MORE ABOUT ABN AMRO BANK N.V. AND ABN AMRO HOLDING 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 ("RBS"), 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.
On November 28, 2008 UK Financial Investments Limited, which is wholly
owned by the UK government, acquired 57.9% of the enlarged issued ordinary
share capital of RBS and (pound)5 billion of RBS preference shares. On January
19, 2009, RBS announced that it had reached agreement with the UK Treasury and
UK Financial Investments Limited to replace the (pound)5 billion of RBS
preference shares with new RBS ordinary shares.
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 A+ by Standard
& Poor's and Aa2 by Moody's. "See "Risk Factors--Changes in Our Credit Ratings
May Affect the Market Value of Your Securities."
WHO WILL DETERMINE THE FINAL INDEX VALUE, THE INDEX RETURN AND THE PAYMENT AT
MATURITY?
We have appointed our affiliate 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 the final index value of the Underlying
Index, the initial index value of the Underlying Index, the index return and
the payment at maturity. The calculation agent may be required, due to events
beyond our control, to adjust any of these calculations, which we describe in
"Description of Securities - Discontinuance of the Underlying Index; Alteration
of Method of Calculation" in this Pricing Supplement.
WHO INVESTS IN THE SECURITIES?
The Securities are not suitable for all investors. The Securities might be
considered by investors who:
o are willing to risk losing up to 80% of their initial principal investment
in exchange for the opportunity to benefit from the capped appreciation, if
any, in the value of the Underlying Index over the life of the Securities;
o do not require an interest income stream;
o are willing to be exposed to fluctuations in equity prices in general and
prices of the Underlying Index's components in particular; and
o 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 MARKET RISK. If the index return is equal to or less than zero up to -20%,
you will be entitled to receive only the principal amount of $1,000 per
Security at maturity. In such a case, you will receive no return on your
investment and you will not be compensated
PS-6
for any loss in value due to inflation and other factors relating to the
value of money over time. If the index return is less than -20%, you could
lose up to 80% of your initial principal investment. If the index return is
positive, your return will be limited to 17.00% regardless of how much the
index return may appreciate above its initial level.
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 required by the terms
of the Securities.
o PRINCIPAL RISK. Return of principal on the Securities is only guaranteed up
to $200 per $1,000 principal amount of Securities. Any payment required by
the terms of the Securities is subject to our credit and the credit of
Holding. If the index return decreases by more than -20% during the term of
the Securities, the amount of cash paid to you at maturity will be less
than the principal amount of the Securities, subject to a minimum return of
$200 per $1,000 principal amount of Securities.
o LIQUIDITY RISK. The Securities will not be listed on any securities
exchange. Accordingly, there may be little or no secondary market for the
Securities, and information regarding independent market pricing for the
Securities may be very limited or non-existent. If you sell your Securities
in the secondary market, if any, prior to maturity, you will receive the
market price for the Securities, which could be zero. 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
The Securities are not principal protected debt and unlike ordinary debt
securities, the Securities do not pay interest. Return of principal on the
Securities is only guaranteed up to 20%, subject to our credit and the credit
of Holding. Investing in the Securities is not the equivalent of investing
directly in the securities comprising the Underlying Index or in a product that
tracks the return of the Underlying Index. This section describes the most
significant risks relating to the Securities. 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; THE SECURITIES DO NOT PAY INTEREST
AND THERE IS NO GUARANTEED RETURN OF PRINCIPAL
The terms of the Securities differ from those of ordinary debt securities
in that we will not pay you interest on the Securities and you could lose up to
80% of your initial principal investment at maturity. If the index return is
equal to or less than zero up to -20%, you will only receive your principal
amount back at maturity. In such a case you will not receive any return on your
initial principal investment and you will not be compensated for any losses
incurred due to inflation or the value of money over time. The Securities are
exposed to any decline in the value of the Underlying Index up to 80%.
ACCORDINGLY, IF THE FINAL VALUE OF THE UNDERLYING INDEX ON THE DETERMINATION
DATE IS MORE THAN 20% BELOW THE INITIAL VALUE OF THE UNDERLYING INDEX, THE
AMOUNT OF CASH PAID TO YOU AT MATURITY WILL BE LESS THAN THE PRINCIPAL AMOUNT
OF YOUR SECURITIES AND YOU COULD LOSE UP TO 80% OF YOUR INITIAL PRINCIPAL
INVESTMENT.
Furthermore, even if the index return is positive, the return you will
receive on the Securities may be less than the return you would have received
had you invested your entire principal amount in an instrument which tracks the
performance of the Underlying Index. The return you will receive on the
Securities, if any, is fixed, will never exceed 17% and may not compensate you
for any losses incurred due to inflation or the value of money over time. We
cannot predict the future performance of the Underlying Index based on
historical performance.
AN INCREASE IN THE VALUE OF THE UNDERLYING INDEX WILL NOT INCREASE THE RETURN ON
YOUR INVESTMENT
Owning the Securities is not the same as owning a product which tracks the
return on the Underlying Index. Accordingly, the market value of your
Securities may not have a direct relationship with the value of the Underlying
Index, and changes in the value of the Underlying Index may not result in a
comparable change in the market value of your Securities. If the value of the
Underlying Index increases above its initial value on the pricing date, the
market value of the Securities may not increase. It is also possible for the
value of the Underlying Index to increase while the market price of the
Securities declines. REGARDLESS OF HOW MUCH THE VALUE OF THE UNDERLYING INDEX
MAY INCREASE ABOVE THE INITIAL INDEX VALUE YOU WILL NEVER RECEIVE MORE THAN
$1,170.00 PER $1,000 PRINCIPAL AMOUNT OF SECURITIES WHICH REPRESENTS A MAXIMUM
17% RETURN.
INVESTMENT IN THE SECURITIES IS NOT THE SAME AS A DIRECT INVESTMENT IN THE
UNDERLYING INDEX, A PRODUCT THAT TRACKS THE PERFORMANCE OF THE UNDERLYING INDEX
OR THE STOCKS THAT COMPRISE THE UNDERLYING INDEX
An investment in the Securities is not the same as a direct investment in
the Underlying Index, a product that tracks the performance of the Underlying
Index or the stocks that comprise the Underlying Index. Investing in the
Securities is not equivalent to investing directly in the Underlying Index
because the Underlying Index is a theoretical calculation, not an actual
portfolio, so it is not possible to make a direct investment in the Underlying
Index. The return on your Securities could be less than if you had invested
directly in a product that tracks the return of the Underlying Index or the
stocks comprising the Underlying Index. The amount payable at maturity does not
account for the return associated with the reinvestment of dividends that you
would have received if you had invested directly in the underlying stocks
comprising the Underlying Index or in a product that tracks the performance of
the Underlying Index. You will not receive any payment of dividends on any of
the stocks comprising the Underlying Index.
PS-8
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 maturity date. Several factors, most of which are beyond
our control, will influence the value of the Securities, including:
o the value of the Underlying Index, which can fluctuate significantly;
o interest and yield rates in the market;
o the volatility (frequency and magnitude of changes in price) of the stocks
comprising the Underlying Index;
o economic, financial, political, regulatory, judicial or other events that
affect the stocks comprising the Underlying Index or stock markets
generally, and which may affect the value of the Underlying Index;
o the time remaining until the maturity of the Securities;
o the occurrence of certain events affecting the Underlying Index which may
require an adjustment to the initial index value;
o the dividend rate on the stocks that comprise the Underlying Index. While
dividend payments, if any, on the stocks that comprise the Underlying Index
are not paid to holders of the Securities, such payments may have an
influence on the market price of such stocks and therefore on 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 prior to maturity in the secondary market,
if any. If you sell your Securities prior to maturity, the price at which you
are able to sell your Securities may be at a discount, which could be
substantial, from the principal amount. For example, there may be a discount on
the Securities if at the time of sale the Underlying Index is at a value below
its initial value or if market interest rates rise. Even if there is an
appreciation in value of the Underlying Index from its initial value, there may
be a discount on the Securities based on the time remaining to the maturity of
the Securities. THUS, IF YOU SELL YOUR SECURITY BEFORE MATURITY, YOU MAY NOT
RECEIVE BACK YOUR ENTIRE PRINCIPAL AMOUNT.
Some or all of these factors will influence the return, if any, that you
receive upon maturity of the Securities. You cannot predict the future
performance of the Securities, the Underlying Index or the stocks that comprise
the Underlying Index based on the historical performance of the Underlying
Index or underlying stocks. NEITHER WE NOR HOLDING NOR ANY OF OUR AFFILIATES
CAN GUARANTEE THAT THE VALUE OF THE UNDERLYING INDEX WILL INCREASE SO THAT YOU
WILL RECEIVE AT MATURITY AN AMOUNT IN EXCESS OF THE PRINCIPAL AMOUNT OF THE
SECURITIES.
CHANGES TO OUR CREDIT RATINGS MAY AFFECT THE MARKET VALUE OF YOUR SECURITIES
Our credit ratings are an assessment, by each rating agency, 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 in their sole discretion. 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. Credit ratings do not address the price, if
any, at which the Securities may be resold prior to maturity (which may be
substantially less than the issue price of the Securities) and are not
recommendations to buy, sell or hold the Securities. See "Risk Factors--Market
Price of the Securities Influenced by Many Unpredictable Factors"
PS-9
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 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.
THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE; SECONDARY TRADING
MAY BE LIMITED
You should be willing to hold your Securities until the maturity date. The
Securities will not be listed on any securities exchange; accordingly, there
may be little or no secondary market for the Securities and information
regarding independent market pricing for the Securities may be very limited or
non-existent. 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, if the total
principal amount of the Securities being offered is not being purchased by
investors in the offering, 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, for at least 30 days, 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.
TAX TREATMENT
There is no direct legal authority as to the proper U.S. federal income
tax characterization of the Securities, and we do not intend to request a
ruling from the Internal Revenue Service (the "IRS") or from the Dutch
authorities regarding the Securities. No assurance can be given that the IRS
will accept, or that a court will uphold, the characterization and tax
treatment of the Securities described in the section of this Pricing Supplement
entitled "Taxation." If the IRS were successful in asserting an alternative
characterization for the Securities, the timing and character of income on the
Securities could differ materially from our description herein. You should
review carefully the section in this Pricing Supplement entitled "Taxation" and
consult your tax advisor regarding your particular circumstances.
NO AFFILIATION WITH INDEX SPONSOR; ADJUSTMENTS TO THE UNDERLYING INDEX COULD
ADVERSELY AFFECT THE VALUE OF THE SECURITIES
The S&P 500 was developed and is calculated and maintained by Standard &
Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"). We refer to S&P
as the "Index Sponsor." The Index Sponsor 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 Index Sponsor. Investing in
the Securities is not equivalent to investing in the Underlying Index.
The Index Sponsor for the Underlying Index can add, delete or substitute
the stocks that comprise the Underlying Index or make other methodological
changes that could change the value of the Underlying Index. The Index Sponsor
may also discontinue or suspend calculation or dissemination of the Underlying
Index at any time. Any of these actions could adversely affect the value of the
Securities in unpredictable ways.
If the Index Sponsor discontinues publication of the Underlying Index or
materially modifies its methods of calculation of the Underlying Index, AAI,
which is our affiliate, as calculation agent, will have to determine the index
closing value itself, or make such adjustments or calculations to the
Underlying Index so as to arrive at an index closing value comparable to the
Underlying Index and the resulting Underlying Index as originally calculated.
In either of these circumstances, the calculation agent may be required to make
good faith estimates of closing prices of underlying stocks, calculation
methodologies or index values. While the calculation agent will endeavor to
make such determinations accurately and in good faith, there can be no
assurance that the calculation agent will be able to
PS-10
do so. Therefore, a discontinuance or material modification of the Underlying
Index may adversely affect the value of the Securities.
WE MAY ENGAGE IN BUSINESS WITH OR INVOLVING ONE OR MORE OF THE ISSUERS OF THE
STOCKS THAT COMPRISE THE UNDERLYING INDEX WITHOUT REGARD TO YOUR INTERESTS
We or our affiliates may presently or from time to time engage in business
with one or more of the issuers of the stocks comprising the Underlying Index
without regard to your interests, including extending loans to, or making
equity investments in, providing investment advisory services to, one or more
of such issuers or their affiliates or subsidiaries. In the course of our
business, we or our affiliates may acquire non-public information about one or
more of the issuers of the stocks comprising the Underlying Index. None of us,
Holding or any of our affiliates undertakes to disclose any such information to
you. In addition, we or our affiliates from time to time have published, and in
the future may publish, research reports with respect to the stocks. These
research reports may or may not recommend that investors buy or hold the stocks
comprising the Underlying Index.
HEDGING AND TRADING ACTIVITIES BY US OR OUR AFFILIATES COULD AFFECT PRICES OF
SECURITIES
We and our affiliates may carry out activities that minimize our risks
related to the Securities. 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 stocks (or options
or futures contracts on the stocks) that comprise the Underlying Index,
exchange-traded funds that track the Underlying Index, options or futures on
the Underlying Index or in other instruments that we deemed appropriate in
connection with such hedging. Our trading activities, however, could
potentially have altered the value of the Underlying Index and therefore
affected the calculation of the payment at maturity. We or our affiliates are
likely to modify our hedge position throughout the term of the Securities by
purchasing and selling the stocks (or options or futures contracts on the
stocks) that comprise the Underlying Index, exchange-traded funds that track
the Underlying Index, options or futures on the Underlying Index or other
instruments that we deem appropriate. We cannot give any assurance that we have
not or will not affect such value as a result of our hedging or trading
activities. Such hedging or trading activities during the term of the
Securities could adversely affect whether the value of the Underlying Index
decreases below the initial index value and therefore, the amount of your
return, if any, at maturity. It is also 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 the stocks
(or options or futures contracts on the stocks) that comprise the Underlying
Index, exchange-traded funds that track the Underlying Index or options or
futures on the Underlying Index on a regular basis as part of our or their
general broker-dealer activities and other businesses, for proprietary
accounts, for other accounts under management or to facilitate transactions for
customers, including through block transactions. Any of these activities could
adversely affect the value of the Underlying Index 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 Index or stocks that comprise
the Underlying Index. 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.
NO SECURITY INTEREST OR SHAREHOLDER RIGHTS IN ANY STOCKS THAT COMPRISE THE
UNDERLYING INDEX HELD BY US
Neither we nor Holding nor any of our affiliates will pledge or otherwise
hold the stocks that comprise the Underlying Index or exchange-traded funds
that track the Underlying Index, any option or futures contract or any other
asset for the benefit of holders of the Securities under any circumstances.
Consequently, in the event of a bankruptcy, insolvency or liquidation involving
us or Holding, as the case may be, any of such assets 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. In
addition, as an investor in the Securities, you will not have voting rights or
rights to receive dividends or other distributions or any other rights with
respect to the stocks that comprise the Underlying Index.
PS-11
Moreover, the indenture governing the Securities does not contain any
restriction on our ability or the ability of any of our affiliates to buy,
sell, pledge or otherwise convey all or any portion of the stocks (or options
or futures contracts on the stocks) that comprise the Underlying Index,
exchange-traded funds that track the Underlying Index, options or futures on
the Underlying Index or other instruments that we deemed appropriate.
POTENTIAL CONFLICTS OF INTEREST BETWEEN SECURITY HOLDERS AND THE CALCULATION
AGENT
As calculation agent, our affiliate AAI will calculate the payment due to
you upon maturity of the Securities and may have to make additional
calculations if the Underlying Index is discontinued, suspended or modified.
AAI and our other affiliates may carry out hedging activities related to the
Securities, including trading in the stocks (or options or futures contracts on
the stocks) that comprise the Underlying Index, exchange-traded funds that
track the Underlying Index, options or futures on the Underlying Index or other
instruments that it or they deem appropriate in connection with such hedging.
AAI and some of our other affiliates also trade the stocks (and options and
futures on stocks) that comprise the Underlying Index, exchange-traded funds
that track the Underlying Index, and options or futures on the Underlying Index
on a regular basis as part of its or their general broker dealer and other
businesses. Any of these activities could influence AAI's determinations as
calculation agent and any such trading activity could potentially affect the
value of the Underlying Index and, accordingly, could affect the payout on the
Securities at maturity. As such, potential conflicts of interest may exist
between AAI or its affiliates and you.
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 offering of Securities.
Circumstances may occur in which our interests or those of our affiliates could
be in conflict with your interests. For example, our affiliates may attempt to
sell the Securities that they had been holding for investment purposes at the
same time that you attempt to sell your Securities, which could depress the
price, if any, at which you can sell your Securities. Moreover, the liquidity
of the market for the Securities, if any, could be substantially reduced as a
result of our affiliates holding the Securities. See "--The Securities Will Not
be Listed on any Securities Exchange; Secondary Trading May Be Limited." In
addition, our affiliates could have substantial influence over any matter
subject to consent of the security holders.
PS-12
HYPOTHETICAL RETURN ANALYSIS OF THE SECURITIES AT MATURITY
The following table and examples illustrate potential return scenarios on
a Security that is held to maturity by an investor who purchases the Securities
on the original issue date. These examples are based on various assumptions,
including hypothetical values of the Underlying Index, set forth below. WE
CANNOT, HOWEVER, PREDICT THE VALUE OF THE UNDERLYING INDEX ON ANY DATE OR AT
ANY OTHER TIME IN THE FUTURE. THEREFORE, THE TABLE AND EXAMPLES SET FORTH BELOW
ARE FOR ILLUSTRATIVE PURPOSES ONLY AND THE RETURNS SET FORTH MAY NOT BE THE
ACTUAL RETURNS APPLICABLE TO A HOLDER OF THE SECURITIES. MOREOVER, THE
UNDERLYING INDEX MAY NOT APPRECIATE OR DEPRECIATE OVER THE TERM OF THE
SECURITIES IN ACCORDANCE WITH ANY OF THE HYPOTHETICAL EXAMPLES BELOW, AND THE
SIZE AND FREQUENCY OF ANY FLUCTUATIONS IN THE VALUE OF THE UNDERLYING INDEX
OVER THE TERM OF THE SECURITIES, WHICH WE REFER TO AS THE VOLATILITY OF THE
UNDERLYING INDEX, MAY BE SIGNIFICANTLY DIFFERENT THAN THE VOLATILITY IMPLIED BY
ANY OF THESE EXAMPLES.
EXAMPLES OF HYPOTHETICAL TOTAL RETURN CALCULATIONS
The following examples illustrate how the total return on each Security is
calculated based on various hypothetical index returns.
ASSUMPTIONS:
Initial Index Value: 842.50 (indicative value only, the initial index
value will be set on the pricing date; the closing
value on April 3, 2009 was 842.50)
Term of the Securities: 18 months
Principal Amount per
Security: $1,000
Digital Return: $170.00
Buffer Level: 20%
HYPOTHETICAL HYPOTHETICAL
PAYMENT AT MATURITY TOTAL RETURN ON EACH SECURITY WITH
HYPOTHETICAL FINAL INDEX HYPOTHETICAL WITHOUT DIGITAL RETURN DIGITAL RETURN AND BUFFER
VALUE INDEX RETURN(a) OR BUFFER (b) ($)(c)(d) (%)(e)
---------------------------- ------------------------ ------------------------- ------------------------------------
1150.0 36.50% $1364.99 $1,170.00 17.00%
1125.0 33.53% $1335.31 $1,170.00 17.00%
1050.0 24.63% $1246.29 $1,170.00 17.00%
1000.0 18.69% $1186.94 $1,170.00 17.00%
980.0 16.32% $1163.20 $1,170.00 17.00%
950.0 12.76% $1127.60 $1,170.00 17.00%
920.0 9.20% $1091.99 $1,170.00 17.00%
875.0 3.86% $1038.58 $1,170.00 17.00%
842.5 0.00% $1000.00 $1,000.00 0.00%
825.0 -2.08% ($979.23) $1,000.00 0.00%
800.0 -5.04% ($949.55) $1,000.00 0.00%
775.0 -8.01% ($919.88) $1,000.00 0.00%
700.0 -16.91% ($830.86) $1,000.00 0.00%
674.0 -20.00% ($800.00) $1,000.00 0.00%
625.0 -25.82% ($741.84) $ 941.84 -5.82%
575.0 -31.75% ($682.49) $ 882.49 -11.75%
543.0 -35.55% ($644.51) $ 844.51 -15.55%
521.0 -38.16% ($618.40) $ 818.40 -18.16%
500.0 -40.65% ($593.47) $ 793.47 -20.65%
485.0 -42.43% ($575.67) $ 775.67 -22.43%
200.0 -76.26% ($231.39) $ 437.39 -56.26%
0.0 -100.00% ($ 0) $ 200.00 -80.00%
PS-13
(a) The index return for each $1,000 principal amount of Securities will be
equal to:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
WHERE,
o the initial index value is the closing value of the Underlying Index on the
pricing date; and
o the final index value is the closing value of the Underlying Index on the
determination date.
(b) This column shows the cash return you would receive if there were no
buffer and no digital return. The digital return is $170.00 and the buffer
is 20%.
(c) at maturity you will receive, for each $1,000 principal amount of
Securities, a cash payment calculated as follows:
(1) if the index return is positive, $1,000 plus the digital return;
(2) if the index return is equal to or less than 0% and up to and
including -20%, $1,000; and
(3) if the index return is less than -20%, $1,000 plus [(index return +
20%) x $1,000].
THE SECURITIES ARE NOT FULLY PRINCIPAL PROTECTED. IF THE INDEX RETURN IS LESS
THAN -20% YOU COULD LOSE UP TO 80% OF YOUR INITIAL PRINCIPAL INVESTMENT. IN
ADDITION, YOU WILL NEVER RECEIVE A PAYMENT AT MATURITY GREATER THAN $1,170.00.
(d) The total return presented is exclusive of any tax consequences of owning
the Securities. You should consult your tax advisor regarding whether
owning the Securities is appropriate for your tax situation. See the
sections titled "Risk Factors" and "Taxation" in this Pricing Supplement.
(e) Represents the percentage total return on each Security.
EXAMPLES OF HYPOTHETICAL PAYMENT AT MATURITY CALCULATIONS
The following examples illustrate how the index return and the payment at
maturity are calculated based on various hypothetical returns for the
Underlying Index set forth below.
ASSUMPTIONS:
Hypothetical Initial
Index Value: Hypothetical S&P 500 Index initial index value:
840
Hypothetical Digital Return: $170.00
Hypothetical Term
of the Securities: 18 months
Hypothetical Principal
Amount per Security: $1,000
EXAMPLE NO. 1:
Hypothetical final index value:
In this hypothetical example, the index return on the Underlying Index would be
calculated as:
500 - 840 = -.4048 or -40.48%
---------
840
PS-14
In this hypothetical example, the index return is below -20%. Therefore, the
payment at maturity will be calculated as:
$1,000 plus [(-40.48% + 20%) x $1,000] = $795.20
In this hypothetical example, because the index return was below -20%, at
maturity you would receive less than $1,000 for each $1,000 principal amount of
Security. In this hypothetical example, the index return was -40.48%, but you
would have lost 20.48% of your initial principal investment over the term of
the Securities. YOU COULD LOSE UP TO 80% OF YOUR INITIAL PRINCIPAL INVESTMENT
IF THE INDEX RETURN IS BELOW -20%.
EXAMPLE NO. 2:
Hypothetical final index value: 672
In this hypothetical example, the index return would be calculated as:
672 - 840 = -.20 or -20%
---------
840
In this hypothetical example, the index return is equal to or less than zero up
to and including -20%. Therefore, the payment at maturity for each $1,000
principal amount of Securities will be $1,000. In this hypothetical example,
the index return was -20%, but you would not have lost any of your initial
principal investment over the term of the Securities. YOU RECEIVE NO RETURN ON
YOUR INITIAL PRINCIPAL INVESTMENT AND YOU WILL NOT BE COMPENSATED FOR ANY LOSS
IN VALUE DUE TO INFLATION AND OTHER FACTORS RELATING TO THE VALUE OF MONEY OVER
TIME.
EXAMPLE 3:
Hypothetical final index value: 841
In this hypothetical example, the index return would be calculated as:
841 - 840 = .0012 or .12%
---------
840
In this hypothetical example, the index return is positive so you will receive
$1,000 plus the digital return of $170.00 per $1,000 principal amount of
Securities.
Therefore, the payment at maturity will be calculated as: $1,000 plus $170.00 =
$1,170.00
While the index value increased .12%, you would have received a return on the
Securities of 17% since the digital return on the Securities is payable as long
as the index return is positive, regardless of how much or how little the
Underlying Index appreciates.
EXAMPLE 4:
Hypothetical final index value: 1000
In this hypothetical example, the index return would be calculated as:
1000 - 840 = .1905 or 19.05%
----------
840
In this hypothetical example, the index return is positive so you will receive
$1,000 plus the digital return of $170.00 per $1,000 principal amount of
Securities.
Therefore, the payment at maturity will be calculated as: $1,000 plus $170.00 =
$1,170.00
While the index value increased 19.05%, you would have received a return on the
Securities of 17% since the digital return on the Securities is limited to 17%
regardless of how much of the Underlying Index appreciates.
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 INDEX
THE S&P 500 INDEX(R)
We have derived all information contained in this Pricing Supplement
regarding the S&P 500 Index(R), including, without limitation, its make-up,
method of calculation and changes in its components, from publicly available
information. Neither we nor Holding nor any of our affiliates are responsible
for, or assume any responsibility for, the accuracy or completeness of such
information. That information reflects the policies of, and is subject to
change by, Standard & Poor's, division of The McGraw-Hill Companies ("S&P"),
the Index Sponsor. The S&P 500 Index(R) was developed, and is calculated and
maintained, by S&P. S&P has no obligation to continue to calculate and publish,
and may alter or discontinue calculation and publication of the S&P 500
Index(R) at any time. The consequences of discontinuing the S&P 500 Index(R)
are described in "Description of Securities - Discontinuance of the Underlying
Index; Alteration of Method of Calculation."
GENERAL
The S&P 500 Index(R) is published by S&P and is intended to provide an
indication of the pattern of common stock price movement. It is a market-value
weighted index (stock price times number of shares outstanding), with each
stock's weight in the index proportionate to its market value. The calculation
of the value of the S&P 500 Index(R), discussed below in further detail, is
based on the relative value of the aggregate market value of the common stocks
of 500 companies (the "S&P 500 Component Stocks") as of a particular time
compared to the aggregate average market value of the common stocks of 500
similar companies during the base period of the years 1941 through 1943.
S&P chooses companies for inclusion in the S&P 500 Index(R) with the aim
of achieving a distribution across broad industry groupings that approximates
the actual distribution of these groupings in the common stock population of
the Standard & Poor's Stock Guide Database of over 10,000 companies, which S&P
uses as an assumed model for the composition of the total market. Relevant
criteria employed by S&P include the viability of the particular company, the
extent to which that company represents the industry group to which it is
assigned, the extent to which the market price of the company's common stock is
generally responsive to changes in the affairs of the respective industry and
the market value and trading activity of the common stock of that company. S&P
may from time to time, in its sole discretion, add companies to, or delete
companies from, the S&P 500 Index(R) to achieve the objectives stated above.
As of January 30, 2009, the 500 companies included in the S&P 500 Index(R)
were divided into 10 Global Industry Classification Sectors. The Global
Industry Classification Sectors included (with the percentage of the aggregate
market value of the companies currently included in such sectors indicated in
parentheses): Consumer Discretionary (8.2%), Consumer Staples (12.8%), Energy
(14.1%), Financials (10.7%), Health Care (15.9%), Industrials (10.6%),
Information Technology (16.2%), Materials (3.0%), Telecommunication Services
(3.7%) and Utilities (4.6%). S&P may from time to time, in its sole discretion,
add companies to, or delete companies from, the S&P 500 Index(R) to achieve the
objectives stated above.
COMPUTATION OF THE S&P 500 INDEX(R)
On March 21, 2005, S&P began to calculate the S&P 500 Index(R) based on a
half float-adjusted formula, and on September 16, 2005, S&P completed the full
float adjustment of the S&P 500 Index(R). S&P's criteria for selecting stocks
for the S&P 500 Index(R) were not changed by the shift to float adjustment.
However, the adjustment affects each company's weight in the S&P 500 Index(R)
(i.e., its "Market Value").
Under float adjustment, the share counts used in calculating the S&P 500
Index(R) reflect only those shares that are available to investors and not all
of a company's outstanding shares. S&P defines three groups of shareholders
whose holdings are subject to float adjustment:
o holdings by other publicly traded corporations, venture capital firms,
private equity firms, strategic partners or leveraged buyout groups;
o holdings by governmental entities, including all levels of government
in the United States or foreign
PS-17
countries; and
o holdings by current or former officers and directors of the company,
founders of the company or family trusts of officers, directors or
founders, as well as holdings of trusts, foundations, pension funds,
employee stock ownership plans or other investment vehicles associated
with and controlled by the company
However, treasury stock, stock options, restricted shares, equity
participation units, warrants, preferred stock, convertible stock and rights are
not part of the float. In cases where holdings in a group exceed 10% of the
outstanding shares of a company, the holdings of that group will be excluded
from the float-adjusted count of shares to be used in the S&P 500 Index(R)
calculation. Mutual funds, investment advisory firms, pension funds or
foundations not associated with the company and investment funds in insurance
companies, shares of a U.S. company traded in Canada as "exchangeable shares,"
shares that trust beneficiaries may buy or sell without difficulty or
significant additional expense beyond typical brokerage fees, and, if a company
has multiple classes of stock outstanding, shares in an unlisted or non-traded
class if such shares are convertible by shareholders without undue delay and
cost, are also part of the float.
For each stock, an investable weight factor ("IWF") is calculated by
dividing the available float shares, defined as the total shares outstanding
less shares held in one or more of the three groups listed above where the
group holdings exceed 10% of the outstanding shares, by the total shares
outstanding. The float-adjusted index will then be calculated by dividing the
sum of the IWF multiplied by both the price and the total shares outstanding
for each stock by the index divisor. For companies with multiple classes of
stock, S&P will calculate the weighted average IWF for each stock using the
proportion of the total company market capitalization of each share class as
weights.
The S&P 500 Index(R) is calculated using a base-weighted aggregate
methodology: the level of the S&P 500 Index(R) reflects the total Market Value
of all S&P 500 Index component stocks relative to the S&P 500 Index(R)'s base
period of 1941-43 (the "base period").
An indexed number is used to represent the results of this calculation in
order to make the value easier to work with and track over time.
The actual total market value of the S&P 500 Component Stocks during the
base period has been set equal to an indexed value of 10. This is often
indicated by the notation 1941-43=10. In practice, the daily calculation of the
S&P 500 Index(R) is computed by dividing the total Market Value of the S&P 500
Component Stocks by a number called the "S&P 500 Index Divisor". By itself, the
S&P 500 Index Divisor is an arbitrary number. However, in the context of the
calculation of the S&P 500 Index(R), it is the only link to the original base
period level of the S&P 500 Index(R). The S&P 500 Index Divisor keeps the S&P
500 Index(R) comparable over time and is the manipulation point for all
adjustments to the S&P 500 Index(R) ("S&P 500 Index Maintenance").
MAINTENANCE OF THE S&P 500 INDEX(R)
S&P 500 Index Maintenance includes monitoring and completing the
adjustments for company additions and deletions, share changes, stock splits,
stock dividends, and stock price adjustments due to company restructurings or
spin-offs.
To prevent the level of the S&P 500 Index(R) from changing due to
corporate actions, all corporate actions that affect the total Market Value of
the S&P 500 Index(R) require an S&P 500 Index Divisor adjustment. By adjusting
the S&P 500 Index Divisor for the change in total Market Value, the level of
the S&P 500 Index(R) remains constant. This helps maintain the level of the S&P
500 Index(R) as an accurate barometer of stock market performance and ensures
that the movement of the S&P 500 Index(R) does not reflect the corporate
actions of individual companies in the S&P 500 Index(R). All S&P 500 Index
Divisor adjustments are made after the close of trading. Some corporate
actions, such as stock splits and stock dividends, require simple changes in
the common shares outstanding and the stock prices of the companies in the S&P
500 Index(R) and do not require S&P 500 Index Divisor adjustments.
The table below summarizes the types of S&P 500 Index Maintenance
adjustments and indicates whether or not an S&P 500 Index Divisor adjustment is
required:
PS-18
Type of Corporate Divisor Adjustment
Action Adjustment Factor Required
-----------------------------------------------------------------------------
Stock split Shares Outstanding multiplied by No
(E.G. , 2-for-1) 2; Stock Price divided by 2
Share issuance Shares Outstanding plus newly Yes
(I.E. , change >= issued Shares
5%)
Share repurchase Shares Outstanding minus Yes
(I.E. , change >= Repurchased Shares
5%)
Special cash dividends Share Price minus Special Dividend Yes
Company Change Add new company Market Value minus Yes
old company Market Value
Rights Offering Price of parent company minus Yes
Price of Rights
---------------
Right Ratio
Spin-Off Price of parent company minus Yes
Price of Spinoff Co.
--------------------
Share Exchange Ratio
Stock splits and stock dividends do not affect the S&P 500 Index Divisor
of the S&P 500 Index(R), because following a split or dividend both the stock
price and number of shares outstanding are adjusted by S&P so that there is no
change in the Market Value of the S&P 500 Component Stock. All stock split and
dividend adjustments are made after the close of trading on the day before the
ex-date.
Each of the corporate events exemplified in the table requiring an
adjustment to the S&P 500 Index Divisor has the effect of altering the Market
Value of the S&P 500 Component Stock and consequently of altering the aggregate
Market Value of the S&P 500 Component Stocks (the "Post-Event Aggregate Market
Value"). In order that the level of the S&P 500 Index(R) (the "Pre-Event Index
Value") not be affected by the altered Market Value (whether increase or
decrease) of the affected S&P 500 Component Stock, a new S&P 500 Index Divisor
("New S&P 500 Divisor") is derived as follows:
Post-Event Aggregate Market Value = Pre-Event Index Value
---------------------------------
New S&P 500 Divisor
New S&P 500 Divisor = Post-Event Market Value
--------------------------
Pre-Event Index Value
A large part of the S&P 500 Index Maintenance process involves tracking
the changes in the number of shares outstanding of each of the S&P 500 Index(R)
companies. Four times a year, on a Friday close to the end of each calendar
quarter, the share totals of companies in the S&P 500 Index(R) are updated as
required by any changes in the number of shares outstanding. After the totals
are updated, the S&P 500 Index Divisor is adjusted to compensate for the net
change in the total Market Value of the S&P 500 Index(R). In addition, any
changes over 5% in the current common shares outstanding for the S&P 500
Index(R) companies are carefully reviewed on a weekly basis, and when
appropriate, an immediate adjustment is made to the S&P 500 Index Divisor.
LICENSE AGREEMENT
S&P has entered into a non-transferable, non-exclusive license agreement
granting us and certain of our affiliated or subsidiary companies, in exchange
for a fee, the right to use the S&P 500 Index(R), which is owned and published
by S&P, in connection with certain securities, including the Securities.
The license agreement between S&P and us provides that the following
language must be set forth in this Pricing Supplement:
The Securities are not sponsored, endorsed, sold or promoted by Standard &
Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P"). S&P makes no
representation or warranty, express or implied, to the owners of the
PS-19
Securities or any member of the public regarding the advisability of investing
in securities generally or in the Securities particularly or the ability of the
S&P 500 Index to track general stock market performance. S&P's only relationship
to us is the licensing of certain trademarks and trade names of S&P and of the
S&P 500 Index(R) which is determined, composed and calculated by S&P without
regard to us or the Securities. S&P has no obligation to take our needs or the
needs of the owners of the Securities into consideration in determining,
composing or calculating the S&P 500 Index(R). S&P is not responsible for and
has not participated in the determination of the timing of, prices at, or
quantities of the Securities to be issued or in the determination or calculation
of the equation by the Securities are to be converted into cash. S&P has no
obligation or liability in connection with the administration, marketing or
trading of the Securities.
S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P 500
INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY
ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR
IMPLIED, AS TO RESULTS TO BE OBTAINED BY US, OWNERS OF THE SECURITIES, OR ANY
OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX(R) OR ANY DATA
INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY
DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE
OR USE WITH RESPECT TO THE S&P 500 INDEX(R) OR ANY DATA INCLUDED THEREIN.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY
FOR ANY INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES
(INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
"Standard & Poor's", "S&P", S&P 500", "Standard & Poor's 500", and "500"
are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for
use to us. The Securities are not sponsored, endorsed, sold or promoted by
Standard & Poor's and Standard & Poor's makes no representation regarding the
advisability of investing in the Securities.
DISCLAIMER BY US, HOLDING AND THE CALCULATION AGENT
All information in this Pricing Statement relating to the S&P 500
Index(R), including, without limitation, its composition, method of calculation
and changes in its components, is derived from publicly available information
released by S&P and other public sources. Neither we nor Holding nor the
Calculation Agent has independently verified any such information. Neither we
nor Holding nor the Calculation Agent shall have any responsibility for any
error or omissions in the calculation and publication of the S&P 500 Index(R)
by S&P.
PS-20
HISTORICAL DATA ON THE S&P 500 INDEX(R)
The following table sets forth the value of the S&P 500 Index(R) at the
end of each month in the period from January 2004 through February 2009. These
historical data on the S&P 500 Index(R) are not indicative of the future
performance of the S&P 500 Index(R) or what the value of the Securities will
be. Any historical upward or downward trend in the value of the S&P 500
Index(R) during any period set forth below is not an indication that the S&P
500 Index(R) is more or less likely to increase or decrease at any time during
the term of the Securities.
YOU CANNOT PREDICT THE FUTURE PERFORMANCE OF THE SECURITIES OR THE S&P 500
INDEX(R) BASED ON THE HISTORICAL PERFORMANCE OF THE S&P 500 INDEX(R). Neither
we nor Holding can guarantee that the value of the S&P 500 Index(R) will
increaSE.
2004 2005 2006 2007 2008 2009
----------- ----------- ---------- ---------- ---------- ---------
January 1131.13 1181.27 1280.08 1438.24 1378.55 825.88
February 1144.94 1203.60 1280.66 1406.82 1330.63 735.09
March 1126.21 1180.59 1294.83 1420.86 1322.70 797.87
April 1107.30 1156.85 1310.61 1482.37 1385.59 842.50
May 1120.68 1191.50 1270.09 1530.62 1400.38
June 1140.84 1191.33 1270.20 1503.35 1280.00
July 1101.72 1234.18 1276.66 1455.27 1267.38
August 1104.24 1220.33 1303.82 1473.99 1282.83
September 1114.58 1228.81 1335.85 1526.75 1166.36
October 1130.20 1207.01 1377.94 1549.38 968.75
November 1173.82 1249.48 1400.63 1481.14 896.24
December 1211.92 1248.29 1418.30 1468.36 903.25
* Through April 3, 2009
PS-21
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 18 Month, Digital Buffer Securities due October
29, 2010 linked to the Underlying Index and fully and unconditionally
guaranteed by Holding.
Principal Amount:............ $
Proposed Original Issue Date. April 30, 2009
Proposed Pricing Date........ April 28, 2009
Maturity Date................ October 29, 2010
Underlying Index............. The S&P 500 Index(R)
No Affiliation with
Index Sponsor.............. The S&P 500 was developed and is calculated and
maintained by Standard & Poor's, a division of The
McGraw-Hill Companies, Inc. ("S&P"). We refer to
S&P as the Index Sponsor. The Index Sponsor 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 Index Sponsor. Investing in the Securities
is not equivalent to investing in the Underlying
Index.
Specified Currency........... U.S. Dollars
CUSIP........................ 00083G7E8
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.
Issue Price.................. 100%
Interest Rate................ None
Payment at Maturity.......... At maturity, for each $1,000 principal amount of
Security, we will pay you a cash amount calculated
as follows:
(1) if the Index Return is positive, then $1,000
plus the Digital Return;
(2) if the Index Return is equal to or less than
0% and up to and including -20%, $1,000; and
(3) if the Index Return is less than -20%, $1,000
plus [(Index Return + 20%) x $1,000].
IF THE INDEX RETURN IS LESS THAN -20% YOU COULD
LOSE UP TO 80% OF YOUR INITIAL PRINCIPAL
INVESTMENT. IN ADDITION, YOU WILL NEVER RECEIVE A
PAYMENT AT MATURITY GREATER THAN $1,170.00.
The Calculation Agent will calculate the cash
payment due at maturity, if any, on the
Determination Date. The Calculation Agent will
provide written notice the Securities
Administrator at its New York Office, on which
notice the Securities Administrator may
conclusively rely, of such payment amount, on or
prior to 11:00 a.m. on the Business Day preceding
the Maturity Date.
PS-22
The Calculation Agent will round all percentages
resulting from any calculation with respect to the
Securities to the nearest one hundred-thousandth
of a percentage point, with five one-millionths of
a percentage point rounded upwards (E.G.,
9.876545% (or .09876545) would be rounded to
9.87655% (or .0987655)). All dollar amounts
resulting from such calculation will be rounded to
the nearest cent with one-half cent being rounded
upwards.
Index Return................. The return on the Underlying Index will be the
percentage change in the value of the Underlying
Index, calculated as:
Final Index Value - Initial Index Value
---------------------------------------
Initial Index Value
Initial Index Value.......... [ ] (the closing value of the Underlying Index
on the Pricing Date).
Final Index Value............ The closing value of the Underlying Index on the
Determination Date, subject to the terms of the
provisions below entitled "--Discontinuance of the
Underlying Index; Alteration of Method of
Calculation."
Buffer Level................. 20% buffer. At maturity, if the Index Return is up
to and including -20%, for each $1,000 principal
amount of Security we will pay $1,000 in cash. If
the Index Return is less than -20% then holders of
the Securities will lose up to 80% of their
principal.
Maximum Redemption
at Maturity................ $1,170.00, which is equal to $1,000 plus the
Digital Return.
Digital Return............... $170.00
Determination Date........... October 26, 2010; PROVIDED that if a Market
Disruption Event has occurred on such Trading Day,
the Determination Date shall be the immediately
succeeding Trading Day with respect to the
Underlying Index on which there is no Market
Disruption Event; PROVIDED, FURTHER, that the
Determination Date with respect to the Underlying
Index shall be no later than the second scheduled
Trading Day with respect to the Underlying Index
preceding the Maturity Date, notwithstanding the
occurrence of a Market Disruption Event on such
second scheduled Trading Day.
If a Market Disruption Event occurs on such second
scheduled Trading Day prior to the Maturity Date,
the Calculation Agent will determine the closing
value of the Underlying Index on such Trading Day
in accordance with the formula for calculating the
value of the Underlying Index last in effect prior
to the commencement of the Market Disruption
Event, 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 such Trading Day of each security most recently
comprising the Underlying Index.
Trading Day.................. With respect to the Underlying Index, a day, as
determined by the Calculation Agent, on which the
Underlying Index is calculated and published and
on which securities comprising more than 80% of
the value of the Underlying Index on such day are
capable of being traded on their relevant
exchanges or markets during the one-half hour
before the determination of the closing value of
the
PS-23
Underlying Index.
Market Disruption Event...... Means, with respect to the Underlying Index:
(i) either:
(x) any suspension or absence or limitation
imposed on trading in stocks then constituting
20% or more of the level of the Underlying
Index 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 the
Underlying Index 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 the Underlying Index 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 the Underlying Index on any other
exchange, or
(z) the closure on any Trading Day of the
primary exchange for stocks then constituting
20% or more of the level of the Underlying
Index, 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 Index at any time, if trading in a
security included in the Underlying Index 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 of that security to the
level of the Underlying Index shall be based on a
comparison of (i) the portion of the level of the
Underlying Index attributable to that security
relative to (ii) the overall level of the
Underlying Index, 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
PS-24
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
Index 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
the Underlying Index 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 the Underlying
Index 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 us, 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 Index on any
day that but for the occurrence or existence of a
Market Disruption Event would have been the
Determination Date for the Underlying Index.
Discontinuance of the
Underlying Index;
Alteration of Method of
Calculation.................. If the Index Sponsor discontinues publication of
the Underlying Index and such Index Sponsor or
another entity publishes a successor or substitute
index that AAI as the Calculation Agent
determines, in its sole discretion, to be
comparable to the discontinued Underlying Index
(such index being referred to herein as a
"Successor Index"), then the Final Index Value
with respect to the Underlying Index will be
determined by reference to the value of such
Successor Index at the close of trading on the
relevant exchange or market for such Successor
Index on the applicable Determination Date.
Upon any selection by the Calculation Agent of a
Successor Index, 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 Index Sponsor discontinues publication of
the Underlying Index prior to, and such
discontinuance is continuing on, the Determination
Date, and AAI as the Calculation Agent determines
that no Successor Index is available with respect
to the Underlying Index at such time, then the
Calculation Agent will determine the Final Index
Value with respect to such the Underlying Index.
Such Final Index Value will be computed by the
Calculation Agent in
PS-25
accordance with the formula for and method of
calculating the Underlying Index last in effect
prior to such discontinuance, 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 Index of each security
most recently comprising the Underlying Index.
Notwithstanding these alternative arrangements,
discontinuance of the publication of the
Underlying Index may adversely affect the value of
the Securities.
If at any time the method of calculating the
Underlying Index or a Successor Index, or the
value thereof, is changed in a material respect,
or if the Underlying Index or a Successor Index is
in any other way modified so that such index does
not, in the opinion of AAI, as the Calculation
Agent, fairly represent the value of the
Underlying Index or such Successor Index 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 Index 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 stock index comparable to
the Underlying Index or Successor Index, as the
case may be, as if such changes or modifications
had not been made, and on the applicable
Determination Date make each relevant calculation
with reference to the Underlying Index or
Successor Index, as adjusted. Accordingly, if the
method of calculating the Underlying Index or a
Successor Index is modified so that the value of
such index is a fraction of what it would have
been if it had not been modified (E.G., due to a
split in the index), then the Calculation Agent
will adjust such index in order to arrive at a
value of the Underlying Index or Successor Index
as if it had not been modified (E.G., as if such
split had not occurred).
Book Entry Note
or Certificated Note....... Book Entry
Trustee...................... Wilmington Trust Company
Securities Administrator..... Citibank, N.A.
Alternate 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 for each
Security upon any acceleration of the Securities
shall be determined by AAI, as Calculation Agent,
as though the Final Index Value for the Underlying
Index as of the applicable Determination Date were
the Final Index Value on the date of acceleration.
See "Description of Debt Securities--Events of
Default" in the Prospectus.
If the maturity of the Securities is accelerated
because of an Event of Default as described above,
we shall, or shall cause the Calculation Agent to,
provide written notice to the Trustee at its New
York office, and to the Securities Administrator
at its Delaware office, on which notice the
Trustee and the Securities Administrator may
conclusively rely, and to DTC of the aggregate
cash amount due with respect to the Securities, if
any, as promptly as possible and in no event later
than two Business Days after the
PS-26
date of acceleration.
Calculation Agent............ AAI, which is our affiliate. 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 "Series A Notes Offered on a Global
Basis--Payment of Additional Amounts" in the
accompanying Prospectus Supplement, we will pay
such additional amounts to holders of the
Securities as may be necessary in order that the
net payment of any amount 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.
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-27
USE OF PROCEEDS
The net proceeds we receive from the sale of the Securities will be used
for general corporate purposes and by us or one or more of our affiliates in
connection with hedging our obligations under the Securities, including hedging
market risks associated with the payment at maturity of 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 "Plan of Distribution" in this
Pricing Supplement and "Use of Proceeds" in the accompanying Prospectus.
TAXATION
The following summary is a general description of certain United States and
Dutch tax considerations relating to the ownership and disposition of
Securities. It does not purport to be a complete analysis of all tax
considerations relating to the Securities. Prospective purchasers of Securities
should consult their tax advisors as to the consequences of acquiring, holding
and disposing of Securities under the tax laws of the country of which they are
resident for tax purposes as well as under the laws of any state, local or
foreign jurisdiction. This summary is based upon the law as in effect on the
date of this Pricing Supplement and is subject to any change in law that may
take effect after such date.
UNITED STATES FEDERAL INCOME TAXATION
The following discussion is based on the advice of Clifford Chance US LLP,
our special tax counsel ("Tax Counsel"), and describes the principal U.S.
federal income tax consequences to holders who purchase the Securities at
initial issuance for the stated principal amount and who will hold the
Securities as capital assets within the meaning of Section 1221 of the U.S.
Internal Revenue Code of 1986, as amended (the "Code").
This discussion does not describe all of the tax consequences that may be
relevant in light of a holder's particular circumstances or to holders subject
to special rules, such as certain financial institutions, insurance companies,
dealers in commodities, securities or foreign currencies, persons holding
Securities as part of a hedging transaction, "straddle," conversion transaction
or other integrated transaction, U.S. Holders (as defined below) whose
functional currency is not the U.S. dollar, regulated investment companies,
real estate investment trusts, tax exempt organizations, or partnerships or
other entities classified as partnerships for U.S. federal income tax purposes.
This discussion is based on the Code, administrative pronouncements,
judicial decisions and final, temporary and proposed Treasury Regulations,
changes to any of which subsequent to the date of this Pricing Supplement may
affect the tax consequences described below, possibly with retroactive effect.
PERSONS CONSIDERING THE PURCHASE OF THE SECURITIES SHOULD CONSULT THEIR TAX
ADVISORS WITH REGARD TO THE APPLICATION OF THE U.S. FEDERAL INCOME TAX LAWS TO
THEIR PARTICULAR SITUATIONS AS WELL AS ANY TAX CONSEQUENCES ARISING UNDER THE
LAWS OF ANY STATE, LOCAL OR FOREIGN TAXING JURISDICTION.
As used herein, you are a "U.S. HOLDER" if you are the beneficial owner of
a Security and are, for U.S. federal income tax purposes:
o a citizen or individual resident of the United States;
o a corporation created or organized in or under the laws of the United
States or of any political subdivision thereof, or
o an estate or trust the income of which is subject to U.S. federal
income taxation regardless of its source.
PS-28
The term "U.S. HOLDER" also includes certain former citizens and residents
of the United States.
If a partnership invests in Securities, the tax treatment of the partner
will generally depend on the status of the partner and the activities of the
partnership. Partners in a partnership that invests in Securities are urged to
consult with their tax advisors about the consequences of the investment.
GENERAL
Pursuant to the terms of the Securities, we and every holder of a Security
agree (in the absence of an administrative determination or judicial ruling to
the contrary) to characterize each Security for all U.S. tax purposes as a
single financial contract with respect to the Underlying Index that (i)
requires the investor to pay us at inception an amount equal to the purchase
price of the Security and (ii) entitles the investor to receive at maturity an
amount in cash based upon the performance of the Underlying Index. While other
characterizations of the Securities could be asserted by the IRS, as discussed
below, the following discussion assumes that this characterization of the
Securities will be respected. In the opinion of Tax Counsel, which is based on
certain representations received from us, the purchase and ownership of a
Security should be treated as an "open transaction" with respect to the
Underlying Index for U.S. federal income tax purposes.
TAX CONSEQUENCES TO U.S. HOLDERS
Assuming the characterization of the Securities described above, the
following U.S. federal income tax consequences should result to you if you are a
U.S. Holder.
TAX TREATMENT PRIOR TO MATURITY. You should not be required to recognize
taxable income over the term of the Securities prior to maturity, other than
pursuant to a sale or exchange as described below.
TAX BASIS. Your tax basis in a Security will equal the amount paid by you
to acquire the Security.
SETTLEMENT OF A SECURITY AT MATURITY. Upon receipt of cash at maturity,
you generally will recognize long-term capital gain or loss equal to the
difference between the amount of cash received and your tax basis in the
Security.
SALE OR EXCHANGE OF A SECURITY. Upon a sale or exchange of a Security
prior to maturity, you will recognize capital gain or loss equal to the
difference between the amount realized on the sale or exchange and your tax
basis in the Security sold or exchanged. This gain or loss will generally be
long-term capital gain or loss if you held the Security for more than one year
at the time of disposition.
POSSIBLE ALTERNATIVE TAX TREATMENTS OF AN INVESTMENT IN THE SECURITIES
Due to the absence of authorities that directly address the proper tax
treatment of the Securities, no assurance can be given that the IRS will
accept, or that a court will uphold, the characterization and treatment
described above. In particular, the IRS could seek to analyze the U.S. federal
income tax consequences of owning the Securities under Treasury regulations
governing contingent payment debt instruments (the "Contingent Payment
Regulations"). If the IRS were successful in asserting that the Contingent
Payment Regulations apply to the Securities, the timing and character of income
thereon would be significantly affected. Among other things, a U.S. Holder
would be required to accrue original issue discount on the Securities every
year at a "comparable yield" determined at the time of their issuance.
Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale or
other disposition of the Securities would generally be treated as ordinary
income, and any loss realized at maturity would be treated as ordinary loss to
the extent of the prior accruals of original issue discount, and as capital
loss thereafter.
Even if the Contingent Payment Regulations do not apply to the Securities,
other alternative federal income tax characterizations of the Securities are
possible which, if applied, could also affect the timing and the character of
the income or loss with respect to the Securities. It is possible, for example,
that a Security could be treated as a unit consisting of a loan and a forward
contract, in which case you would be required to accrue original issue discount
as income on a current basis. Accordingly, you are urged to consult your own
tax advisors regarding the possible
PS-29
consequences of alternative characterizations of the Securities.
BACKUP WITHHOLDING AND INFORMATION REPORTING
Information returns may be filed with the Internal Revenue Service in
connection with payments on the Securities and the proceeds from a sale or
other disposition of the Securities. You may be subject to U.S. backup
withholding on these payments if you fail to provide your tax identification
number to the paying agent and comply with certain certification procedures or
otherwise establish an exemption from backup withholding. The amount of any
backup withholding from a payment to you will be allowed as a credit against
your U.S. federal income tax liability and may entitle you to a refund,
provided that the required information is furnished to the Internal Revenue
Service.
TAX TREATMENT OF THE SECURITIES TO NON-U.S. HOLDERS
If you are not a U.S. Holder, you will not be subject to U.S.
withholding tax with respect to payments on your Securities but you may be
subject to generally applicable information reporting and backup withholding
requirements with respect to payments on your Securities unless you comply with
certain certification and identification requirements as to your foreign status
or an exception to the information reporting and backup withholding rules
otherwise applies.
PS-30
PLAN OF DISTRIBUTION
We have appointed ABN AMRO Incorporated ("AAI") as agent for this offering.
The agent has agreed to use reasonable efforts to solicit offers to purchase
the Securities. We will pay the agent, in connection with sales of the
Securities resulting from a solicitation such agent made or an offer to
purchase such agent received, a commission of 2.50% of the initial offering
price of the Securities. Each dealer engaged by the agent, or further engaged
by a dealer to whom an agent reoffers the Securities, will purchase the
Securities at an agreed discount to the initial offering price of the
Securities. The agent 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, regarding a
Financial Industry Regulatory Authority, Inc. member firm's distributing the
securities of an affiliate. The Financial Industry Regulatory Authority, Inc.
(commonly referred to as FINRA) is the successor to the National Association of
Securities Dealers, Inc. When the distribution of the Securities is complete,
AAI may offer and sell those Securities in the course of its business as a
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 the total aggregate principal amount of the Securities linked
to the Underlying Index being offered in this Pricing Supplement is not
purchased by investors in any of these offerings, 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-31
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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
----
Summary of Pricing Supplement............... PS-3
Risk Factors................................ PS-7
Hypothetical Return Analysis of the
Securities at Maturity.................... PS-11
Incorporation of Documents by Reference..... PS-14
Public Information Regarding the Underlying
Index..................................... PS-15
Description of Securities................... PS-18
Use of Proceeds............................. PS-23
Taxation.................................... PS-23
Plan of Distribution........................ PS-26
PROSPECTUS SUPPLEMENT
PAGE
----
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
----
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
===============================================================================
===============================================================================
ABN AMRO BANK N.V.
$
FULLY AND UNCONDITIONALLY GUARANTEED BY
ABN AMRO HOLDING N.V.
18 MONTH,
DIGITAL BUFFER SECURITIES DUE
OCTOBER 29, 2010
LINKED TO THE PERFORMANCE
OF THE S&P 500 INDEX(R)
PRICING SUPPLEMENT
(TO PROSPECTUS DATED
SEPTEMBER 29, 2006 AND
PROSPECTUS SUPPLEMENT
DATED SEPTEMBER 29, 2006)
ABN AMRO INCORPORATED
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