September
9, 2008
Relating
to Preliminary Pricing Supplement No. 765 to
Registration
Statement Nos. 333-137691,
333-137691-02
Dated
September 29, 2006
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ABN AMRO Bank N.V.
S-NOTESSM
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Pricing
Sheet - September 9, 2008
22.75% SIX MONTH SELECT BASKET KNOCK-IN SECURITIES
LINKED TO
6 COMMON STOCKS DUE MARCH 12, 2009
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SUMMARY
INFORMATION
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Issuer:
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ABN AMRO Bank
N.V. (Senior Long Term Debt Rating: Moody's Aa2, S&P
AA-)
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Lead
Agent:
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ABN AMRO
Incorporated
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Offerings:
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22.75% Six
month Select Basket Knock-In Securities Linked to 6 Common Stocks due
March 12,
2009
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Coupon:
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22.75% per
annum (30/360), payable monthly in arrears on the 12th
day of each month commencing on
October 12, 2008 and ending on the maturity date
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Coupon
Breakdown:
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Interest Rate:
3.00% per
annum
Put
Premium: 19.75% |
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Underlying
Stocks:
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Stock*
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Ticker
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Knock-in
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Weight
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Symbol
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Level
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%
of Initial Price
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CF Industries
Holdings, Inc.
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CF
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70%
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1/6
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United States
Steel Corporation
|
X
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70%
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1/6
|
|
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Consol Energy
Inc.
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CNX
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70%
|
1/6
|
|
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IntercontinentalExchange,
Inc.
|
ICE
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70%
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1/6
|
|
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Research In
Motion Limited
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RIMM
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70%
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1/6
|
|
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Transocean
Inc.
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RIG
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70%
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1/6
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|
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*We refer to
each of the stocks as an Underlying Stock
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Denomination/Principal:
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Each Security
has a principal amount of $1,000. The Securities will be issued in
integral multiples of
$1,000
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Issue
Price:
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Initial
Price:
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For each
Underlying Stock, 100% of the closing price per share on the pricing
date
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Final
Price:
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For each
Underlying Stock, 100% of the closing price per share on the determination
date
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Payment
at Maturity:
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The payment at
maturity, if any, is based on the performance of each of the 6 Underlying
Stocks,
and will consist of an amount in cash equal to the sum
of:
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| |
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(i) for each
of the 6 Underlying Stocks on the primary U.S. exchange or market for such
Underlying
Stock where the closing price has not fallen below the applicable knock-in
level on
any trading day from but not including the pricing date to and including the
determination
date, $166.67, plus
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| |
|
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(ii) for each of the 6
Underlying Stocks on the primary U.S. exchange or market for
such
Underlying Stock where the closing price has fallen below its knock-in
level on any trading day
from but not including the pricing date to and including the determination
date:
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a) if the
closing price of any such Underlying Stock on the determination date is at
or above the
initial price of such Underlying Stock, $166.67; or |
| |
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b) if the closing price
of any such Underlying Stock on the determination date is below the
initial
price of such Underlying Stock, an amount calculated as follows:
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$166.67 x
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FinalPrice |
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| |
InitialPrice |
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If
the closing price of one or more of the Underlying Stocks has fallen below
its knock-in
level on any trading day from but not including the pricing date to and
including the determination date and the final price of any such
Underlying Stock is less than its initial price, you will lose some or all
of your principal.
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Indicative
Secondary Pricing:
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●
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Internet at:
www.s-notes.com
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Bloomberg at:
REXS2 <GO>
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Status:
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Unsecured,
unsubordinated obligations of the Issuer
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CUSIP:
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00083GN59
ISIN:
US00083GN592
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Trustee:
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Wilmington
Trust Company
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Securities
Administrator:
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Citibank,
N.A.
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Settlement:
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DTC, Book
Entry, Transferable
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Selling
Restrictions:
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Sales in the
European Union must comply with the Prospectus
Directive
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Pricing
Date:
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September 9,
2008, subject to certain adjustments as described in the related pricing
supplement
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Settlement
Date:
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September 12,
2008
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Determination
Date:
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March 9, 2009,
subject to certain adjustments as described in the related pricing
supplement
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Maturity
Date:
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March 12, 2009
(Six month)
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ABN
AMRO has filed a registration statement (including a Prospectus and Prospectus
Supplement) with the SEC for the offerings to which this communication relates.
Before you invest, you should read the Prospectus and Prospectus Supplement in
that registration statement and other documents ABN AMRO has filed with the SEC
for more complete information about ABN AMRO and the offerings of the
Securities.
You
may get these documents for free by visiting EDGAR on the SEC website at
www.sec.gov or by visiting ABN AMRO Holding N.V. on the SEC website at
<http://www.sec.gov/cgi-bin/browse-edgar?company=&CIK=abn&filenum=&State=&SIC=&owner=include&action=get
company>. Alternatively, ABN AMRO, any underwriter or any dealer
participating in the offering will arrange to send you the Prospectus and
Prospectus Supplement if you request it by calling toll free (888)
644-2048.
These
Securities 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.
SUMMARY
The
following summary does not contain all the information that may be important to
you. You should read this summary together with the more detailed information
that is contained in the related Pricing Supplement and in its accompanying
Prospectus and Prospectus Supplement. You should carefully consider, among other
things, the matters set forth in “Risk Factors” in the related Pricing
Supplement, which are summarized on page 5 of this document. In addition, we
urge you to consult with your investment, legal, accounting, tax and other
advisors with respect to any investment in the Securities.
What
are the Securities?
The Securities are
interest paying, non- principal protected 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 six months. These securities combine
certain features of debt and equity by offering a fixed interest rate on the
principal amount while the payment at maturity on the Securities is determined
based on the performance of the 6 Underlying Stocks, which we refer to as the
Underlying Stocks, on the determination date as described below under “What will I receive at maturity of the Securities and how is
this amount calculated?” At maturity, the payment, if any, that you receive will
be calculated based on the closing prices of the Underlying Stocks on the
determination date and could be less than the principal amount of $1,000 per
security and could be zero.
What
will I receive at maturity of the Securities and how is this amount
calculated?
The payment, if any,
you will receive at maturity for each $1,000 principal amount of Securities, is
based on the performance of each of the 6 the Underlying Stocks, and will
consist of a cash payment equal to the sum of:
(1) for each Underlying
Stock whose closing price has not fallen below the applicable knock- in level on
the primary U.S. exchange or market for such Underlying Stock on any trading day
from but not including the pricing date to and including the determination date,
$166.67, plus
(2) for each Underlying
Stock whose closing price has fallen below its knock-in level on the primary
U.S. exchange or market for such Underlying Stock on any trading day from but
not including the pricing date to and including the determination
date:
(a)
if the closing price of such Underlying Stock on the determination date is at or
above the initial price of
such Underlying Stock, $166.67; or
(b) if the closing
price of such Underlying Stock on the determination date is below the initial
price of such Underlying Stock, an amount calculated as follows:
| |
$166.67 x
|
FinalPrice |
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| |
InitialPrice |
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If
the closing price of one or more of the Underlying Stocks has fallen below its
knock-in level on any trading day from but not including the pricing date to and
including the determination date and the final price of any such Underlying
Stock is less than its initial price, you will lose some or all of your
principal.
Why
is the interest rate on the Securities higher than the interest rate payable on
your conventional debt securities with the same maturity?
The Securities offer
a higher interest rate than the yield that would be payable on a conventional
debt security with the same maturity issued by us or an issuer with a comparable
credit rating. This is because we are paying you a premium to assume the risk
that at maturity we may deliver cash to you in an amount less than the principal
amount of each Security depending on the performance of the Underlying Stocks.
As explained above under "What
will I receive at maturity of the Securities and how is this amount
calculated?" if the closing price for any Underlying Stock on the
primary U.S. exchange or market for such Underlying Stock has fallen below the
applicable knock-in level on any trading day from but not including the pricing
date to and including the determination date and the closing price of that
Underlying Stock on the determination date is below the initial price, we will
pay you an amount in cash which will be less than the principal amount of the
Securities and could be zero. Therefore your are not guaranteed to receive any
return of principal at maturity.
Yes. The interest
rate is fixed at issue and is payable in cash on each interest payment date,
irrespective of the amount, if any, you receive at maturity.
Will
I get my principal back at maturity?
You are not guaranteed to receive any
return of principal at maturity. If the closing price of one or more of the
Underlying Stocks has fallen below its knock-in level at any time on any trading
day from but not including the pricing date to and including the determination
date and the final price of any such Underlying Stock is less than its initial
price, you will lose some or all of your principal. 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 any cash payment to which you are entitled, to under the terms of the
Securities.
However, if you sell the Securities
prior to maturity, you will receive the market price for the Securities, which
may or may not include 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.
Can
you give me examples of the payment I will receive at maturity depending on the
performance of the Underlying Stocks?
If, for example, in
a hypothetical offering, the interest rate was 10% per annum, the initial price
of one of the Underlying Stocks was $45.00 per share and the knock-in level for
such offering was 80% then the knock-in level would be $36.00 or 80% of the
initial price.
If the Underlying
Stock whose initial price was $45.00 per share were the only one of the
Underlying Stocks whose closing price had fallen below its knock-in level of
$36.00 on any trading day from but not including the pricing date to and
including the determination date, then payment at maturity would depend on the
closing price of that Underlying Stock on the determination date. In this case,
if the closing price of that Underlying Stock on the determination date is
$33.00 per share, which is below the initial
price, your payment at maturity would be calculated as follows:
$166.67 x 5 (the
number of Underlying Stocks which did not fall below their respective knock-in
levels) = $833.35
plus
| $166.67 x |
33.00
|
= $122.22 |
|
45.00 |
Therefore your total
payment at maturity would be $955.57.
If, on the other
hand, the closing price on the determination date of the Underlying Stock that
knocked-in was $50.00 per share, which is above the initial price, you will
receive payment at maturity of $166.67 cash for such Underlying Stock regardless
of the knock-in level having been breeched. In addition, over the life of the
Securities you would have received interest payments at the rate of 10% per
annum.
Alternatively, if
the closing price of each of the Underlying Stocks never falls below its
respective knock-in price on any trading day from but not including the pricing
date to and including the determination date, at maturity you will receive
$1,000.02 in cash for each Security you hold regardless of the closing prices of
the Underlying Stocks on the determination date. In addition, over the life of
the Securities you would have received interest payments of 10% per
annum.
These
examples are for illustrative purposes only. It is not possible to predict the
closing price of any of the Underlying Stocks on the determination date or at
any time during the life of the Securities. For each offering we will set the
initial price and knock-in level on the pricing date.
Do
I benefit from any appreciation in any of the Underlying Stocks over the life of
the Securities?
No. The amount paid
at maturity for each $1,000 principal amount of Securities will not exceed
$1,000.02.
What
if I have more questions?
You should read
“Description of Securities” in the related Pricing Supplement for a detailed
description of the terms of the Securities. ABN AMRO has filed a registration
statement (including a Prospectus and Prospectus Supplement) with the SEC for
the offering to which this communication relates. Before you invest, you should
read the Prospectus and Prospectus Supplement in that registration statement and other
documents ABN AMRO has filed with the SEC for more complete information about
ABN AMRO and the offering of the Securities. You may get these documents for
free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, ABN
AMRO, any underwriter or any dealer participating in the offering will arrange
to send you the Prospectus and Prospectus Supplement if you request it by
calling toll free (888) 644-2048.
You
should carefully consider the risks of the Securities to which this
communication relates and whether these Securities are suited to your particular
circumstances before deciding to purchase them. It is important that prior to
investing in these Securities you read the Pricing Supplement related to such
Securities and the accompanying Prospectus and Prospectus Supplement to
understand the actual terms of and the risks associated with the Securities. In
addition, we urge you to consult with your investment, legal, accounting, tax
and other advisors with respect to any investment in the
Securities.
Credit Risk
The
Securities are issued by ABN AMRO Bank N.V. and guaranteed by ABN AMRO Holding
N.V., ABN AMRO’s parent. As a result, you assume the credit risk of ABN AMRO
Bank N.V. and that of ABN AMRO Holding N.V. in the event that ABN AMRO defaults
on its obligations under the Securities. Any obligations or Securities sold,
offered, or recommended are not deposits on ABN AMRO Bank N.V. and are not
endorsed or guaranteed by any bank or thrift, nor are they insured by the FDIC
or any governmental agency.
Principal Risk
The
Securities are not ordinary debt securities: they are not principal protected.
In addition, if the closing price of any Underlying Stock falls below the
applicable knock-in level on any trading day during the Knock-In Period, you
will be exposed to any decline in the price of the applicable Underlying Stock
below the closing price of such Underlying Stock on the date the Securities were
priced. Accordingly, you may
lose some or all of your
initial investment in the Securities.
Limited Return
The
amount payable under the Securities will never exceed the original principal
amount of the Securities plus the applicable aggregate fixed coupon payment you
earn during the term of the Securities. This means that you will not benefit
from any price appreciation in the Underlying Stocks, nor will you receive
dividends paid on the Underlying Stocks, if any. Accordingly, you will never
receive at maturity an amount greater than a predetermined amount per Security,
regardless of how much the price of the Underlying Stocks increases during the
term of the Securities or on the determination date. The return of a Security
may be significantly less than the return of a direct investment in the
Underlying Stocks to which the Security is linked during the term of the
Security.
The Underlying Stocks May Not Correlate
with Each Other
Since
the Underlying Stocks are from different industry sectors, price movements in
the Underlying Stocks may not correlate with each other. At a time when the
price of one or more of the Underlying Stocks increases, the price of one or
more of the other Underlying Stocks may not increase as much or may decrease.
This increases the risk that one of the Underlying Stocks will breech its
knock-in level and you will lose some or all of your initial principal
investment since a decline in the price of only one Underlying Stock could cause
you to lose a portion of your initial principal investment.
Liquidity Risk
ABN
AMRO does not intend to list the Securities on any securities exchange.
Accordingly, there may be little or no secondary market for the Securities and
information regarding independent market pricing of the Securities may be
limited. The value of the Securities in the secondary market, if any, will be
subject to many unpredictable factors, including then prevailing market
conditions.
It is important to note that many
factors will contribute to the secondary market value of the Securities, and you
may not receive your full principal back if the Securities are sold prior to
maturity. Such factors include, but are not limited to, time to maturity,
the price of the Underlying Stocks, volatility and
interest rates.
In
addition, the price, if any, at which we or another party are willing to
purchase Securities in secondary market transactions will likely be lower than
the issue price, since the issue price included, and secondary market prices are
likely to exclude, commissions, discounts or mark-ups paid with respect to the
Securities, as well as the cost of hedging our obligations under the
Securities.
Tax Risk
Pursuant
to the terms of the knock-in, we and every investor agree to characterize the
Securities as consisting of a Put Option and a Deposit of cash with the issuer.
Under this characterization, a portion of the stated interest payments on each
Security is treated as interest on the Deposit, and the remainder is treated as
attributable to a sale by the investor of the Put Option to ABN AMRO (referred
to as Put Premium). The Put Premium will not be taxable upon
receipt.
Upon
maturity, the investor will recognize short-term capital gain or loss equal to
the amount of cash received at maturity, plus the total Put Premium received
during the term of the Securities, minus the Deposit.
Significant
aspects of the U.S. federal income tax treatment of the Securities are
uncertain, and no assurance can be given that the Internal Revenue Service will
accept, or a court will uphold, the tax treatment described above. This summary
is limited to the federal tax issues addressed herein. Additional issues may
exist that are not addressed in this summary and that could affect the federal
tax treatment of the transaction.
This
tax summary was written in connection with the promotion or marketing by ABN
AMRO Bank N.V. and the placement agent of the Securities, and it cannot be used
by any person for the purpose of avoiding penalties that may be asserted under
the Internal Revenue Code. Taxpayers should seek their own advice based on their
particular circumstances from an independent tax advisor.
On
December 7, 2007, the U.S. Treasury and the Internal Revenue Service released a
notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. While it is not entirely clear
whether the Securities are among the instruments
The
notice indicates that it is possible the IRS may adopt a new position with
respect to how the IRS characterizes income or loss (including, for example,
whether the option premium might be currently included as ordinary income) on
the Securities for U.S. holders of the Securities.
Investors
should consult their own tax advisor regarding the notice and its potential
implications for an investment in the Securities.