Filed
pursuant to Rule 433
October
24,
2008
Relating
to Preliminary Pricing Supplement No.795 to
Registration
Statement Nos.
333-137691,
333-137691-02
Dated
September 29,
2006
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ABN AMRO Bank N.V. Reverse
Exchangeable Securities
S-NOTESSM
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Pricing
Sheet – October 24, 2008
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16.00% (ANNUALIZED) THREE MONTH MICROSOFT
CORPORATION
KNOCK-IN REXSM SECURITIES
DUE JANUARY
29, 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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16.00% (Per Annum), Three Month Reverse Exchangeable
Securities due January 29, 2009 linked to the Underlying Stock
set forth in the table below.
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Interest Payment Dates:
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Interest on the Securities is
payable monthly in arrears on the 29th day of each month starting on
November 29, 2008 and ending on the Maturity
Date
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Underlying
Stock
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Ticker
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Coupon Rate Per annum*
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Interest
Rate
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Put Premium
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Knock-in Level
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CUSIP
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ISIN
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Microsoft
Corporation
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MSFT
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16.00%
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3.42%
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12.58%
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50%
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00083GV92
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US00083GV926
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*This Security has a term of three
months, so you will receive a pro rated
amount of this per annum rate based on such three-month period.
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Denomination/Principal:
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$1,000
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Issue Size:
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USD 700,000
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Issue Price:
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100%
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Payment at Maturity:
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The payment at maturity for each
Security is based on the performance of the Underlying Stock linked to
such Security:
i)
If the closing
price of the Underlying Stock on the primary U.S. exchange or market for such
Underlying Stock has
not fallen below the Knock-In Level on any trading day from
but not including the Pricing Date to and including the Determination
Date, we will pay you the principal
amount of each Security in cash.
ii)
If the closing
price of the Underlying Stock on the primary U.S. exchange or market for such
Underlying Stock has fallen below the Knock-In Level on any trading day from
but not including the Pricing Date to and including the Determination
Date:
a) we will deliver to you a number of
shares of the Underlying Stock equal to the Stock
Redemption Amount,
in the event that the
closing price of the Underlying Stock on the Determination Date is below
the Initial Price;
or
b) We will pay you the principal
amount of each Security in cash, in the event that the
closing price of the
Underlying Stock on the Determination Date is at or above the Initial
Price.
You will receive cash in lieu of
fractional shares.
If due to events
beyond our reasonable control, as determined by us in our sole
discretion,
shares of the
Underlying Stock are
not available for delivery at maturity we may pay you, in lieu of the Stock Redemption
Amount, the cash value of the Stock
Redemption Amount,
determined by
multiplying the Stock Redemption Amount by the Closing Price of the
Underlying Stock on
the Determination Date.
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Initial Price:
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USD 21.96 (100% of the Closing Price per
Underlying Share on the Trade Date)
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Stock Redemption
Amount:
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45.537 shares of the Underlying Stock
per $1,000 principal amount of Securities
(Denomination divided by the
Initial Price)
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Knock-In Level:
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USD 10.98 (50% of the Initial Price)
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Indicative Secondary
Pricing:
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•
Internet at: www.s-notes.com
Bloomberg at: REXS2 <GO>
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Status:
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Unsecured, unsubordinated obligations of the
Issuer
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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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October 24, 2008 subject to certain adjustments as
described in the related pricing supplement
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Settlement Date:
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October 29, 2008
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Determination Date:
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January 26, 2009 subject to certain adjustments as
described in the related pricing supplement
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Maturity Date:
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January 29, 2009 (Three Month)
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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.
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.
**A
credit rating (1) is subject to revision, suspension or withdrawal at any time
by the assigning rating organization, (2) does not take into account
market risk or the performance related risks of investing in the Securities, and
(3) is not a recommendation to buy, sell or hold the Securities.
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 securities issued by us, ABN AMRO Bank
N.V., and are fully and unconditionally guaranteed by our parent company, ABN
AMRO Holding N.V. The Securities are senior notes of ABN AMRO Bank N.V. These
Securities combine certain features of debt and equity by offering a fixed
interest rate on the principal amount while the payment at maturity is
determined based on the performance of the Underlying Stock to which it is
linked.
What
will I receive at maturity of the Securities?
The payment at
maturity of each Security will depend on (i) whether or not the closing price of
the Underlying Stock to which such Security is linked fell below the knock-in
level on any trading day from but not including the pricing date to and
including the determination date (such period, the “Knock-in Period"), and if
so, (ii) the closing price of the applicable Underlying Stock on the
determination date. To determine closing prices, we look at the
prices quoted by the relevant exchange.
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•
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If the closing
price of the applicable Underlying Stock on the relevant exchange has not
fallen below the applicable knock-in level on any trading day during the
Knock-in Period, we will pay you the principal amount of each Security in
cash.
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•
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If the closing
price of the applicable Underlying Stock on the relevant exchange has
fallen below the applicable knock-in level on any trading day during the
Knock-in Period, we will either:
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deliver to you
the applicable stock redemption amount, in exchange for each Security, in
the event that the closing price of the applicable Underlying Stock is
below the applicable initial price on the determination date;
or
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•
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pay you the
principal amount of each Security in cash, in the event that the closing
price of the applicable Underlying Stock is at or above the applicable
initial price on the determination
date.
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If due to events
beyond our reasonable control, as determined by us in our sole discretion,
shares of the Underlying Stock are not available for delivery at maturity we may
pay you, in lieu of the Stock Redemption Amount, the cash value of the Stock
Redemption Amount, determined by multiplying the Stock Redemption Amount by the
Closing Price of the Underlying Stock on the Determination Date.
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 you, the investor in the Securities, indirectly
sell a put option to us on the shares of the applicable Underlying Stock. The
premium due to you for this put option is combined with a market interest rate
on our senior debt to produce the higher interest rate on the
Securities.
What
are the consequences of the indirect put option that I have sold
you?
The put option you
indirectly sell to us creates the feature of exchangeability. If the closing
price of the applicable Underlying Stock on the relevant exchange falls below
the applicable Knock-In Level on any trading day during the Knock-In Period, and
on the Determination Date the closing price of the applicable Underlying Stock
is less than the applicable Initial Price, you will receive the applicable Stock
Redemption Amount. The market
value of the shares of such Underlying Stock at the time you receive those
shares will be less than the principal amount of the Securities and could be
zero. Therefore you are not guaranteed to receive any return of principal at
maturity.
How
is the Stock Redemption Amount determined?
The Stock Redemption
Amount for each $1,000 principal amount of any Security is equal to $1,000
divided by the Initial Price of the Underlying Stock linked to such Security.
The value of any fractional shares of such Underlying Stock that you are
entitled to receive, after aggregating your total holdings of the Securities
linked to such Underlying Stock, will be paid in cash based on the closing price
of such Underlying Stock on the Determination Date.
What
interest payments can I expect on the Securities?
The interest rate is
fixed at issue and is payable in cash on each interest payment date,
irrespective of whether the Securities are redeemed at maturity for cash or
shares.
Can
you give me an example of the payment at maturity?
If, for example, in
a hypothetical offering, the interest rate was 10% per annum, the initial price
of a share of underlying stock was $45.00 and the knock-in level for such
offering was 80%, then the stock redemption amount would be 22.222 shares of
underlying stock, or $1,000 divided by $45.00, and the knock-in level would be
$36.00, or 80% of the initial price.
If the closing price
of that hypothetical underlying stock fell below the knock-in level of $36.00 on
any trading day during the Knock-in Period, then the payment at maturity would
depend on the closing price of the underlying stock on the determination date.
In this case, if the closing price of the underlying stock on the determination
date is $30.00 per share at maturity, which is below the initial price level,
you would receive 22.222 shares of underlying stock for each $1,000 principal
amount of the securities. (In actuality, because we cannot deliver fractions of
a share, you would receive on the maturity date for each $1,000 principal amount
of the securities 22 shares of underlying stock plus $6.66 cash in lieu of
0.222
fractional shares, determined by multiplying 0.222 by $30.00, the
closing price per shares of underlying stock on the determination date.) In
addition, over the life of the securities you would have received interest
payments at a rate of 10% per annum. In this hypothetical example, the
market value of those 22 shares of underlying stock (including the cash paid in
lieu of fractional shares) that we would deliver to you at maturity for each
$1,000 principal amount of security would be $666.66, which is less than the
principal amount of $1,000, and you would have lost a portion of your initial
investment. If, on the other hand, the closing price of the
underlying stock on the determination date is $50.00 per share, which is above
the initial price level, you will receive $1,000 in cash for each $1,000
principal amount of the securities regardless of the knock-in level having been
breached. In addition, over the life of the Securities you would have received
interest payments at a rate of 10% per annum.
Alternatively, if
the closing price of the underlying stock never falls below $36.00, which is the
knock-in level, on any trading day during the Knock-in Period, at maturity you will
receive $1,000 in cash for each security you hold regardless of the closing
price of the underlying stock on the determination date. In addition, over the
life of the securities you would have received interest payments at a rate of
10% per annum.
This example is for illustrative
purposes only and is based on a hypothetical offering. 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, Knock-In Level and Stock
Redemption Amount on the Pricing Date.
Do
I benefit from any appreciation in the Underlying Stock over the life of the
Securities?
No. The amount paid
at maturity for each $1,000 principal amount of the Securities will not exceed
$1,000.
What
if I have more questions?
You should read the
“Description of Securities” in the related Pricing Supplement for a detailed
description of the terms of the Securities. ABN AMRO has filed a
registration statement (including a Prospectus and Prospectus Supplement) with
the SEC for the offering to which this communication relates. Before you invest,
you should read the Prospectus and Prospectus Supplement in that registration
statement and other documents ABN AMRO has filed with the SEC for more complete
information about ABN AMRO and the offering of the Securities. You
may get these documents for free by visiting EDGAR on the SEC web site at
www.sec.gov. Alternatively, ABN AMRO, any underwriter or any dealer
participating in the offering will arrange to send you the Prospectus and
Prospectus Supplement if you request it by calling toll free (888)
644-2048.
RISK
FACTORS
Investors
should carefully consider the risks of the Securities to which this
communication relates and whether these Securities are suited to their
particular circumstances before deciding to purchase them. It is
important that prior to investing in these Securities investors read the Pricing
Supplement related to such Securities and the accompanying Prospectus and
Prospectus Supplement to understand the actual terms of and the risks associated
with the Securities. In addition, we urge investors to consult with
their investment, legal, accounting, tax and other advisors with respect to any
investment in the Securities.
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, investors assume the credit risk of ABN
AMRO Bank N.V. and that of ABN AMRO Holding
N.V. in the event that ABN AMRO 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 the applicable Underlying Stock falls below
the applicable Knock-In Level on any trading day during the
Knock-In Period, investors in the Securities 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, investors may lose
some or all of their 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 investors earn during the term of the
Securities. This means that investors will not
benefit from any price
appreciation in the applicable Underlying Stock, nor will they receive dividends paid on
the applicable Underlying Stock, if any. Accordingly, investors will never receive at maturity
an amount greater than a predetermined amount per Security, regardless of how much the price of the
applicable Underlying Stock 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
Stock to which the Security
is linked during the term of the Security.
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 investors may not
receive their full principal back if the Securities are sold prior to
maturity. Such factors include, but are not limited to, time to maturity, the price of the applicable Underlying Stock, 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 Reverse Exchangeable Securities, 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). Receipt of the Put Premium will not be
taxable upon receipt.
If the Put Option expires
unexercised (i.e., a cash payment of the principal amount
of the Securities is made to the investor at maturity), the investor will recognize
short-term capital gain equal to the total Put
Premium received. If the Put Option is exercised
(i.e., the final payment on the Securities is paid in the
applicable Underlying Stock), the investor will not recognize any gain
or loss in respect of the Put Option, but the investor’s tax basis in the applicable Underlying
Stock received will be reduced by the Put Premium received.
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
Knock-in Reverse Exchangeable
Securities, and it cannot be used by any investor
for the purpose of avoiding penalties that may be asserted against the investor
under the Internal Revenue
Code.
Investors 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 described in the notice, it is possible that any Treasury
regulations or other guidance issued after consideration of the issues
raised in the notice could materially and adversely affect the tax consequences
of ownership and disposition of the Securities, possibly on a retroactive
basis.
The notice indicates that it is possible
the IRS may adopt a new
position with respect to how the IRS characterizes income or loss (including, for example, whether the option premium might be
currently included as ordinary income) on the Securities for U.S. holders of the Securities.
You should consult your tax advisor regarding the notice and its
potential implications for an investment in the Securities.
Reverse Exchangeable is a Service Mark
of ABN AMRO Bank N.V.