CALCULATION OF REGISTRATION FEE
Amount of
Maximum Aggregate Registration
Title of Each Class of Securities Offered Offering Price Fee(1)
AMR Corporation Knock-In Securities $2,614,000 $145.86
(1) Pursuant to Rule 457(p) under the Securities Act of 1933, filing fees
of $94,671.00 have already been paid with respect to unsold securities that were
previously registered pursuant to a Registration Statement on Form F-3 (No.
333-137691) of ABN AMRO Bank N.V. (the "Prior Registration Statement"), which
was initially filed on September 29, 2006 and have been carried forward. On
January 23, 2009 an additional filing fee of $10,000 was paid. The $145.86 fee
with respect to the $2,614,000 Knock-In Reverse Exchangeable Securities linked
to the common stock of AMR Corporation due June 18, 2010 sold pursuant
to this registration statement is offset against those filing fees, and
$3,917.91 remains available for future registration fees. No additional fee
has been paid with respect to this offering.
Pricing Supplement Pricing Supplement No. 036 to
(To Product Supplement No. 1-I Registration Statement Nos. 333-162193
Dated September 29, 2009, and 333-162193-01
Prospectus Supplement Dated Dated December 15, 2009
September 29, 2009 Rule 424(b)(2)
and Prospectus Dated September 29, 2009)
------------------------------------------------------------------------------------------------------------------------
ABN AMRO BANK N.V. REVERSE EXCHANGEABLE SECURITIES
fully and unconditionally guaranteed by ABN AMRO Holding N.V.
------------------------------------------------------------------------------------------------------------------------
ISSUER: ABN AMRO Bank N.V. PRICING DATE: December 15, 2009
------------------------------------------------------------------------------------------------------------------------
LEAD AGENT: RBS Securities Inc. SETTLEMENT DATE: December 18, 2009
------------------------------------------------------------------------------------------------------------------------
OFFERING PERIOD: December 9, 2009 - December 15, 2009 DETERMINATION DATE: June 15, 2010(1)
------------------------------------------------------------------------------------------------------------------------
ISSUE PRICE: 100% MATURITY DATE: June 18, 2010
------------------------------------------------------------------------------------------------------------------------
(1) Subject to certain adjustments as described in the accompanying Product Supplement
------------------------------------------------------------------------------------------------------------------------
UNDERLYING SHARES TICKER PRINCIPAL ANNUALIZED ANNUALIZED ANNUALIZED KNOCK-IN CUSIP
AMOUNT COUPON INTEREST RATE PUT PREMIUM LEVEL
RATE(2)
------------------------------------------------------------------------------------------------------------------------
AMR Corporation AMR $2,614,000 18.50% 0.37% 18.13% 70% 00083JNE4
------------------------------------------------------------------------------------------------------------------------
(2) The Securities have a term of six months, so you will receive a pro rated amount of this per annum rate based on
such six-month period.
------------------------------------------------------------------------------------------------------------------------
OFFERINGS: 18.50% (Per Annum), Six Month Knock-in Reverse Exchangeable Securities due June 18, 2010 linked
to the Underlying Shares set forth in the table above.
------------------------------------------------------------------------------------------------------------------------
COUPON PAYMENT DATES: Coupons on the Securities are payable monthly in arrears on the 18th day of each month starting
on January 18, 2010 and ending on the maturity date.
------------------------------------------------------------------------------------------------------------------------
INITIAL PRICE: 100% of the closing price of the applicable Underlying Shares on the Pricing Date, subject to
adjustment as described in the accompanying Product Supplement.
------------------------------------------------------------------------------------------------------------------------
KNOCK-IN LEVEL: A percentage of the applicable initial price, as set forth in the table above.
------------------------------------------------------------------------------------------------------------------------
REDEMPTION AMOUNT: For each $1,000 face amount of Security, a number of the applicable Underlying Shares linked to
such Security equal to $1,000 divided by the applicable initial price.
------------------------------------------------------------------------------------------------------------------------
UNDERLYING SHARES INITIAL KNOCK-IN PRICE REDEMPTION AMOUNT AGGREGATE AGENT'S AGGREGATE
PRICE COMMISSION(3) PROCEEDS TO ISSUER
------------------------------------------------------------------------------------------------------------------------
AMR Corporation $7.59 $5.31 131.752 $163,375 $2,450,625
------------------------------------------------------------------------------------------------------------------------
(3) For all offerings, the agent will receive a commission of 6.25%. For additional information see "Plan of
Distribution (Conflicts of Interest)" in this Pricing Supplement
------------------------------------------------------------------------------------------------------------------------
PAYMENT AT MATURITY: The payment at maturity for each Security is based on the performance of the applicable
Underlying Shares linked to such Security:
(i) If the closing price of the applicable Underlying Shares 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, we will pay you the face amount of each Security in cash.
(ii) If the closing price of the applicable Underlying Shares 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:
(a) we will deliver to you a number of the applicable Underlying Shares equal to the
applicable redemption amount, in the event that the closing price of the applicable
Underlying Shares on the determination date is below the applicable initial price; or
(b) we will pay you the face amount of each Security in cash, in the event that the
closing price of the applicable Underlying Shares on the determination date is at or
above the applicable 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, the applicable Underlying Shares are not
available for delivery at maturity we may pay you, in lieu of the applicable redemption amount,
the cash value of the applicable redemption amount, determined by multiplying the applicable
redemption amount by the closing price of the applicable Underlying Shares on the determination
date.
Any payment at maturity is subject to the creditworthiness of ABN AMRO Bank N.V. and ABN AMRO
Holding N.V., as guarantor.
------------------------------------------------------------------------------------------------------------------------
TRUSTEE: Wilmington Trust Company SECURITIES ADMINISTRATOR: Citibank, N.A.
------------------------------------------------------------------------------------------------------------------------
DENOMINATION: $1,000 SETTLEMENT: DTC, Book Entry, Transferable
------------------------------------------------------------------------------------------------------------------------
STATUS: Unsecured, unsubordinated obligations of the Issuer and fully and unconditionally guaranteed by
the Issuer's parent company, ABN AMRO Holding N.V.
------------------------------------------------------------------------------------------------------------------------
SELLING RESTRICTION: Sales in the European Union must comply with the Prospectus Directive
------------------------------------------------------------------------------------------------------------------------
The Securities are not bank deposits and are not insured or guaranteed by the
Federal Deposit Insurance Corporation, the Deposit Insurance Fund or any other
governmental agency, nor are they obligations of, or guaranteed, by a bank.
INVESTING IN THE SECURITIES INVOLVES A NUMBER OF RISKS. SEE "RISK FACTORS"
BEGINNING ON PAGE PS-9 OF THE ACCOMPANYING PRODUCT SUPPLEMENT NO. 1-I AND "RISK
FACTORS" BEGINNING ON PAGE 8 OF THIS PRICING SUPPLEMENT.
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 Product Supplement, Prospectus Supplement or
Prospectus are 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 face amount of the Securities being offered by this Pricing
Supplement is not purchased by investors in the offering, one or more of our
affiliates may agree to purchase a part of the unsold portion, which may
constitute up to 15% of the total aggregate face amount of the Securities, 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 (Conflicts of Interest)" in this Pricing Supplement.
This Pricing Supplement and the accompanying Product Supplement, 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
WHERE YOU CAN FIND MORE INFORMATION
ABN AMRO BANK N.V., or ABN AMRO, has filed a registration statement (including
a Prospectus and Prospectus Supplement) with the Securities and Exchange
Commission, or SEC, for the offering to which this Pricing Supplement relates.
Before you invest, you should read the Prospectus and Prospectus Supplement in
that registration statement and other documents, including the applicable
Product Supplement, related to this offering that 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 without cost by visiting EDGAR on the SEC website
at www.sec.gov. Alternatively, ABN AMRO, any underwriter or any dealer
participating in the offering will arrange to send you the Prospectus,
Prospectus Supplement and Product Supplement No. 1-I if you request by calling
toll free (866) 747-4332.
You should read this Pricing Supplement together with the Prospectus dated
September 29, 2009, as supplemented by the Prospectus Supplement dated
September 29, 2009 relating to our ABN NotesSM of which these Securities are a
part, and the more detailed information contained in Product Supplement No. 1-I
dated September 29, 2009. THIS PRICING SUPPLEMENT, TOGETHER WITH THE DOCUMENTS
LISTED BELOW, CONTAINS THE TERMS OF THE SECURITIES AND SUPERSEDES ALL OTHER
PRIOR OR CONTEMPORANEOUS ORAL STATEMENTS AS WELL AS ANY OTHER WRITTEN MATERIALS
INCLUDING PRELIMINARY OR INDICATIVE PRICING TERMS, CORRESPONDENCE, TRADE IDEAS,
STRUCTURES FOR IMPLEMENTATION, SAMPLE STRUCTURES, FACT SHEETS, BROCHURES OR
OTHER EDUCATIONAL MATERIALS OF OURS. You should carefully consider, among other
things, the matters set forth in "Risk Factors" in the accompanying Product
Supplement No. 1-I, as the Securities involve risks not associated with
conventional debt securities. We urge you to consult your investment, legal,
tax, accounting and other advisors before you invest in the Securities.
You may access these documents on the SEC website at www.sec.gov as follows (or
if such address has changed, by reviewing our filings for the relevant date on
the SEC website):
o Product Supplement No. 1-I dated September 29, 2009:
http://www.sec.gov/Archives/edgar/data/897878/000095010309002437/crt_productsupp.pdf
o Prospectus Supplement dated September 29, 2009:
http://www.sec.gov/Archives/edgar/data/897878/000095010309002432/crt_prosupp2009.pdf
o Prospectus dated September 29, 2009:
http://www.sec.gov/Archives/edgar/data/897878/000095010309002429/crt_basepro.pdf
Our Central Index Key, or CIK, on the SEC website is 897878. As used in this
Pricing Supplement, the "Company," "we," "us" or "our" refers to ABN AMRO Bank
N.V.
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 OF CUBA, SUDAN, IRAN OR MYANMAR; OR (IV) TO CUBAN
NATIONALS, WHEREVER LOCATED.
We reserve the right to withdraw, cancel or modify any offering of the
Securities and to reject orders in whole or in part prior to their issuance
2
SUMMARY
THIS PRICING SUPPLEMENT RELATES TO ONE OFFERING OF SECURITIES. THE
PURCHASER OF ANY OFFERING WILL ACQUIRE A SECURITY LINKED TO THE UNDERLYING
SHARES.
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 PRODUCT SUPPLEMENT NO. 1-I AND IN THE
ACCOMPANYING PROSPECTUS AND PROSPECTUS SUPPLEMENT. YOU SHOULD CAREFULLY
CONSIDER, AMONG OTHER THINGS, THE MATTERS SET FORTH IN "RISK FACTORS" IN THE
PRODUCT SUPPLEMENT NO. 1-I, WHICH ARE SUMMARIZED ON PAGE 8 OF THIS PRICING
SUPPLEMENT. 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 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 will pay periodic cash payments
at a fixed rate. We refer to the payments as the coupon or coupon payments and
the fixed rate as the coupon rate. The Securities are senior notes of ABN AMRO
Bank N.V. These Securities combine certain features of debt and equity by
offering a fixed coupon rate on the face amount while the payment at maturity
is determined based on the performance of the common stock, which we refer to
as the Underlying Shares of an Underlying Company. Therefore your principal is
at risk but you have no opportunity to participate in any appreciation of the
Underlying Shares.
Any payment on the Securities is subject to the creditworthiness of ABN
AMRO Bank N.V. and ABN AMRO Holding N.V. as guarantor
WHAT WILL I RECEIVE AT MATURITY OF THE SECURITIES?
The payment at maturity of the Securities will depend on (i) whether or
not the closing price of the Underlying Shares fell below the knock-in level on
any trading day during the knock-in period, and if so, (ii) the closing price
of the Underlying Shares on the determination date. Except in certain
circumstances described under "Description of Securities -- Closing Price" in
the accompanying Product Supplement, we will usually determine the closing
price for any listed Underlying Shares by reference to the last reported sale
price, during regular trading hours (or if listed on The NASDAQ Stock Market
LLC, the official closing price), on the primary U.S. securities exchange on
which the Underlying Shares are traded.
o If the closing price per Underlying Share has not fallen below the
knock-in level on any trading day during the knock-in period, we will
pay you the face amount of each Security in cash.
o If the closing price per Underlying Share has fallen below the
knock-in level on any trading day during the knock-in period, we will
either:
o deliver to you the redemption amount, in exchange for each
Security, in the event that the closing price of the Underlying
Shares on the determination date is below the closing price on
the pricing date (subject to adjustment), which we refer to as
the initial price (the market value of the redemption amount on
the determination date will always be less than the face amount
of $1,000 per Security); or
o pay you the face amount of each Security in cash, in the event
that the closing price of the Underlying Shares is at or above
the initial price on the determination date.
If due to events beyond our reasonable control, as determined by us in our
sole discretion, Underlying Shares are not available for delivery at maturity
we may pay you, in lieu of the redemption amount, the cash value of the
redemption amount, determined by multiplying the redemption amount by the
closing price of the Underlying Shares on the determination date.
3
The "redemption amount" is equal to $1,000 divided by the initial price of
the Underlying Shares. The initial price and consequently the redemption amount
may be adjusted for certain corporate events, such as a stock split, affecting
the Underlying Company.
The payment at maturity is further subject to adjustment in certain
circumstances, such as a stock split or merger, which we describe in
"Description of Securities -- Adjustment Events" in the accompanying Product
Supplement No. 1-I.
Any payment at maturity is subject to the creditworthiness of ABN AMRO
Bank N.V. and ABN AMRO Holding N.V., as guarantor.
WHY IS THE COUPON RATE ON THE SECURITIES HIGHER THAN THE INTEREST RATE PAYABLE
ON YOUR CONVENTIONAL DEBT SECURITIES WITH THE SAME MATURITY?
The Securities offer a higher coupon 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 because you, the investor in the
Securities, indirectly sell a put option to us on the Underlying Shares. The
premium due to you for this put option is combined with a market interest rate
on our senior debt to produce the higher coupon rate on the Securities. As
explained below under "What are the consequences of the indirect put option
that I have sold you?" you are being paid the premium for taking the risk that
you may receive Underlying Shares with a market value less than the face amount
of your Securities at maturity, which would mean that you would lose some or
all of your initial principal investment.
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. This feature could result in the delivery of Underlying Shares
to you, at maturity, with a market value which is less than the face amount of
$1,000 per Security. If the closing price of the Underlying Shares falls below
the knock-in level on any trading day during the knock-in period, and on the
determination date the closing price of the Underlying Shares is less than the
initial price, you will receive the redemption amount. The market value of the
Underlying Shares on the determination date will be less than the face amount
of the Securities and could be zero. Therefore you are not guaranteed to
receive any return of principal at maturity. If the price of the Underlying
Shares rises above the initial price you will not participate in any
appreciation in the price of the Underlying Shares.
HOW IS THE REDEMPTION AMOUNT DETERMINED?
The redemption amount for each $1,000 face amount of any Security is equal
to $1,000 divided by the initial price of the Underlying Shares linked to such
Security. The value of any fractional shares of the Underlying Shares that you
are entitled to receive, after aggregating your total holdings of the
Securities linked to the Underlying Shares, will be paid in cash based on the
closing price of the Underlying Shares on the determination date.
DO I GET ALL MY PRINCIPAL BACK AT MATURITY?
You are not guaranteed to receive any return of principal at maturity. If
the closing price of Underlying Shares falls below the knock-in level on any
trading day during the knock-in period, and the closing price of the Underlying
Shares is below the initial price on the determination date, we will deliver to
you Underlying Shares. The market value of the Underlying Shares on the
determination date will be less than the face amount of the Securities and
could be zero. ACCORDINGLY, YOU MAY LOSE SOME OR ALL OF YOUR INITIAL PRINCIPAL
INVESTMENT IN THE SECURITIES.
WHAT COUPON PAYMENTS CAN I EXPECT ON THE SECURITIES?
The coupon rate is fixed at issue and is payable in cash on each coupon
payment date, irrespective of whether the Securities are redeemed at maturity
for cash or shares.
4
Any coupon payment is subject to the creditworthiness of ABN AMRO Bank
N.V. and ABN AMRO Holding N.V. as guarantor.
CAN YOU GIVE ME AN EXAMPLE OF THE PAYMENT AT MATURITY?
If, for example, in a hypothetical offering, the coupon rate was 10% per
annum, the initial price of the Underlying Shares was $45.00 per share and the
knock-in level for such offering was 80%, then the redemption amount would be
22.222 Underlying Shares, 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 the hypothetical Underlying Shares 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
Shares on the determination date. In this case, if the closing price of the
Underlying Shares on the determination date is $30.00 per share, which is below
the initial price, you would receive 22.222 Underlying Shares for each $1,000
face 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
face amount of the Securities, 22 Underlying Shares plus $6.66 cash in lieu of
0.222 fractional shares, determined by multiplying 0.222 by $30.00, the closing
price of the Underlying Shares on the determination date.) In addition, over
the term of the Securities you would have received coupon payments at a rate of
10% per annum. IN THIS HYPOTHETICAL EXAMPLE, THE MARKET VALUE OF THOSE 22
UNDERLYING SHARES (INCLUDING THE CASH PAID IN LIEU OF FRACTIONAL SHARES) THAT
WE WOULD DELIVER TO YOU AT MATURITY FOR EACH $1,000 FACE AMOUNT OF SECURITY
WOULD BE $666.66, WHICH IS LESS THAN THE FACE 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 Shares on the determination date is $50.00 per
share, which is above the initial price, you will receive $1,000 in cash for
each $1,000 face amount of the Securities regardless of the knock-in level
having been breached. In addition, over the term of the Securities you would
have received coupon payments at a rate of 10% per annum.
Alternatively, if the closing price of the Underlying Shares 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 Shares on the
determination date. In addition, over the term of the Securities you would have
received coupon 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 THE
UNDERLYING SHARES ON THE DETERMINATION DATE OR AT ANY TIME DURING THE TERM OF
THE SECURITIES. For each offering, we will set the initial price, knock-in
level and redemption amount on the Pricing Date.
In this Pricing Supplement, we have also provided under the heading
"Hypothetical Sensitivity Analysis of Total Return of the Securities at
Maturity" the total return of owning the Securities through maturity for
various closing prices of the Underlying Shares on the determination date.
DO I BENEFIT FROM ANY APPRECIATION IN THE UNDERLYING SHARES OVER THE TERM OF
THE SECURITIES?
No. The amount paid at maturity for each $1,000 face amount of the
Securities will never exceed $1,000.
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
5
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 of the transactions. The fact that the
issue price of the Securities includes these commissions and hedging costs is
expected to adversely affect the secondary market prices of the Securities. See
"Risk Factors -- The Inclusion of Commissions and Cost of Hedging in the Issue
Price is Likely to Adversely Affect Secondary Market Prices" and "Use of
Proceeds" in the accompanying Product Supplement No. 1-I.
WHAT IS THE RELATIONSHIP BETWEEN ABN AMRO BANK N.V., ABN AMRO HOLDING N.V. AND
RBS SECURITIES INC.?
RBS Securities Inc., which we refer to as RBSSI, is an affiliate of ABN
AMRO Bank N.V. and ABN AMRO Holding N.V. RBSSI will act as calculation agent
for the Securities, and is acting as agent for this offering. RBSSI will
conduct this offering in compliance with the requirements of NASD Rule 2720 of
the Financial Industry Regulatory Authority, which is commonly referred to as
FINRA, regarding a FINRA member firm's distribution of the securities of an
affiliate. See "Risk Factors -- Potential Conflicts of Interest between Holders
of Securities and the Calculation Agent" and "Plan of Distribution (Conflicts
of Interest)" in the accompanying Product Supplement No. 1-I.
WHERE CAN I FIND OUT MORE ABOUT THE UNDERLYING COMPANY?
Because the Underlying Shares are registered under the Securities Exchange
Act of 1934, as amended, the Underlying Company is required to file
periodically certain financial and other information specified by the
Commission which is available to the public. You should read "Public
Information Regarding the Underlying Shares" in this Pricing Supplement to
learn how to obtain public information regarding the Underlying Shares and
other important information. The historical highest intra-day price, lowest
intra-day price and last day closing price of the Underlying Shares are set
forth under the heading "Public Information Regarding the Underlying Shares" in
this Pricing Supplement.
WHAT IF I HAVE MORE QUESTIONS?
You should read "Description of Securities" in the accompanying Product
Supplement No. 1-I 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 (866) 747-4332.
6
RECENT DEVELOPMENTS
As described under the heading "Tell me more about ABN AMRO Bank N.V. and
ABN AMRO Holding N.V." in the accompanying Product Supplement No. 1-I, on
October 17, 2007, RFS Holdings B.V., which at the time was owned by a
consortium consisting of the Royal Bank of Scotland Group plc ("RBS"), Fortis
N.V., Fortis SA/NV and Banco Santander S.A., completed the acquisition of
Holding, the parent of ABN AMRO Bank N.V. Subsequent to the events described
therein the following has occurred:
On November 3, 2009 RBS announced that UK Financial Investments Limited
("UKFI"), which is wholly owned by the UK government, agreed to subscribe for
additional B Shares of RBS raising UKFI's economic interest in RBS to 84.4%
while UKFI's ordinary shareholdings of RBS remain at 70.3%. While B Shares are
convertible into ordinary shares, UKFI has maintained its agreement not to
convert its B Shares into ordinary shares to the extent its holding of ordinary
shares would represent 75% or more of RBS's issued ordinary share capital.
Issuance of the B Shares is subject to formal approval by the European
Commission, the shareholders of RBS and other regulatory approvals.
For further information about RBS see "Tell me more about ABN AMRO Bank
N.V. and ABN AMRO Holding N.V." in the accompanying Product Supplement No. 1-I.
7
RISK FACTORS
YOU SHOULD CAREFULLY CONSIDER THE RISKS OF THE SECURITIES TO WHICH THIS
PRICING SUPPLEMENT 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 PRODUCT SUPPLEMENT NO. 1-I
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 and guaranteed by ABN AMRO Holding
N.V., ABN AMRO's parent company. As a result, investors in the Securities
assume the credit risk of ABN AMRO 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 of ABN
AMRO 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 Underlying Shares falls
below the 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
Underlying Shares below the closing price of the Underlying Shares on the date
the Securities were priced. ACCORDINGLY, YOU MAY LOSE SOME OR ALL OF YOUR
INITIAL PRINCIPAL INVESTMENT IN THE SECURITIES.
LIMITED RETURN
The amount payable under the Securities will never exceed the original
face amount of the Securities plus the applicable aggregate fixed coupon
payment investors earn during the term of the Securities. This means that you
will not benefit from any price appreciation in the Underlying Shares, nor will
you receive dividends paid on the Underlying Shares, 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 Shares may
increase during the term of the Securities or on the determination date. The
return on a Security may be significantly less than the return on a direct
investment in the Underlying Shares to which the Security is linked during the
term of the Security.
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 of the Securities may be very limited or
non-existent. 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 Shares,
volatility and interest rates.
In addition, the price, if any, at which our affiliate 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.
8
HOLDINGS OF THE SECURITIES BY OUR AFFILIATES AND FUTURE SALES
Certain of our affiliates may agree to purchase for investment the portion
of the Securities that has not been purchased by investors in a particular
offering of Securities, which initially they intend to hold for investment
purposes. As a result, upon completion of such an offering, our affiliates may
own up to 15% of the aggregate face amount of the 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. In addition, our affiliates could
have substantial influence over any matter subject to consent of the security
holders.
POTENTIAL CONFLICTS OF INTEREST
We and our affiliates play a variety of roles in connection with the
issuance of the Securities, including acting as calculation agent. In
performing these duties, the economic interests of the calculation agent and
other affiliates of ours are potentially adverse to your interests as an
investor in the Securities. We and our affiliates may carry out hedging
activities that minimize our risks related to the Securities, including trading
in the Underlying Shares. In particular, on or prior to the date of this
Pricing Supplement, we, through our affiliates, may have hedged our anticipated
exposure in connection with the Securities by taking positions in the
Underlying Shares, options contracts on Underlying Shares listed on major
securities markets, and/or other instruments that we deemed appropriate in
connection with such hedging. Our purchase activity, however, could potentially
have increased the initial price of the Underlying Shares, and therefore
increased the knock-in level, below which we would be required to deliver to
you at maturity Underlying Shares, which, in turn, would have a value less than
the face amount of your Securities.
NO AFFILIATION WITH THE UNDERLYING COMPANY
The Underlying Company is not an affiliate of ours and is not involved
with this offering in any way. The obligations represented by the Securities
are our obligations, not those of the Underlying Company. Investing in the
Securities is not equivalent to investing in the Underlying Shares. NEITHER WE
NOR HOLDING NOR ANY OF OUR AFFILIATES HAVE ANY AFFILIATION WITH THE UNDERLYING
COMPANY, AND ARE NOT RESPONSIBLE FOR THE UNDERLYING COMPANY'S PUBLIC DISCLOSURE
OF INFORMATION, WHETHER CONTAINED IN SEC FILINGS OR OTHERWISE.
UNCERTAIN TAX TREATMENT
You should review carefully the section of the accompanying Product
Supplement entitled "U.S. Federal Income Tax Consequences." Although the tax
consequences of an investment in the Securities are unclear, we believe that it
is reasonable to treat a Security for U.S. federal income tax purposes as a put
option (the "PUT OPTION"), written by you to us with respect to the Underlying
Shares, secured by a cash deposit equal to the face amount of the Security (the
"DEPOSIT"). Under this treatment, less than the full amount of each coupon
payment will be attributable to the interest on the Deposit, and the excess of
each coupon payment over the portion of the coupon payment attributable to the
interest on the Deposit will represent a portion of the option premium
attributable to your grant of the Put Option (the "PUT PREMIUM," and
collectively for all coupon payments received, "PUT PREMIUMS"). Interest on the
Deposit generally will be treated as ordinary income on indebtedness while the
Put Premium will not be taken into account prior to sale, exchange or maturity
of the Securities. The cover of this Pricing Supplement reflects our
preliminary determination of the rate of interest paid on the Deposit and the
amount of the Put Premiums.
Due to the absence of authorities that directly address instruments that
are similar to the Securities, significant aspects of the U.S. federal income
tax consequences of an investment in the Securities are uncertain. We do not
plan to request a ruling from the Internal Revenue Service (the "IRS"), and the
IRS or a court might not agree with the tax treatment described in this Pricing
Supplement and the
9
accompanying Product Supplement. If the IRS were successful in asserting an
alternative treatment for the Securities, the tax consequences of the ownership
and disposition of the Securities could be affected materially and adversely.
In December 2007, the Treasury and the IRS released a notice requesting
comments on various issues regarding the U.S. federal income tax treatment of
"prepaid forward contracts" and similar instruments. While it is not clear
whether the Securities would be viewed as similar to the typical prepaid
forward contract described in the notice, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the Securities,
possibly with retroactive effect.
BOTH U.S. AND NON-U.S. HOLDERS SHOULD CONSULT THEIR TAX ADVISERS REGARDING
ALL ASPECTS OF THE U.S. FEDERAL TAX CONSEQUENCES OF INVESTING IN THE SECURITIES
(INCLUDING POSSIBLE ALTERNATIVE TREATMENTS AND THE ISSUES PRESENTED BY THE
DECEMBER 2007 NOTICE), AS WELL AS ANY TAX CONSEQUENCES ARISING UNDER THE LAWS
OF ANY STATE, LOCAL OR NON-U.S. TAXING JURISDICTION.
Reverse Exchangeable is a Service Mark of ABN AMRO Bank N.V.
10
HYPOTHETICAL SENSITIVITY ANALYSIS OF TOTAL RETURN
OF THE SECURITIES AT MATURITY
The following tables set out the total return to maturity of a Security,
based on the assumptions outlined below and several variables, which include
(a) whether the closing price of the Underlying Shares has fallen below the
knock-in level on any trading day during the knock-in period and (b) several
hypothetical closing prices for the Underlying Shares on the determination
date. The information in the tables is based on hypothetical market values for
the Underlying Shares. We cannot predict the market price or the closing price
of the Underlying Shares on the determination date or at any time during the
term of the Securities. THE ASSUMPTIONS EXPRESSED BELOW ARE FOR ILLUSTRATIVE
PURPOSES ONLY AND THE RETURNS SET FORTH IN THE TABLE MAY OR MAY NOT BE THE
ACTUAL RATES APPLICABLE TO A PURCHASER OF THE SECURITIES.
ASSUMPTIONS
-------------------------------------------------------------------------------
INITIAL PRICE: $7.59
-------------------------------------------------------------------------------
KNOCK-IN LEVEL: $5.31 (70% of the initial price)
-------------------------------------------------------------------------------
ANNUAL COUPON ON THE SECURITIES: 18.50%
-------------------------------------------------------------------------------
TERM OF THE SECURITIES: 6 months
-------------------------------------------------------------------------------
EXCHANGE FACTOR: 1.0 (we have assumed that no Market
Disruption Event occurs and the
Calculation Agent does not need to
adjust the Exchange Factor for any
adjustment event during the term of
the Securities).
-------------------------------------------------------------------------------
PAYMENT AT MATURITY IF THE CLOSING PRICE OF THE UNDERLYING SHARES FALLS BELOW
THE KNOCK-IN LEVEL ON ANY TRADING DAY DURING THE KNOCK-IN PERIOD:
-------------------------------------------------------------------------------
ASSUMED
UNDERLYING SHARES VALUE OF SIX MONTHLY TOTAL RETURN(b)
CLOSING PRICE ON PAYMENT AT COUPON -----------------------
DETERMINATION DATE MATURITY(a) PAYMENTS(c) $ %
-------------------------------------------------------------------------------
$7.59 or above $1,000.00 $92.50 $1,092.50 9.25%
$7.40 $ 974.96 $92.50 $1,067.46 6.75%
$7.06 $ 930.17 $92.50 $1,022.67 2.27%
$6.91 $ 910.41 $92.50 $1,002.91 0.29%
$6.22 $ 819.50 $92.50 $ 912.00 -8.80%
$5.47 $ 720.68 $92.50 $ 813.18 -18.68%
$4.38 $ 577.07 $92.50 $ 669.57 -33.04%
$3.07 $ 404.48 $92.50 $ 496.98 -50.30%
$1.54 $ 202.90 $92.50 $ 295.40 -70.46%
$0.77 $ 101.45 $92.50 $ 193.95 -80.61%
$0.00 $ 0.00 $92.50 $ 92.50 -90.75%
-------------------------------------------------------------------------------
PAYMENT AT MATURITY IF THE CLOSING PRICE OF THE UNDERLYING SHARES NEVER FALLS
BELOW THE KNOCK-IN LEVEL ON ANY TRADING DAY DURING THE KNOCK-IN PERIOD:
-------------------------------------------------------------------------------
ASSUMED
UNDERLYING SHARES VALUE OF SIX MONTHLY TOTAL RETURN(b)
CLOSING PRICE ON PAYMENT AT COUPON -----------------------
DETERMINATION DATE MATURITY(d) PAYMENTS(c) $ %
-------------------------------------------------------------------------------
$7.59 or above $1,000.00 $92.50 $1,092.50 9.25%
$6.83 $1,000.00 $92.50 $1,092.50 9.25%
$6.49 $1,000.00 $92.50 $1,092.50 9.25%
$5.31 $1,000.00 $92.50 $1,092.50 9.25%
-------------------------------------------------------------------------------
PLEASE SEE FOOTNOTES ON NEXT PAGE.
11
--------------------
(a) Based on the assumptions set forth above, if the closing price of the
Underlying Shares falls below $5.31 on any trading day during the knock-in
period and, in addition, the closing price of the Underlying Shares is
less than $7.59 on the determination date, the payment at maturity will be
made in Underlying Shares. For determining the value of the payment at
maturity, we have assumed that the closing price of the Underlying Shares
will be the same on the maturity date as on the determination date.
(b) The total return presented is exclusive of any tax consequences of owning
the Securities. You should consult your tax advisor regarding whether
owning the Securities is appropriate for your tax situation. See the
sections titled "Risk Factors" in this Pricing Supplement and the
accompanying Product Supplement No. 1-I and "United States Federal
Taxation" and "Taxation in the Netherlands" in the accompanying Prospectus
Supplement.
(c) Coupons on the Securities will be computed on the basis of a 360-day year
of twelve 30-day months or, in the case of an incomplete month, the number
of actual days elapsed. Accordingly, depending on the number of days in
any monthly coupon payment period, the coupon payable in such period and,
consequently, the total coupons payable over the term of the Securities,
may be less than the amount reflected in this column.
(d) Based on the assumptions set forth above, if the closing price of the
Underlying Shares never falls below $5.31 on any trading day during the
knock-in period, the payment at maturity will be made in cash.
12
PUBLIC INFORMATION REGARDING THE UNDERLYING SHARES
According to publicly available documents, AMR Corporation., which we
refer to as "AMR," or the Underlying Company operates almost entirely in the
airline industry via its subsidiary American Airlines, Inc.
The Underlying Shares are shares of the Common Stock of AMR, $1 par value.
The Underlying Shares are registered under the Securities Exchange Act of 1934,
as amended, which we refer to as the "Exchange Act." Companies with securities
registered under the Exchange Act are required periodically to file certain
financial and other information specified by the Securities and Exchange
Commission, which we refer as the "Commission." Information provided to or
filed with the Commission can be inspected and copied at the public reference
facilities maintained by the Commission at 100 F Street, N.E., Washington, D.C.
20549. 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. In addition, information provided
to or filed with the Commission electronically can be accessed through a
website maintained by the Commission. The address of the Commission's website
is http://www.sec.gov. Information provided to or filed with the Commission by
AMR pursuant to the Exchange Act can be located by reference to the Commission
file number 1-8400.
In addition, information regarding AMR may be obtained from other sources
including, but not limited to, press releases, newspaper articles and other
publicly disseminated documents. We make no representation or warranty as to
the accuracy or completeness of such reports.
THIS PRICING SUPPLEMENT RELATES ONLY TO THE SECURITIES OFFERED BY US AND
DOES NOT RELATE TO THE UNDERLYING SHARES OR OTHER SECURITIES OF THE UNDERLYING
COMPANY. WE WILL DERIVE ALL DISCLOSURES CONTAINED IN THIS PRICING SUPPLEMENT
REGARDING THE UNDERLYING COMPANY FROM THE PUBLICLY AVAILABLE DOCUMENTS
DESCRIBED ABOVE. NEITHER WE NOR HOLDING NOR THE AGENTS HAVE PARTICIPATED IN THE
PREPARATION OF SUCH DOCUMENTS OR MADE ANY DUE DILIGENCE INQUIRY WITH RESPECT TO
THE UNDERLYING COMPANY IN CONNECTION WITH THE OFFERING OF THE SECURITIES.
NEITHER WE NOR HOLDING NOR THE AGENTS MAKE ANY REPRESENTATION THAT SUCH
PUBLICLY AVAILABLE DOCUMENTS OR ANY OTHER PUBLICLY AVAILABLE INFORMATION
REGARDING THE UNDERLYING COMPANY ARE ACCURATE OR COMPLETE. FURTHERMORE, NEITHER
WE NOR HOLDING CAN GIVE ANY ASSURANCE THAT ALL EVENTS OCCURRING PRIOR TO THE
DATE OF THIS PRICING SUPPLEMENT (INCLUDING EVENTS THAT WOULD AFFECT THE
ACCURACY OR COMPLETENESS OF THE PUBLICLY AVAILABLE DOCUMENTS DESCRIBED ABOVE)
THAT WOULD AFFECT THE TRADING PRICE OF THE UNDERLYING SHARES (AND THEREFORE THE
INITIAL PRICE AND THE KNOCK-IN LEVEL AND REDEMPTION AMOUNT) HAVE BEEN PUBLICLY
DISCLOSED. SUBSEQUENT DISCLOSURE OF ANY SUCH EVENTS OR THE DISCLOSURE OF OR
FAILURE TO DISCLOSE MATERIAL FUTURE EVENTS CONCERNING THE UNDERLYING COMPANY
COULD AFFECT THE VALUE YOU WILL RECEIVE ON THE MATURITY DATE WITH RESPECT TO
THE SECURITIES AND THEREFORE THE TRADING PRICES OF THE SECURITIES. NEITHER WE
NOR HOLDING NOR ANY OF OUR AFFILIATES HAVE ANY OBLIGATION TO DISCLOSE ANY
INFORMATION ABOUT THE UNDERLYING COMPANY AFTER THE DATE OF THIS PRICING
SUPPLEMENT.
Neither we nor Holding nor any of our affiliates makes any representation
to you as to the performance of the Underlying Shares.
We and/or our affiliates may presently or from time to time engage in
business with the Underlying Company, including extending loans to, or making
equity investments in, or providing advisory services to the Underlying
Company, including merger and acquisition advisory services. In the course of
such business, we and/or our affiliates may acquire non-public information with
respect to the Underlying Company and, in addition, one or more of our
affiliates may publish research reports with respect to the Underlying Company.
The statement in the preceding sentence is not intended to affect the rights of
holders of the Securities under the securities laws. AS A PROSPECTIVE PURCHASER
OF A SECURITY, YOU SHOULD UNDERTAKE SUCH INDEPENDENT INVESTIGATION OF THE
UNDERLYING COMPANY AS IN YOUR JUDGMENT IS APPROPRIATE TO MAKE AN INFORMED
DECISION WITH RESPECT TO AN INVESTMENT IN THE UNDERLYING SHARES.
13
HISTORICAL INFORMATION
The Underlying Shares are traded on the NYSE under the symbol "AMR". The
following table sets forth the published quarterly highest intra-day price,
lowest intra-day price and last day closing price of the Underlying Shares
since 2005. We obtained the prices listed below from Bloomberg Financial
Markets without independent verification. You should not take the historical
prices of the Underlying Shares as an indication of future performance. NEITHER
WE NOR HOLDING CAN GIVE ANY ASSURANCE THAT THE PRICE OF THE UNDERLYING SHARES
WILL NOT DECREASE, SUCH THAT WE WILL DELIVER UNDERLYING SHARES AT MATURITY.
HIGH LOW LAST DAY
INTRA-DAY INTRA-DAY CLOSING
PERIOD PRICE PRICE PRICE
------ ----- ----- -----
2005
----
First Quarter.................................. $11.35 $ 7.83 $10.70
Second Quarter................................. $14.95 $ 9.80 $12.11
Third Quarter.................................. $14.75 $10.01 $11.18
Fourth Quarter ................................ $23.53 $10.82 $22.23
2006
----
First Quarter.................................. $29.14 $18.25 $27.05
Second Quarter................................. $29.32 $21.50 $25.42
Third Quarter ................................. $27.74 $18.78 $23.14
Fourth Quarter ................................ $34.40 $23.42 $30.23
2007
----
First Quarter ................................. $41.00 $29.68 $30.45
Second Quarter................................. $33.20 $24.88 $26.35
Third Quarter ................................. $29.32 $20.28 $22.29
Fourth Quarter................................. $26.00 $13.65 $14.03
2008
----
First Quarter.................................. $16.49 $ 8.10 $ 9.02
Second Quarter................................. $10.40 $ 4.93 $ 5.12
Third Quarter.................................. $13.41 $ 4.00 $ 9.82
Fourth Quarter................................. $12.37 $ 6.06 $10.67
2009
First Quarter.................................. $12.47 $ 2.41 $ 3.19
Second Quarter................................. $ 6.50 $ 3.11 $ 4.02
Third Quarter.................................. $ 9.24 $ 3.93 $ 7.95
Fourth Quarter (through December 15, 2009)..... $ 8.23 $ 5.11 $ 7.59
Neither we nor ABN AMRO Holding N.V. make any representation as to the amount
of dividends, if any, that AMR will pay in the future. In any event, as a
holder of a Security, you will not be entitled to receive dividends, if any,
that may be payable on the Underlying Shares.
14
PLAN OF DISTRIBUTION (CONFLICTS OF INTEREST)
We have appointed RBS Securities Inc. ("RBSSI") as agent for this
offering. RBSSI has agreed to use reasonable efforts to solicit offers to
purchase the Securities. We will pay RBSSI, 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 6.25% of the initial offering
price of the Securities. RBSSI has informed us that, as part of its
distribution of the Securities, it intends to reoffer the Securities to other
dealers who will sell the Securities. Each such dealer engaged by RBSSI, or
further engaged by a dealer to whom RBSSI reoffers the Securities, will
purchase the Securities at an agreed discount to the initial offering price of
the Securities. RBSSI 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
Product Supplement No. 1-I.
RBSSI is an affiliate of ours and ABN AMRO Holding N.V. RBSSI will conduct
this offering in compliance with the requirements of NASD Rule 2720 of the
Financial Industry Regulatory Authority, which is commonly referred to as
FINRA, regarding a FINRA member firm's distributing the securities of an
affiliate. Following the initial distribution of any of these Securities, RBSSI
may offer and sell those Securities in the course of its business as a
broker-dealer. RBSSI may act as principal or agent in those transactions and
will make any sales at varying prices related to prevailing market prices at
the time of sale or otherwise. RBSSI may use this Pricing Supplement and the
accompanying Prospectus, Prospectus Supplement and Product Supplement No. 1-I
in connection with any of those transactions. RBSSI is not obligated to make a
market in any of these Securities and may discontinue any market-making
activities at any time without notice.
RBSSI or an affiliate of RBSSI will enter into one or more hedging
transactions with us in connection with this offering of Securities. See "Use
of Proceeds" in the accompanying Product Supplement No. 1-I.
To the extent that the total aggregate face amount of the Securities being
offered by this Pricing Supplement is not purchased by investors in the
offering, one or more of our affiliates has agreed to purchase the unsold
portion, and to hold such Securities for investment purposes. See "Holdings of
the Securities by our Affiliates and Future Sales" under the heading "Risk
Factors" in this Pricing Supplement.
15