Filed
pursuant to Rule 433
February
26, 2008
Relating
to Preliminary Pricing Supplement No. 537 to
Registration
Statement Nos. 333-137691, 333-137691-02
Dated
September 29, 2006
|
ABN
AMRO Bank N.V. Reverse Exchangeable
Securities
S-NOTESSM
|
Preliminary
Pricing Sheet
–
February 26,
2008
|
22.75%
(ANNUALIZED)
SIX
MONTH
ELAN
CORPORATION,
PLC*
KNOCK-IN
REXSM SECURITIES
DUE
SEPTEMBER
3,
2008
|
OFFERING
PERIOD:
FEBRUARY
26,
2008 –
FEBRUARY
27,
2008
|
|
SUMMARY
INFORMATION
|
|
|
Issuer:
|
ABN
AMRO Bank N.V. (Senior Long
Term Debt Rating: Moody’s
Aa2, S&P
AA-)
|
|
Lead
Agent:
|
ABN
AMRO
Incorporated
|
|
Offerings:
|
22.75%
(Per Annum), Six Month
Reverse Exchangeable Securities due September 3, 2008 linked to the
Underlying Stock set forth in the table below.
|
|
Interest
Payment
Dates:
|
Interest
on the Securities is
payable monthly in arrears on the 3rd
day of each month starting on
April 3, 2008 and ending on the Maturity Date.
|
|
Underlying
Stock
|
Ticker
|
Coupon
Rate
Per
annum*
|
Interest
Rate
|
Put
Premium
|
Knock-in
Level
|
CUSIP
|
ISIN
|
|
Elan
Corporation,
plc
|
ELN
|
22.75%
|
2.96%
|
19.79%
|
70%
|
00083GEX8
|
US00083GEX88
|
| |
*This
Security has a term of six
months, so you will receive a pro rated amount of this per annum
rate
based on such six-month period.
|
|
Denomination/Principal:
|
$1,000
|
|
Issue
Price:
|
100%
|
|
Payment
at
Maturity:
|
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
applicable Underlying Stock on the primary U.S. exchange or market
for
such Underlying Stock 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 principal amount
of
each Security in cash.
ii)
If the closing price of the
applicable 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:
a)
we
will
deliver to you a number of shares
of the applicable
Underlying Stock equal to the applicable Stock Redemption Amount,
in the
event that the closing price of the applicable Underlying Stock on
the
Determination Date is below the applicable 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 applicable Underlying
Stock 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, 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.
|
|
Initial
Price:
|
100%
of the Closing Price of the
applicable Underlying Stock on the Pricing Date.
|
|
Stock
Redemption
Amount:
|
For
each $1,000 principal amount
of Security, a number of shares of the applicable Underlying Stock
linked
to such Security equal to $1,000 divided by the applicable Initial
Price.
|
|
Knock-In
Level:
|
A
percentage of the applicable
Initial Price as set forth in the table
above.
|
|
Indicative
Secondary
Pricing:
|
• Internet
at: www.s-notes.com
•
Bloomberg at: REXS2 <GO>
|
|
Status:
|
Unsecured,
unsubordinated
obligations of the Issuer
|
|
Trustee:
|
Wilmington
Trust
Company
|
|
Securities
Administrator:
|
Citibank,
N.A.
|
|
Settlement:
|
DTC,
Book Entry,
Transferable
|
|
Selling
Restrictions:
|
Sales
in the European Union must
comply with the Prospectus Directive
|
|
Pricing
Date:
|
February
27, 2008, subject to
certain adjustments as described in the related pricing
supplement
|
|
Settlement
Date:
|
March
3,
2008
|
|
Determination
Date:
|
August
28, 2008, subject to
certain adjustments as described in the related pricing
supplement
|
|
Maturity
Date:
|
September
3, 2008 (Six
Months)
|
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 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=getcompany>.
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.
*
This
offering is linked to American Depository Shares rather than to Common Stock
and
will be documented in a separate pricing
supplement.
SUMMARY
This
prospectus
relates to one offering of Securities. The purchaser of any offering will
acquire a Security linked to a single Underlying Stock.
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 during 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.
• 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.
• 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:
• 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
• 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.
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
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 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 you to consult with you 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 in the Securities 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,
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 investors earn during the term of the
Securities. This means that you will not benefit from any price
appreciation in the applicable Underlying
Stock, nor will you receive
dividends paid on the applicable Underlying Stock, 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 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 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
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 in the Securities 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 you 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), you 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), you
will
not recognize any gain or loss in respect of the Put Option, but your 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.
You
should seek your own advice based on
your 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.