Filed
pursuant to Rule 433
February
27, 2008
Relating
to Preliminary Pricing Supplement No. 539 to
Registration
Statement Nos. 333-137691, 333-137691-02
Dated
September 29, 2006
|
ABN
AMRO BANK N.V.
Reverse Exchangeable
Securities |
Preliminary
Pricing Sheet –
February 27,
2008
16.00%
(PER
ANNUM),
ONE
YEAR
FEDERAL
HOME
LOAN MORTGAGE CORPORATION KNOCK-IN
REXSM
SECURITIES
DUE
MARCH
12,
2009
OFFERING
PERIOD:
FEBRUARY
27,
2008 –
MARCH
7,
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:
|
16.00%
(Per Annum),
One
Year Reverse Exchangeable
Securities due Mach 12,
2009
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 12th
day of each month starting on April
12,
2008
and ending on the Maturity
Date.
|
|
Underlying
Stock
|
Ticker
|
Coupon
Rate Per
annum
|
Interest
Rate
|
Put
Premium
|
Knock-in
Level
|
CUSIP
|
ISIN
|
|
Federal
Home Loan Mortgage
Corporation
|
FRE
|
16.00%
|
2.73%
|
13.27%
|
50%
|
00083GEZ3
|
US00083GEZ37
|
|
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 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.
|
|
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
|
|
Proposed Pricing
Date:
|
March
7, 2008 subject to certain
adjustments as described in the related pricing
supplement
|
|
Proposed
Settlement
Date:
|
March
12, 2008
|
|
Determination
Date
|
March
9, 2008 subject to certain
adjustments as described in the related pricing
supplement
|
|
Maturity
Date:
|
March
12, 2009 (One
Year)
|
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=get
company> . Alternatively, ABN AMRO, any underwriter or
any dealer participating in the offering will arrange to send you the Prospectus
and Prospectus Supplement if you request it by calling toll free (888)
644-2048.
These
Securities may not be offered or sold (i) to any person/entity listed on
sanctions lists of the European Union, United States or any other applicable
local competent authority; (ii) within the territory of Cuba, Sudan, Iran and
Myanmar; (iii) to residents in Cuba, Sudan, Iran or Myanmar; or (iv) to Cuban
Nationals, wherever located.
SUMMARY
The
following
summary does not contain all the information that may be important to you.
You
should read this summary together with the more detailed information that is
contained in the related Pricing Supplement and in its accompanying Prospectus
and Prospectus Supplement. You should carefully consider, among other things,
the matters set forth in “Risk Factors” in the related Pricing Supplement, which
are summarized on page 5 of this document. In addition, we urge you
to consult with your investment, legal, accounting, tax and other advisors
with
respect to any investment in the Securities.
What
are the
Securities?
The
Securities are
interest paying, non-principal protected 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
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.