Unassociated Document
Filed pursuant to Rule
433
August 8, 2008
Relating to Preliminary Pricing
Supplement No. 736 to
Registration Statement Nos. 333-137691,
333-137691-02
Dated September 29,
2006
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ABN AMRO Bank
N.V. Principal Protected Notes
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Preliminary Pricing Sheet – August 8, 2008
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18 MONTH ABSOLUTE
RETURN BARRIER
NOTES
LINKED TO
“THE SPDR TRUST SERIES 1”
100% PRINCIPAL
PROTECTED
DUE FEBRUARY
26,
2010
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SUMMARY
INFORMATION
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Issuer:
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ABN AMRO Bank
N.V. (Senior Long Term Debt Rating: Moody's Aa2, S&P
AA-)
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Lead Selling Agent:
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ABN AMRO
Incorporated
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Offering:
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Eighteen Month
Principal Protected Absolute Barrier Notes linked to The SPDR Trust Series
1 due February 26, 2010 (the
“Securities”)
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Underlying Fund:
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“The SPDR
Trust Series 1”, an exchange traded fund (Bloomberg code: SPY <US>
<Equity>, ISIN code: US78462F1030, listed on the
American Stock Exchange).
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Coupon:
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None. The
Securities do not pay interest.
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Denominations:
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Each Security
has a principal amount of $1,000. The Securities will be issued in
integral multiples of $1,000.
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Issue Size:
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TBD
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Issue Price:
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100% |
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Principal Protection
Level:
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100% |
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Participation Rate:
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The
Participation Rate will be 1.00 (or 100%).
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Payment at Maturity:
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The payment at
maturity for each $1,000 principal amount of the Securities is based on
the performance of the Underlying
Fund as follows:
• If
the Market Price of the Underlying Fund has not risen above the Upper
Barrier and has not fallen below the Lower Barrier at any
time during the regular business hours of the relevant exchange on any
trading day during the Relevant Period, you
will receive $1,000 plus the Supplemental Redemption Amount;
or
• If
the Market Price of the Underlying Fund either rises above the Upper
Barrier or falls below the Lower Barrier at any time during
the regular business hours of the relevant exchange on any trading day
during the Relevant Period you will receive
$1000 only.
If
the Final Price is equal to the Initial Price, the Supplemental Redemption
Amount will be zero and you will not receive any return on your initial
principal investment even though the Market Price of the Underlying Fund
traded within the specified barriers at all times during the term of the
Securities.
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Relevant
Period:
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The period
from but excluding the Pricing Date to and including the Determination
Date.
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Supplemental Redemption
Amount:
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An amount in
cash for each $1,000 principal amount of the Securities equal
to:
Absolute
Return x Participation Rate x $1,000
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Absolute Return:
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Absolute
Value* of: Final Price - Initial
Price
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Upper Barrier:
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The Upper
Barrier will be set on the pricing date. It will be no
less than Initial Price x 118% and no more than Initial Price x
119%.
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Lower Barrier:
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The Lower Barrier will be set on
the pricing date. It will be no
less than Initial Price x 82% and no more than Initial Price x
81%.
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Initial Price:
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100% of the
closing price of the Underlying Fund on the Pricing Date, subject to
certain adjustments as described in the preliminary
pricing supplement for the
Securities.
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Final Price:
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100% of the
closing price of the Underlying Fund on the Determination
Date.
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Market Price:
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On any trading
day and as of any time during the regular business hours of the relevant
exchange, the latest reported sale price of
a share in the Underlying Fund on such Relevant Exchange at such time.
“Market price” includes intra-day trading prices
on the relevant
exchange.
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Indicative Secondary
Pricing:
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•
Internet at: www.s-notes.com
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Bloomberg
at: REXS2 <GO>
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Status:
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Unsecured,
unsubordinated obligations of the Issuer
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CUSIP Number:
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00083GE34
ISIN
Code: US00083GE344
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Trustee:
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Wilmington
Trust Company
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Securities
Administrator:
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Citibank,
N.A.
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Settlement:
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DTC, Book
Entry, Transferable
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Selling
Restrictions:
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Sales in the
European Union must comply with the Prospectus
Directive.
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Offering
Period:
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August 8, 2008
up to and including August 21, 2008
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Proposed
Pricing Date:
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August 22,
2008
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Proposed
Settlement Date:
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August 27,
2008
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Determination
Date:
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February 23,
2010, subject to certain adjustments as described in the preliminary
pricing supplement for the Securities.
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Maturity
Date:
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February 26,
2010 (18 months)
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No
Affiliation with SPDRs:
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The SPDR Trust
Series 1 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 Fund.
Investing in the Securities is not equivalent to
investing in the Underlying Fund. We are not affiliated with the sponsor
of the Underlying Fund and the sponsor of the
Underlying Fund is not involved with this offering in any way. The
obligations represented by the Securities are
our obligations, not those of the Underlying Fund or the sponsor of the
Underlying Fund.
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ABN
AMRO has filed a registration statement (including a Prospectus and Prospectus
Supplement) with the SEC for the offerings to which this communication relates.
Before you invest, you should read the Prospectus and Prospectus Supplement in
that registration statement and other documents ABN AMRO has filed with the SEC
and the related Pricing Supplement for more complete information about ABN AMRO
and the offerings of the Securities.
You
may get these documents for free by visiting EDGAR on the SEC website at
www.sec.gov or by visiting ABN AMRO Holding N.V. on the SEC website at
<http://www.sec.gov/cgi-bin/browse-edgar?company=&CIK=abn&filenum=&State=&SIC=&owner=include&action=get
company>. Alternatively, ABN AMRO, any underwriter or any dealer
participating in the offering will arrange to send you the Prospectus and
Prospectus Supplement if you request it by calling toll free (888)
644-2048.
These
Securities may not be offered or sold (i) to any person/entity listed on
sanctions lists of the European Union, United States or any other applicable
local competent authority; (ii) within the territory of Cuba, Sudan, Iran and
Myanmar; (iii) to residents in Cuba, Sudan, Iran or Myanmar; or (iv) to Cuban
Nationals, wherever located.
Summary
The
following summary does not contain all the information that may be important to
you. You should read this summary together with the more detailed information
that is contained in the related Pricing Supplement and in its accompanying
Prospectus and Prospectus Supplement. You should carefully consider, among other
things, the matters set forth in “Risk Factors” in the related Pricing
Supplement, which are summarized on page 4 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
senior notes 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
linked to the performance of the “The SPDR Trust Series 1”, which we refer to as
the Underlying Fund. The Securities have a maturity of 18 months. The payment at
maturity of the Securities is determined based on the performance of the
Underlying Fund, as described below. Unlike ordinary debt securities, the Securities do not pay
interest. If the Market Price of the Underlying Fund at any time during the
regular business hours of the relevant exchange on any trading day during the
Relevant Period is above the Upper Barrier or below the Lower Barrier you will
be entitled to receive only the principal amount of $1,000 per Security at
maturity. In such a case, you will receive no return on your investment and you
will not be compensated for any loss in value due to inflation and other factors
relating to the value of money over time.
What
will I receive at maturity of the Securities?
The payment at
maturity for each $1,000 principal amount of the Securities is based on the
performance of the Underlying Fund as follows:
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•
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If the Market
Price of the Underlying Fund never rises above the Upper Barrier or falls
below the Lower Barrier at any time during the regular business hours of
the relevant exchange on any trading day during the Relevant Period, you
will receive $1,000 plus the Supplemental Redemption Amount;
or
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•
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If the Market
Price of the Underlying Fund either rises above the Upper Barrier or falls
below the Lower Barrier at any time on any trading day during the regular
business hours of the relevant exchange during the Relevant Period you
will receive $1000 only.
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If
the Final Price is equal to the Initial Price the supplemental redemption amount
will be zero and you will not receive any return on your initial principal
investment even though the Final Price is not greater than the Upper Barrier or
less than the Lower Barrier.
What
is the supplemental redemption amount and how is it calculated?
The supplemental
redemption amount is a cash amount calculated only if the price of a share of
the Underlying Fund remains at or below the Upper Barrier and at or above Lower
Barrier at all times during the regular business hours of the relevant exchange
on each trading day during the Relevant Period. The supplemental redemption
amount is equal to the product of the (i) absolute return times (ii) the participation
rate times (iii) $1,000. If the
closing price of a share of the Underlying Fund on the
determination date is equal to the Initial Price, then the absolute return will
be zero and the supplemental redemption amount will be zero even though the
Market Price of a share of the Underlying Fund never rose above the Upper
Barrier or fell below the Lower Barrier at any time during the life of the
Securities.
How
is the absolute return calculated?
The
absolute return* is the absolute value of:
Final Price - Initial
Price
Initial Price
*The absolute value
is always expressed as a positive number, even if it is negative.
If
the difference between the Initial Price and the Final Price is zero, the
absolute return, and thus the supplemental redemption amount, will be
zero.
Will
I receive interest payments on the Securities?
No.
You will not receive any interest payments on the Securities.
Will
I get my principal back at maturity?
Subject to the
credit of ABN AMRO Bank, N.V. as the issuer of the Securities and ABN AMRO
Holding N.V. as the guarantor of the issuer’s obligations under the Securities,
you will receive at maturity $1,000 per $1,000 principal amount of Securities.
However, if you sell the Securities prior to maturity, you will receive the
market price for the Securities, which may or may not include the return of
$1,000 for each $1,000 principal amount of Securities. There may be little or no
secondary market for the Securities. Accordingly, you should be willing to hold
your Securities until maturity.
Can
you give me examples of the payment I will receive at maturity depending on the
performance of the Underlying Fund?
Example 1: In this example, we
will assume that the Market Price of the Underlying
Fund never rose above the Upper Barrier or fell below the Lower Barrier at any
time during the regular business hours of the relevant exchange on any trading
day during the relevant period. Accordingly, at maturity you will receive back
your principal amount of $1,000 plus a supplemental redemption amount based on
the Absolute Return (if any) on the Underlying Fund. In such case, if, for
example, the Initial Price is $150, the participation rate is equal to 1 (or
100%), the Upper Barrier is $177 (which is equal to the Initial Price x 118%),
the Lower Barrier is $123 (which is equal to the Initial Price x 82%) and the
Final Price is $140, then the supplemental redemption amount would
be
calculated as
follows:
Supplemental
Redemption Amount =
Participation
Rate x Absolute Return x $1,000,
Where,
The
Absolute Return is the absolute value of:
Final
Price - Initial Price
Initial
Price
or,
in this example,
140- 150 =
-.06667
150
Since the absolute
value is always expressed as a positive number, even if it is negative, -.06667 becomes .06667 and the Absolute Return
equals .06667 (or 6.667%). To calculate the
supplemental redemption amount, the Absolute Return of .06667 is multiplied by the
participation rate of 1 times the principal amount per Security of $1,000, which
results in the supplemental redemption amount of $66.67 for each $1,000
principal amount of Securities. Accordingly, at maturity you would receive the
sum of $1,000 plus $66.67 for a total payment of $1,066.67 per Security. In this
hypothetical case, you would have received a 6.667% return on your
Securities even though the Underlying Fund depreciated by 6.667% over the life of the
Securities.
Example 2: In this example, we
will assume that the Market Price of the
Underlying Fund rose above or fell below the specified barriers at some time
during the term of the Securities. Specifically, we assume that the Initial
Price is $150, the participation rate is equal to 1 (or 100%), the Upper Barrier
is $177 (which is equal to the Initial Price x 118%), the Lower Barrier is $123
(which is equal to the Initial Price x 82%) and the Final Price is $177. If we
also assume that the Market Price of the Underlying Fund was at $178, or just
above the Upper Barrier, at some point in time during the regular business hours
of the relevant exchange on any trading day during the relevant period, no
supplemental redemption amount will be paid and at maturity and you will be
entitled to receive only the principal amount of $1,000 for each $1,000
principal amount of your Securities. The same would be the case if Market Price
of the Underlying Fund was at $125, for example, or just below the Lower
Barrier, at any point in time during the regular business hours of the relevant
exchange on any trading day during the relevant period.
In
this example, even though the Underlying Fund appreciated by 18% over the term
of the Securities because the Market Price of
the Underlying Fund traded outside the specified barriers at some point prior to
the Pricing Date, you would not have received any return on your initial
principal investment and you would not be compensated for any loss in value due
to inflation and other factors relating to the value of money over time. This
would be true even if this was the only instance where the Market Price was
outside the barriers during the relevant period. Similarly, if the Market Price
of the Underlying Fund remained at or below the Upper Barrier and at or above
the Lower Barrier at all times during the regular business hours of the relevant
exchange on each trading day during the relevant period except that the Final Price in this
example was $178 (rather than $174), you would receive no supplemental
redemption amount at maturity. This is because the Final Price, or the Market
Price of the Underlying Fund at the closing of the relevant exchange on the
determination date, would be above the Upper Barrier. This example illustrates
that a holder of the Securities may receive no return on the Securities even if
the Underlying Fund experiences significant appreciation or depreciation in its
value over the life of the Securities.
Example 3: In this example, we
will assume the same variables as in Example
1 above, except that the Final Price on the determination date is $150, which is
the same as the Initial Price. In such event, at maturity you would be entitled
to receive the sum of $1,000 plus the supplemental redemption amount. The
supplemental redemption amount would be calculated as follows:
Supplemental
Redemption Amount =
Participation
Rate x Absolute Return x $1,000,
Where,
The
Absolute Return is the absolute value of:
Final
Price - Initial Price
Initial
Price
or,
in this example, the absolute value of
150
- 150 = 0
150
Because the Absolute
Return equals zero in this example, the supplemental redemption amount will be
zero and at maturity you would receive only your principal amount of $1,000 for
each Security. In this hypothetical case, you would receive no return on your
initial principal investment in the Securities even though the Market Price of
the Underlying Fund never rose above the Upper Barrier or fell below the Lower
Barrier at any time during the regular business hours of
These
examples are for illustrative purposes only and are based on a hypothetical
offering. It is not possible to predict the Market Price of the Underlying Fund
at any time during the life of the Securities or the closing price on the
determination date. For each offering we will set the Initial Price and the fund
barriers (each subject to adjustment for certain events affecting the Underlying
Fund) on the date we price the Securities, which we refer to as the pricing
date.
Do
I benefit from any appreciation or depreciation in the Underlying Fund over the
life of the Securities?
Yes, but only in the
event that (1) the Market Price of the Underlying Fund remains at or below the
Upper Barrier and at or above the Lower Barrier at all times during the regular
business hours of the relevant exchange on each trading day during the relevant
period, and (2) the Final Price is different from the Initial Price, resulting
in a positive Absolute Return. If both of these conditions are met, you will
receive in cash the supplemental redemption amount in addition to the principal
amount of the Securities payable at maturity. The supplemental redemption amount
will represent a return on the Securities based on the percentage change in the
value of the Underlying Fund, or the Absolute Return, and the applicable
participation rate. That is, your return on the Securities will be equal to the
Absolute Return times a percentage equal to the participation rate.
Is
there a limit on how much I can earn on the Securities?
Yes, your return on
the Securities will never exceed the participation rate of 1.00 (or 100%)
multiplied by the maximum Absolute Return. The Absolute Return is capped because
the Final Value cannot be greater than the Upper Barrier or less than the Lower
Barrier if a supplemental redemption is to be paid at maturity. Therefore, the
maximum Absolute Return would be produced where the Final Value is equal to the
greater of the Upper Barrier or the Lower Barrier. The Upper Barrier and the
Lower Barrier will be set on the pricing date.
What
is the Underlying Fund?
The Underlying Fund is the SPDR Trust,
Series 1. The Underlying Fund is a unit investment trust that issues securities
called ‘‘Standard & Poor’s Depositary Receipts®’’ or ‘‘SPDRs®.’’ The Underlying Fund is called an
exchange traded fund because its
ownership interests or SPDRs trade on the American Stock Exchange like other
equity securities. The price quotation from market information services for the
ticker symbol "SPY" is the price of one SPDR or one share of the Underlying
Fund.
The Underlying Fund holds a portfolio of
all of the equity securities that comprise the Standard & Poor's 500
Composite Stock Price Index® commonly known as the S&P 500
Index®. SPDRs seek investment results that,
before expenses, generally correspond to the price and yield performance of the
S&P 500 Index®. There is no assurance that the price
and yield performance of the S&P 500 Index® can be fully matched. For more
information about the Underlying Fund, you should read “Public Information
Regarding the Underlying Fund” in the related Pricing
Supplement.
What
if I have more questions?
You should read
“Description of Securities” in the related Pricing Supplement for a detailed
description of the terms of the Securities. ABN AMRO has filed a registration
statement (including a Prospectus and Prospectus Supplement) with the SEC for
the offering to which this communication relates. Before you invest, you should
read the Prospectus and Prospectus Supplement in that registration statement and
other documents ABN AMRO has filed with the SEC for more complete information
about ABN AMRO and the offering of the Securities. You may get these documents
for free by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively,
ABN AMRO, any underwriter or any dealer participating in the offering will
arrange to send you the Prospectus and Prospectus Supplement if you request it
by calling toll free (888) 644-2048.
You
should carefully consider the risks of the Securities to which this
communication relates and whether these Securities are suited to your particular
circumstances before deciding to purchase them. It is important that prior to
investing in these Securities you read the Pricing Supplement related to such
Securities and the accompanying Prospectus and Prospectus Supplement to
understand the actual terms of and the risks associated with the Securities. In
addition, we urge you to consult with your investment, legal, accounting, tax
and other advisors with respect to any investment in the
Securities.
Credit
Risk
The Securities are
issued by ABN AMRO Bank N.V. and guaranteed by ABN AMRO Holding N.V., ABN AMRO
Bank N.V.’s parent. As a result, you assume the credit risk of ABN AMRO Bank
N.V. and that of ABN AMRO Holding N.V. in the event that ABN AMRO Bank N.V.
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.
Market
Risk
The Securities do
not pay any interest. The rate of return, if any, will depend on the performance
of the Underlying Fund. If the market price of the Underlying Fund either falls
below the Lower Barrier or rises above the Upper Barrier at any time during the
regular business hours of the relevant exchange on any trading day during the
relevant period, you will be entitled to receive only the principal amount of
$1,000 per Security at maturity. In addition, even if the market price of the
Underlying Fund remains above the Lower Barrier and below the Upper Barrier at
all times during the regular business hours of the relevant exchange on each
trading day during the relevant period, the supplemental redemption amount
payable at maturity will be zero if the Final Price is equal to the Initial
Price. In each such case, you will receive no return on your investment and you
will not be compensated for any loss in value due to inflation and other factors
relating to the value of money over time.
Liquidity
Risk
ABN AMRO Bank N.V.
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 Market Price of the Underlying Fund at any time, 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
The Securities will
be treated as "contingent payment debt instruments" for U.S. federal income tax
purposes. Accordingly, U.S. taxable investors, regardless of their method of
accounting, will be required to accrue as ordinary income amounts based on the
“comparable yield” of the Securities, as determined by us, even though they will
receive no payment on the Securities until maturity. In addition, any gain
recognized upon a sale, exchange or retirement of the Securities will generally
be treated as ordinary interest income for U.S. federal income tax
purposes.
Investors
should review the “Taxation” section in the related Pricing Supplement and the
section entitled “United States Federal Taxation” (in particular the sub-section
entitled “United States Federal Taxation—Contingent Payment Debt Instruments”)
in the accompanying Prospectus Supplement. Additionally, investors are urged to
consult their tax advisor regarding the tax treatment of the Securities and
whether a purchase of the Securities is advisable in light of the tax treatment
and their particular situation.
This
tax summary was written in connection with the promotion or marketing by ABN
AMRO Bank N.V. and the placement agent of the Securities, and 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.
Investment
in the Securities is Not the Same as a Direct Investment in the Stocks that
Comprise the S&P 500 Index® or in the SPDR Trust, Series 1
An investment in the
Securities is not the same as a direct investment in the stocks (or any other
securities) that comprise the S&P 500 Index® or in the SPDR Trust, Series 1.
The return on your Securities could be less than if you had invested directly in
the Underlying Fund or any such a product because of the barrier feature and the
method by which the supplemental redemption is calculated. In addition, your
return may be limited because the calculation of the supplemental redemption
amount and the return on the Securities does not account for the return
associated with the reinvestment of dividends that you would have received if
you had invested directly in the stocks (or any other securities) comprising the
Underlying Fund or in the Underlying Fund directly. You will not receive any
payment of dividends on any of the stocks (or any other securities) comprising
the Underlying Fund or any dividends paid by the Underlying Fund.
Disclaimer
The Securities are
not sponsored, endorsed, sold or promoted by the Underlying Fund, the sponsor or
the trustee of the Underlying Fund or any of its or their affiliates (together
referred to as the Fund Parties) and none of the Fund Parties makes any
representation or warranty, express or implied, regarding the advisability of
investing in securities generally or the Securities particularly. None of the
Fund Parties has any obligation to take the needs of the holders of the
Securities into consideration in determining, comprising or calculating the
Underlying Fund. None of the Fund Parties is responsible for and has not
participated in any determination or calculation made with respect to issuance
or redemption of the Securities. None of the Fund Parties has any obligation or
liability in connection with the administration, marketing or trading of the
Securities.
‘‘Standard & Poor’s®’’, ‘‘S&P®’’, "Standard & Poor’s 500 Composite
Stock Price Index®", ‘‘S&P 500 Index®’’, ‘‘Standard & Poor’s
500®’’, ‘‘Standard & Poor’s Depositary
Receipts®’’ and ‘‘SPDRs®’’ are trademarks of The McGraw-Hill
Companies, Inc. State Street Global Markets, LLC is permitted to use these
trademarks pursuant to a License Agreement with Standard & Poor’s, a
division of The McGraw-Hill Companies, Inc., and SPDR Trust, Series 1,
is
NONE
OF THE FUND PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE
OBTAINED BY HOLDERS OF THE SECURITIES OR ANY OTHER PERSON OR ENTITY FROM THE USE
OF THE SHARE PRICE OF THE UNDERLYING FUND.