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ABN
AMRO Bank N.V. Reverse Exchangeable
Securities
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Preliminary
Pricing Sheet – July 17, 2007
12.00%
(PER ANNUM),
ONE YEAR NYSE EURONEXT,
INC. KNOCK-IN REXSM
SECURITIES DUE JULY
25, 2008
OFFERING
PERIOD:
JULY 17, 2007 –
JULY
20,
2007
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SUMMARY
INFORMATION
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Issuer:
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ABN
AMRO Bank
N.V. (Senior Long Term Debt Rating: Moody’s Aa2, S&P
AA-)
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Lead
Agent:
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ABN
AMRO
Incorporated
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Offerings:
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12.00%
(Per
Annum), One Year Reverse Exchangeable Securities due July 25,
2008 linked
to the Underlying Stock set forth in the table below.
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Interest
Payment Dates:
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Interest
on
the Securities is payable monthly in arrears on the 25th day
of each month
starting on August 25, 2007 and ending on the Maturity
Date.
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Underlying
Stock
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Ticker
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Coupon
Rate
Per
annum
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Interest
Rate
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Put
Premium
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Knock-in
Level
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CUSIP
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ISIN
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NYSE
Euronext,
Inc.
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NYX
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12.00%
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5.32%
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6.68%
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70%
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00078UQZ6
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US00078UQZ65
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Denomination/Principal:
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$1,000
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Issue
Price:
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100%
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Payment
at Maturity:
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The
payment at
maturity for each Security is based on the performance of the
Underlying
Stock linked to such Security:
i)
If the
closing price of the Underlying Stock on the primary U.S. exchange
or
market for such Underlying Stock has not fallen below the 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 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 Underlying Stock equal
to the
applicable 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.
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Initial
Price:
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100%
of the
Closing Price of the Underlying Stock on the Pricing
Date.
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Stock
Redemption Amount:
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For
each
$1,000 principal amount of Security, a number of shares of the
Underlying
Stock linked to such Security equal to $1,000 divided by the
Initial
Price.
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Knock-In
Level:
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A
percentage
of the Initial Price as set forth in the table above.
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Indicative
Secondary Pricing:
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• Internet
at: www.s-notes.com
Bloomberg
at:
REXS2 <GO>
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Status:
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Unsecured,
unsubordinated obligations of the Issuer
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Trustee:
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Wilmington
Trust Company
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Securities
Administrator:
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Citibank,
N.A.
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Settlement:
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DTC,
Book
Entry, Transferable
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Selling
Restrictions:
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Sales
in the
European Union must comply with the Prospectus
Directive
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Pricing
Date:
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July
20, 2007
subject to certain adjustments as described in the related pricing
supplement
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Settlement
Date:
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July
27,
2007
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Determination
Date:
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July
22, 2008
subject to certain adjustments as described in the related pricing
supplement
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Maturity
Date:
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July
25, 2008
(One Year)
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ABN
AMRO has filed a registration statement (including a Prospectus and Prospectus
Supplement) with the SEC for the offering to which this communication
relates. Before you invest, you should read the Prospectus and Prospectus
Supplement in that registration statement and other documents ABN AMRO
has filed
with the SEC for more complete information about ABN AMRO and the offering
of
the Securities.
You
may get these documents for free by visiting EDGAR on the SEC 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.
We
expect that delivery of the Securities will be made against payment therefor
on
or about the closing date specified on the cover page of this preliminary
pricing sheet, which will be the fifth Business Day following the Pricing
Date
of the Securities (this settlement cycle being referred to as “T+5”). Under Rule
15c6-1 of the SEC under the Securities Exchange Act of 1934, trades in the
secondary market generally are required to settle in three Business Days,
unless
the parties to that trade expressly agree otherwise. Accordingly, purchasers
who
wish to trade the Securities on the Pricing Date or the next succeeding Business
Day will be required, by virtue of the fact that the Securities initially
will
settle in T+5, to specify an alternate settlement cycle at the time of any
such
trade to prevent a failed settlement and should consult their own
advisor.
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?
If
the closing price
of the Underlying Stock linked to a Security on the relevant exchange 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 (such
period,
the “Knock-In Period”), at maturity we will pay you the principal amount of such
Security in cash.
If,
on the other
hand, 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, at maturity we will either:
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•
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deliver
to you
a fixed number of shares of such Underlying Stock, which we call
the Stock
Redemption Amount, in exchange for such Security, in the event
that the
closing price of such Underlying Stock is below the applicable
Initial
Price on the Determination Date; or
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•
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pay
you the
principal amount of such Security in cash, in the event that the
closing
price of such Underlying Stock is at or above the applicable Initial
Price
on the Determination Date.
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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.
Reverse
Exchangeable is a Service Mark
of ABN AMRO Bank N.V.
5