Unassociated Document
Filed
pursuant to Rule
433
January
14,
2008
Relating
to Preliminary Pricing
Supplement No. 455 to
Registration
Statement Nos.
333-137691, 333-137691-02
Dated
September 29,
2006
|
ABN
AMRO Bank N.V. Reverse Exchangeable
Securities
|
Preliminary
Pricing Sheet –
January 14, 2008
14.00%
(PER
ANNUM),
"THE
FINANCIAL
SELECT
SECTOR
SPDR® FUND"
THREE
MONTH
KNOCK-IN
REXSMSECURITIES
DUE
APRIL
23,
2008
OFFERING
PERIOD:
JANUARY
14,
2008 –
JANUARY
17,
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:
|
14.00%
(Per Annum), Three Month
Reverse Exchangeable Securities due April 23, 2008 linked to the
Underlying Fund set forth in the table below.
|
|
Interest
Payment
Dates:
|
Interest
on the Securities is
payable monthly in arrears on the 23rd
day of each month starting on
February 23, 2008 and
ending on the Maturity Date.
|
|
Underlying
Fund
|
Ticker
|
Coupon
Rate
Per
annum*
|
Interest
Rate
|
Put
Premium
|
Knock-in
Level
|
CUSIP
|
ISIN
|
|
The
Financial Select Sector
SPDR® Fund
|
XLF
|
14.00%
|
4.58%
|
9.42%
|
80%
|
00078U7D6
|
US00078U7D60
|
| |
*This
Security has a term of three
months, so you will receive a pro rated amount of this per annum
rate
based on such three-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 Fund linked
to such
Security:
i) If
the closing price of the Underlying Fund on the primary U.S. exchange
or
market for such Underlying Fund 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 Fund on the primary U.S. exchange
or
market for such Underlying Fund
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 Fund equal to
the
Redemption
Amount, in the event that the
closing price of the Underlying Fund 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 Fund on
the Determination Date is at or
above the Initial Price.
|
|
Initial
Price:
|
100%
of the Closing Price of the
Underlying Fund on the Pricing Date.
|
|
Redemption
Amount:
|
For
each $1,000 principal amount
of Security, a number of shares of the Underlying Fund linked to
such Security equal to
$1,000 divided by the Initial Price.
|
|
Knock-In
Level:
|
A
percentage of the 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:
|
January
17, 2008 subject to
certain adjustments as described in the related pricing
supplement
|
|
Proposed
Settlement
Date:
|
January
23, 2008
|
|
Determination Date:
|
April
18, 2008 subject to certain
adjustments as described in the related pricing
supplement |
|
Maturity Date:
|
April
23, 2008 (Three
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
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.
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 Fund to which it is
linked.
What
will I receive at maturity of the Securities?
If
the closing price of the Underlying Fund linked to a Security on the relevant
exchange 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 (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 Underlying Fund on the relevant
exchange has fallen below the Knock-In Level on any trading day during the
Knock-In Period, at maturity we will either:
• deliver
to you a fixed number of shares of such Underlying Fund, which we call the
Redemption Amount, in exchange for such Security, in the event that the closing
price of such
Underlying Fund is below the Initial Price on the Determination Date;
or
• pay
you the principal amount of such Security in cash, in the event that the closing
price of such Underlying Fund is at or above the Initial Price 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 Underlying
Fund. 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 Underlying Fund on the relevant exchange falls below
the Knock-In Level on any trading day during the Knock-In Period, and on the
Determination Date the closing price of the Underlying Fund is less than the
Initial Price, you will receive the Redemption Amount. The market value
of the shares of such Underlying Fund 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 Redemption Amount determined?
The
Redemption Amount for each $1,000 principal amount of the Securities is equal
to
$1,000 divided by the Initial Price. Since shares of the Underlying Fund are
held in book entry form, no stock certificates are
issued. Accordingly, any shares of the Underlying Fund which are
delivered to you will be delivered in book entry form and will include any
fractional shares you are entitled to receive, after aggregating your total
holdings of the Securities based on the closing price of the Underlying Fund
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 the underlying fund was $27.00 per share and the knock-in
level for such offering was 80% then the knock-in level would be $21.60 per
share or 80% of the initial price and the redemption amount would be 37.037
shares of the underlying fund, or $1,000 divided by $27.00.
If
the hypothetical closing price of that underlying fund had fallen below its
knock-in level of $21.60 on any trading day during the Knock-in Period, then
payment at maturity would depend on the closing price of the underlying fund
on
the determination date. In this case, if the closing price of the underlying
fund on the determination date is $16.00 per share, which is below the initial
price, you would receive 37.037 shares of the underlying fund for each $1,000
principal amount of the securities. Since shares of the underlying
fund are held in book entry form we would deliver shares of the underlying
fund
in book entry form which allows us to deliver fractions of
a
share. You would receive on the maturity date for each $1,000
principal amount of the securities 37.037 shares of the underlying
fund. 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 37.037 shares of the
underlying fund that we would deliver to you at maturity for each $1,000
principal amount of security would be $592.59, which is less than the principal
amount of $1,000, and you would have lost a portion of your initial principal
investment.
If,
on the other hand, the closing price of the underlying fund on the determination
date is $35.00 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 fund never falls below $21.60, which
is
the knock-in price on any trading day during the Knock-in Period, at maturity
you would receive $1,000 in cash for each $1,000 principal amount of the
Securities you hold regardless of the closing price of the underlying fund
on
the determination date. In addition, over the life of the Securities you would
have received interest payments of 10% per annum.
These
examples are for illustrative purposes only and is based on a hypothetical
offering. It is not possible to predict the closing price of the Underlying
Fund
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
Redemption Amount on the Pricing Date.
Do
I benefit from any appreciation in the Underlying Fund 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
is the Underlying Fund?
The
Underlying Fund is The Financial Select Sector SPDR® Fund. The
Underlying Fund is an exchange traded index fund that seeks investment results
that, before expenses, generally correspond to the price and yield performance
of the Financial Select Sector Index, which we refer to as the Underlying Index.
There is no assurance that the price and yield performance of the Underlying
Index can be fully matched.
The
Underlying Index is one of nine Select Sector Indices that collectively
represent all of the companies in the S&P 500 Index. The
Underlying Index is compiled by the Index Compilation Agent, Merrill Lynch
Pierce Fenner & Smith, which assigns certain constituent stocks of the
S&P 500 to the Underlying Index. The Underlying Fund holds a
portfolio of all of the equity securities that comprise the Underlying
Index. These are the equity securities of companies from the
following industries: diversified financial services, insurance, commercial
banks, capital markets, thrift & mortgage finance, real estate and consumer
finance.
The
Underlying Fund is called an exchange traded fund because its shares trade
on
the American Stock Exchange, which we refer to as the AMEX, like other equity
securities. The price quotation from market information services for
the ticker symbol "XLF" is the price of one share of the Underlying
Fund. The shares of the Underlying Fund trade on the AMEX at market
prices that may differ to some degree from the net asset value of the Underlying
Fund shares.
You
should read "Public Information Regarding the Underlying Fund" in the
accompanying Pricing Supplement for additional information about the Underlying
Fund.
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.
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 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’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 defaults on its obligations under the Securities.
Any
obligations or Securities sold, offered, or recommended are not deposits
of 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
Underlying Fund falls below the Knock-In Level on any trading day during the
Knock-In Period, you will be exposed to any decline in the price of the
Underlying Fund below the closing price of such Underlying Fund on the
date
the Securities were
priced. Accordingly,
you may lose some
or all of your initial principal investment in the
Securities.
Limited
Return
The
amount payable under the Securities will never
exceed the
original principal amount of the Securities plus the aggregate fixed coupon
payment you earn during the term of the Securities. This means that
you will not benefit from any price appreciation in the Underlying Fund,
nor
will you receive dividends paid on the
Underlying Fund, if any. Accordingly, you will never receive at
maturity an amount greater than a predetermined amount per Security, regardless
of how much the price of the Underlying Fund increases during the
term of
the Securities or on the
Determination Date. The return on a Security may be significantly
less than the return on a direct investment in the Underlying Fund 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 Underlying Fund, 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 Underlying Fund), the investor will not recognize
any gain or loss in respect
of the Put Option, but the
investor’s
tax basis in the Underlying Fund
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.
5