Filed
pursuant to Rule
433
December
5,
2007
Relating
to Preliminary Pricing
Supplement No. 402
to
Registration
Statement Nos. 333-137691,
333-137691-02
Dated
September 29,
2006
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ABN
AMRO Bank N.V. Reverse Exchangeable Securities
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Preliminary
Pricing Sheet
–
December 5,
2007
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8.75%
(PER
ANNUM),
ONE
YEAR
American
International Group, Inc. KNOCK-IN
REXSM
SECURITIES
DUE
DECEMBER
10,
2008
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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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8.75%
(Per Annum), One Year
Reverse Exchangeable Securities due December 10, 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 10th
day of each month starting on
January 10, 2008 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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American
International Group,
Inc.
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AIG
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8.75%
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4.36%
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4.39%
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50%
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00078U2V1
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US00078U2V14
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Denomination/Principal:
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$1,000
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Issue
Size:
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USD
3,250,000
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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
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.
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Initial
Price:
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58.15
USD (100% of the Closing
Price per Underlying Share on the Trade Date)
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Stock
Redemption
Amount:
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17.197
shares of the Underlying
Stock per $1,000 principal amount of Securities (Denomination divided
by
the Initial Price)
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Knock-In
Level:
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29.08
USD (50% of the Initial
Price)
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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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December
5, 2007 subject to
certain adjustments as described in the related pricing
supplement
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Settlement
Date:
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December
10,
2007
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Determination
Date:
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December
5, 2008 subject to
certain adjustments as described in the related pricing
supplement
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Maturity
Date:
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December
10, 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 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?
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