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ABN
AMRO Bank N.V. Reverse Exchangeable Securities
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Pricing
Sheet –
January 4,
2008
12.75%
(PER
ANNUM),
ONE
YEAR
The
Goldman Sachs Group, Inc.
KNOCK-IN
REXSM
SECURITIES
DUE
JANUARY
9,
2009
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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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12.75%
(Per Annum), One Year
Reverse Exchangeable Securities due January 9, 2009 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
February 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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The
Goldman Sachs Group,
Inc.
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GS
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12.75%
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4.09%
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8.66%
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70%
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00078U6J4
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US00078U6J40
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Denomination/Principal:
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$1,000
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Issue
Size:
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USD
800,000
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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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USD
199.93 (100% of the Closing
Price per Underlying Share on the Trade Date)
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Stock
Redemption
Amount:
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5.002
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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USD
139.95 (70% 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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January
4, 2008 subject to certain
adjustments as described in the related pricing
supplement
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Settlement
Date:
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January
10,
2008
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Determination
Date:
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January
6, 2009 subject to certain
adjustments as described in the related pricing
supplement
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Maturity
Date:
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January
9, 2009 (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=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.
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 pricing sheet,
which
will be the fourth Business Day following the Pricing Date of the Securities
(this settlement cycle being referred to as “T+4”). 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 will be required, by virtue of the fact
that
the Securities initially will settle in T+4, 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
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