Unassociated Document
Filed
pursuant to Rule 433
July
25,
2007
Relating
to Preliminary Pricing Supplement No. 196 to
Registration
Statement Nos. 333-137691, 333-137691-02
Dated
September 29, 2006
|
ABN
AMRO Bank N.V. Reverse Exchangeable
Securities
|
|
17.75%
(ANNUALIZED)
THREE MONTH
ARCH
COAL,
INC. KNOCK-IN
REXSM
SECURITIES
DUE
NOVEMBER
2,
2007
|
|
OFFERING
PERIOD:
JULY
25, 2007 – JULY
27, 2007
|
|
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:
|
This
prospectus relates to one offering of securities (the "Securities").
Each
Security offered is linked
to one
and only one, Underlying Stock. The Underlying Stock is set forth
in the
table below.
|
|
Interest
Payment Dates:
|
Interest
on
the Securities is payable monthly in arrears on the 3rd day
of each
month starting on September
3,
2007 and ending on the Maturity Date
|
|
Underlying
Stock
|
Ticker
|
|
|
|
|
|
ISIN
|
|
Arch
Coal,
Inc.
|
|
|
5.26%
|
|
|
|
|
| |
*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
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.
|
|
Initial
Price:
|
100%
of the
Closing Price of the Underlying Stock on the Pricing
Date.
|
|
Stock
Redemption Amount:
|
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.
|
|
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:
|
|
|
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:
|
July
27, 2007
subject to certain adjustments as described in the related pricing
supplement
|
|
Settlement
Date:
|
August
3,
2007
|
|
Determination
Date:
|
October
29,
2007 subject to certain adjustments as described in the related pricing
supplement
|
|
Maturity
Date:
|
November
2,
2007 (Three Month)
|
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.
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 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
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:
|
•
|
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
|
|
•
|
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.
|
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,
investorsmay
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