US Wrap: ABN cuts in to reverse convertible space
ABN Amro has joined the latest bout of reverse convertible issuance kicked off by Barclays earlier this week. The Dutch bank has launched five notes, one of which is a three-month product linked to the stock of Intuitive Surgical that offers a 23% annualised coupon with an 80% stock conversion barrier. ABN Amro released an Intuitive Surgical trade 12 months ago that featured a one-year maturity, an 11% annualised coupon and a lower downside barrier of 55%. The stock has fallen 45% since the note's issue.
The week's other structure of choice - accelerated growth - also made an appearance, this time from Morgan Stanley. The bank has issued a note that offers 150% participation in the S&P 500 index over two years, subject to a cap of 76-79% and including a 70% soft protection barrier.
Issuer
Product type
Underlying
Pricing date
Maturity date
Morgan Stanley
Accelerated growth
S&P 500
May 2009
May 2011
ABN Amro
Reverse convertible
Home Depot
May 13, 2009
Nov 18, 2009
ABN Amro
Reverse convertible
Target
May 13, 2009
Nov
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