US Wrap: ABN Amro continues slow trickle of reverse convertibles

ABN Amro is continuing its slow and steady release of reverse convertible notes into the US market, launching a structure linked to General Electric stock. It pays an annualised rate of 9%, with a barrier of 70%. If the stock falls below this barrier and fails to recover to its initial value by the product's three-month maturity, then capital loss will be 1:1.

Only one other product accompanied the note, which was an accelerated growth product launched by JP Morgan. The two-year note offers exposure to the iShares MSCI Eafe index fund at a rate of 200%, with a downside buffer of 10%. Upside will be capped at between 28-33%.


Product type


Pricing date

Maturity date

JP Morgan Chase

Accelerated Growth

iShares MSCI Eafe Index Fund


Aug 31 2011

ABN Amro

Reverse Convertible

General Electric

Jul 27 2009

Oct 30 2009

Source: Future Value Consultants &

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