ABN Amro to price reverse exchangeables linked to worst-performing Dow stock

By Sheri Kasprzak

New York, April 20 - ABN Amro Bank NV led structured products news to close out the week with word that it plans to price 20% reverse exchangeable notes linked to the worst-performing of 30 stocks listed on the Dow Jones Industrial Average.

The notes are remarkably similar to the "Dogs of the Dow" reverse convertible notes that are proprietary to Eksportfinans ASA - via agent Natixis - except that the ABN Amro notes include 30 reference stocks and the Dogs of the Dow notes include 10 stocks.

"I don't know that they're patterned after the Dogs of the Dow, but the structure is similar," said one market source. "This market can be kind of a free-for-all in some ways so I think if some issuer sees something that looks interesting, they're free to try it and see if it works. Structures like this, of course, are nothing new."

The structure, in fact, is a repeat for ABN Amro. The bank priced $1.6 million in 20% knock-in reverse exchangeables linked to the worst-performing Dow stock earlier this week.

The knock-in level on those notes is 70%.

Deal terms

The ABN Amro notes are linked to Alcoa Inc.; American International Group, Inc.; American Express Co.; The Boeing Co.; Citigroup Inc.; Caterpillar Inc.; E.I. du Pont de Nemours and Co.; The Walt Disney Co.; General Electric Co.; General Motors Corp.; Intel Corp.; Johnson & Johnson Inc.; JPMorgan Chase & Co.; The Coca-Cola Co.; McDonalds Corp.; 3M Corp.; United Technologies Corp.; Altria Group INc.; Merck & Co., Inc.; Microsoft Corp.; Pfizer Inc.; The Proctor & Gamble Co.; AT&T Corp.; Verizon Communications Inc.; Wal-Mart Stores, Inc.; and Exxon Mobil Corp.

If the closing price of each of the underlying stocks has not fallen below the 75% knock-in level on any trading day during the knock-in period, the investors will receive par. If the closing price of any one or more of the underlying stocks falls below the knock-in level during the knock-in period, the investors will receive a number of shares equal of the worst-performing stock equal to par divided by the initial price, with a cap of par in cash.

Dogs of the Dow notes

Earlier this month, Eksportfinans announced plans to price 17.75% reverse convertibles linked to the "Dogs of the Dow for April 2007" through Natixis Securities North America Inc.

The Dogs of the Dow notes are linked to Pfizer Inc., Verizon Communications Inc., Altria Group, Inc., AT&T Inc., Citigroup Inc., Merck & Co., Inc., General Motors Corp., E.I. du Pont de Nemours and Co., General Electric Co. and The Coca-Cola Co.

Those notes are set to price April 25.

The one-year notes pay par unless any basket stock falls below its knock-in price - 65% of its initial share price - during the life of the notes and finishes below its initial share price, in which case the payout will be a number of shares of the least-performing stock equal to $1,000 divided by its initial share price.

ABN Amro's 13% reverse exchangeables

In other reverse exchangeables news, ABN Amro announced plans to price 13% reverse exchangeable notes linked to Deere & Co.

The six-month notes pay par at maturity unless the stock falls below the 90% knock-in level over the life of the notes and finishes below the initial share price.

Then the notes will pay a number of shares equal to $1,000 divided by the initial share price.

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