Published on 5/13/2009 in the Prospect News Structured Products Daily.
New Issue: ABN Amro prices $0.72 million 26% reverse convertibles linked to Capital One
New York, May 13 - ABN Amro Bank NV priced $0.72 million of 26% Knock-In Reverse Exchangeable notes due Aug. 17, 2009 linked to Capital One Financial Corp. shares, according to a 424B2 filing with the Securities and Exchange Commission.
Payout at maturity will be par in cash unless Capital One shares fall below the protection price of $15.29, 60% of the initial price of $25.49, during the life of the notes and finish below the initial price in which case the payout will be 39.231 shares of Capital One stock.
ABN Amro Inc. is the agent.
Issuer: | ABN Amro Bank NV
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Issue: | Knock-In Reverse Exchangeable notes
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Underlying stock: | Capital One Financial Corp. (Symbol: COF)
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Amount: | $0.72 million
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Maturity: | Aug. 17, 2009
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Coupon: | 26%, payable monthly
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Price: | Par
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Payout at maturity: | Par in cash unless Capital One shares fall below the protection price of $15.29, 60% of the initial price, and finish below the initial price, in which case 39.231 shares of Capital One stock
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Initial price: | $25.49
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Protection price: | $15.29, 60% of $25.49
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Exchange ratio: | 39.231
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Pricing date: | May 12
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Settlement date: | May 15
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Agent: | ABN Amro Inc.
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Fees: | 2.75%
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