ABN Amro prices 30% reverse exchangeables linked to Elan; Rabo plans notes linked to tech stocks

By Sheri Kasprzak

New York, Feb. 26 - ABN Amro Bank NV led structured products news with the pricing of a $2.75 million deal featuring an unusually high coupon of 30%.

Under the terms of the Knock-In Reverse Exchangeable Securities linked to Elan Corp. plc., the three-month notes pay par at maturity unless Elan's American Depositary Receipts fall below the $11.86 knock-in price during the life of the securities and finish below the initial share price of $13.95. In that case, payout will be a number of Elan ADRs equal to $1,00 divided by the initial share price.

The coupon on the notes was actually lifted from the originally announced 29.1%.

On Monday, the company's stock fell 2.74%, or 38 cents, to end at $13.49 (NYSE: ELN).

JPMorgan plans Elan notes

Connected to Elan, JPMorgan Chase & Co. said earlier this month that it plans to price 20% reverse exchangeable notes linked to the company's American Depositary Shares.

Those one-year notes have a 70% protection level and are set to price any day now.

The payout is similar to the ABN Amro offering and investors will receive par unless Elan's stock falls below the protection level during the life of the notes and finishes below the initial share price. Investors will then receive a number of shares equal to $1,000 divided by the initial share price.

Rabo's tech-linked deals

In other structured products news, Rabo Financial Products BV announced plans to price a 11% reverse convertible note linked to the stock of Apple Computer Inc. and an 14.5% reverse convertible linked to the stock of Advanced Micro Devices.

One market source said he feels that the interest in tech companies may be more about the companies themselves than the sector.

"I tend to think investors look at these things for the names, not the sector they happen to be in," he said. "You're looking more at an individual stock than anything else and also what is going on at that company that may shift the stock too far in one direction or another."

Deal terms

The seven-month AMD notes have an 80% protection level and pay par at maturity unless the company's stock trades below the protection level and falls below the initial share price. At that point, the notes pay a number of shares equal to $1,000 divided by the initial share price.

The one-year Apple notes also have an 80% protection level. The payout terms are the same as the AMD notes.

Other similar offerings

Earlier this month, Barclays Bank plc priced $1.5 million in 15% reverse convertibles linked to AMD's stock and JPMorgan announced plans to price a 16% reverse convertible linked to the stock later this month. Royal Bank of Canada also has plans to price a reverse convertible linked to the stock with a 15.5% coupon.

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