By Laura Lutz
Des Moines, Sept. 14 - ABN Amro Bank NV priced $1.5 million of 24% Knock-in Reverse Exchangeable Securities due March 17, 2008 linked to the worst-performing common stock in a financial stock basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the common stocks of Goldman Sachs Group, Inc.; Lehman Brothers Holdings Inc.; Merrill Lynch & Co., Inc.; and Morgan Stanley.
Interest is payable monthly.
If the daily closing price of each common stock stays above its knock-in level - 60% of its initial level - during the life of the notes and finishes above its initial level the payout at maturity will be par.
Otherwise, the payout will be a number of shares of the worst-performing stock equal to $1,000 divided by the initial price of that stock.
ABN Amro Inc. is the underwriter.
| Issuer: | ABN Amro Bank NV
|
| Issue: | Knock-in Reverse Exchangeable Securities
|
| Underlying basket: | Goldman Sachs Group, Inc.; Lehman Brothers Holdings Inc.; Merrill Lynch & Co., Inc.; Morgan Stanley
|
| Amount: | $1.5 million
|
| Maturity: | March 17, 2008
|
| Coupon: | 24%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par if daily closing price of each stock stays above knock-in level during life of notes and finishes above its initial level; otherwise, number of shares of worst-performing stock equal to $1,000 divided by the initial price of that stock
|
| Initial levels: | $177.81 for Goldman Sachs; $54.35 for Lehman Brothers; $74.00 for Merrill Lynch; $62.56 for Morgan Stanley
|
| Knock-in levels: | 60% of initial levels; $106.686 for Goldman Sachs; $32.61 for Lehman Brothers; $44.40 for Merrill Lynch; $37.536 for Morgan Stanley
|
| Exchange ratios: | 5.624 for Goldman Sachs; 18.399 for Lehman Brothers; 13.514 for Merrill Lynch; 15.985 for Morgan Stanley
|
| Pricing date: | Sept. 5
|
| Settlement date: | Sept. 17
|
| Agent: | ABN Amro Inc.
|
| Fees: | 2.5%
|
| Distribution: | Off shelf
|
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