ABN Amro prices 29.25% reverse convertibles linked to MBIA, RBC plans MBIA-linked notes

By Sheri Kasprzak

New York, Dec. 10 - ABN Amro led structured products news Monday with an $850,000 offering of 29.25% reverse convertibles linked to the stock of MBIA Inc.

The news comes after the bond insurance company said it expects significantly higher losses from the securities it guarantees - and faces a downgrade of its AAA rating by Moody's Investors Service.

On Monday, Warburg Pincus agreed to buy $500 million in MBIA's stock at $31.00 a share.

The one-year notes pay par at maturity unless the stock falls below the 60% knock-in level during the life of the notes or ends below the initial stock price - $29.84.

If that should happen, the notes pay a number of shares equal to $1,000 divided by the initial share price.

Royal Bank of Canada also has an issue of reverse convertibles linked to MBIA.

These notes have a three-month term and have a coupon of 24.65%. The knock-in level for those notes is 65%.

The notes pay par unless the stock falls below the knock-in level during the life of the notes and ends below the initial share price.

RBC's high-coupon reverse convertibles

In other news, Royal Bank of Canada plans to price several offerings with high coupons this month.

Among the offerings is a 37.9% note linked to Fannie Mae, a 30.9% note linked to Garmin Ltd. and a 29.45% note linked to Sovereign Bancorp.

The 37.9% notes linked to Fannie Mae have a three-month term and pay par at maturity unless the stock falls below the 75% knock-in level during the life of the notes and ends below the initial share price.

Should that happen, the notes pay a number of shares equal to $1,000 divided by the initial share price.

The three-month, 30.9% Garmin-linked notes also pay par at maturity unless the stock falls below the 75% knock-in level.

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

The Sovereign-linked notes also have a three-month term and a knock-in level of 75%. The notes pay par at maturity unless the stock falls below the knock-in level during the life of the notes and ends below the initial share price. The notes will then pay a number of shares equal to $1,000 divided by the initial share price.

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