ABN AMRO has issued a reverse convertible note linked to a financial sector exchange-traded fund, on the back of a reverse inquiry. The three-month note offers an annualized 14% and return of capital, providing the Financial Select Sector SPDR(R) Fund doesn't drop below 80% of its value at launch. The fund is diversified across financial service firms, including names such as Citigroup and American International Group.
Brian Jones, co-head of private investor products at ABN in New York, described the counterparty as a large retail investor. The structure of the reverse convertible appealed over investing directly in the ETF. The volatility of financial stocks in recent weeks has made the pricing on the note attractive, while the investor likely also views current levels as a good time to get into the sector.