Barclays prices reverse convertibles with high coupons; Svensk prices $32.97 million index-linked notes

By Sheri Kasprzak

New York, Nov. 21 - With a trend this week towards reverse convertibles with bigger coupons, Barclays Bank plc priced three reverse convertibles with coupons at 19% or higher.

"There has been a trend towards higher coupons, but I think it's pretty short-lived," said one equity structurer when asked about why so many reverse convertibles are being priced with substantial coupons.

"I think it's a function of the market in general. You were talking about [stock] volatility. You're more likely to have volatile stocks when the [stock] market in general is experiencing volatility. I think that just stands to reason."

The market source noted that volatility in the broader stock market is settling a bit, so coupons may be heading southward soon.

Barclays' notes

Even so, Barclays jumped on the high-coupon bandwagon Tuesday, pricing a $1 million offering of 19% reverse convertibles linked to MEMC Electronic Materials, $3 million in 19.75% reverse convertibles linked to Ciena Corp. and $2 million in 20% reverse convertibles linked to Elan Corp.

All three notes have an 80% protection price and are three-month notes.

Other notes linked to Elan have had similar coupons. Back in October, LaSalle Financial Products Inc. priced 20% knock-in reverse convertibles linked to Elan for Rabo Financial Products BV. Rabo also priced another issue of 20% knock-in reverse convertibles linked to Elan in September.

Svensk prices index-linked notes

Elsewhere in structured products news, AB Svensk Exportkredit priced $32.965 million in two-year notes linked to the S&P 500 and Russell 2000 indexes.

"There's been a lot of hoopla over the Dow [Jones Industrial Average] but no one is really looking at the fact that the S&P has really taken off and there's something to be said for that," said one market source.

"I'd expect to see a lot of stuff linked to the S&P [500] coming up."

The S&P is the long index and the Russell the short.

If the percentage increase of the long index exceeds that of the short index, holders will receive par plus triple the amount by which the long performance exceeds the short performance, capped at 38.1%.

Holders will participate in any decline determined according to the percentage by which the Russell 2000 outperforms the S&P 100, capped at 12.7%.

Other S&P-linked notes

Coming up, a variety of notes will be linked just to the S&P 500 index, apart from a basket.

Deutsche Bank Securities Inc. said it intends to price 0% buffered underlying securities linked to the index on behalf of Eksportfinans ASA

Deutsche also plans to price 0% double-opportunity notes linked to the index on Nov. 28 and JPMorgan Chase & Co. plans to price seven-year 0% principal-protected notes linked to the S&P 500 on Nov. 27.

Earlier this week, ABN Amro NV priced $3.5 million in 0% index outperformance notes linked to the S&P 500.

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