Barclays plans 14.8% notes linked to GameStop; JPMorgan prices 10.5%, 10% notes tied to Delta

By Sheri Kasprzak

New York, Oct. 14 – Barclays Bank plc intends to offer 14.8% annualized reverse convertibles linked to the stock of GameStop Corp., according to a filing with the Securities and Exchange Commission.

One market source on Tuesday noted the high coupon.

“Clearly there’s a higher risk associated with that particular stock,” said the market insider, who was not connected to the deal.

“If this stock has been volatile, the harder it is to gauge where exactly it might end up in another four months.”

The notes are due Feb. 2, 2015 and pay par in cash at maturity unless the stock falls below 75% of the initial price during the life of the notes and finishes below the initial price, in which case the payout will be a number of shares equal to $1,000 divided by the initial price.

Pricing is expected Oct. 28.

On Tuesday, GameStop’s stock closed unchanged at $37.20 (NYSE: GME). In June, shares of GameStop were trading around $41.00 per share. In late July, the stock traded around $46.00 per share, a three-month high, before plummeting to Friday’s low of $37.20.

Delta notes price

Two more offerings with large coupons were announced during the day. JPMorgan Chase & Co. priced $698,000 of 10.5% upside autocallable reverse exchangeable notes due Oct. 15, 2015 linked to the common stock of Delta Air Lines, Inc.

Interest is payable monthly.

The notes will be called at par if Delta Air Lines stock closes at or above the initial share price on April 9 or July 9, 2015.

If the notes are not called, the payout at maturity will be par unless the final share price is less than the buffer level, 72.5% of the initial share price, in which case the payout will be a number of Delta Air Lines shares equal to $1,000 divided by the initial share price or, at the issuer’s option, a cash amount equal to the value of those shares.

JPMorgan also priced $2.22 million of 10% upside autocallable reverse exchangeable notes due Oct. 16, 2015 linked to Delta stock. Compared to the other issue, this issue has a slightly smaller coupon and a slightly larger buffer.

Interest is payable monthly.

The notes will be called at par if Delta Air Lines stock closes at or above the initial share price on April 10 or July 10, 2015.

If the notes are not called, the payout at maturity will be par unless the final share price is less than the buffer level, 70% of the initial share price, in which case the payout will be a number of Delta Air Lines shares equal to $1,000 divided by the initial share price or, at the issuer’s option, a cash amount equal to the value of those shares.

J.P. Morgan Securities LLC is the agent for both deals.

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