Volatility lifts reverse convertible coupons; Natixis looks at notes linked to InterOil; Barclays plans commodity deal

By LLuvia Mares and Sheri Kasprzak

New York, Nov. 5 - One market insider said Monday that increased volatility in the broader stock market is likely the culprit for some reverse convertibles with exceptionally high coupons announced recently.

"The market is volatile in general," he said. "Some stocks are more volatile than others and that's where you're going to get those big coupons."

On Monday, Natixis announced plans to price a large slate of reverse convertibles for Eksportfinans ASA, including among the notably big coupons an offering of 33.1% notes linked to InterOil Corp. and 32% notes linked to Force Protection, Inc. Both notes have a 65% knock-in level and four-month terms.

The notes pay par at maturity unless the stock closes below the knock-in level during the life of the notes and ends below the initial share price. The notes then pay a number of shares equal to $1,000 divided by the initial share price.

Eksportfinans also plans to price 23% notes linked to Taser International, Inc. with a 70% knock-in level and a four-month term, as well as Baidu.com, Inc. with a 22% coupon and a six-month term. The slate of notes also includes a 23.65% deal linked to Companhia Vale do Rio Doce with an 80% knock-in level and a four-month term.

Barclays to price commodity-linked notes

The demand for notes linked to commodities continues to be a hot choice for investors according to one market observer.

According to the observer, one example is Barclays Bank plc, which plans to price 0% SuperTrack notes due May 21, 2012 linked to a basket of commodities, according to an FWP filing with the Securities and Exchange Commission.

"We are seeing more principal-protected notes linked to all asset classes," he said.

The basket contains equal weights of coal, gasoline RBOB, heating oil and WTI crude oil.

Payout at maturity will be par plus 150% of any basket gain. Investors will receive at least par.

The notes are expected to price on Nov. 16 and settle on Nov. 21.

Barclays Capital is the agent.

SG sells 3% SynConvs on GE

In a different but interesting convertible deal, Societe Generale, New York Branch priced $5 million of 3% SynConvs notes due Nov. 10, 2011 linked to General Electric Co. stock. The notes have a straight rather than reverse linkage to the underlier.

Holders may convert the securities into General Electric stock at a conversion price of $41.03 per share, equivalent to an exchange ratio of 24.37.

The payout at maturity will be the exchange ratio times the final price of General Electric stock, subject to a floor of par.

The notes are callable from Nov. 10, 2009 through 10 trading days before the final valuation date, Nov. 3, 2011. The redemption amount will be the exchange ratio times the price of General Electric stock ten trading days after the notice of redemption.

Societe Generale Americas Securities is the agent.

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