US Wrap: Citi offers up two reverse convertible trades

Citi has joined in the slow but steady trickle of reverse convertibles coming into the US market. The bank has issued two notes, one offering exposure to the stock of mining company Vale, and the other to General Electric (GE). The structures are more long-term plays than the usual reverse convertibles, each having a maturity of one year. Both will pay annualised coupons of 10-13%, with a 70% barrier for the GE note and 65% for the Vale note.

ABN Amro contributed another single reverse convertible to the market, linked to Las Vegas Sands group, offering a juicy headline rate of 25.2% annualised over six months. The note appeared alongside a more cautious autocallable play on the S&P 500 which will kick out with a return of 16% after two years provided that the index is at 100% of its value at product open. It incorporates a 20% downside buffer, after which capital loss will be 1:1.

Credit Suisse turned to oil services exposure for