US Wrap: Reverse convertibles vanish from end of week offering

The dominance of reverse convertible structures this week came to an end yesterday, when only a single growth and one kick out structure were issued. Royal Bank of Canada launched the latter, offering investors exposure to the S&P 500 index over 18 months. If the index is at or above its starting level after 18 months, the structure pays a coupon of 14.25%. A 10% downside buffer is incorporated, after which downside participation will be 1:1.

Credit Suisse issued a growth structure which gives 200% participation in upside movements of the Russell 2000 index. The note lasts one year and gives 20% downside protection, while upside returns are capped at 18%.

Issuer

Product type

Underlying

Pricing date

Maturity date

Royal Bank of Canada

Review

S&P 500

Jun 25 2009

Dec 30 2010

Credit Suisse

Accelerated Growth

Russell 2000

Jun 17 2009

Jul 26 2010

Source