Volatility boosts Brazilian equity reverse convertible coupons

Annualised coupons offered on three-month reverse convertibles linked to Brazilian blue-chip stocks have soared over the past few months because of the extreme equity volatility environment. A reverse convertible priced in January last year on Companhia Vale do Rio Doce issued at 99% had a barrier of 80% and provided an annualised coupon of 13.89% or a flat rate of 3.55%. The same product priced on November 12 issued at 99% with the same barrier yields an annualised coupon of 71.2%, which is a