Calyon plans 16.2% reverse convertibles linked to Peabody Energy via JVB

By Angela McDaniels

Seattle, Nov. 2 - Calyon plans to price an issue of reverse convertible notes due Feb. 27, 2007 linked to Peabody Energy Corp. shares via JVB Financial Group, LLC, according to a term sheet.

The three-month notes will pay 1.35% monthly for an annualized rate of 16.2%.

The notes will price on Nov. 21 and settle on Nov. 27.

The payout at maturity will be par unless Peabody Energy stock hits the barrier price - 80% of the initial share price - during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Peabody Energy shares equal to $1,000 divided by the initial share price.

Calyon Securities (USA) Inc. will be the dealer.

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