Goldman plans two notes linked to Russian ruble; Credit Suisse to price emerging market-linked notes

By Sheri Kasprzak

New York, Sept. 21 - Jumping on the emerging markets bandwagon this week were Credit Suisse Securities (USA) LLC and Goldman, Sachs & Co.

Credit Suisse plans to price ProNotes linked to a basket of global indexes and exchange rates and Goldman intends to price principal-protected notes linked to Russian ruble/euro and Russian ruble/dollar spot exchange rates on behalf of AB Svensk Exportkredit.

Goldman also plans to price 13-month leveraged notes linked to the Russian ruble/dollar exchange rate and the dollar/euro exchange rate on behalf of Eksportfinans ASA.

"The ruble is amazingly strong right now, near record levels, if I'm not mistaken, so it doesn't surprise me someone would price notes linked to the exchange rate," said one market source when asked about the notes. "At this point, I think the dollar is down against the ruble. Makes sense to me."

"I wouldn't say it's wrong to call it a bandwagon," said another market source when asked about the popularity of notes linked to emerging markets sectors.

"We're working on a few things coming up later in September and on into October, so it's here to stay.

"Obviously there are factors you need to look at. When you deal with [emerging markets] you do deal with some political instability and some economic instability. There are risks with everything but now it's just booming."

5x leverage

The Svensk Exportkredit 13-month notes linked to the ruble basket will pay out at maturity based upon the appreciation or depreciation in the value of the ruble compared to the dollar and the euro, with each exchange rate pair making an equal contribution. Payout will be equal to par multiplied by a percentage equal to 95% plus five times 100 minus the final basket value.

The noteholders will receive at least 95% of par and no more than 115% of par.

2x leverage, no cap

Similarly, Goldman is in the process of pricing 13-month leveraged notes linked to the Russian ruble/dollar exchange rate and the dollar/euro exchange rate for Eksportfinans ASA.

The notes pay par plus a bonus amount and twice par multiplied by the decrease in the Russian ruble/dollar exchange rate divided by the final value of the exchange rate and par multiplied by the percentage decrease in the dollar/euro exchange rate. The size of the bonus will be fixed at pricing. The investors won't receive less than par plus the bonus.

Credit Suisse's notes

Elsewhere, Credit Suisse is gearing up to price 0% ProNotes linked to a basket of global indexes and exchange rates sometime in October.

The basket includes the FTSE/Xinhua China 25 index, the Bovespa Brazil index, the S&P CNX Nifty index, the Brazilian real/dollar spot exchange rate and the Russian ruble/dollar spot exchange rate.

"It is interesting that there are both indexes and exchange rates here," said one market source. "It's not something I've seen too often. Maybe once before.

"My best guess is that's how their client wanted them to structure it. Obviously, when things are weighted a certain way, you want to relieve some of the pressure from one index or exchange or another."

In the case of these notes, each index carries 15% weight and each exchange rate carries 27.5% weight.

If the final basket level is greater than the initial basket level, the payout at maturity will be par plus the return on the basket. The basket return will be multiplied by an additional percentage - between 100% and 118% - to be determined at pricing. If the final basket level is less than or equal to the initial level, the payout at maturity will be par.

Emerging FX linked deal

Also coming from Credit Suisse is an issue of 0% notes linked to a basket of emerging market exchange rates.

The basket, which carries equal weight for each currency, includes the dollar/Brazilian real, dollar/Mexican peso, dollar/Russian ruble and dollar/Turkish lira spot exchange rates.

If the basket finishes at or below the initial basket level and above the participation minimum, which will be determined at pricing and will be between 91.25% and 91.75%, the payout at maturity will be par plus a return equal to 100% minus the participation minimum. If the final basket level falls below the participation minimum, the payout will be par plus a return, which will be 100% minus the percentage change in the basket.

If the basket finishes above the initial basket level, the payout will be par.

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