Credit Suisse prices $24 million knock-out notes with leveraged return linked to Euro Stoxx 50

By Sheri Kasprzak

New York, Sept. 20 - One of the more interesting offerings announced Thursday came from Credit Suisse AG, Nassau Branch. The investment bank priced $24 million of 0% knock-out notes linked to the Euro Stoxx 50 index.

The notes, which are due Oct. 8, 2013, pay par plus the greater of 118% of the index return and zero if a knock-out event does not occur. A knock-out event occurs if the index's closing level on Oct. 3, 2013 is less than 80% of the initial level.

If a knock-out event does occur, investors will be fully exposed to the index's decline from its initial level.

JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents for the offering.

Euro Stoxx deal priced earlier

The deal is similar to a substantial offering recently priced by Deutsche Bank AG, London Branch. Deutsche Bank priced $429.64 million of 0% knock-out notes due March 19, 2014 linked to the Euro Stoxx 50, according to a 424B2 filing with the Securities and Exchange Commission.

Just as with the Credit Suisse notes, a knock-out event occurs if the index level decreases by more than 20%, but the Deutsche Bank notes' trigger event can happen on any day during the life of the notes.

If a knock-out event does not occur, the payout at maturity will be par plus the index return, subject to a contingent minimum return of 7.6%.

If a knock-out event occurs, the payout will be par plus the index return, with full exposure to any losses.

JPMorgan Chase Bank and J.P. Morgan Securities were the agents.

Morgan plans Euro Stoxx notes

Notes linked to the Euro Stoxx 50 index are becoming more popular. In fact, Morgan Stanley announced its plans Thursday to price autocallable step-up notes linked to the index.

The notes are due Sept. 28, 2032 and pay a contingent monthly coupon if the index closes at or above the 1,800 barrier level on a monthly determination date. The contingent monthly coupon rate is 7% per year for the first five years. It steps up to 8% for years six through 10, to 9% for years 11 through 15 and 15% thereafter.

The notes will be redeemed at par plus the contingent monthly coupon if the index closes at or above the initial index level on any quarterly redemption determination date beginning in September of 2017.

The payout at maturity will be par plus the final contingent monthly coupon.

The notes will be sold through agent Morgan Stanley & Co. LLC. They will price Wednesday.

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