Credit Suisse prices $46.5 million in index-linked Bares; Lehman prices two large deals

By Sheri Kasprzak

New York, March 28 - Credit Suisse (USA), Inc. grabbed structured products headlines Wednesday with an exceptionally large offering for the investment bank when compared with some recent deals.

Credit Suisse has not yet ranked in the top 10 issuers of structured products, as listed in Prospect News's league tables.

In its most recent offerings, Credit Suisse priced $2.495 million in 15.5% reverse convertibles linked to Blockbuster Inc., $1.322 million in 11.5% reverse convertibles linked to Harmony Gold Mining Co. Ltd. and $1.559 million in reverse convertible notes linked to Intercontinental Exchange, Inc.

The investment bank did not wish to comment on the $46.514 million Buffered Accelerated Return equity Securities.

The four-year securities include the S&P 500 with 70% weight, the Russell 2000 index with a 10% weight, the Dow Jones Euro Stoxx 50 index with an 8% weight, the Nikkei 225 index with a 5% weight, the FTSE 100 index with a 5% weight and the S&P/ASX 200 index with a 2% weight.

Payout at maturity will be par plus 116% of any percentage increase in the basket level. If the basket declines by no more than 20%, payout will be par. Investors can expect to lose 1% for each 1% drop beyond 20%.

Lehman Brothers' deals

Elsewhere in the market Wednesday, Lehman Brothers Holdings Inc. priced a $32 million issue of zero-coupon principal-protected notes linked to an index basket and $23.5 million in 0% performance securities with partial protection linked to another basket of indexes.

One market source not affiliated with the offerings said he does feel that Lehman is branching into a more standardized nomenclature environment for its offerings.

"They're really the first [investment bank] to adopt the SPA's [Structured Products Association] rules for standardization," said the market source. "I still think it will take a while before the rest of the market gets there but this is the kind of thing we can expect to see once others do adopt it. I personally think it's a move in the right direction."

The offerings priced a day after the SPA's annual conference was held in New York. Standardization of product names was a major theme for the conference.

The offerings also indicate that Lehman is moving into a more open architecture-oriented environment, using UBS Financial Services Inc. as an underwriter in addition to Lehman Brothers Inc.

Terms of the offerings

In the $32 million offering, the four-year notes are linked to a 33.34% weight of the S&P 500 index, a 33.33% weight of the Dow Jones Euro Stoxx 50 index and a 33.33% weight of the Nikkei 225 index.

The payout on the notes will be par plus 109.4% of any percentage increase in the basket level. Investors will receive at least par at maturity.

The $23.5 million notes pay par plus 119.6% of any percentage increase in the basket level. Payout will be par if the level remains flat or declines by no more than 20%. Investors will lose 1% for every 1% decline beyond 20%.

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