Eksportfinans sells reverse convertibles tied to oil; Credit Suisse notes linked to bank

By Sheri Kasprzak

New York, June 11 - A new structured products offering from Eksportfinans ASA got at least one market insider talking Thursday.

The bank sold $6.19 million in reverse convertible notes linked to the PHLX Oil Service Sector index through Morgan Stanley & Co. Inc.

"It's not something you see every day," said one market insider.

"In fact, I don't think I've ever seen [reverse convertibles] linked to an index. But this is an evolving market and it's a market that is open to a wide variety of structures and underlyers. It's new to me, but it's certainly doable."

The 6.65% notes have a six-month term and pay par unless the index falls to or below the knock-in level, which is 70% of the initial level, during the life of the notes and finishes below the initial level. Should that happen, the investors receive par minus the index decline.

Credit Suisse's Brazilian bank notes

Elsewhere on Thursday, Credit Suisse, Nassau Branch plans to bring to market optimal entry return enhanced notes linked to American Depositary Shares of Itau Unibanco Holding SA, the third-largest privately held bank in Brazil.

"I would say this is a pretty specialized deal," noted one sellside source reached during the day.

"An investor more than likely wanted to invest in this bank, and this is a safe way to go about it."

The 15-month notes pay triple par, subject to a maximum return of 29.7%, assuming the final share price is greater than the lookback price - the lowest closing price during the observation period. If the share price is less than the lowest closing price during the observation period, investors could lose 1% for every 1% the final share price declines from the lookback share price.

The notes are expected to price Friday.

Asian index-linked notes

In other news from Credit Suisse, the bank is expected to price buffered return enhanced notes linked to a basket of several Asian indexes and currencies, said a free-writing prospectus from the Securities and Exchange Commission.

The basket includes the Hang Seng China Enterprises index, the Kospi 200 index, the MSCI Taiwan index, the Hang Seng index and the MSCI Singapore index, as well as related Asian currencies, including the Hong Kong dollar, Korean won, Taiwan dollar and Singapore dollar.

The notes weight the indexes and the corresponding currency together. The Hang Seng China Enterprises index and the Hong Kong dollar comprise 34% weighting in the basket. The Kospi 200 and the Korean won comprise 21%, the MSCI Taiwan index and the Taiwan dollar comprise 22% and the Hang Seng index and the Hong Kong dollar comprise 15%. The MSCI Singapore and the Singapore dollar comprise 8%.

The notes pay out twice the appreciation of the basket of indexes multiplied by the performance of their respective currencies relative to the U.S. dollar, up to a 21% maximum return. If the basket declines by more than 10%, the investors will lose 1.1111% of their investment for every 1% the basket declines by more than the 0.9 buffer.

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