Credit Suisse plans another currency-linked product; Morgan Stanley prices $410 million S&P-linked offer

By Kenneth Lim

Boston, Jan. 3 - Emerging-market currencies entered into the spotlight on Wednesday with a number of structured foreign exchange-linked products offered, while Morgan Stanley led the deals with a $410 million index-linked issue.

Continuing a trend of issues linked to emerging markets, Credit Suisse (USA) Inc. announced an offering of zero-coupon notes due July 29, 2008 linked to a basket of eight currencies. The currencies are the Thai baht, the Chinese yuan, the Singapore dollar, the South African rand, the Swiss franc, the Canadian dollar, the euro and the Czech koruna.

"Interest for Asia has been strong for some time," a product structurer said.

Credit Suisse's deal will pay par plus a return that increases if the baht, yuan, Singapore dollar or rand strengthen against the dollar, and that decreases if the franc, Canadian dollar, euro or koruna strengthen against the dollar.

Credit Suisse offered a similar product that priced Dec. 21. That $7.704 million issue matures on June 30, 2008, but otherwise had the same structure.

Other emerging market currencies-linked products currently in the market include UBS AG's zero-coupon notes due Jan. 30, 2009, linked to the dollar/Brazilian real spot rate, dollar/Russian ruble spot rate, dollar/Indian rupee spot rate and dollar/yuan spot rate.

Royal Bank of Canada also recently priced $2.886 million of zero-coupon notes due Dec. 29, 2009, tied to a commodities basket of aluminum, copper, nickel and zinc, and a currency basket of the yuan, rupee and South Korean won.

Morgan Stanley prices large deal

Morgan Stanley, meanwhile, priced a $409.969 million issue of 0% notes due July 7, 2008 in the Bear Market PLUS (Performance Leveraged Upside Securities) structure linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index level is less than the initial index level, the payout at maturity will be par plus 392% of the absolute value of the decline in the index. The payout will be capped at $1,588 per $1,000 PLUS.

The payout will be par if the index increases by 7% or less, and investors will lose 1% for each 1% the index advances beyond 7%.

Morgan Stanley on Dec. 26 also announced plans for a series of 0% notes due Feb. 20, 2008 in the PLUS structure. But that series of notes will pay par plus double any positive return on the Dow Jones Industrial Average Index, with the payout capped at between $10.50 and $12.50 per $10 security. Investors will participate fully in any loss.

Eksportfinans plans more reverse converts

Eksportfinans ASA continues to roll out more reverse convertibles. The bank has filed a product supplement for reverse convertibles linked to reference shares that it plans to sell from time to time through Deutsche Bank Securities and IXIS Securities North America.

The reference share, interest rate, knock-in level and agent will be specified in the terms supplement for each offeing.

Eric Miller, managing director for structured products marketing at IXIS, explained that the filing will ease matters for Eksportfinans, its distributors and their clients because it allows selling of multiple notes under one free-writing prospectus.

Miller said Eksportfinans's offerings have appealed to regional broker-dealers.

"Their AAA U.S. registered shelf along with our structuring capabilities have made for a strong combination," Miller said. "I think it also helps that IXIS and Eksportfinans don't represent competition to the broker/dealers we are selling to."

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