Credit Suisse prices three reverse convertibles linked to Level 3; RBC, JPMorgan price bearish notes

By Sheri Kasprzak

New York, Jan. 31 - Credit Suisse (USA), Inc. announced two more reverse convertible offerings linked to Level 3 Communications, Inc. on Wednesday, coming on top of the deal tied to the same issuer announced Tuesday.

The investment bank priced a $2 million offering of 14.7% notes and a $1 million offering of 22.6% notes linked to the stock Tuesday preceded by a $1 million offering of 22.5% notes on Monday.

Level 3's stock, according to a source familiar with the notes, has been trading range-bound over the past week or two.

"It's been pretty tight," said the source. "In the $6.00 range more or less."

Throughout January, the stock has traded between $5.54 and $6.53. Between Jan. 18 and Jan. 30, the stock traded between $5.85 and $6.10, trading mostly between $6.00 and $6.10, dipping to $5.85 on Jan. 23, to $5.93 on Jan. 22 and to $5.87 on Jan. 19.

On Wednesday, the stock gained 9 cents to end at $6.20 but lost 3 cents in after-hours activity (Nasdaq: LVLT).

Terms of the notes

The 14.7%, one-year notes pay par at maturity unless Level 3's stock falls below the 60% knock-in level, at which time the notes pay a number of shares equal to $1,000 divided by the initial share price.

The 22.5% notes, due in four months, pay par at maturity and also carry an 80% knock-in level.

The 22.6% notes, also due in four months, pay par at maturity and also carry an 80% knock-in level.

The notes are distributed by FIS Securities, Inc.

RBC, JPMorgan prices bearish deals

Elsewhere in structured products news, Royal Bank of Canada and JPMorgan Chase & Co. both came out with two bearish note offerings this week.

RBC negotiated the terms of a $1.125 million offering of 0% bearish buffered equity investment notes linked to a basket of indexes and JPMorgan an $85,000 offering of 12% bearish reverse exchangeable notes linked to a basket of financial services stocks.

The RBC basket includes equal weights of the Dow Jones Industrial Average, the Nasdaq 100, the Russell 200 and the S&P 500 indexes.

If the final basket is less than the initial basket, payout is par plus the absolute value of the basket decline. If the final basket has increased by 30%, payout is par. Investors can expect to lose 1% for every 1% basket advance beyond 30%.

JPMorgan's notes

JPMorgan priced bearish reverse exchangeable notes linked to the best-performing stock in a basket that includes Wells Fargo & Co., Fifth Third Bancorp and Countrywide Financial Corp.

Investors can expect to receive par at maturity unless the final price of any stock is greater than its initial level and has closed at or above 130% of the initial level any time during the life of the notes. If the trigger is reached on any of the stocks, the investors will receive par minus the gain on the best-performing stock with a floor of zero.

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