Citi prices $20.76 million notes linked to S&P; Credit Suisse brings two Bares tied to indexes

By Sheri Kasprzak

New York, April 14 – It was another subdued day for structured products pricing action, headlined by a significant deal from Citigroup Inc.

The issuer priced $20.76 million of zero-coupon buffered notes linked to the S&P 500 index. The notes are due Feb. 15, 2018 and pay par plus 140% of the index return at maturity if the index return is positive. Investors receive par if the index falls by up to 15% and will lose 1.1765% for every 1% decline beyond 15%.

Citigroup Global Markets Inc. was the agent for the deal.

Credit Suisse offers two

Elsewhere in pricing action, Credit Suisse AG, London branch hit the market with two issues of Buffered Accelerated Return Equity Securities.

The largest deal was $2.77 million of zero-coupon Bares linked to the S&P 500 due May 17, 2017.

If the index return is positive, the payout at maturity will be par plus 250% of the index return, subject to a maximum payout of par plus 12.05%. Investors receive par if the index falls by up to 5% and lose 1% for every 1% decline in the index beyond 5%.

Also during the session, Credit Suisse priced $1.4 million of zero-coupon Bares linked to the Russell 2000 index.

Those bonds are due July 1, 2017 and pay par plus 250% of the index return, subject to a maximum payout of par plus 17.2%, assuming the index return is positive. If the index falls by up to 5%, investors receive par, and investors will lose 1% for every 1% decline beyond 5%.

Credit Suisse Securities (USA) LLC was the underwriter for both deals.

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