Citigroup prices $65.69 million ELKS linked to Yahoo!, $60.36 million ELKS linked to Hess

By Sheri Kasprzak

New York, June 27 - Citigroup Funding Inc. priced two sizable Equity LinKed Securities offerings.

The investment bank priced $65.69 million in 12.5% ELKS linked to Yahoo! Inc. and $60.36 million in 9% ELKS linked to Hess Corp.

The payout on the Yahoo!-linked notes is par at maturity unless the stock falls by 20% or more during the life of the notes. If that should happen, the notes pay a number of shares equal to $10.00 divided by the initial share price. The Yahoo! notes have a six-month term.

The Hess-linked notes also pay par at maturity unless the stock falls by 20% or more during the life of the notes. The notes will then pay a number of shares equal to $10.00 divided by the initial share price. Those notes have a one-year term.

Stock performance

Yahoo!'s stock traded between $26.98 - on June 7 - and $28.78 - on June 1. On Tuesday, the stock ended at $27.71.

Hess's stock has traded between $56.63 on June 26 and $60.48 on June 4.

Deutsche's index-linked notes

Also among substantially sized deals Wednesday, Deutsche Bank AG, London Branch priced $33.495 million in principal-protected notes linked to an index basket that includes equal weights of the S&P 500, Dow Jones Euro Stoxx 50 and Nikkei 225 indexes.

"That is actually the most common structure when it comes to indexes," said one market source. "It's a pretty safe structure, the indexes are well established, well known."

The notes pay par times the basket return times the participation rate, which is equal to 109.65%, at maturity if the basket return is positive.

If the basket return is negative at maturity, the investors will receive par.

Index performance

The S&P 500 index gained 31.19 on Wednesday to close at 1,506.34. The index closed at 1,515.73 a month ago.

Stoxx fell by 20.92 on Wednesday to end at 4,412.12. A month ago, the index closed at 4,465.

The Nikkei dove by 216.83 to close at 17,849.28 on Wednesday and ended at 17,481.21 a month ago.

Barclays' S&P 500 note

In another sizable offering linked to the S&P 500, Barclays Bank plc priced $10.412 million in principal-protected notes linked to the index on Wednesday.

The five-year notes pay par plus the principal amount times the index return times the 102.3% participation rate at maturity if the index return is greater than the initial level.

If the return is less than or equal to zero, the investors will receive par at maturity.

Barclays prices add-on to iPath ETNs

In other Barclays-related news, the investment bank priced another $250,000 in its popular iPath exchange-traded notes, this time to the issue linked to the Dow Jones - AIG Commodity Index Total Return, bringing to $2.25 billion the notes issued so far.

The 30-year ETNs pay par times the index factor, minus the investor fee. The index factor is equal to the closing value of the index on that day divided by the initial index level. The investor fee is equal to 0.75% per year times the principal times the index factor, calculated daily.

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