Published on 8/1/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.54 million callable barrier range accrual notes on indexes, CMS curve
By Wendy Van Sickle
Columbus, Ohio, Aug. 1 – Citigroup Inc. priced $3.54 million of callable barrier leveraged CMS spread range accrual notes due July 30, 2037 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will accrue at 12% the first year, then 10 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above its 67.5% accrual barrier level up to a maximum of 12%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below the 50% barrier level, in which case investors will share fully in losses of the worse performing index.
The notes will be callable at par on any interest payment date after one year.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Inc.
|
| Issue: | Callable barrier leveraged CMS spread range accrual notes
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $3,541,000
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| Maturity: | July 30, 2037
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| Coupon: | 12% first year, then 10 times spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above its accrual barrier level with 12% cap and floor of zero; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par if each index closes at or above 50% of initial level; otherwise, full exposure to any losses of worse performing index
|
| Call option: | At par on any interest payment date beginning July 30, 2018
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| Initial levels: | 2,477.83 for S&P, 1,442.279 for Russell
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| Accrual barrier levels: | 1,672.535 for S&P, 973.538 for Russell, 67.5% of initial levels
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| Barrier levels: | 1,238.915 for S&P, 721.140 for Russell, 50% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
|
| Cusip: | 17324CKW5
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