Published on 5/30/2017 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $2 million barrier leveraged CMS range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, May 30 – Citigroup Global Markets Holdings Inc. priced $2 million of callable barrier leveraged CMS spread range accrual securities due April 22, 2032 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is fixed at 15% per year for the first year. After that, interest will accrue at 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 75% accrual barrier level, up to a maximum rate of 14% per year. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below the 65% 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 Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Callable barrier leveraged CMS spread range accrual securities
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $2 million
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Maturity: | May 28, 2037
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Coupon: | Fixed at 15% per year for the first year; after that, 10 times the spread of 30-year CMS rate over two-year CMS rate for each day that each index closes at or above its accrual barrier level, up to a maximum rate of 14% per year, floor of zero; payable monthly
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Price: | Par
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Payout at maturity: | Par if each index finishes at or above barrier level; otherwise, full exposure to any losses of worse performing index
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Call option: | At par on any interest payment date beginning April 22, 2018
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Initial levels: | 2,398.42 for S&P, 1,380.982 for Russell
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Accrual barrier levels: | 1,798.815 for S&P, 1,035.737 for Russell; 75% of initial levels
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Barrier levels: | 1,558.973 for S&P, 897.638 for Russell; 65% of initial levels
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Pricing date: | May 23
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Settlement date: | May 26
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17324CJN7
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