Published on 7/27/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.81 million callable barrier range accrual notes on indexes, CMS curve
By Wendy Van Sickle
Columbus, Ohio, July 27 – Citigroup Inc. priced $1.81 million of callable barrier leveraged CMS spread range accrual notes due July 29, 2032 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 10% the first quarter, 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 605% accrual barrier level up to a maximum of 11%. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below the 60% 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.
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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: | $1,811,000
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Maturity: | July 29, 2032
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Coupon: | 10% first quarter, 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 11% cap and floor of zero; payable monthly
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Price: | Par
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Payout at maturity: | Par if each index closes at or above 60% of initial 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 July 30, 2018
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Initial levels: | 2,477.13 for S&P, 1,450.387 for Russell
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Barrier levels: | 1,486.278 for S&P, 870.232 for Russell, 60% of initial levels
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Accrual barrier levels: | 1,486.278 for S&P, 870.232 for Russell, 60% of initial levels
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Pricing date: | July 25
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Settlement date: | July 28
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17324CL61
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