Published on 7/16/2018 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1.27 million barrier leveraged CMS range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, July 16 – Citigroup Global Markets Holdings Inc. priced $1.27 million of callable barrier leveraged CMS spread range accrual securities due June 29, 2038 linked to the Euro Stoxx 50 index, 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 10% per year for the first two years. After that, interest will accrue at 20 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 60% accrual barrier level, up to a maximum rate of 10% per year. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par unless any index finishes below the 50% barrier level, in which case investors will share fully in losses of the worst 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, Euro Stoxx 50
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Amount: | $1,266,000
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Maturity: | June 29, 2038
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Coupon: | Fixed at 10% for the first two years; after that, 20 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 10% 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 worst performing index
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Call option: | At par on any interest payment date beginning June 29, 2020
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Initial levels: | 3,368.72 for Stoxx, 2,723.06 for S&P, 1,668.527 for Russell
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Accrual barrier levels: | 2,021.232 for Stoxx, 1,684.36 for S&P, 1,001.116 for Russell; 60% of initial levels
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Barrier levels: | 1,648.36 for Stoxx, 1,361.53 for S&P, 834.264 for Russell; 50% of initial levels
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Pricing date: | June 26
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Settlement date: | June 29
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17324CVT0
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