Published on 9/8/2017 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.09 million 20-year CMS spread range accrual notes on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Sept. 8 – Citigroup Global Markets Holdings Inc. priced $2.09 million of callable barrier leveraged CMS spread range accrual notes due Sept. 2, 2037 linked to the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Citigroup Inc. will guarantee the notes.
The coupon for the first year will be fixed at 11%.
After a year, the coupon will be a quarterly amount equal to 10 times the spread between the 30-year CMS rate and the two-year CMS rate, capped at 11% and with a floor of 0%, multiplied by the proportion of days on which both indexes stay at or above their accrual barrier, 70% of their initial level.
The payout at maturity will be par unless either index closes below its 50% final barrier level, in which case investors will be exposed to the loss of the worse performing index.
The notes will be callable at par on any interest payment date starting on Aug. 31, 2018.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Callable CMS spread range accrual notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2,088,000
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| Maturity: | Sept. 2, 2037
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| Coupon: | 11% for one year; thereafter, quarterly amount equal to 10 times the spread between the 30-year CMS rate and the two-year CMS rate, capped at 11% and with a floor of 0%, multiplied by the proportion of days on which both indexes stay at or above their accrual barrier
|
| Price: | Par
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| Payout at maturity: | Par unless either index closes below final barrier, in which case full exposure to loss of worse performing index
|
| Call option: | At par on interest payment dates after one year
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| Initial index levels: | 2,444.24 for S&P, 1,382.229 for Russell
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| Accrual barriers: | 1,710.968 for S&P, 967.56 for Russell, 70% of initial levels
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| Final barriers: | 1,222.12 for S&P, 691.115 for Russell, 50% of initial levels
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| Pricing date: | Aug. 28
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| Settlement date: | Aug. 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17324CLQ7
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