New Issue: Citi sells $1.77 million callable CMS spread notes on three indexes

By William Gullotti

Buffalo, N.Y., June 7 – Citigroup Global Markets Holdings Inc. priced $1.77 million of callable CMS spread range accrual securities due May 14, 2041 contingent on the worst performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are callable at par quarterly after one year.

Coupon payments will be based on two parts.

First, the contingent rate will be determined by taking 20 times the CMS spread which is the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate, subject to a floor of 0% and a cap of 9%.

Quarterly, interest will be paid by taking the continent rate and multiplying it by the number of days in the quarter that all indexes close above their 70% accrual barrier levels divided by how many days there are in the quarter.

The payout at maturity will be par if each index finishes above 65% of its initial level.

Otherwise, investors will be fully exposed to the decline of the least performing index.

The notes are guaranteed by Citigroup Inc.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable CMS spread range accrual securities
Underlying indexes:	S&P 500 index, the Russell 2000 index and the Nasdaq-100 index
Amount:	$1,770,000
Maturity:	May 14, 2041
Coupon:	Contingent rate of 20 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate, subject to a maximum interest factor of 9% and a minimum interest factor of 0%; payable quarterly based on how many days all indexes finish above 70% of their initial levels divided by the number of days in the accrual period
Price:	Par
Payout at maturity:	Par if each index finishes above final barrier level; otherwise, full exposure to the decline of the least performing index
Call option:	At par on any quarterly interest payment date beginning after one year
Initial levels:	4,063.04 for S&P, 2,135.139 for Russell, 13,001.63 for Nasdaq
Index barrier levels:	2,844.128 for S&P, 1,494.597 for Russell, 9,101.141 for Nasdaq; 70% of initial levels
Trigger buffer levels:	2,640.976 for S&P, 1,387.84 for Russell, 8,451.06 for Nasdaq; 65% of initial levels
Pricing date:	May 12
Settlement date:	May 14
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17329FPJ7

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.