Published on 7/5/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.16 million callable barrier range accrual notes on indexes, CMS curve
By Wendy Van Sickle
Columbus, Ohio, July 5 – Citigroup Inc. priced $3.16 million of callable barrier leveraged CMS spread range accrual notes due June 29, 2037 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 16% the first year, then 10.25 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 of 14%. 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 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: | $3.16 million
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| Maturity: | June 29, 2037
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| Coupon: | 16% first year, then 10.25 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 75% accrual barrier level with 14% 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 65% 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 June 29, 2018
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| Initial levels: | 2,439.07 for S&P, 1,416.640 for Russell
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| Barrier levels: | 1,829.303 for S&P, 1,062.480 for Russell, 75% of initial levels
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| Accrual barrier levels: | 1,585.396 for S&P, 920.816 for Russell, 65% 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: | 17324CKH8
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