Published on 4/3/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $5 million callable barrier range accrual notes on indexes
By Susanna Moon
Chicago, April 3 – Citigroup Inc. priced $5 million of callable barrier range accrual notes due April 3, 2026 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 8.55% for each day that Libor is 6% or less and each index closes at or above its 70% accrual barrier level. Interest will be payable monthly.
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 range accrual notes
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $5 million
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Maturity: | April 3, 2026
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Coupon: | 8.55% per year for each day that Libor is 6% or less and each index closes at or above 70% accrual barrier level; 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 April 3, 2018
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Initial levels: | 2,343.98 for S&P, 1,354.642 for Russell
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Barrier levels: | 1,406.388 for S&P, 812.785 for Russell, 60% of initial levels
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Accrual barrier levels: | 1,640.786 for S&P, 948.24 for Russell, 70% of initial levels
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Pricing date: | March 24
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Settlement date: | April 3
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 1.25%
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Cusip: | 17324CGR1
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