Published on 4/11/2017 in the Prospect News Structured Products Daily.
New Issue: Citi prices $5.67 million callable barrier range accrual notes on indexes, CMS curve
By Wendy Van Sickle
Columbus, Ohio, April 11 – Citigroup Inc. priced $5.67 million of callable barrier leveraged CMS spread range accrual notes due March 31, 2032 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 10% the first year, then 15 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 65% accrual barrier level up to a maximum of 10%. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below the 50% 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.
|
| Issue: | Callable barrier leveraged CMS spread range accrual notes
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $5,668,000
|
| Maturity: | March 31, 2032
|
| Coupon: | 10% first year, then 15 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 65% accrual barrier level with 10% cap and floor of zero; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par if each index closes at or above 50% of initial level; otherwise, full exposure to any losses of worse performing index
|
| Call option: | At par on any interest payment date beginning April 3, 2018
|
| Initial levels: | 2,358.57 for S&P, 1,367.261 for Russell
|
| Barrier levels: | 1,179.285 for S&P, 683.631 for Russell, 50% of initial levels
|
| Accrual barrier levels: | 1,533.071 for S&P, 888.720 for Russell, 65% of initial levels
|
| Pricing date: | March 28
|
| Settlement date: | March 31
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 4.77%
|
| Cusip: | 17324CGG5
|
|
|
|
|
© 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.
