Published on 7/26/2018 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1 million barrier fixed-to-float range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, July 26 – Citigroup Global Markets Holdings Inc. priced $1 million of barrier fixed-to-floating rate range accrual securities due July 19, 2028 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is fixed at 7% per year for the first three years. After that, interest will accrue at the 30-year Constant Maturity Swap rate plus 130 basis points for each day that each index closes at or above its 65% accrual barrier level, up to a maximum rate of 10% per year. 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 the losses of the worse performing index.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Barrier fixed-to-floating rate range accrual securities
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $1 million
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| Maturity: | July 19, 2028
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| Coupon: | Fixed at 7% for the first three years; after that, 30-year CMS rate plus 130 bps for each day that each index closes at or above its accrual barrier level, floor of zero; payable monthly
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| Price: | Par
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| Payout at maturity: | Par if each index finishes at or above barrier level; otherwise, full exposure to losses of worse performing index
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| Initial levels: | 2,798.43 for S&P, 1,678.544 for Russell
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| Accrual barrier levels: | 1,818.98 for S&P, 1,091.54 for Russell; 65% of initial levels
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| Barrier levels: | 1,399.215 for S&P, 839.272 for Russell; 50% of initial levels
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| Pricing date: | July 16
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| Settlement date: | July 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.25%
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| Cusip: | 17324CXG6
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