Published on 12/12/2018 in the Prospect News Structured Products Daily.
New Issue: Citi sells $700,000 fixed-to-float range accrual callables on three indexes
By Sarah Lizee
Olympia, Wash., Dec. 12 – Citigroup Global Markets Holdings Inc. priced $700,000 of callable fixed to float range accrual securities due Dec. 11, 2023 linked to the worse performing of the Russell 2000 index, the Dow Jones Industrial Average and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 7% for the first year. After that, interest will accrue at a rate 7% for each day that each index closes above its 65% accrual barrier and the 30-year Constant Maturity Swap rate is greater than the two-year Constant Maturity Swap rate.
The notes are callable at par on any quarterly review date after one year.
The payout at maturity will be par unless either index finishes below its 60% barrier level, in which case investors will be fully exposed to any losses of the worse performing index.
The notes will be guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed to float range accrual securities
|
| Underlying indexes: | Russell 2000, Dow Jones Industrial Average and Nasdaq-100
|
| Amount: | $700,000
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| Maturity: | Dec. 11, 2023
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| Coupon: | 7%, payable quarterly, for first year; beginning in March 2020, 7% for each day that 30-year Constant Maturity Swap rate is greater than two-year CMS rate and each index closes above accrual barrier level
|
| Price: | Par
|
| Call option: | At par on any coupon date after one year
|
| Payout at maturity: | Par unless either index falls by more than 40%, in which case 1% loss per 1% decline of worst performing index
|
| Initial levels: | 24,388.95 for Dow, 1,448.089 for Russell, 6,613.275 for Nasdaq
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| Accrual barrier levels: | 15,852.818 for Dow, 941.258 for Russell, 4,298.629 for Nasdaq, 65% of initial levels
|
| Barrier levels: | 14,633.370 for Dow, 868.853 for Russell, 3,967.965 for Nasdaq, 60% of initial levels
|
| Pricing date: | Dec. 7
|
| Settlement date: | Dec. 11
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 1.75%
|
| Cusip: | 17326YQW9
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