Published on 1/8/2019 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $1.56 million 10% fixed-to-float CMS spread range callables on indexes
By Susanna Moon
Chicago, Jan. 8 – Citigroup Global Markets Holdings Inc. priced $1.56 million of callable fixed-to-float CMS spread range accrual securities due Dec. 26, 2028 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest will be fixed at 10% for the first year. After that, it will accrue at 50 times the spread of the 30-year U.S. dollar ICE swap rate over the two-year U.S. dollar ICE swap rate, up to a maximum interest rate of 10%, per day that each index closes at or above the 60% coupon barrier, payable quarterly.
The notes are redeemable at par on any payment date after one year.
The payout at maturity will be par unless either index finishes below its 60% trigger 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.
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| Guarantor: | Citigroup Inc.
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| Issue: | Callable fixed-to-float CMS spread range accrual securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $1,563,000
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| Maturity: | Dec. 26, 2028
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| Coupon: | 10% for one year; after that, 50 times spread of 30-year CMS rate over two-year CMS rate per day that each index closes at or above the 60% coupon barrier, capped at 10%
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| Price: | Par of $10
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| Call option: | At par on any interest payment date beginning Dec. 28, 2019
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| Payout at maturity: | Par unless either index falls by more than 40%, in which case 1% loss per 1% decline of worse performing index
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| Initial levels: | 2,467.42 for S&P, 1,326.002 for Russell
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| Barrier levels: | 1,480.452 for S&P, 795.601 for Russell, 60% of initial levels
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 26
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| Agent: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17326YBV7
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