Published on 2/28/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $2 million fixed-to-float range accrual callables tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – Citigroup Global Markets Holdings Inc. priced $2 million of callable fixed to float range accrual securities due March 2, 2026 linked to the worst performing of the Russell 2000 index, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 8% for the first year. After that, interest will accrue at a rate of 50 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes above its 60% accrual barrier, subject to a maximum of 8% and a floor of zero.
The notes are callable at par on any quarterly review date after one year.
The payout at maturity will be par unless any index finishes below its 60% trigger level, in which case investors will be fully exposed to any losses of the worst 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 range accrual securities
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| Underlying indexes: | Russell 2000, Nasdaq-100 and S&P 500
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| Amount: | $2 million
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| Maturity: | March 2, 2026
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| Coupon: | 8%, payable quarterly, for first year; then 50 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes above its 60% accrual barrier; subject to a maximum of 8% and a floor of zero
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| Price: | Par
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| Call option: | At par on any coupon date after one year
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| Payout at maturity: | Par unless any index falls by more than 40%, in which case 1% loss per 1% decline of worst performing index
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| Initial level: | 1,577.483 for Russell, 7,123.216 for Nasdaq and 2,793.9 for S&P
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| Accrual barrier levels: | 946.49 for Russell, 4,273.93 for Nasdaq and 1,676.34 for S&P, 60% of initial levels
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| Final barrier levels: | 946.49 for Russell, 4,273.93 for Nasdaq and 1,676.34 for S&P, 60% of initial levels
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| Pricing date: | Feb. 26
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| Settlement date: | Feb. 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.75%
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| Cusip: | 17326YXP6
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