Published on 2/13/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.07 million callable fixed-to-float CMS spread range accrual notes on Dow, Stoxx Banks
By Wendy Van Sickle
Columbus, Ohio, Feb. 13 – Citigroup Global Markets Holdings Inc. priced $1.07 million of callable fixed-to-float CMS spread range accrual securities due Feb. 10, 2027 linked to the lesser performing of the Dow Jones industrial average and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 10% for the first year. After that, it will accrue at 50 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, 65% of the initial index level, subject to a maximum of 10% and a floor of zero. Interest will be payable quarterly.
Beginning Feb. 10, 2021, the notes will be callable at par on any interest payment date.
If the lesser-performing index finishes at or above its 65% barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.
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: | Dow Jones industrial average and Euro Stoxx Banks index
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| Amount: | $1,074,000
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| Maturity: | Feb. 10, 2027
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| Coupon: | 10% for the first year; after that, 50 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, subject to a maximum of 10% and a floor of zero; payable quarterly
|
| Price: | Par
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| Payout at maturity: | If lesser-performing index finishes at or above barrier level, par; otherwise, 1% loss for every 1% that lesser-performing index declines from initial level
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| Call option: | At par on any interest payment date starting Feb. 10, 2021
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| Initial levels: | 29,290.85 for Dow, 96.09 for Stoxx Banks
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| Accrual barrier levels: | 19,039.053 for Dow, 62.459 for Stoxx Banks, or 65% of initial levels
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| Barrier levels: | 19,039.053 for Dow, 62.459 for Stoxx Banks, or 65% of initial levels
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 10
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 2.75%
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| Cusip: | 17327TC38
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