Published on 6/3/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $6.18 million callable fixed-to-float CMS spread range accrual notes on indexes
By Kiku Steinfeld
Chicago, June 2 – Citigroup Global Markets Holdings Inc. priced $6.18 million of callable fixed-to-float CMS spread range accrual securities due May 29, 2035 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 8% for the first four years. After that, it will accrue at a rate of 8% for each day the 30-year Constant Maturity Swap rate minus the two-year CMS rate and each index closes at or above the accrual barrier, 60% of the initial index level. Interest will be payable monthly.
The notes will be callable at par on any quarterly interest payment date after one year.
The payout at maturity will be par if each index closes at or above 60% of its initial level.
Otherwise, investors will be fully exposed to the losses of the worst performing index.
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: | S&P 500 index, Russell 2000 index and Dow Jones industrial average
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| Amount: | $6,177,000
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| Maturity: | May 29, 2035
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| Coupon: | 8% for the first four years; after that, 8% for each day the spread of the 30-year CMS rate minus the two-year CMS rate is greater than zero and each index closes at or above the accrual barrier; payable monthly
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| Price: | Par
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| Payout at maturity: | Par if each index finishes above final barrier; otherwise, full exposure to losses of worst-performing index
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| Call option: | At par on any quarterly interest payment date after a year
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| Initial levels: | 1,436.358 for Russell, 25,548.27 for Dow, 3,036.13 for S&P
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| Accrual barrier/final barrier levels: | 861.815 for Russell, 15,328.962 for Dow, 1,821.678 for S&P, or 60% of initial levels
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| Pricing date: | May 27
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| Settlement date: | May 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 0.5%
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| Cusip: | 17328VMM9
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