Published on 4/1/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1 million fixed-to-float range accrual callables tied to three indexes
By Sarah Lizee
Olympia, Wash., April 1 – Citigroup Global Markets Holdings Inc. priced $1 million of callable fixed to float range accrual securities due March 29, 2029 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, 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 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 65% accrual barrier, subject to a maximum of 8% and a floor of zero.
If the least-performing index finishes at or above its final barrier level, 60% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Beginning March 29, 2020, the notes will be callable at par on any interest payment date.
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: | S&P 500, Russell 2000 and Nasdaq-100
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| Amount: | $1 million
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| Maturity: | March 29, 2029
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| Coupon: | 8% for the first year; after that, 50 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes above its accrual barrier, subject to a maximum of 8% and a floor of zero
|
| Price: | Par
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| Payout at maturity: | If least-performing index finishes at or above final barrier level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
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| Call option: | At par on any interest payment date starting March 29, 2020
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| Initial levels: | 2,805.37 for S&P 500, 1,522.231 for Russell 2000 and 7,308.193 for Nasdaq-100
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| Accrual barrier levels: | 1,823.491 for S&P 500, 989.450 for Russell 2000 and 4,750.325 for Nasdaq-100; 65% of initial levels
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| Final barrier levels: | 1,683.222 for S&P 500, 913.339 for Russell 2000 and 4,384.916 for Nasdaq-100; 60% of initial levels
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| Pricing date: | March 27
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| Settlement date: | March 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17326YYA8
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