Published on 8/21/2019 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.05 million callable range accrual notes on indexes, CMS rates
Chicago, Aug. 21 – Citigroup Global Markets Holdings Inc. priced $2.05 million of callable range accrual securities due July 31, 2034 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the lesser performing of 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.
Interest will accrue at an initial rate of 7.5% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 70% coupon barrier, payable quarterly. The rate will step up to 8.5% on July 31, 2024 and to 10% on July 31, 2029.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless either index finishes below its 60% barrier level, in which case investors will be fully exposed to the decline of the worse 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 range accrual securities
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| Underliers: | 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate , Russell 2000 and Nasdaq-100
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| Amount: | $2,047,000
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| Maturity: | July 31, 2034
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| Coupon: | 7.5% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 70% coupon barrier, payable quarterly; the rate will step up to 8.5% on July 31, 2024 and to 10% on July 31, 2029
|
| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its 60% barrier level, in which case investors will be fully exposed to the decline of the worst performing index
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| Call option: | At par on any quarterly redemption date after one year
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| Initial levels: | 1,569.025 for Russell and 7,989.082 for Nasdaq-100
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| Accrual barrier levels: | 1,098.318 for Russell and 5,592.357 for Nasdaq-100, or 70% of initial levels
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| Barrier levels: | 941.415 for Russel and 4,793.449 for Nasdaq-100, or 60% of initial levels
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| Pricing date: | July 29
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| Settlement date: | July 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.25%
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| Cusip: | 17327TKL9
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