Published on 2/10/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.91 million callable range accrual notes on indexes, CMS rates
By Wendy Van Sickle
Columbus, Ohio, Feb. 10 – Citigroup Global Markets Holdings Inc. priced $1.91 million of callable fixed-to-float range accrual securities due Feb. 5, 2035 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Dow Jones industrial average, the Euro Stoxx 50 index and the S&P 500 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 9.35% for the first year. After that, it will accrue at a rate of 9.35% 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 65% coupon barrier, payable quarterly.
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 65% barrier level, in which case investors will be fully exposed to the decline 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 range accrual securities
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| Underliers: | 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, Dow Jones industrial average, Euro index Stoxx 50 and S&P 500 index
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| Amount: | $1,906,000
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| Maturity: | Feb. 5, 2035
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| Coupon: | 9.35% for first year, then 9.35% 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
|
| Price: | Par
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| Payout at maturity: | Par unless either index finishes below its 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: | 28,256.03 for Dow, 3,640.91 for Stoxx and 3,225.52 for S&P 500
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| Accrual barrier levels: | 18,366.42 for Dow, 2,366.592 for Stoxx and 2,096.588 for S&P 500, or 65% of initial levels
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| Barrier levels: | 18,366.42 for Dow, 2,366.592 for Stoxx and 2,096.588 for S&P 500, or 65% of initial levels
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| Pricing date: | Jan. 31
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| Settlement date: | Feb. 5
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17327TR99
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