Published on 9/3/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.25 million callable range accrual notes on indexes, CMS rates
By Kiku Steinfeld
Chicago, Sept. 3 – Citigroup Global Markets Holdings Inc. priced $1.25 million of callable range accrual securities due Aug. 31, 2040 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Euro Stoxx Banks index, the Russell 2000 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 9.5% 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 60% accrual 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 60% 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 range accrual securities
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| Underliers: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Russell 2000 index, Euro Stoxx Banks index and S&P 500 index
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| Amount: | $1,250,000
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| Maturity: | Aug. 31, 2040
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| Coupon: | 9.5% 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 accrual barrier, payable quarterly
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| 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: | 62.43 for Stoxx, 1,564.563 for Russell and 3,484.55 for S&P
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| Accrual barrier levels: | 37.458 for Stoxx, 938.738 for Russell and 2,090.730 for S&P, or 60% of initial levels
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| Pricing date: | Aug. 27
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| Settlement date: | Aug. 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17328WLX4
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