Published on 5/4/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million callable fixed-to-float CMS spread range accrual notes on Russell, Dow, S&P
By Wendy Van Sickle
Columbus, Ohio, May 4 – Citigroup Global Markets Holdings Inc. priced $1 million of callable fixed-to-float CMS spread range accrual securities due April 30, 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 11% for the first year. After that, it will accrue at a rate of 11% for each day the 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, subject to a floor of zero. Interest will be payable quarterly.
After one year, the notes will be callable at par on any interest payment date.
The payout at maturity will be par plus any coupon due if each index closes above 50% 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: | $1 million
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| Maturity: | April 30, 2035
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| Coupon: | 11% for the first year; after that, 11% 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, subject to a floor of zero; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if each index finishes above 50% of initial level; otherwise, full exposure to losses of worst-performing index
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| Call option: | At par on any interest payment date after a year
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| Initial levels: | 1,281.878 for Russell, 24,133.78 for Dow, 2,878.48 for S&P
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| Accrual barrier levels: | 769.127 for Russell, 14,480.268 for Dow, 1,727.088 for S&P, or 60% of initial levels
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| Final barrier levels: | 640.939 for Russell, 14,480.268 for Dow, 1,439.240 for S&P, or 50% of initial levels
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| Pricing date: | April 27
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| Settlement date: | April 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17328VJQ4
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