By Taylor Fox
New York, Feb. 16 – Citigroup Global Markets Holdings Inc. priced $3.07 million of callable fixed-to-float CMS spread range accrual securities due Jan. 15, 2041 linked to the least performing of the Nasdaq-100 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is fixed at a 10% annual rate for the first year.
After the first year, the interest rate is 30 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate set at an annual rate, subject to a 0% floor and a maximum coupon rate of 10%.
Interest will be paid each quarter at the rate mentioned above times the number of days each quarter that all of the indexes finish above their respective 65% accrual barrier levels.
Beginning in Jan. 15, 2022, 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 65% 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed-to-float CMS spread range accrual securities
|
| Underlying indexes: | Nasdaq-100 index and the Euro Stoxx Banks index
|
| Amount: | $3,074,000
|
| Maturity: | Jan. 15, 2041
|
| Coupon: | 10% per annum for the first year; after the first year, annual coupon rate is 30 times the CMS spread, the 30-year CMS rate minus the two-year CMS rate, subject to a floor of 0% and a maximum coupon of 10%; payable quarterly at the applicable coupon times the number of days in the accrual period each index finishes above accrual barrier divided by the number of days in the accrual period
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupon due if each index finishes above final barrier level; otherwise, full exposure to losses of worst-performing index
|
| Call option: | At par on any interest payment date beginning Jan. 15, 2022
|
| Initial levels: | 12,892.09 for Nasdaq and 78.43 for Stoxx
|
| Accrual barrier levels: | 8,379.859 for Nasdaq and 50.98 for Stoxx, or 65% of initial levels
|
| Final barrier levels: | 8,379.859 for Nasdaq and 50.98 for Stoxx, or 65% of initial levels
|
| Pricing date: | Jan. 12
|
| Settlement date: | Jan. 15
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 5%
|
| Cusip: | 17328YFV1
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
