Published on 4/20/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $965,000 callable range accrual notes on indexes, CMS rates
By Sarah Lizee
Olympia, Wash., April 20 – Citigroup Global Markets Holdings Inc. priced $965,000 of callable range accrual securities due April 16, 2035 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 Dow Jones industrial average, 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% 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 notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par plus any coupon.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable range accrual securities
|
| Underliers: | 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate, Russell 2000 and Dow Jones industrial average
|
| Amount: | $965,000
|
| Maturity: | April 16, 2035
|
| Coupon: | 7% 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
|
| Payout at maturity: | Par plus any coupon
|
| Call option: | At par on any quarterly redemption date after one year
|
| Initial levels: | 1,246.726 for Russell and 23,719.37 for Dow
|
| Accrual barrier levels: | 872.708 for Russell and 16,603.559 for Dow, or 70% of initial levels
|
| Pricing date: | April 9
|
| Settlement date: | April 16
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 4.5%
|
| Cusip: | 17328VG53
|
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