Published on 8/18/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.5 million callable range accrual notes on indexes, CMS rates
By Sarah Lizee
Olympia, Wash., Aug. 18 – Citigroup Global Markets Holdings Inc. priced $2.5 million of callable range accrual securities due Aug. 14, 2035 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and 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.
Interest will accrue at an initial rate of 8% 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 plus unless any index finishes below its final barrier level, 60% of its initial level, in which case investors will be fully exposed to the loss of the least-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, S&P 500 index and Dow Jones industrial average
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| Amount: | $2.5 million
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| Maturity: | Aug. 14, 2035
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| Coupon: | 8% 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 any index finishes below final barrier level, in which case full exposure to loss of least-performing index
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| Call option: | At par on any quarterly redemption date after one year
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| Initial levels: | 3,380.35 for S&P, 1,583.246 for Russell and 27,976.84 for Dow
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| Accrual barrier levels: | 2,028.21 for S&P, 949.948 for Russell and 16,786.104 for Dow, or 60% of initial levels
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| Final barrier levels: | 2,028.21 for S&P, 949.948 for Russell and 16,786.104 for Dow, or 60% of initial levels
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| Pricing date: | Aug. 12
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| Settlement date: | Aug. 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17328W7K8
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