Published on 1/21/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.9 million callable fixed-to-float CMS spread range accrual notes on Dow, Stoxx Banks
By Sarah Lizee
Olympia, Wash., Jan. 21 – Citigroup Global Markets Holdings Inc. priced $1.9 million of callable fixed-to-float CMS spread range accrual securities due Jan. 22, 2035 linked to the lesser performing of the Dow Jones industrial average 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 9.3% for the first year. After that, it will accrue at 50 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, 60% of the initial index level, subject to a maximum of 9.3% and a floor of zero. Interest will be payable quarterly.
Beginning Jan. 21, 2021, the notes will be callable at par on any interest payment date.
If the lesser-performing index finishes at or above its 60% barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.
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: | Dow Jones industrial average and Euro Stoxx Banks index
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Amount: | $1.9 million
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Maturity: | Jan. 22, 2035
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Coupon: | 9.3% for the first year; after that, 50 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, subject to a maximum of 9.3% and a floor of zero; payable quarterly
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Price: | Par
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Payout at maturity: | If lesser-performing index finishes at or above barrier level, par; otherwise, 1% loss for every 1% that lesser-performing index declines from initial level
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Call option: | At par on any interest payment date starting Jan. 21, 2021
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Initial levels: | 29,030.22 for Dow, 95.08 for Stoxx Banks
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Accrual barrier levels: | 17,418.132 for Dow, 57.048 for Stoxx Banks, or 60% of initial levels
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Barrier levels: | 17,418.132 for Dow, 57.048 for Stoxx Banks, or 60% of initial levels
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Pricing date: | Jan. 15
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Settlement date: | Jan. 21
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 4.85%
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Cusip: | 17327TC95
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