Published on 9/15/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $3.9 million callable dual range accrual notes on swap rates, S&P
By Kiku Steinfeld
Chicago, Sept. 15 – Citigroup Global Markets Holdings Inc. priced $3.9 million of callable dual range accrual notes due Sept. 4, 2035 linked to the 30-year U.S. dollar ICE swap rate, the two-year U.S. dollar ICE swap rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
For each quarterly interest period, interest will accrue at a rate of 6.2% per year for each day the difference between the 30-year rate and the two-year rate is greater than or equal to 0% and the closing level of the index is greater than or equal to 75% of the starting value.
The payout at maturity will be par of $1,000 plus any coupon due unless the index finishes below 50% of the initial level, in which case investors will be fully exposed to the loss.
The notes will be callable at par on any interest payment date beginning Sept. 4, 2021.
Citigroup Global Markets Inc. is the underwriter and Morgan Stanley Wealth Management is a dealer.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable dual range accrual notes
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| Underlyings: | 30-year U.S. dollar ICE swap rate, two-year U.S. dollar ICE swap rate and S&P 500 index
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| Amount: | $3,900,000
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| Maturity: | Sept. 4, 2035
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| Coupon: | 6.2% for each day the difference between the 30-year rate and the two-year rate is greater than or equal to 0% and the closing level of the index is greater than or equal to 75% of the starting value; payable quarterly
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus any coupon due, unless index closes below final barrier, in which case full exposure to loss
|
| Call option: | At par on any interest payment date beginning Sept. 4, 2021
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| Initial index level: | 3,500.31
|
| Accrual barrier: | 2,625.233, 75% of initial level
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| Final barrier: | 1,750.155, 50% of initial level
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| Pricing date: | Aug. 31
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| Settlement date: | Sept. 3
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| Underwriter: | Citigroup Global Markets Inc.
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| Selected dealer: | Morgan Stanley Wealth Management
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| Fees: | 3.5%
|
| Cusip: | 17328WLT3
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