Published on 7/8/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.03 million callable fixed-to-float CMS spread range accrual notes on Dow, Russell, S&P
By Wendy Van Sickle
Columbus, Ohio, July 8 – Citigroup Global Markets Holdings Inc. priced $2.03 million of callable fixed-to-float CMS spread range accrual securities due July 2, 2035 linked to the least performing of the Dow Jones industrial average, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 7% for the first four years. After that, it will accrue at a rate of 50 times the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above the accrual barrier, 60% of the initial index level, subject to a maximum of 7% and a floor of zero. Interest will be payable quarterly.
After one year, 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 60% 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.
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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: | S&P 500 index, Dow Jones industrial average and Russell 2000 index
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Amount: | $2,027,000
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Maturity: | July 2, 2035
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Coupon: | 7% for the first four years; 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 floor of zero and 7% cap; payable quarterly
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Price: | Par
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Payout at maturity: | Par plus any coupon due if each index finishes above 60% of initial level; otherwise, full exposure to losses of worst-performing index
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Call option: | At par on any interest payment date after a year
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Initial levels: | 3,009.05 for S&P, 1,378.78 for Russell and 25,015.55 for Dow
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Accrual barrier levels: | 1,805.45 for S&P, 827.268 for Russell and 15,009.33 for Dow, or 60% of initial levels
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Final barrier levels: | 1,805.45 for S&P, 827.268 for Russell and 15,009.33 for Dow, or 60% of initial levels
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Pricing date: | June 26
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Settlement date: | June 30
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17328VVD9
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