Published on 8/20/2018 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $1 million callable barrier fixed-to-float range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Aug. 20 – Citigroup Global Markets Holdings Inc. priced $1 million of callable barrier fixed-to-floating rate range accrual securities due Aug. 16, 2033 linked to 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 fixed at 7% per year for the first year. After that, interest will accrue at the 30-year Constant Maturity Swap rate plus 300 basis points for each day that each index closes at or above its 60% accrual barrier level, up to a maximum rate of 10.5% per year. Interest will be payable monthly and cannot be less than zero.
The notes will be callable at par on any coupon payment date after one year.
The payout at maturity will be par unless either index finishes below the 60% barrier level, in which case investors will share fully in the losses of the worse performing index.
Citigroup Global Markets Inc. is the agent.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Callable barrier fixed-to-floating rate range accrual securities
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Underlying indexes: | S&P 500, Russell 2000
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Amount: | $1 million
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Maturity: | Aug. 16, 2033
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Coupon: | Fixed at 7% for the first year; after that, 30-year CMS rate plus 300 bps for each day that each index closes at or above its accrual barrier level, 10.5% maximum and floor of zero; payable monthly
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Price: | Par
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Payout at maturity: | Par if each index finishes at or above barrier level; otherwise, full exposure to losses of worse performing index
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Call option: | At par on any coupon payment date after one year
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Initial levels: | 2,821.93 for S&P, 1,675.315 for Russell
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Accrual barrier levels: | 1,693.158 for S&P, 1,005.189 for Russell; 60% of initial levels
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Barrier levels: | 1,693.158 for S&P, 1,005.189 for Russell; 60% of initial levels
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Pricing date: | Aug. 13
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Settlement date: | Aug. 15
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 4.5%
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Cusip: | 17324CYQ3
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