Published on 4/1/2019 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1 million fixed-to-float range accrual callables tied to three indexes
By Sarah Lizee
Olympia, Wash., April 1 – Citigroup Global Markets Holdings Inc. priced $1 million of callable fixed to float range accrual securities due March 29, 2029 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 8% for the first year. After that, interest will accrue at a rate of 50 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes above its 65% accrual barrier, subject to a maximum of 8% and a floor of zero.
If the least-performing index finishes at or above its final barrier level, 60% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Beginning March 29, 2020, the notes will be callable at par on any interest payment date.
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 range accrual securities
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Underlying indexes: | S&P 500, Russell 2000 and Nasdaq-100
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Amount: | $1 million
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Maturity: | March 29, 2029
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Coupon: | 8% for the first year; after that, 50 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes above its accrual barrier, subject to a maximum of 8% and a floor of zero
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Price: | Par
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Payout at maturity: | If least-performing index finishes at or above final barrier level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
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Call option: | At par on any interest payment date starting March 29, 2020
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Initial levels: | 2,805.37 for S&P 500, 1,522.231 for Russell 2000 and 7,308.193 for Nasdaq-100
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Accrual barrier levels: | 1,823.491 for S&P 500, 989.450 for Russell 2000 and 4,750.325 for Nasdaq-100; 65% of initial levels
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Final barrier levels: | 1,683.222 for S&P 500, 913.339 for Russell 2000 and 4,384.916 for Nasdaq-100; 60% of initial levels
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Pricing date: | March 27
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Settlement date: | March 29
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 4%
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Cusip: | 17326YYA8
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