Published on 3/25/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $5 million callable fixed-to-float CMS range accrual notes on indexes
Chicago, March 25 – Citigroup Global Markets Holdings Inc. priced $5 million of callable fixed-to-float CMS spread range accrual securities due Feb. 4, 2041 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Euro Stoxx Banks index, the Dow Jones industrial average and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 8% per year for the first four years. After that, interest will vary based on 20 times the CMS spread, which is the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate, subject to a floor of 0% and a cap of 12%, times the number of days each index in a quarter closes at or above the 65% accrual barrier divided by the number of days in the quarter. Interest is payable quarterly.
The notes will be callable at par on any quarterly redemption date starting Feb. 4, 2025.
The payout at maturity will be par unless any index finishes below its 65% barrier level, in which case investors will be fully exposed to the decline of the worst performing index.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed-to-float CMS range accrual securities
|
| Underlying assets: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Dow Jones industrial average, Euro Stoxx Banks index and S&P 500 index
|
| Amount: | $5,000,000
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| Maturity: | Feb. 4, 2041
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| Coupon: | 8% per year for the first four years, then varies at 20 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate times each day each index closes at or above the accrual barrier divided by the elapsed days in the quarter, payable quarterly and subject to a floor of 0% and a cap of 12%
|
| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worst performing index
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| Call option: | At par on any quarterly redemption date after Feb. 4, 2025
|
| Initial levels: | 72.07 for Stoxx Banks, 30,603.36 for Dow and 3,787.38 for S&P
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| Accrual barrier levels: | 46.846 for Stoxx Banks, 19,892.184 for Dow and 2,461.797 for S&P, or 65% of initial levels
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| Final barrier levels: | 46.846 for Stoxx Banks, 19,892.184 for Dow and 2,461.797 for S&P, or 65% of initial levels
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| Pricing date: | Feb. 1
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| Settlement date: | Feb. 4
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17328YNH3
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