Published on 6/29/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.01 million callable fixed-to-float CMS spread range accrual notes on indexes
By William Gullotti
Buffalo, N.Y., June 29 – Citigroup Global Markets Holdings Inc. priced $1.01 million fixed-to-float CMS spread range accrual securities due June 28, 2041 linked to the least performing of the Euro Stoxx Banks index, the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 10% for the first two years, payable quarterly. After that, the coupon rate is 25 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day all three indexes close above 65% of their initial level, subject to a maximum rate of 10% and a floor of zero.
The securities may be called on any interest payment date after one year.
The payout at maturity will be par 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed-to-float CMS spread range accrual securities
|
| Underlying indexes: | Dow Jones industrial average, Euro Stoxx Banks index, S&P 500 index
|
| Amount: | $1,008,000
|
| Maturity: | June 28, 2041
|
| Coupon: | 10% for the first two years, payable quarterly; after that, 25 times 30-year CMS rate minus the two-year CMS rate for each day all three indexes close above their accrual barriers, subject to a maximum rate of 10% and a floor of zero
|
| Price: | Par
|
| Payout at maturity: | Par if each index finishes above final barrier level; otherwise, full exposure the decline of the worst performing index from its initial level
|
| Call option: | At par on any interest payment date after one year
|
| Initial levels: | 95.46 for Stoxx Banks, 4,266.49 for S&P, 34,196.82 for Dow
|
| Accrual barrier levels: | 62.049 for Stoxx Banks, 2,773.219 for S&P, 22,227.933 for Dow; 65% of initial levels
|
| Final barrier levels: | 57.276 for Stoxx Banks, 2,559.894 for S&P, 20,518.092 for Dow; 60% of initial levels
|
| Pricing date: | June 24
|
| Settlement date: | June 28
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 17329FXV1
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
