Published on 8/10/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.45 million fixed-to-float range accrual notes tied to CMS spread, indexes
By William Gullotti
Buffalo, N.Y., Aug. 10 - Citigroup Global Markets Holdings Inc. priced $3.45 million of callable fixed-to-float range accrual notes due June 13, 2041 linked to both the CMS spread and the worst performing of the S&P 500 index, the Nasdaq-100 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be a fixed coupon of 8% quarterly for the first two years.
After the second year, a contingent coupon will be paid based on the number of days in each quarterly period that two accrual conditions are met. The 8% rate will be multiplied by the number of days the accrual conditions are met divided by the number of days it could have been met.
The accrual conditions will be met on days when the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is above 0% and if on the same day all three indexes close above 60% of their initial level.
The notes can be called at par on any quarterly coupon date after one year.
If the notes are not called and each index finishes at or above the 50% final barrier, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
The notes are guaranteed by Citigroup Inc.
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 fixed-to-float range accrual notes
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Underlying assets: | 30-year Constant Maturity Swap rate minus, two-year Constant Maturity Swap rate, S&P 500 index, Nasdaq-100 index, Euro Stoxx Banks index
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Amount: | $3,445,000
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Maturity: | June 13, 2041
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Price: | Par
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Coupon: | 8% for first two years; then 8% annualized contingent rate figured quarterly based on number of days 30-year CMS rate minus the two-year CMS rate is above 0% and on the same day all indexes finish above accrual barrier level
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Payout at maturity: | If all indexes finish at or above the final barrier level, par; otherwise lose 1% for every 1% decline of the worst performer from its initial level
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Call option: | Callable quarterly at par after one year
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Initial levels: | 98.54 for Stoxx Banks, 14,030.41 for Nasdaq, 4,246.59 for S&P
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Accrual barriers: | 59.124 for Stoxx Banks, 8,418.246 for Nasdaq, 2,547.954 for S&P; 60% of initial level
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Final barriers: | 49.27 for Stoxx Banks, 7,015.205 for Nasdaq, 2,123.295 for S&P; 50% of initial level
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Pricing date: | June 15
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Settlement date: | June 17
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3.5%
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Cusip: | 17329FKT0
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