Published on 9/20/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $2.71 million fixed-to-float range accrual notes tied to CMS spread, indexes
By Wendy Van Sickle
Columbus, Ohio, Sept. 20 – Citigroup Global Markets Holdings Inc. priced $2.71 million of callable fixed-to-float range accrual notes due Sept. 11, 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 pay a quarterly fixed coupon at 8.25% per year for the first year.
After the first year, it will accrue at an annual rate of 8.25% for each day the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is greater than zero and each index closes at or above the 65% accrual barrier.
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, two-year Constant Maturity Swap rate, S&P 500 index, Nasdaq-100 index, Euro Stoxx Banks index
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| Amount: | $2,707,000
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| Maturity: | Sept. 11, 2041
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| Price: | Par
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| Coupon: | 8.25% annually, payable quarterly, for first year; after that, at annualized rate of 8.25% for each day the 30-year CMS rate minus the two-year CMS rate is greater than zero and each index closes at or above the accrual barrier, payable quarterly
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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: | 96.64 for Stoxx Banks, 15,382.9 for Nasdaq, 4,443.05 for S&P
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| Accrual barriers: | 62.816 for Stoxx Banks, 9,998.885 for Nasdaq, 2,887.983 for S&P; 65% of initial level
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| Final barriers: | 48.32 for Stoxx Banks, 7,691.45 for Nasdaq, 2,221.525 for S&P; 50% of initial level
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| Pricing date: | Sept. 14
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| Settlement date: | Sept. 16
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17329QP95
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