Published on 3/1/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $365,000 callable range accrual notes on indexes, CMS rates
By Kiku Steinfeld
Chicago, March 1 – Citigroup Global Markets Holdings Inc. priced $365,000 of callable range accrual securities due Feb. 26, 2041 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Dow Jones industrial average, the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will accrue at a contingent rate of 7.1% per year for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 65% accrual barrier, payable quarterly.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless any index finishes below its 60% 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.
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Guarantor: | Citigroup Inc.
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Issue: | Callable range accrual securities
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Underlying assets: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Nasdaq-100 index, Dow Jones industrial average and S&P 500 index
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Amount: | $365,000
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Maturity: | Feb. 26, 2041
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Coupon: | 7.1% annual rate, for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the accrual barrier, payable quarterly
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its final 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 one year
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Initial levels: | 3,925.43 for S&P, 13,302.19 for Nasdaq, 31,961.86 for Dow
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Accrual barriers: | 2,551.53 for S&P, 8,646.424 for Nasdaq, 20,775.209 for Dow; 65% of initial levels
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Final barriers: | 2,355.258 for S&P, 7,981.314 for Nasdaq, 19,177.116 for Dow; 60% of initial levels
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Pricing date: | Feb. 24
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Settlement date: | Feb. 26
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17328YU85
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