Published on 6/25/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $5 million callable range accrual notes on indexes, CMS rates
By Wendy Van Sickle
Columbus, Ohio, June 25 – Citigroup Global Markets Holdings Inc. priced $5 million of callable range accrual securities due June 20, 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.
Interest will accrue at a contingent rate of 20 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes above its accrual barrier, subject to a maximum of 9.5% and a floor of zero for the first three years and a maximum rate of 13% and a floor of zero thereafter, payable quarterly.
The notes will be callable at par on any quarterly redemption date after three years.
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.
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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, Dow Jones industrial average, Euro Stoxx Banks index and S&P 500 index
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Amount: | $5 million
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Maturity: | June 20, 2041
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Coupon: | 20 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes above its accrual barrier, subject to a maximum of 9.5% and a floor of zero for first three years and maximum of 13% and a floor of zero thereafter
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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 three years
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Initial levels: | 4,241.84 for S&P, 33,874.24 for Dow, 94.16 for Euro Stoxx Banks
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Accrual barriers: | 2,757.196 for S&P, 22,018.256 for Dow, 61.204 for Euro Stoxx Banks; 65% of initial levels
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Final barriers: | 2,757.196 for S&P, 22,018.256 for Dow, 61.204 for Euro Stoxx Banks; 65% of initial levels
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Pricing date: | June 23
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Settlement date: | June 25
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 4%
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Cusip: | 17329FTP9
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