Published on 11/9/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $136,000 fixed-to-float range accrual callables tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 9 – Citigroup Global Markets Holdings Inc. priced $136,000 of callable fixed to float range accrual securities due Oct. 30, 2040 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 6% for the first five years. After that, interest will accrue at a rate of 6% for each day the 30-year Constant Maturity Swap rate over the two-year CMS rate is positive and each index closes above its 60% accrual barrier. Interest is payable quarterly.
If the least-performing index finishes at or above its final barrier level, 60% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index declines from its initial level.
Beginning in October 2021, the notes will be callable at par on any interest payment date.
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 fixed to float range accrual securities
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| Underlying indexes: | S&P 500, Russell 2000 and Nasdaq-100
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| Amount: | $136,000
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| Maturity: | Oct. 30, 2040
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| Coupon: | 6% for the first five years; 6% for each day the spread of the 30-year CMS rate over the two-year CMS rate is positive and each index closes above its accrual barrier; payable quarterly
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| Price: | Par
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| Payout at maturity: | If least-performing index finishes at or above final barrier level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
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| Call option: | At par on any interest payment date starting in October 2021
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| Initial levels: | 3,271.03 for S&P 500, 1,543.275 for Russell 2000 and 11,142.76 for Nasdaq
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| Accrual barrier levels: | 1,962.618 for S&P 500, 925.965 for Russell 2000 and 6,685.656 for Nasdaq; 60% of initial levels
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| Final barrier levels: | 1,962.618 for S&P 500, 925.965 for Russell 2000 and 6,685.656 for Nasdaq; 60% of initial levels
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| Pricing date: | Oct. 28
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| Settlement date: | Oct. 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17328WVX3
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