Published on 11/10/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $4.01 million fixed-to-float range accrual callables tied to three indexes
By Taylor Fox
New York, Nov. 10 – Citigroup Global Markets Holdings Inc. priced $4.01 million of callable fixed-to float-range accrual securities due Oct. 16, 2040 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is fixed at an annual rate of 7% per year for the first five years, payable quarterly.
Starting January 2026, the coupon rate is still 7%, but is contingent upon how many days each quarter the 30-year CMS rate minus the two-year CMS rate is above 0% and all three indexes close above 50%.
The notes are callable on any quarterly coupon payment date after one year.
If the least-performing index finishes at or above its final barrier level, 50% 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.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed-to-float range accrual securities
|
| Underliers: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, S&P 500 index, Russell 2000 index and Euro Stoxx Banks index
|
| Amount: | $4,011,000
|
| Maturity: | Oct. 16, 2040
|
| Coupon: | 7% fixed rate for first five years, payable quarterly; starting January 2026 7% contingent rate based on number of days in quarter 30-year CMS rate minus the two-year CMS rate is greater than 0% and each index closes above its 50% accrual barrier
|
| Price: | Par
|
| 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
|
| Call option: | At par on any coupon payment date after one year
|
| Initial levels: | 3,488.67 for S&P 500, 1,621.651 for Russell 2000 and 55.76 for Stoxx
|
| Accrual barrier levels: | 1,744.355 for S&P 500, 810.826 for Russell 2000 and 27.88 for Stoxx; 50% of initial levels
|
| Final barrier levels: | 1,744.355 for S&P 500, 810.826 for Russell 2000 and 27.88 for Stoxx; 50% of initial levels
|
| Pricing date: | Oct. 14
|
| Settlement date: | Oct. 16
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 5%
|
| Cusip: | 17328WXG8
|
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