Published on 2/14/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.65 million callable fixed-to-float CMS spread range accrual notes on indexes
By Taylor Fox
New York, Feb. 16 – Citigroup Global Markets Holdings Inc. priced $1.65 million of callable fixed-to-float CMS spread range accrual securities due Jan. 15, 2041 linked to the least performing of the Russell 2000 index, the S&P 500 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 8% for the first 3.5 years. After that, starting in October 2024, it will accrue at a rate of 8% per year 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 accrual barrier, 70% of the initial index level. Interest will be payable quarterly.
After one year, the notes will be callable at par on any quarterly interest payment date.
The payout at maturity will be par plus any coupon due if each index closes above 60% of its initial level.
Otherwise, investors will be fully exposed to the losses 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 fixed-to-float CMS spread range accrual securities
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| Underlying indexes: | Russell 2000 index, S&P 500 index and Euro Stoxx Banks index
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| Amount: | $1,647,000
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| Maturity: | Jan. 15, 2041
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| Coupon: | 8% for the first 3.5 years; after that, starting in October 2024, it will accrue at a rate of 8% a year 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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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if each index finishes above final barrier level; otherwise, full exposure to losses of worst-performing index
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| Call option: | Quarterly at par on any interest payment date beginning in January 2022
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| Initial levels: | 78.43 for Stoxx, 2,127.959 for Russell and 3,801.19 for S&P
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| Accrual barrier levels: | 54.901 for Stoxx, 1,489.571 for Russell and 2,660.833 for S&P, or 70% of initial levels
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| Final barrier levels: | 47.058 for Stoxx, 1,276.775 for Russell and 2,280.714 for S&P, or 60% of initial levels
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| Pricing date: | Jan. 12
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| Settlement date: | Jan. 15
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17328YBK9
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