Published on 3/25/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $6 million callable fixed-to-float CMS range accrual notes on indexes
Kiku Steinfeld
Chicago, March 25 – Citigroup Global Markets Holdings Inc. priced $6 million of callable fixed-to-float CMS spread range accrual securities due March 19, 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.
The interest rate is 10.5% per year for the first two years. After that, interest will vary based on 30 times the CMS spread, which is the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate, subject to a floor of 0% and a cap of 11.25%, times the number of days each index in a quarter closes at or above the 65% accrual barrier divided by the number of days in the quarter. Interest is payable quarterly.
The notes will be callable at par on any quarterly redemption date starting March 19, 2022.
The payout at maturity will be par unless any index finishes below its 50% 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 fixed-to-float CMS 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: | $6,000,000
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| Maturity: | March 19, 2041
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| Coupon: | 10.5% per year for the first two years, then varies at 30 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate times each day each index closes at or above the accrual barrier divided by the elapsed days in the quarter, payable quarterly and subject to a floor of 0% and a cap of 11.25%
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its 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 on or after March 19, 2022
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| Initial levels: | 88.84 for Stoxx Banks, 33,015.37 for Dow and 3,974.12 for S&P
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| Accrual barrier levels: | 57.746 for Stoxx Banks, 21,459.991 for Dow and 2,583.178 for S&P, or 65% of initial levels
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| Final barrier levels: | 44.42 for Stoxx Banks, 16,507.685 for Dow and 1,987.06 for S&P, or 50% of initial levels
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| Pricing date: | March 17
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| Settlement date: | March 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17328YRF3
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