Published on 6/8/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $4.13 million callable fixed-to-float CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, June 8 – Citigroup Global Markets Holdings Inc. priced $4.13 million fixed-to-float CMS spread range accrual securities due May 20, 2041 linked to the least performing of the Dow Jones industrial average, the Euro Stoxx Banks index 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 7.5% for the first five years, payable quarterly. After that, the coupon rate 7.5% annualized for each day the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap is greater than zero and all three indexes close above 65% of their initial levels.
The payout at maturity will be par if each index closes above 50% 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: | Dow Jones industrial average, Euro Stoxx Banks index and S&P 500 index
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| Amount: | $4,131,000
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| Maturity: | May 20, 2041
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| Coupon: | 7.5% for the first five years, payable quarterly; after that, 7.5% annualized for each day 30-year CMS rate minus the two-year CMS rate is greater than zero and all three indexes close above their accrual barriers
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| Price: | Par
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| Payout at maturity: | Par if each index finishes above final barrier level; otherwise, full exposure to losses of worst-performing index
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| Call option: | At par on any interest payment date after a year
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| Initial levels: | 34,382.13 for Dow, 97.46 for Stoxx Banks and 4,173.85 for S&P
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| Accrual barrier levels: | 22,348.385 for Dow, 63.349 for Stoxx Banks and 2,713.003 for S&P, or 65% of initial levels
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| Final barrier levels: | 17,191.065 for Dow, 48.73 for Stoxx Banks and 2,086.925 for S&P, or 50% of initial levels
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| Pricing date: | May 14
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| Settlement date: | May 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17329FDT8
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