Published on 8/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $415,000 callable fixed-to-float CMS spread range accrual notes on indexes
By William Gullotti
Buffalo, N.Y., Aug. 19 – Citigroup Global Markets Holdings Inc. priced $415,000 of callable fixed-to-float CMS spread range accrual securities due May 14, 2041 linked to the least performing of the Nasdaq-100 index, 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 11% per year for the first year. After that, it will accrue at a rate of 25 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate for each day that each index closes above its 70% accrual barrier, subject to a maximum relevant contingent rate of 11% and a floor of zero. Interest is payable quarterly.
After one year, the notes will be callable at par on any 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: | Nasdaq-100 index, Euro Stoxx Banks index, S&P 500 index
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| Amount: | $415,000
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| Maturity: | May 14, 2041
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| Coupon: | Payable quarterly; 11% for the first year; after that, 25 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes above its accrual barrier, subject to a maximum of 11% and a floor of zero
|
| Price: | Par
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| Payout at maturity: | Par plus any coupon due if each index finishes above final barrier levels; 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: | 13,001.63 for Nasdaq, 96.28 for Stoxx Banks, 4,063.04 for S&P
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| Accrual barrier levels: | 9,101.141 for Nasdaq, 67.396 for Stoxx Banks, 2,844.128 for S&P, or 70% of initial levels
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| Final barrier levels: | 7,800.978 for Nasdaq, 57.768 for Stoxx Banks, 2,437.824 for S&P, or 60% of initial levels
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| Pricing date: | May 12
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| Settlement date: | May 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329FE91
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