Published on 6/23/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $2.53 million callable range accrual notes on indexes, CMS rates
By Wendy Van Sickle
Columbus, Ohio, June 23 – Citigroup Global Markets Holdings Inc. priced $2.53 million of callable range accrual securities due June 18, 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 Nasdaq-100 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.
Interest will accrue at a contingent rate of 10% per year for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 70% accrual barrier, payable quarterly.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless any index finishes below its 60% 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 range accrual securities
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| Underlying assets: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Nasdaq-100 index, Euro Stoxx Banks index and S&P 500 index
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| Amount: | $2,529,000
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| Maturity: | June 18, 2041
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| Coupon: | 10% annual rate, for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate is at least 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 unless any index finishes below its final barrier level, in which case investors will be fully exposed to the decline of the worst performing index
|
| Call option: | At par on any quarterly redemption date after one year
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| Initial levels: | 4,246.59 for S&P, 14,030.41 for Nasdaq, 98.54 for Euro Stoxx Banks
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| Accrual barriers: | 2,972.613 for S&P, 9,821.287 for Nasdaq, 68.978 for Euro Stoxx Banks; 70% of initial levels
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| Final barriers: | 2,547.954 for S&P, 8,418.246 for Nasdaq, 59.124 for Euro Stoxx Banks; 60% of initial levels
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| Pricing date: | June 15
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| Settlement date: | June 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4.5%
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| Cusip: | 17329FXS8
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