Published on 2/10/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.4 million callable range accrual notes on indexes, CMS rates
By Wendy Van Sickle
Columbus, Ohio, Feb. 10 – Citigroup Global Markets Holdings Inc. priced $1.4 million of callable range accrual securities due Jan. 29, 2041 contingent on the 30-year Constant Maturity Swap rate, the five-year Constant Maturity Swap rate and the least performing of the Russell 2000 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 equal to the 30-year Constant Maturity Swap rate minus the five-year Constant Maturity Swap rate minus 0.25% all multiplied by 10 for each day each index closes at or above the 50% accrual barrier, subject to a maximum annualized rate of 10%, payable monthly.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par.
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, five-year Constant Maturity Swap rate, Nasdaq-100 index, Russell 2000 index and S&P 500 index
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| Amount: | $1.4 million
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| Maturity: | Jan. 29, 2041
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| Coupon: | 30-year Constant Maturity Swap rate minus five-year Constant Maturity Swap rate minus 0.25% all multiplied by 10 for each day each index closes at or above the 50% accrual barrier, subject to a maximum annualized rate of 10%, payable monthly
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| Price: | Par
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| Payout at maturity: | Par
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| Call option: | At par on any quarterly redemption date after one year
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| Initial levels: | 2,108.696 for Russell, 13,112.65 for Nasdaq and 3,750.77 for S&P
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| Accrual barrier levels: | 1,054.348 for Russell, 6,556.325 for Nasdaq and 1,875.385 for S&P, or 50% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Jan. 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17328YHY3
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