Published on 12/19/2020 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.16 million fixed-to-float range accrual callables tied to three indexes
By Taylor Fox
New York, Dec. 21 – Citigroup Global Markets Holdings Inc. priced $3.16 million of callable fixed-to float-range accrual securities due Dec. 17, 2040 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is fixed at an annual rate of 7% per year for the first three years, payable quarterly.
Starting March 2024, the coupon rate is still 7%, but is contingent upon how many days each quarter the 30-year CMS rate minus the two-year CMS rate is above 0% and all three indexes close above 60% of their initial levels.
The notes are callable on any quarterly coupon payment date after one year.
If the least-performing index finishes at or above its final barrier level, 50% of the initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index declines from its initial level.
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 range accrual securities
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| Underlying assets: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, S&P 500 index, Russell 2000 index and Euro Stoxx Banks index
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| Amount: | $3,160,000
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| Maturity: | Dec. 17, 2040
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| Coupon: | 7% fixed rate for first three years, payable quarterly; starting March 2024 7% contingent rate based on number of days in quarter 30-year CMS rate minus the two-year CMS rate is greater than 0% and each index closes above its 60% accrual barrier
|
| Price: | Par
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| Payout at maturity: | If least-performing index finishes at or above final barrier level, par; otherwise, 1% loss for every 1% that least-performing index declines from initial level
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| Call option: | At par on any coupon payment date after one year
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| Initial levels: | 3,663.46 for S&P 500, 1,911.697 for Russell 2000 and 74.03 for Stoxx
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| Accrual barrier levels: | 2,198.076 for S&P 500, 1,147.018 for Russell 2000 and 44,418 for Stoxx; 60% of initial levels
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| Final barrier levels: | 1,831.73 for S&P 500, 955.849 for Russell 2000 and 37.015 for Stoxx; 50% of initial levels
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| Pricing date: | Dec. 11
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| Settlement date: | Dec. 16
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17328Y2R4
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