Published on 2/10/2021 in the Prospect News Structured Products Daily.
New Issue: Citi prices $800,000 fixed-to-float range accrual callables tied to three indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 10 – Citigroup Global Markets Holdings Inc. priced $800,000 of callable fixed-to float-range accrual securities due Jan. 29, 2041 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 Nasdaq-100 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 7.25% per year for the first three years, payable quarterly.
Starting in October 2022, the coupon rate is still 7.25%, 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 70% 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, 60% 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 Nasdaq-100 index
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| Amount: | $800,000
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| Maturity: | Jan. 29, 2041
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| Coupon: | 7.25% fixed rate for first 1.5 years, payable quarterly; starting April 2025 7.25% 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
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| 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: | 3,750.77 for S&P 500, 2,108.696 for Russell 2000 and 13,112.65 for Nasdaq
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| Accrual barrier levels: | 2,625.539 for S&P 500, 1,476.087 for Russell 2000 and 9,178.855 for Nasdaq; 70% of initial levels
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| Final barrier levels: | 2,250.462 for S&P 500, 1,265.218 for Russell 2000 and 7,867.59 for Nasdaq; 60% 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: | 17328YGL2
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