Published on 3/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $937,000 callable fixed-to-float CMS spread range accrual notes on indexes
By Kiku Steinfeld
Chicago, March 9 – Citigroup Global Markets Holdings Inc. priced $937,000 of callable fixed-to-float CMS spread range accrual securities due Feb. 26, 2041 linked to the least performing of the Dow Jones industrial average, the S&P 500 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 10.13% for the first two years. After that, starting in May 2023, it will accrue at a rate of 20 times the spread of the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above the accrual barrier, 60% of the initial index level, subject to a maximum of 10% and a floor of zero. Interest will be payable quarterly.
Beginning in February 2022, 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 50% 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: | Dow Jones industrial average, S&P 500 index, Euro Stoxx Banks index
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| Amount: | $937,000
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| Maturity: | Feb. 26, 2041
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| Coupon: | 10.13% for first two years; after that, 20 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day that each index closes at or above the accrual barrier, subject to a maximum of 10% and a floor of zero; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if each index finishes above 65% of initial level; otherwise, full exposure to losses of worst-performing index
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| Call option: | At par on any interest payment date beginning in February 2022
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| Initial levels: | 31,961.86 for Dow, 84.90 for Stoxx, 3,925.43 for S&P
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| Accrual barrier levels: | 19,177.116 for Dow, 50.940 for Stoxx, 2,355.258 for S&P, or 60% of initial levels
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| Final barrier levels: | 15,980.930 for Dow, 42.450 for Stoxx, 1,962.715 for S&P, or 50% of initial levels
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| Pricing date: | Feb. 24
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| Settlement date: | Feb. 26
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17328YY99
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