Published on 4/6/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $829,000 callable fixed-to-float CMS spread range accrual notes on indexes
By Kiku Steinfeld
Chicago, April 6 – Citigroup Global Markets Holdings Inc. priced $829,000 of callable fixed-to-float CMS spread range accrual securities due March 18, 2041 linked to the least performing of the Nasdaq-100 index, the Euro Stoxx Banks 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.
The interest rate is 10.55% for the first three years. After that, it will accrue at a rate of 30 times the spread of the 30-year Constant Maturity Swap rate over the two-year Constant Maturity Swap rate for each day that each index closes above its 70% accrual barrier, subject to a maximum of 10.55% and a floor of zero.
After one year, 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 60% 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.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed-to-float CMS spread range accrual securities
|
| Underlying indexes: | Nasdaq-100 index, Euro Stoxx Banks index and S&P 500 index
|
| Amount: | $829,000
|
| Maturity: | March 18, 2041
|
| Coupon: | 10.55% for the first three years; after that, 30 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that each index closes above its accrual barrier, subject to a maximum of 10.55% and a floor of zero
|
| Price: | Par
|
| Payout at maturity: | Par plus any coupon due if each index finishes above final barrier level; otherwise, full exposure to losses of worst-performing index
|
| Call option: | At par on any interest payment date after a year
|
| Initial levels: | 12,937.29 for Nasdaq, 88.82 for Stoxx Banks and 3,943.34 for S&P
|
| Accrual barrier levels: | 9,056.103 for Nasdaq, 62.174 for Stoxx Banks and 2,760.338 for S&P, or 70% of initial levels
|
| Final barrier levels: | 7,762.374 for Nasdaq, 53.292 for Stoxx Banks and 2,366.004 for S&P, or 60% of initial levels
|
| Pricing date: | March 12
|
| Settlement date: | March 17
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 5%
|
| Cusip: | 17328YXE9
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
