By Kiku Steinfeld
Chicago, May 19 – Citigroup Global Markets Holdings Inc. priced $650,000 of callable fixed-to-float CMS spread range accrual securities due Oct. 20, 2036 linked to the least performing of the EURO iStoxx Banks Futures Roll TR Decrement 5% index and the S&P 500 Futures (Fed Funds) 3% Decrement index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 11.25% initially. After the second year, it will accrue at a rate of 25 times 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 11.25% and a floor of zero. Interest will be payable quarterly.
After one year, the notes will be callable at par on any interest payment date.
The payout at maturity will be par due if each index closes at or 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: | EURO iStoxx Banks Futures Roll TR Decrement 5% and S&P 500 Futures (Fed Funds) 3% Decrement
|
| Amount: | $650,000
|
| Maturity: | Oct. 20, 2036
|
| Coupon: | 11.25% initially; after two years, 25 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, subject to a floor of zero and 11.25% cap; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par due if each index finishes at or above 60% of initial level; otherwise, full exposure to losses of worst-performing index
|
| Call option: | At par on any interest payment date after one year
|
| Initial levels: | 25.799 for iStoxx, 325.88 for S&P
|
| Accrual barrier levels: | 15.479 for iStoxx, 195.528 for S&P, or 60% of initial levels
|
| Final barrier levels: | 15.479 for iStoxx, 195.528 for S&P, or 60% of initial levels
|
| Pricing date: | Oct. 15, 2021
|
| Settlement date: | Oct. 20, 2021
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 5%
|
| Cusip: | 17329U4V0
|
© 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.
