Published on 7/9/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $731,000 callable fixed-to-float CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, July 9 – Citigroup Global Markets Holdings Inc. priced $731,000 fixed-to-float CMS spread range accrual securities due May 28, 2041 linked to the least performing of the Euro Stoxx Banks index, the S&P 500 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 10% for the first two years, payable quarterly. After that, the coupon rate is 25 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day all three indexes close above 67% of their initial level, subject to a maximum rate of 10% and a floor of zero.
The securities may be called on any interest payment date after one year.
The payout at maturity will be par 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.
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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: | Nasdaq-100 index, Euro Stoxx Banks index, S&P 500 index
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| Amount: | $731,000
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| Maturity: | May 28, 2041
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| Coupon: | 10% for the first two years, payable quarterly; after that, 25 times 30-year CMS rate minus the two-year CMS rate for each day all three indexes close above their accrual barriers, subject to a maximum rate of 10% and a floor of zero
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| Price: | Par
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| Payout at maturity: | Par if each index finishes above final barrier level; otherwise, full exposure the decline of the worst performing index from its initial level
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| Call option: | At par on any interest payment date after one year
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| Initial levels: | 96.25 for Stoxx Banks, 4,195.99 for S&P, 13,702.74 for Nasdaq
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| Accrual barrier levels: | 64.488 for Stoxx Banks, 2,811.313 for S&P, 9,180.836 for Nasdaq; 67% of initial levels
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| Final barrier levels: | 57.75 for Stoxx Banks, 2,517.594 for S&P, 8,221.644 for Nasdaq; 60% of initial levels
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| Pricing date: | May 26
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| Settlement date: | May 28
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329FL85
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