Published on 11/2/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $10.29 million callable fixed-to-float CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 2 – Citigroup Global Markets Holdings Inc. priced $10.29 million callable fixed-to-float CMS spread range accrual securities due Oct. 29, 2041 linked to the least performing of the Russell 2000 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 12% for the first year, payable quarterly. After that, the coupon rate is 10 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate minus 50 basis points for each day all three indexes close at or above 50% of their initial levels, subject to a maximum rate of 12% and a floor of zero.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par plus any coupon due.
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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| Underlyings: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $10.29 million
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| Maturity: | Oct. 29, 2041
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| Coupon: | 12% for the first year, payable quarterly; after that, 10 times 30-year CMS rate minus the two-year CMS rate minus 50 bps for each day all three indexes close above their accrual barriers, subject to a maximum rate of 12% and a floor of zero
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due
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| Call option: | At par on any interest payment date after one year
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| Initial levels: | 2,252.491 for Russell, 4,551.68 for S&P, 15,598.39 for Nasdaq
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| Accrual barrier levels: | 1,126.246 for Russell, 2,275.84 for S&P, 7,799.195 for Nasdaq; 50% of initial levels
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| Pricing date: | Oct. 27
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| Settlement date: | Oct. 29
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329ULR0
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