Published on 11/19/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $2.15 million callable range accrual notes on indexes, CMS rates
By William Gullotti
Buffalo, N.Y., Nov. 19 – Citigroup Global Markets Holdings Inc. priced $2.15 million of callable range accrual securities due Nov. 19, 2041 contingent on the 30-year Constant Maturity Swap rate, the two-year Constant Maturity Swap rate and the least performing of the Euro Stoxx Banks index, the Nasdaq-100 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.
Interest will accrue at a floating annual rate of 25 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day that each index closes at or above the 65% accrual barrier. Interest is paid quarterly, and interest accrual is subject to a floor of 0% and a ceiling of 13%.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless any index finishes below its 65% barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level.
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 range accrual securities
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| Underliers: | 30-year Constant Maturity Swap rate, two-year Constant Maturity Swap rate, Nasdaq-100 index, Euro Stoxx Banks index, S&P 500 index
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| Amount: | $2.15 million
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| Maturity: | Nov. 19, 2041
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| Coupon: | Floating rate set at 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, payable quarterly; floating rate is subject to 0% floor and 13% ceiling
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| Price: | Par
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| Payout at maturity: | Par unless any index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level
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| Call option: | At par on any quarterly redemption date after one year
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| Initial levels: | 103.77 for Stoxx, 16,309.77 for Nasdaq, 4,700.9 for S&P
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| Accrual barrier levels: | 67.451 for Stoxx, 10,601.351 for Nasdaq, 3,055.585 for S&P; 65% of initial levels
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| Final barrier levels: | 67.451 for Stoxx, 10,601.351 for Nasdaq, 3,055.585 for S&P; 65% of initial levels
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| Pricing date: | Nov. 16
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| Settlement date: | Nov. 19
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17329UAG6
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