Published on 3/28/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $75,000 callable fixed-to-float CMS spread range accrual notes on indexes
By William Gullotti
Buffalo, N.Y., March 28 – Citigroup Global Markets Holdings Inc. priced $75,000 fixed-to-float CMS spread range accrual securities due April 30, 2041 linked to the least performing of the Dow Jones industrial average, 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.
The interest rate is 8% for the first year, payable quarterly. After that, the coupon rate will be 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 70% of their initial levels, subject to a maximum annualized rate of 8% and a floor of zero.
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: | Dow Jones industrial average, Nasdaq-100 index, S&P 500 index
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| Amount: | $75,000
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| Maturity: | April 30, 2041
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| Coupon: | 8% for the first year, payable quarterly; after that, 25 times the 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 8% 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 to losses of worst-performing index
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| Call option: | At par on any interest payment date after a year
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| Initial levels: | 33,820.38 for Dow, 13,901.62 for Nasdaq and 4,183.18 for S&P
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| Accrual barrier levels: | 23,674.266 for Dow, 9,731.134 for Nasdaq and 2,928.226 for S&P; 70% of initial levels
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| Final barrier levels: | 20,292.228 for Dow, 8,340.972 for Nasdaq and 2,509.908 for S&P; 60% of initial levels
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| Pricing date: | April 28, 2021
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| Settlement date: | April 30, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329FDA9
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