Published on 5/17/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.43 million callable fixed-to-float CMS spread range accrual notes on indexes
Chicago, May 17 – Citigroup Global Markets Holdings Inc. priced $1.43 million callable fixed-to-float CMS spread range accrual securities due Oct. 22, 2036 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 8.5% for the first year, payable quarterly. After that, the coupon will be based on a rate of 10 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate minus 50 basis points. The coupon interest rate will be capped at 8.5% and floored at 0%.
The coupon after the first year will be paid based on the number of days in the quarterly accrual period when the three indexes close above the 65% accrual barrier.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par.
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: | S&P 500 index, the Nasdaq-100 index and the Russell 2000 index
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Amount: | $1,425,000
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Maturity: | Oct. 22, 2036
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Coupon: | 8.5% for the first year, payable quarterly; after that, annualized rate of 10 times the spread of 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 above accrual barrier levels in quarterly accrual period; cap of 8.5%, floor of 0%
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Price: | Par
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Payout at maturity: | Par
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Call option: | At par on any interest payment date after one year
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Initial levels: | 4,536.19 for S&P, 2,289.765 for Russell, 15,388.71 for Nasdaq
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Accrual barrier levels: | 2,948.524 for S&P, 1,488.347 for Russell, 10,002.662 for Nasdaq; 65% of initial levels
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Pricing date: | Oct. 20, 2021
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Settlement date: | Oct. 22, 2021
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17329U6P1
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