Published on 5/19/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $703,000 callable fixed-to-float CMS spread range accrual notes on indexes
Chicago, May 19 – Citigroup Global Markets Holdings Inc. priced $703,000 callable fixed-to-float CMS spread range accrual securities due Oct. 29, 2041 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Euro Stoxx Banks 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 will be based on a rate of 20 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate. The coupon interest rate will be capped at 10% and floored at 0%.
The coupon after the first two years will be paid based on the number of days in the quarterly accrual period when the three indexes close above the 60% accrual barrier.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par if all three indexes close above 60% of their initial levels.
Otherwise, investors will be full exposed to the losses of the worst performer.
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 Euro Stoxx Banks index
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| Amount: | $703,000
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| Maturity: | Oct. 29, 2041
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| Coupon: | 10% for the first two years, payable quarterly; after that, annualized rate of 20 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day all three indexes close above accrual barrier levels in quarterly accrual period; cap of 10%, floor of 0%
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| Price: | Par
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| Payout at maturity: | Par if all three indexes close above barrier level; otherwise, full exposure to losses of worst performer
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| Call option: | At par on any interest payment date after two years
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| Initial levels: | 4,551.68 for S&P, 102.03 for Stoxx, 15,598.39 for Nasdaq
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| Accrual barrier levels: | 2,731.008 for S&P, 61.218 for Stoxx, 9359.034 for Nasdaq; 60% of initial levels
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| Barrier levels: | 2,731.008 for S&P, 61.218 for Stoxx, 9359.034 for Nasdaq; 60% of initial levels
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| Pricing date: | Oct. 27, 2021
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| Settlement date: | Oct. 29, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329U6E6
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