Published on 5/31/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $190,000 callable fixed-to-float CMS spread range accrual notes on indexes
Chicago, May 31 – Citigroup Global Markets Holdings Inc. priced $190,000 callable fixed-to-float CMS spread range accrual securities due Nov. 18, 2041 linked to the least performing of the Euro Stoxx Banks 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 9.2% for the first two years, payable quarterly. After that, the coupon rate is 50 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day all three indexes close at or above 65% of their initial levels, subject to a maximum rate of 9.2% 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 if each index closes at or above 50% 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: | Nasdaq-100 index, Euro Stoxx Banks index, S&P 500 index
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| Amount: | $190,000
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| Maturity: | Nov. 18, 2041
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| Coupon: | 9.2% for first two years, payable quarterly; after that, 50 times 30-year CMS rate minus the two-year CMS rate for each day all three indexes close at or above their accrual barriers, subject to a maximum rate of 9.2% 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 one year
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| Initial levels: | 104.61 for Stoxx, 4,682.8 for S&P, 16,189.12 for Nasdaq
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| Accrual barrier levels: | 67.997 for Stoxx, 3,043.82 for S&P, 10,522.928 for Nasdaq; 65% of initial levels
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| Final barrier levels: | 52.305 for Stoxx, 2,341.4 for S&P, 8,094.56 for Nasdaq; 50% of initial levels
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| Pricing date: | Nov. 15, 2021
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| Settlement date: | Nov. 17, 2021
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329UCD1
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