Published on 9/8/2021 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $488,000 callable range accrual notes on indexes, CMS rates
By William Gullotti
Buffalo, N.Y., Sept. 8 – Citigroup Global Markets Holdings Inc. priced $488,000 of callable range accrual securities due July 1, 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 rate of 8% for each day that the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the 60% accrual barrier, payable quarterly.
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 60% 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.
|
| 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: | $488,000
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| Maturity: | July 1, 2041
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| Coupon: | 8% for each day that the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is at least zero and each index closes at or above the accrual barrier, payable quarterly
|
| 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
|
| Call option: | At par on any quarterly redemption date after one year
|
| Initial levels: | 93.96 for Stoxx, 14,524.98 for Nasdaq, 4,290.61 for S&P
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| Accrual barrier levels: | 56.376 for Stoxx, 8,714.988 for Nasdaq, 2,574.366 for S&P; 60% of initial levels
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| Final barrier levels: | 56.376 for Stoxx, 8,714.988 for Nasdaq, 2,574.366 for S&P; 60% of initial levels
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| Pricing date: | June 28
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| Settlement date: | June 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329FUM4
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