Published on 12/4/2020 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.12 million callable CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Dec. 4 – Citigroup Global Markets Holdings Inc. priced $1.12 million of callable CMS spread range accrual securities due Nov. 30, 2035 linked to the least performing of the Russell 2000 index, the Nasdaq-100 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest will accrue at a rate of 7% a year for each day the 30-year Constant Maturity Swap rate minus the two-year CMS rate is greater than or equal to zero and each index closes at or above its accrual barrier, 60% of its initial index level. Interest is payable quarterly.
Beginning Nov. 30, 2021 the notes will be callable at par on any interest payment date.
The payout at maturity will be par plus the coupon if each index closes at or above 65% 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 CMS spread range accrual securities
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| Underlying indexes: | Russell 2000, Nasdaq-100 and Dow Jones industrial average
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| Amount: | $1,115,000
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| Maturity: | Nov. 30, 2035
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| Coupon: | 7% per annum for each day 30-year CMS rate minus two-year CMS rate is greater than or equal to zero and each index closes at or above accrual barrier; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par plus coupon if each index finishes above 65% of initial level; otherwise, full exposure to losses of worst-performing index
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| Call option: | At par on any interest payment date beginning Nov. 30, 2021
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| Initial levels: | 1,853.532 for Russell, 12,079.81 for Nasdaq and 30,046.24 for Dow
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| Accrual barrier levels: | 1,112.1192 for Russell, 7,247.886 for Nasdaq and 18,027.744 for Dow, or 60% of initial levels
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| Final barrier levels: | 1,204.796 for Russell, 7,851.877 for Nasdaq and 19,530.056 for Dow, or 65% of initial levels
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| Pricing date: | Nov. 24
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| Settlement date: | Nov. 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 1.25%
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| Cusip: | 17328Y3Q5
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