Published on 6/22/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $12.8 million callable fixed-to-float CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, June 22 – Citigroup Global Markets Holdings Inc. priced $12.8 million fixed-to-float CMS spread range accrual securities due June 18, 2041 linked to the least performing of the Russell 2000 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 8% for the first year, payable quarterly. After that, the coupon rate is 20 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap for each day all three indexes close above 70% of their initial level, subject to a maximum rate of 8% and a floor of zero.
The payout at maturity will be par if each index closes above 60% 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.
|
| 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, Russell 2000 index, S&P 500 index
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| Amount: | $12,801,000
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| Maturity: | June 18, 2041
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| Coupon: | 8% for the first year, payable quarterly; after that, 20 times 30-year CMS rate minus the two-year CMS rate for each day all three indexes close above their accrual barriers, subject to a maximum rate of 8% 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
|
| Call option: | At par on any interest payment date after a year
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| Initial levels: | 2,320.072 for Russell, 4,246.59 for S&P, 14,030.41 for Nasdaq
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| Accrual barrier levels: | 1,624.05 for Russell, 2,972.613 for S&P, 9,821.287 for Nasdaq; 70% of initial levels
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| Final barrier levels: | 1,392.043 for Russell, | 2,547.954 for S&P, 8,418.246 for Nasdaq; 60% of initial levels
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| Pricing date: | June 15
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| Settlement date: | June 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329FSB1
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