Published on 6/23/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $190,000 callable fixed-to-float CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, June 23 – Citigroup Global Markets Holdings Inc. priced $190,000 fixed-to-float CMS spread range accrual securities due June 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 10% for the first five years, payable quarterly. After that, the coupon rate is 25 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap for each day all three indexes close above 60% of their initial level, subject to a maximum rate of 7% 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.
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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: | June 18, 2041
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| Coupon: | 7% for the first five years, payable quarterly; after that, 25 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 7% 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 a year
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| Initial levels: | 98.54 for Stoxx, 4,246.59 for S&P, 14,030.41 for Nasdaq
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| Accrual barrier levels: | 59.124 for Stoxx, 2,547.954 for S&P, 8,418.246 for Nasdaq; 60% of initial levels
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| Final barrier levels: | 59.124 for Stoxx, 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: | 17329FXP4
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