Published on 4/12/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $530,000 callable fixed-to-float CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, April 12 – Citigroup Global Markets Holdings Inc. priced $530,000 fixed-to-float CMS spread range accrual securities due April 1, 2041 linked to the least performing of the Nasdaq-100 index, the Euro Stoxx Banks 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.
The interest rate is 8% for the first four years, payable quarterly. After that, the coupon rate is still 8%, but it is contingent upon how many days each quarter the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate is above 0% and all three indexes close above 60% of their initial levels.
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 and S&P 500 index
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| Amount: | $530,000
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| Maturity: | April 1, 2041
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| Coupon: | 8% for the first four years, payable quarterly; after that, 8% contingent rate based upon how many days each quarter the 30-year CMS rate minus the two-year CMS rate is above 0% and all three indexes close above their accrual barriers
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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: | 12,965.74 for Nasdaq, 86.88 for Stoxx Banks and 3,971.09 for S&P
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| Accrual barrier levels: | 7,779.444 for Nasdaq, 52.008 for Stoxx Banks and 2,382.654 for S&P, or 60% of initial levels
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| Final barrier levels: | 7,779.444 for Nasdaq, 52.008 for Stoxx Banks and 2,382.654 for S&P, or 60% of initial levels
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| Pricing date: | March 29
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| Settlement date: | March 31
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17329F2E3
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