By Taylor Fox
New York, Nov. 23 – Citigroup Global Markets Holdings Inc. priced $2 million of callable fixed-to-float CMS spread range accrual securities due Nov. 19, 2040 linked to the least performing of the Russell 2000 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 9% for the first year. After that, starting in February 2022, it will accrue at a rate of 13 times the 30-year Constant Maturity Swap rate minus the two-year CMS rate for each day that each index closes at or above the accrual barrier, 65% of the initial index level, subject to a maximum of 10% and a floor of zero. Interest will be payable quarterly.
After one year, the notes will be callable at par on any interest payment date.
The payout at maturity will be par plus any coupon due 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: | Russell 2000 index, Euro Stoxx Banks index
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Amount: | $2 million
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Maturity: | Nov. 19, 2040
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Coupon: | 9% for the first year; after that, 13 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, subject to a floor of zero and 10% cap; payable quarterly
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Price: | Par
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Payout at maturity: | Par plus any coupon due if each index finishes above 60% 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 after a year
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Initial levels: | 70.78 for Stoxx, 1,785.336 for Russell
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Accrual barrier levels: | 46.007 for Stoxx, 1,160.468 for Russell, or 65% of initial levels
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Final barrier levels: | 42.468 for Stoxx, 1,071.202 for Russell, or 60% of initial levels
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Pricing date: | Nov. 16
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Settlement date: | Nov. 19
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 4.9375%
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Cusip: | 17328WXH6
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