Published on 6/29/2021 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.01 million callable fixed-to-float CMS spread range accrual notes on indexes
By William Gullotti
Buffalo, N.Y., June 29 – Citigroup Global Markets Holdings Inc. priced $1.01 million fixed-to-float CMS spread range accrual securities due June 28, 2041 linked to the least performing of the Euro Stoxx Banks index, the S&P 500 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 rate is 10% for the first two 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 rate for each day all three indexes close above 65% of their initial level, subject to a maximum rate of 10% and a floor of zero.
The securities may be called on any interest payment date after one year.
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: | Dow Jones industrial average, Euro Stoxx Banks index, S&P 500 index
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Amount: | $1,008,000
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Maturity: | June 28, 2041
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Coupon: | 10% for the first two 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 10% 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 the decline of the worst performing index from its initial level
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Call option: | At par on any interest payment date after one year
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Initial levels: | 95.46 for Stoxx Banks, 4,266.49 for S&P, 34,196.82 for Dow
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Accrual barrier levels: | 62.049 for Stoxx Banks, 2,773.219 for S&P, 22,227.933 for Dow; 65% of initial levels
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Final barrier levels: | 57.276 for Stoxx Banks, 2,559.894 for S&P, 20,518.092 for Dow; 60% of initial levels
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Pricing date: | June 24
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Settlement date: | June 28
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3.5%
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Cusip: | 17329FXV1
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