Published on 3/3/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $920,000 callable fixed-to-float range accrual notes on indexes, SOFR spread
Chicago, March 3 – Citigroup Global Markets Holdings Inc. priced $920,000 callable fixed-to-float spread range accrual securities due May 19, 2042 linked to the SOFR CMS spread and 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 9% for the first five years, payable quarterly. After that, interest will accrue at an annual rate 50 times the 30-year U.S. Dollar SOFR ICE swap rate minus the two-year U.S. Dollar SOFR ICE swap rate for each day that each index closes at or above the 50% accrual barrier. The floating rate is also payable quarterly, subject to a floor of 0% and a ceiling of 14%.
The securities may be called at par on any interest payment date after one year.
The payout at maturity will be par if each index closes above 50% 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 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: | $920,000
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| Maturity: | May 19, 2042
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| Coupon: | 9% annually for the first five years, payable quarterly, after that, interest will accrue at an annual rate of 50 times the 30-year U.S. Dollar SOFR ICE swap rate minus the two-year U.S. Dollar SOFR ICE swap rate for each day that each index closes at or above the accrual barrier; payable quarterly, floor of 0%, cap of 14%
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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: | 85.82 for Stoxx Banks, 32,196.66 for Dow, 4,023.89 for S&P
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| Accrual barrier levels: | 42.91 for Stoxx Banks, 16,098.33 for Dow, 2,011.945 for S&P; 50% of initial levels
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| Final barrier levels: | 42.91 for Stoxx Banks, 16,098.33 for Dow, 2,011.945 for S&P; 50% of initial levels
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| Pricing date: | May 13, 2022
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| Settlement date: | May 18, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17330FP62
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