Published on 4/27/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $325,000 callable fixed-to-float range accrual notes on indexes, SOFR spread
Chicago, April 27 – Citigroup Global Markets Holdings Inc. priced $325,000 callable fixed-to-float range accrual securities due May 30, 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 10% for the first three years, payable quarterly.
After that, the 10% interest rate be based on the day count fraction when the accrual condition is met each quarter. The accrual condition is met when the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate is above the negative 0.5% SOFR CMS spread barrier and each index closes at or above the 60% accrual barrier.
The securities may be called at par on any quarterly 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 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: | $325,000
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| Maturity: | May 30, 2042
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| Coupon: | 10% annually for the first three years, payable quarterly, after that, interest will be based on the day count fraction when the accrual condition is met each quarter; accrual condition is met when 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate is above the negative 0.5% SOFR CMS spread barrier and each index closes at or above the 60% accrual barrier
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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: | 91.82 for Stoxx Banks, 32,637.19 for Dow, 4,057.84 for S&P
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| Accrual barrier levels: | 55.092 for Stoxx Banks, 19,582.314 for Dow, 2,434.704 for S&P; 60% of initial levels
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| Final barrier levels: | 55.092 for Stoxx Banks, 19,582.314 for Dow, 2,434.704 for S&P; 60% of initial levels
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| Pricing date: | May 26, 2022
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| Settlement date: | May 31, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17330FW56
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