New Issue: Citi sells $194,000 callable fixed-to-float CMS spread range accrual notes on indexes

By Kiku Steinfeld

Chicago, Dec. 19 – Citigroup Global Markets Holdings Inc. priced $194,000 of callable fixed to float SOFR CMS spread range accrual securities due April 22, 2037 linked to the lesser performing of the S&P 500 index and the Euro Stoxx index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Citigroup Inc.

The interest rate is 12% for the first year. After that, it will accrue at 50 times the spread of the 30-year U.S. Dollar SOFR ICE swap rate minus the two-year U.S. Dollar SOFR ICE swap rate for each day each index closes at or above the accrual barrier, 50% of the initial index level, subject to a maximum of 12% and a floor of zero. Interest will be payable quarterly.

After one year, the notes will be callable at par on any quarterly interest payment date.

If the lesser-performing index finishes at or above its 50% barrier level, the payout at maturity will be par.

Otherwise, investors will lose 1% for every 1% that the lesser-performing index declines from its initial level.

Citigroup Global Markets Inc. is the underwriter.

Issuer:	Citigroup Global Markets Holdings Inc.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed to float SOFR CMS spread range accrual securities
Underlying indexes:	S&P 500 and Euro Stoxx 50
Amount:	$194,000
Maturity:	April 22, 2037
Coupon:	12% for the first year; after that, 50 times the spread of the 30-year U.S. Dollar SOFR ICE Swap rate minus the 2-year U.S. Dollar SOFR ICE Swap rate for each day each index closes at or above the accrual barrier, subject to a maximum of 12% and a floor of zero; payable quarterly
Price:	Par
Payout at maturity:	If lesser-performing index finishes at or above barrier level, par; otherwise, 1% loss for every 1% that lesser-performing index declines from initial level
Call option:	At par on any interest payment date after one year
Initial levels:	3,830.76 for Stoxx, 4,462.21 for S&P
Accrual barrier levels:	1,915.38 for Stoxx, 2,231.105 for S&P, 50% of initial levels
Barrier levels:	1,915.38 for Stoxx, 2,231.105 for S&P, 50% of initial levels
Pricing date:	April 19
Settlement date:	April 22
Underwriter:	Citigroup Global Markets Inc.
Fees:	3.5%
Cusip:	17330F3Y5

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.