Published on 3/30/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $339,000 callable fixed-to-float spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, March 30 – Citigroup Global Markets Holdings Inc. priced $339,000 callable fixed-to-float SOFR CMS spread range accrual securities due March 18, 2037 linked to the lesser performing of the Euro Stoxx 50 index and the S&P 500 index, 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 year. After that, the coupon rate will be 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 all three indexes close at or above 65% of their initial levels, subject to a maximum annualized rate of 10% and a floor of zero. Interest is payable quarterly.
The payout at maturity will be par plus accrued interest.
The notes are callable at par on any coupon payment date beginning one year after issuance.
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 SOFR CMS spread range accrual securities
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| Underliers: | 30-year U.S. dollar SOFR ICE swap rate, two-year U.S. dollar SOFR ICE swap rate, Euro Stoxx 50 index, S&P 500 index
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| Amount: | $339,000
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| Maturity: | March 18, 2037
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| Coupon: | 10% for the first year; after that, 50 times the 30-year swap rate minus the two-year swap rate for each day all three indexes close at or above their accrual barriers, subject to a maximum rate of 10% and a floor of zero; payable quarterly
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| Price: | Par
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| Payout at maturity: | Par
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| Call option: | At par on any interest payment date after a year
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| Initial levels: | 3,738.11 for Stoxx and 4,262.45 for S&P
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| Accrual barrier levels: | 2,429.772 for Stoxx and 2,770.593 for S&P; 65% of initial levels
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| Pricing date: | March 15
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| Settlement date: | March 18
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3%
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| Cusip: | 17330ATL6
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