Published on 3/30/2022 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $4.06 million callable range accrual notes on indexes, SOFR ICE rates
By Wendy Van Sickle
Columbus, Ohio, March 30 – Citigroup Global Markets Holdings Inc. priced $4.06 million of callable range accrual securities due March 18, 2037 contingent on the 30-year U.S. dollar SOFR ICE swap rate, the two-year U.S. dollar SOFR ICE swap rate and the least performing of the Euro Stoxx Banks 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.
Interest will accrue at a rate of 13% for each day that the spread of the 30-year U.S. Dollar SOFR ICE swap rate minus the two-year U.S. Dollar SOFR ICE swap rate is at least zero and each index closes at or above the 50% accrual barrier, payable quarterly.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par unless any index finishes below its 50% barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level.
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 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 Banks index, S&P 500 index
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Amount: | $4,064,000
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Maturity: | March 18, 2037
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Coupon: | 13% for each day that the spread of the 30-year U.S. Dollar SOFR ICE swap rate minus the two-year U.S. Dollar SOFR ICE swap rate is at least zero and each index closes at or above the accrual barrier, payable quarterly
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Price: | Par
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Payout at maturity: | Par unless any index finishes below its barrier level, in which case investors will be fully exposed to the decline of the worst performing index from its initial level
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Call option: | At par on any quarterly redemption date after one year
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Initial levels: | 88.19 for Stoxx, 4,262.45 for S&P
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Accrual barrier levels: | 44.095 for Stoxx, 2,131.225 for S&P; 50% of initial levels
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Final barrier levels: | 44.095 for Stoxx, 2,131.225 for S&P; 50% 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: | 3.5%
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Cusip: | 17330ALG5
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