Published on 10/24/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $100,000 callable fixed-to-float range accrual notes on indexes
By Kiku Steinfeld
Chicago, Oct. 24 – Citigroup Global Markets Holdings Inc. priced $100,000 callable fixed-to-float range accrual securities due Feb. 28, 2042 linked to the SOFR CMS spread and the least performing of the Euro Stoxx Banks index, the S&P 500 index and the Nasdaq-100 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, payable quarterly. After that, it will accrue at a rate of 12% 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 greater than or equal to zero and each index closes at or above the accrual barrier, 62% of the initial index level. Interest will be payable quarterly.
The securities may be called on any 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: | Nasdaq-100 index, Euro Stoxx Banks index, S&P 500 index
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| Amount: | $100,000
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| Maturity: | Feb. 28, 2042
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| Coupon: | 12% for the first year; after that, 12% for each day 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 greater than 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 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: | 96.27 for Stoxx Banks, 13,974.67 for Nasdaq, 4,288.70 for S&P
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| Accrual barrier levels: | 59.687 for Stoxx Banks, 8,664.295 for Nasdaq, 2,658.994 for S&P; 62% of initial levels
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| Final barrier levels: | 57.762 for Stoxx Banks, 8,384.802 for Nasdaq, 2,573.220 for S&P; 60% of initial levels
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| Pricing date: | Feb. 24, 2022
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| Settlement date: | Feb. 28, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17330APS5
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