Published on 10/24/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $247,000 callable fixed-to-float range accrual notes on indexes, SOFR spread
By Kiku Steinfeld
Chicago, Oct. 24 – Citigroup Global Markets Holdings Inc. priced $247,000 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 9.8% for the first three years, payable quarterly. After that, interest will accrue at an annual rate of 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 that each index closes at or above the 60% accrual barrier. The floating rate is also payable quarterly, subject to a floor of 0% and a ceiling of 9.8%.
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: | $247,000
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Maturity: | Feb. 28, 2042
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Coupon: | 9.8% annually for the first three years, payable quarterly, after that, interest will accrue at an annual rate of 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 that each index closes at or above the 60% 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: | 57.762 for Stoxx Banks, 8,384.802 for Nasdaq, 2,573.220 for S&P; 60% 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: | 17330ALF7
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