Published on 7/1/2022 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1.48 million callable fixed-to-float CMS spread range accrual notes on indexes
By Wendy Van Sickle
Columbus, Ohio, July 1 – Citigroup Global Markets Holdings Inc. priced $1.48 million callable fixed-to-float CMS spread range accrual securities due June 30, 2042 linked to the least performing of the Russell 2000 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 two years, payable quarterly. After that, the coupon rate is 50 times the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day all three indexes close at or above 50% of their initial levels, subject to a maximum rate of 12% and a floor of zero.
The notes will be callable at par on any quarterly redemption date after one year.
The payout at maturity will be par if each index closes at or above 50% 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 CMS spread range accrual securities
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Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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Amount: | $1,477,000
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Maturity: | June 30, 2042
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Coupon: | 12% for first two years, payable quarterly; after that, 50 times 30-year CMS rate minus the two-year CMS rate for each day all three indexes close at or above their accrual barriers, subject to a maximum rate of 12% and a floor of zero
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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 to losses of worst-performing index
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Call option: | At par on any interest payment date after one year
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Initial levels: | 1,738.841 for Russell, 3,821.55 for S&P, 11,637.77 for Nasdaq
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Accrual barrier levels: | 869.421 for Russell, 1,910.775 for S&P, 5,818.885 for Nasdaq; 50% of initial levels
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Final barrier levels: | 869.421 for Russell, 1,910.775 for S&P, 5,818.885 for Nasdaq; 50% of initial levels
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Pricing date: | June 28
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Settlement date: | June 30
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17330PE39
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