Published on 2/27/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $805,000 callable fixed-to-float range accrual notes on indexes, SOFR spread
Chicago, Feb. 27 – Citigroup Global Markets Holdings Inc. priced $805,000 callable fixed-to-float spread range accrual securities due May 6, 2042 linked to the SOFR CMS spread and the least performing of the Euro Stoxx Banks index, the S&P 500 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 11.2% for the first three years, payable quarterly. After that, interest will accrue at an annual rate 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 50% accrual barrier. The floating rate is also payable quarterly, subject to a floor of 0% and a ceiling of 11.2%.
The securities may be called at par on any interest payment date after three years.
The payout at maturity will be par if each index closes 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 spread range accrual securities
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Underlying indexes: | Dow Jones industrial average, Euro Stoxx Banks index, S&P 500 index
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Amount: | $805,000
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Maturity: | May 6, 2042
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Coupon: | 11.2% 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 accrual barrier; payable quarterly, floor of 0%, cap of 11.2%
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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 three years
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Initial levels: | 85.48 for Stoxx Banks, 34,061.06 for Dow, 4,300.17 for S&P
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Accrual barrier levels: | 42.74 for Stoxx Banks, 17,030.53 for Dow, 2,150.085 for S&P; 50% of initial levels
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Final barrier levels: | 42.74 for Stoxx Banks, 17,030.53 for Dow, 2,150.085 for S&P; 50% of initial levels
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Pricing date: | May 4, 2022
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Settlement date: | May 6, 2022
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3%
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Cusip: | 17330FWT4
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