Published on 6/14/2023 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $630,000 SOFR CMS spread range accrual notes linked to three indexes
By Angela McDaniels
Tacoma, Wash., June 14 – Citigroup Global Markets Holdings Inc. priced $630,000 of callable fixed to float SOFR CMS spread range accrual securities due July 29, 2042 linked to the 30-year U.S. dollar SOFR ICE swap rate, the two-year U.S. dollar SOFR ICE swap rate, the Dow Jones industrial average, the Euro Stoxx Banks index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly. The interest rate is 11% per year for the first four years. Beginning in October 2026, the interest rate will be the contingent rate multiplied by the proportion of days during that quarter on which each index closes at or above its barrier level, 50% of its initial level. The contingent rate is an annualized rate equal to 50 times the spread of the 30-year swap rate over the two-year swap rate, subject to a minimum contingent rate of 0% and a maximum contingent rate of 11% per year.
The payout at maturity will be par unless the final level of the worst performing index is less than its barrier level, in which case investors will be exposed to the decline of the worst performing index.
The notes are callable at par on any coupon payment date on or after July 29, 2023.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter.
Issuer: | Citigroup Global Markets Holdings Inc.
|
Guarantor: | Citigroup Inc.
|
Issue: | Callable fixed to float SOFR CMS spread range accrual securities
|
Underlying assets: | 30-year U.S. dollar SOFR ICE swap rate, two-year U.S. dollar SOFR ICE swap rate, Dow Jones industrial average, Euro Stoxx Banks index and S&P 500 index
|
Amount: | $630,000
|
Maturity: | July 29, 2042
|
Coupon: | 11% per year for first four years; beginning in October 2026, contingent rate multiplied by proportion of days during quarter on which each index closes at or above barrier level; contingent rate is annualized rate equal to 50 times spread of 30-year swap rate over two-year swap rate, subject to minimum contingent rate of 0% and maximum contingent rate of 11% per year; payable quarterly
|
Price: | Par
|
Payout at maturity: | Par unless final level of worst performing index is less than barrier level, in which case exposure to decline of worst performing index
|
Call option: | At par on any coupon payment date on or after July 29, 2023
|
Initial levels: | 32,197.59 for Dow, 78.17 for Euro Stoxx Banks and 4,023.61 for S&P
|
Barrier levels: | 16,098.795 for Dow, 39.085 for Euro Stoxx Banks and 2,011.805 for S&P, or 50% of initial levels
|
Pricing date: | July 27, 2022
|
Settlement date: | July 29, 2022
|
Underwriter: | Citigroup Global Markets Inc.
|
Fees: | 5%
|
Cusip: | 17330PGE3
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.