New Issue: Citi sells $487,000 callable fixed-to-float range accrual notes on indexes, SOFR spread

Chicago, Aug. 16 – Citigroup Global Markets Holdings Inc. priced $487,000 callable fixed-to-float SOFR CMS spread range accrual securities due July 21, 2042 contingent on the worst 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 12.25% for the first three years, payable quarterly.

After that the coupon will be based on a contingent rate that will be multiplied by the day count fraction when the accrual condition is met.

The coupon will be 50 times the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate, capped at 12.25% and floored at 0%.

The accrual condition will be met on each day when the three indexes close above their 50% accrual barriers.

The securities may be called at par on any quarterly interest payment date after one year.

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.
Guarantor:	Citigroup Inc.
Issue:	Callable fixed-to-float spread SOFR CMS spread range accrual securities
Underlying indexes:	Dow Jones industrial average, Euro Stoxx Banks index, S&P 500 index
Amount:	$487,000
Maturity:	July 21, 2042
Coupon:	12.25% annually for the first three years, payable quarterly, after that, contingent interest rate will be based on the day count fraction when the accrual condition is met each quarter; accrual condition is met on days when all three indexes close above accrual barriers; contingent interest rate is 50 times the spread of the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate capped at 12.25% and floored at 0%
Price:	Par
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
Call option:	At par on any quarterly interest payment date after one year
Initial levels:	75.58 for Stoxx Banks, 31,072.61 for Dow, 3,830.85 for S&P
Accrual barrier levels:	37.79 for Stoxx Banks, 15,536.305 for Dow, 1,915.425 for S&P; 50% of initial levels
Final barrier levels:	37.79 for Stoxx Banks, 15,536.305 for Dow, 1,915.425 for S&P; 50% of initial levels
Pricing date:	July 18, 2022
Settlement date:	July 21, 2022
Underwriter:	Citigroup Global Markets Inc.
Fees:	5%
Cusip:	17330PNM7

© 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.