Published on 4/18/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $3.72 million fixed-to-float range accrual notes tied to ICE spread, indexes
By William Gullotti
Buffalo, N.Y., April 18 – Citigroup Global Markets Holdings Inc. priced $3.72 million of callable fixed-to-float range accrual notes due April 14, 2042 linked to both the SOFR ICE spread and the worst performing of the S&P 500 index, the Dow Jones industrial average and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly fixed coupon at 15% per year for the first year.
Starting July 2023, it 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 55% accrual barrier. The floating rate is also payable quarterly, subject to a floor of 0% and a ceiling of 20%.
The notes can be called at par on any quarterly coupon date after one year.
If the notes are not called and each index finishes at or above the 50% final barrier, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% decline of the worst performer from its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
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| Issue: | Callable fixed-to-float range accrual notes
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| Underlying assets: | 30-year U.S. Dollar SOFR ICE swap rate, two-year U.S. Dollar SOFR ICE swap rate, S&P 500 index, Dow Jones industrial average, Euro Stoxx Banks index
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| Amount: | $3,716,000
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| Maturity: | April 14, 2042
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| Price: | Par
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| Coupon: | 15% annually, payable quarterly, for first year; after that, annual coupon rate set at 50 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day each index closes at or above the accrual barrier, payable quarterly; floating rate is subject to 0% floor and 20% ceiling
|
| Payout at maturity: | If all indexes finish at or above the final barrier level, par; otherwise lose 1% for every 1% decline of the worst performer from its initial level
|
| Call option: | Callable quarterly at par after one year
|
| Initial levels: | 89.13 for Stoxx Banks, 34,308.08 for Dow, 4,412.53 for S&P
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| Accrual barriers: | 49.022 for Stoxx Banks, 18,869.444 for Dow, 2,426.892 for S&P; 55% of initial level
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| Final barriers: | 44.565 for Stoxx Banks, 17,154.04 for Dow, 2,206.265 for S&P; 50% of initial level
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| Pricing date: | April 11
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| Settlement date: | April 14
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17330F2Q3
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