Published on 5/31/2022 in the Prospect News Structured Products Daily.
New Issue: Citi prices $1.56 million fixed-to-float range accrual notes tied to ICE spread, indexes
By William Gullotti
Buffalo, N.Y., May 31 – Citigroup Global Markets Holdings Inc. priced $1.56 million of callable fixed-to-float range accrual notes due May 26, 2037 linked to both the ICE spread and the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly fixed coupon at 9% per year for the first two years.
After the second year, it will accrue at an annual rate of 25 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 uncapped, payable quarterly and subject to a floor of 0%.
The notes can be called at par on any quarterly coupon date after one year.
The payout at maturity will be par plus any final coupon otherwise due.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
|
| Guarantor: | Citigroup Inc.
|
| Issue: | Callable fixed-to-float range accrual notes
|
| Underlying assets: | 30-year U.S. Dollar SOFR ICE swap rate, two-year U.S. Dollar SOFR ICE swap rate, S&P 500 index, Russell 2000 index
|
| Amount: | $1,562,000
|
| Maturity: | May 26, 2037
|
| Price: | Par
|
| Coupon: | 9% annually, payable quarterly, for first two years; after that, annual coupon rate set at the spread of the 30-year ICE rate minus the two-year ICE rate for each day each index closes at or above the accrual barrier, payable quarterly; floating rate is subject to 0% floor
|
| Payout at maturity: | Par plus any final coupon otherwise due
|
| Call option: | Callable quarterly at par after one year
|
| Initial levels: | 1,764.826 for Russell, 3,941.48 for S&P
|
| Accrual barriers: | 970.654 for Russell, 2,167.814 for S&P; 55% of initial level
|
| Pricing date: | May 24
|
| Settlement date: | May 26
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 17330FPQ8
|
|
|
© 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.
