Published on 5/10/2023 in the Prospect News Structured Products Daily.
New Issue: Citi prices $652,000 fixed-to-float range accrual notes tied to SOFR spread, indexes
Chicago, May 10 – Citigroup Global Markets Holdings Inc. priced $652,000 of callable fixed-to-float range accrual notes due June 16, 2037 linked to both the SOFR CMS spread and the worst performing of the S&P 500 index and the Nasdaq-100 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 18 months.
After the 18 months, it will still accrue at 9% but the coupon will be contingent and will only be paid on the percentage of days the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate is greater than zero and the two indexes have closed above their 50% accrual barrier levels.
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, Nasdaq-100 index
|
| Amount: | $652,000
|
| Maturity: | June 16, 2037
|
| Price: | Par
|
| Coupon: | 9% annually, payable quarterly, for first 18 months; after that, 9% contingent rate, paid on the percentage of days the 30-year ICE rate minus the two-year ICE rate is above zero and both indexes close above their accrual barriers
|
| Payout at maturity: | Par plus any final coupon otherwise due
|
| Call option: | Callable quarterly at par after one year
|
| Initial levels: | 11,288.32 for Nasdaq, 3,749.63 for S&P
|
| Accrual barriers: | 5,644.160 for Nasdaq, 1,874.815 for S&P; 50% of initial level
|
| Pricing date: | June 13, 2022
|
| Settlement date: | June 16, 2022
|
| Underwriter: | Citigroup Global Markets Inc.
|
| Fees: | 3.5%
|
| Cusip: | 17330P5W5
|
|
|
© 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.
