Published on 4/24/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $370,000 fixed-to-float SOFR CMS spread range accrual notes on indexes
Chicago, April 24 – Citigroup Global Markets Holdings Inc. priced $370,000 callable fixed-to-float SOFR CMS spread range accrual securities due May 27, 2042 linked to the worst performing of the S&P 500 index, the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
The interest rate is 10% for the first three years, payable quarterly. After that, the coupon will be based on a rate of 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. The coupon interest rate will be capped at 10% and floored at 0%.
The coupon after the first three years will be paid based on the number of days in the quarterly accrual period when the three indexes close above the 50% accrual barrier.
The notes will be callable at par on any quarterly redemption date starting May 27, 2025.
The payout at maturity will be par if all three indexes close above their 50% final barrier levels.
Otherwise, investors will be fully exposed to the losses of the worst performer.
Citigroup Global Markets Inc. is the underwriter.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Callable fixed-to-float CMS spread range accrual securities
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| Underlying indexes: | S&P 500 index, Dow Jones industrial average and Russell 2000 index
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| Amount: | $370,000
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| Maturity: | May 27, 2042
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| Coupon: | 10% for the first three years, payable quarterly; after that, annualized rate of 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 for each day all three indexes close above accrual barrier levels in quarterly accrual period; cap of 10%, floor of 0%
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| Price: | Par
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| Payout at maturity: | Par if all three indexes close above final barrier levels; otherwise, full exposure to losses of worst performer
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| Call option: | At par on any interest payment date starting May 27, 2025
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| Initial levels: | 31,928.62 for Dow, 1,764.826 for Russell, 3,941.48 for S&P
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| Accrual barrier levels: | 15,964.31 for Dow, 882.413 for Russell, 1,970.74 for S&P; 50% of initial levels
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| Final barrier levels: | 15,964.31 for Dow, 882.413 for Russell, 1,970.74 for S&P; 50% of initial levels
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| Pricing date: | May 24, 2022
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| Settlement date: | May 27, 2022
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 3.5%
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| Cusip: | 17330FWR8
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