By Kiku Steinfeld
Chicago, April 22 – Citigroup Global Markets Holdings Inc. priced $972,000 of callable fixed-to-float CMS spread range accrual securities due July 20, 2043 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Interest will be fixed at 10% for the first 2.5 years. After that, it will accrue at 50 times the spread of the 30-year Constant Maturity Swap rate minus the two-year Constant Maturity Swap rate for each day that the 30-year CMS rate is higher than the two-year CMS rate and the index closes at or above its 50% barrier level, subject to a maximum interest rate of 10.25%. Interest is payable quarterly and cannot be less than zero.
The notes are redeemable at par on any coupon payment date after one year.
The payout at maturity will be par plus any coupon due if the index closes above 50% of its initial level.
Otherwise, investors will be fully exposed to the losses of the index.
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 index: | S&P 500 index
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Amount: | $972,000
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Maturity: | July 20, 2043
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Coupon: | 10% for 2.5 years; after that, the rate will be 50 times the spread of the 30-year CMS rate minus the two-year CMS rate for each day that the 30-year CMS rate is higher than the two-year CMS rate and the index closes at or above its 50% barrier level, subject to a cap of 10.25% and floor of 0%; payable quarterly
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Price: | Par
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Payout at maturity: | Par plus any coupon due if index finishes above 50% of initial level; otherwise, full exposure to losses of index
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Call option: | At par quarterly after one year
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Initial level: | 4,522.79
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Barrier level: | 2,261.395, 50% of initial level
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Final barrier level: | 2,261.395, 50% of initial level
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Pricing date: | July 17, 2023
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Settlement date: | July 19, 2023
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17291RJC7
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