By Kiku Steinfeld
Chicago, April 22 – Citigroup Global Markets Holdings Inc. priced $499,000 of callable fixed-to-float SOFR CMS spread range accrual notes due July 31, 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 10.25% for the first 2.5 years. After that, it will accrue at 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 that the 30-year CMS rate is higher than the two-year CMS rate and the index closes at or above its 60% barrier level, subject to a maximum interest rate of 10.5%. 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 60% 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 SOFR CMS spread range accrual notes
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| Underlying index: | S&P 500 index
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| Amount: | $499,000
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| Maturity: | July 31, 2043
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| Coupon: | 10.25% for first 2.5 years; after that, the rate will be 50 times the spread of the 30-year U.S. dollar SOFR ICE swap rate minus two-year U.S. dollar SOFR ICE swap rate for each day index closes at or above accrual barrier, subject to a maximum rate of 10.5% and a floor of zero, payable quarterly
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| Price: | Par
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| Payout at maturity: | Par plus any coupon due if index finishes above 60% 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: | 4,537.41
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| Barrier level: | 2,722.446, 60% of initial level
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| Final barrier level: | 2,722.446, 60% of initial level
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| Pricing date: | July 27, 2023
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| Settlement date: | July 31, 2023
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 5%
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| Cusip: | 17291RRC8
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