Chicago, July 21 – Citigroup Global Markets Holdings Inc. priced $1.49 million of callable fixed-to-float range accrual notes due July 21, 2037 linked to the SOFR CMS spread and the least performing of the Russell 2000 index and 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 payable quarterly.
The interest rate is fixed at 10% for the first 18 months.
After 18 months, the rate will be contingent, accruing quarterly based on 10% multiplied by the percentage of days the accrual condition has been satisfied out of the numbers of days it could have been satisfied.
The accrual condition will be satisfied when both the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate is above 0% and both indexes close above 55% of their initial levels.
The notes can be called on any quarterly coupon payment date after one year.
The payout at maturity will be par plus the coupon payment due.
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 range accrual notes
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Underlying assets: | Russell 2000 index, S&P 500 index, 30-year U.S. dollar SOFR ICE swap rate, two-year U.S. dollar SOFR ICE swap rate
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Amount: | $1,489,000
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Maturity: | July 21, 2037
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Coupon: | 10% fixed for first 18 months; after that, quarterly coupons determined by 10% times the day count fraction which is the number of days the accrual condition is satisfied out of the potential number of days in a quarter it could be satisfied; accrual condition is satisfied when the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate is above 0% and both indexes close above 55% of their initial levels
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Price: | Par
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Payout at maturity: | Par plus any coupon due
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Call option: | At par on any quarterly interest payment date after one year
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Initial levels: | 1,738.417 for Russell, 3,830.85 for S&P
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Accrual barrier levels: | 956.129 for Russell, 2,106.968for S&P, or 55% of initial levels
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Pricing date: | July 18
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Settlement date: | July 21
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 3.5%
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Cusip: | 17330PDT3
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