Published on 5/12/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $1 million callable fixed-to-float range accrual notes on indexes, SOFR spread
By Wendy Van Sickle
Columbus, Ohio, May 12 – Citigroup Global Markets Holdings Inc. priced $1 million callable fixed-to-float range accrual securities due May 11, 2035 linked to the SOFR CMS spread and the least performing of the Nasdaq-100 index, the S&P 500 index 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 9% for the first two years, payable quarterly.
After that, the interest rate be 20 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 each index closes at or above the 65% accrual barrier, up to a maximum rate of 9% per annum and a floor of 0%.
The securities may be called at par on any quarterly interest payment date after two years.
The payout at maturity will be par plus any accrued coupon.
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 securities
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| Underlying indexes: | Russell 2000 index, Nasdaq-100 index, S&P 500 index
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| Amount: | $1 million
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| Maturity: | May 11, 2035
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| Coupon: | 9% annually for the first two years, payable quarterly, after that, 20 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 each index closes at or above the 65% accrual barrier, up to maximum rate of 9% per annum and floor of 0%
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| Price: | Par
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| Payout at maturity: | Par plus any accrued coupon
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| Call option: | At par on any interest payment date after two years
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| Initial levels: | 13,291.64 for Nasdaq, 1,754.47 for Russell, 4,138.12 for S&P
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| Accrual barrier levels: | 8,639.566 for Nasdaq, 1,140.406 for Russell, 2,698.778 for S&P; 65% of initial levels
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| Pricing date: | May 8
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| Settlement date: | May 11
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| Underwriter: | Citigroup Global Markets Inc.
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| Fees: | 4%
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| Cusip: | 17331HR24
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