Published on 10/25/2023 in the Prospect News Structured Products Daily.
New Issue: Citi sells $408,000 callable fixed-to-float CMS spread range accrual notes on S&P
By Kiku Steinfeld
Chicago, Oct. 25 – Citigroup Global Markets Holdings Inc. priced $408,000 of callable fixed-to-float SOFR CMS spread range accrual notes due March 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.
The interest rate is 10% for the first year, payable quarterly. After that, the coupon rate is 50 times the 30-year U.S. dollar SOFR ICE swap rate minus the two-year U.S. dollar SOFR ICE swap rate for each day the index closes at or above 60% of its initial level, subject to a maximum rate of 10% and a floor of zero.
The notes will be callable at par on any quarterly redemption date after three years.
The payout at maturity will be par plus any coupon 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 SOFR CMS spread range accrual notes
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Underlying index: | S&P 500 index
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Amount: | $408,000
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Maturity: | March 31, 2043
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Coupon: | 10% for first year, payable quarterly; after that, 50 times 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% and a floor of zero
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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 interest payment date after three years
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Initial index level: | 4,027.81
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Accrual barrier level: | 2,416.686, 60% of initial level
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Pricing date: | March 29, 2023
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Settlement date: | March 31, 2023
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Underwriter: | Citigroup Global Markets Inc.
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Fees: | 5%
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Cusip: | 17331HE51
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